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Using R For Algorithmic Trading

October 25, 2010

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.


  1. October 31, 2010 03:22

    Isn’t R gawdawful slow for real-time trading?

    • October 31, 2010 10:04

      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.



  2. February 7, 2011 23:25

    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.


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