seoul, Korea
Experience: Intermediate
Platform: Multicharts
Broker: CQG, DTN IQfeed
Trading: YM 6E
Posts: 897 since Jul 2012
Thanks Given: 291
Thanks Received: 1,039
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Little background, as most people here I work mostly with futures . But it looks like I may have to shift to an equities focused team in the next few months, this team will be newly created to trade USA/European Equities. For our futures research we are using R for prototyping then deploying in C++ using RTS. Our futures portfolios usually contain 60-70 global futures instruments. R can handle that amount of data. Mostly looking at mid to long term strats, nothing HFT.
The problem I am considering is 2 fold, first off R/Python both choke on large data sets and are "slow". R slower than Python but I like R as the style is more like mathematics and the package eco system is better(a debate for another day). If I have to back test against thousands of tickers then I am sure its going to be extremely slow, especially when i do event driven back tests instead of purely vectorized.
Next would be the execution platform. We can continue to use RTS and keep translating code from prototype to production. Or go with a more all in 1 system like Deltix. We already have bloomberg which bought RTS so that links up quite well. But I am looking for other options. A big plus would be the ability to generate icebergs, random order qty, and other size obfuscating techniques.
Any advice or recommendations would be helpful.
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