As the speaker says, R isn’t fast enough to do…
Anonymous - Oct 0, 2010
As the speaker says, R isn’t fast enough to do HFT.
You really think anybody can beat the market using the same statistics packages as everybody else and being charged $1/trade?!
If by HFT, you mean is R fast enough to compete with Getco or Goldman, then the answer is clearly NO. That world is dominated by embedded computing, wire speed, and things like FPGA.
The frequency of your indicators or signals may not require reacting and potentially moving an order on every trade. Many large investment banks, hedge funds, and trading firms use R extensively ‘in production’ for analytics on real-time streaming data.
In those environments it is common to rewrite some things in C or C++ for speed, but many market makers use R to set the bid/ask spread that they are willing to work, or to calculate statistics like realized volatility that don’t need to be updated every tick.
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