MT4 -> Multi-R sessions for tick-analysis

The Shared-Memory between multiple R sessions mentioned in my previous post got me thinking … quite some potential indeed. As a result, I investigated further using (calling) multiple R sessions from the same MT4 script. Specifically, I wanted to have a clearer understanding of the time required to performed lightning fast & dead slow processing, while being in the same MT4 script and without preventing real-time tick analysis (that is HFT potential at least on the receiving+processing side).

I drafted the following scenario to compare performances:

  1. Single R session called at every tick-update, displaying Bid/Ask @tick-update and using ChartSeries to plot either 500 bars or 10,000 bars – Bars are generated in the Init() function.
  2. 2 R sessions called sequentially, first R session displaying the Bid/Ask @tick-update, the second using ChartSeries to plot either 500 bars or 10,000 as previously
  3. 2 R sessions, but where the second R session is executed asynchronously, the first session plotting the Bid/Ask in @tick-update, the second using ChartSeries to plot 500bars/10,000bars.

The 10,000bars chart is used to further amplify potential anticipated observations made with the 500bars (that is a delay, or even a loss, of ticks due to the time required to “sequentially” render the chart). The two major area of concerns I had were the cooperation of 2 R sessions within the same script and the second the time required to perform the asynchronous call.

RESULTS are presented thereafter; y-axis is the number of ticks (GbpUsd) and x-axis is the time required to perform a complete MT4 Start-loop in [ms].

CONCLUSION: I have been very surprised by the behavior of the Asynchronous mode of MT4R. The cost of checking if an Asynchronous call is pending of finished prior re-issuing another Asynch call is about 1ms. This, added to the 1-2ms required to display Bid/Ask @tick-update depicted an extremely fast data processing system.

Although I’m not too happy about the set-up as I think a c++ multithreaded (or mpi) would have been better (through Rcpp or else), I can’t really discard the obvious that based on these simple tests, the R Asynch multisession set-up seems perfectly feasible for a Live Trading System. I even think I will push the limits to testing HFT trading, for which I will probably have to recompile Blas and Atlas anyways.

Finally, upcoming strategies should be design so as to separate real-time processing from asynch processing. As well, I did not yet evaluate the time required to send trade signals from R -> MT4, neither did I evaluate the Broker time to accept such signal (what’s the point of processing data at 2-5ms if trade signals are executed at 250ms)

1 with 500bars: .                   1 with 10,000bars:



2 with 500bars: 3 with 10,000bars:


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