Multithreading in R (or other types of non-sequencial programming)

Considering forwarding tick data from MT4 to R requires less than 2ms, but that charting 4 different time-frame (1min, 15min, 30min and 1hour) at each tick-update may require more than 250ms (depending on the number of bars in history), I think it is fundamental to investigate further in different types of non sequential programming and R, specifically multithreading or parallel programming.

Indeed, although charting is perfectly useless for our purpose of algorithmic trading, it is a valuable example to demonstrate a main loop that still receives tick updates at a rate of few milliseconds, while another “thread” would chart different time-frame every 1/2 seconds, without impacting the real-time gathering of ticks.

Along with the evaluation of MT4->R data transfer investigation, this is another major area to clarify prior stepping into the system design world (the fun part), considering our goal is to achieve a high-quality trading platform with Open Source Softwares.

Currently, I’m investigating:

  • Parallel computing in R through Rmpi, Snow. I found that particular example applied to optimizing an algorithmic system on backtested data at Revolutionalytics. This comforts me in saying that I’m probably following the right path. A list of High performance R computing can be found here.
  • Multi-threaded strategies through Rcpp
  • Shared-Memory between multiple R sessions.  The author mentioned the motivation of his example to be the developement of a High Frequency Trading systems. For that purpose, R nws package can be further investigated.
  • Again, one may also use socket connections through RServer.

On the Shared-Memory between multiple R sessions, I wanted to add that this strategy may support the development of multicurrency trading systems. Each currency would have its own Metatrader EA that at least reports the Bid/Ask continuously for that given PAIR, in a Shared-Matrix space …. actually quite a lot to think about but i shall not yet go that way 😉

Advertisements

One thought on “Multithreading in R (or other types of non-sequencial programming)

  1. Pingback: MT4 -> Multi-R sessions for tick-analysis « xmphforex

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s