Message-ID: <46FA4ABF.5040503@braverock.com>
Date: 2007-09-26T12:04:15Z
From: Brian G. Peterson
Subject: backtesting engine (full-blown) application
In-Reply-To: <OFB6F25CB6.560D0267-ON85257362.0040A839-85257362.00418C63@fftw.com>
Ryan Sheftel wrote:
> For live trading R (or even matlab) would not work stand alone if you
> are monitoring a large number of markets because they are single
> threaded and you would need to wrap it somehow with an event based
> language or would need one R process running per market, which could
> lead to 500 R processes if you are monitoring and trading the stocks in
> the SP 500.
R from the command line interpreter is single-command-at-a-time (which
is different from single-threaded, many R core analytical routines are
multi-threaded). There are also many methods available to make R run as
a server process listening on a socket or on a cluster. It would be
incorrect to simply classify R as a single-threaded application. There
is, as Ryan points out, programming effort involved to work in a
clustered or multi-core environment, and wrapping R/DCOM with an
event-based language is one approach to achieving this, but not the only
one.
Regards,
- Brian