[Rcpp-devel] RInside for hft strategy.

[Harry G]

Thinking of using RInside for predicting a theoretical price for a high
frequency trading strategy. Strategy is written in C++.

Let's assume I want to use the lm() function.
Flow i'm imagining:  get the factors in c++ -> have R pre-process them ->
use the R predict() function.

What is the recommended approach for something like this.  Latencies > 50
micros matter.
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