[Rcpp-devel] accelerate XTS manipulations with Rcpp

[Vladimir Morozov]

Dear Rcpp experts.
I'm absolutely new to Rcpp and RcppXts.

I want to speed up my R function that generates and rbinds a few new rows
to an XTS object. This function us called often and I think it takes a
lot of time.

Could you please tell me in general if the following switch to Rcpp will
speed-up my work (currently all my work is in R).

I have a function  function_R(time T, value X) in R that takes a
PosixCT time and integer value X, performs some time-consuming manipulations,
then modifies global objects XTS series1 through XTS seriesN. Specifically,
I rbind some new rows to each of series1 through seriesN in global
environment.
To avoid copying XTS series between the function and the global enviroment,
the function attempts to modify the seriesX in the global environment, and
not return XTS on function return (due to how R works maybe it's a moot
point, as Dirk already alluded...)

This function is rather slow.

To accelerate it I want to write fuction_RCPP(time T, value X) in C++.
I think it will perform internal manipulations of time T and value X a little
faster.

I want to achieve the biggest speed-up by doing rbind in C++ using package
RcppXts.
I plan to use the following function in RcppXts package:
    function("xtsRbind",
             &xtsRbind,
             List::create(Named("x"), Named("y"), Named("dup")),
             "Combine two xts objects row-wise");

Then I want to use Rcpp function assign( name, x ) to assign the created
object back to GlobalEnvironment.

This way my other tasks in R can access these XTS series1 through seriesN.

Do you think the above way is a good way to grow dynamical XTS series inside
Rcpp?
Do you think it will provide significant acceleration compared to pure R ?
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