After digging through different blogs and info on the web I found an amazingly strong and developing community supporting R for specific applications in algorithmic trading. Thereafter I present some of the major information that I believe are essential to the novice R algorithmic trader, hoping this will reduce the learning curves of the few following that path:
- Designing & Backtesting strategies: Modified Donchian Channel – Most example codes I found are available in my Code Examples section;
- Developing Indicators and Market scanners: Basic Indicators in R, Cointegration analysis, Cointegration with R through Metatrader, Prediction Analysis ;
- Live trading: InteractiveBroker API for R ;
- Mailing lists & User groups: R-Sig-Finance, RMetrics and Rmetrics user list, R-bloggers, inside-R, RinFinance, Revolutionanalytics in Finance ;
- and Few talks worth watching: UCLA talks, UCLA talks2, Jim Simons from Renaisssance ;
- R libraries specific to trading & financial analysis:
- QuantMod: development, testing, and deployment,
- TTR: technical trading rules,
- PerformanceAnalytics: econometric functions for performance and risk analysis of financial instruments or portfolios,
- XTS: extensible time-series,
- Blotter/QuantStrat: Transaction-oriented infrastructure for defining instruments, transactions, portfolios and accounts for trading systems and simulation – build, and back-test strategies
- R-QuantLib: R interface to the QuantLib library
- CRAN Finance & Econometrics packages
A nice summary can be found here.
Now I’m early in my project, which aims at using R to provide trading-signals to a Metatrader platform, but there is a specific information that I’m not yet able to find: Is R efficient enough (fast enough if you will) to allow live trading on a per-tick basis, per-second basis or per-? basis ? What is the ideal architecture to perform live trades: asynchrone R calculation for major analysis, combined to c++ functions and/or Metatrader functions to closely watch market opportunities? I was not able to find anyone detailing his/her Live trading set-up involving R which is a pity as a lack of design would result in basically restarting from scratch or living with inefficient set-ups. I guess I will have to experience the trial & error investigation.
xmphforex 
Hi,
I was wondering if you got the chance to explore the last section of this post regarding live setups ?
I have implemented a strategy using quantstrat and now I am clueless where to go next. (Also strategy is not speed sensitive)
Hello,
I have currently stopped designing strategies in pure R. I have advanced to python/ csharp using Quantopian and Quantconnect. They both support live trading. Quantconnect support Forex through IB, and eventually one may design a bridge to MT4 using a c# dll or a python bridge. I think this makes a lot more sense.