I would be interested also in interfacing R and Metratrader.
I've already made similar interface with Matlab.
I see two possibilities :
- through a database : interface as MySQL DLL for MT4
- through a socket on the local address 127.0.0.0
I think that the second choice will be faster but there we need to define
message structure for data exchange, while the database tables are easy to
build, using timestamp as primary key
Using the database also provides easy management of historical data.
Are you looking for work at tick level or timeframe ?
I would not use the DDE server to get quotes from MT4 as it allows only one
way, so that R could not send data to MT4.
I'm new to R, so I would need to dig in, but I'm very interested to access
the nice stats libraries,
and contribute to such nice project ..
Rgds.