Using R For Algorithmic Trading

Here is a nice video I found on the Quantitative Finance Collector website. Have a look if you are looking to use R and Interactive Brokers to trade automatically. People already familiar with algorithmic trading might want to start the video at the 15:00 mark.



3 thoughts on “Using R For Algorithmic Trading”

    1. In all honesty I never tried anything high frequency using R. It would be difficult for me to comment. However I am under the impression that it wouldn’t be as slow as you seem to suggest.



  1. R, like most programming languages can be as fast or slow as you make it. As the author of IBrokers (and other packages) I can tell you that R is faster than the stream coming in from IB, i.e. the ‘bottleneck’ isn’t R.

    Of course you’d be slaughtered trying to trade real high-frequency with anything short of C/C++ and some serious hardware, but then you wouldn’t be using IB either. 1 second bars and R is trivial – typically the Java process from IB uses many times the cpu that R does to process it.

    IB and R are actually a stellar combination – since you have access to all the goodness of R and the ability to go from testing to production with little more than using a different account. Plus, interactive access to the IB API is quite powerful and unique among the interfaces to IB.


Comments are closed.