SAS, R, OpenQuant for automated trading

Discussion in 'Automated Trading' started by kickout, Jan 21, 2012.

  1. kickout


    Brainstorming ideas for automated trading solutions...My goals include:

    1) Have realtime FX data stream into either SAS, R, or OpenQuant.
    2) Run dataset through some model/algorithm.
    3) Send orders based on results.

    Only 'software' i'm not familiar with is OpenQuant, but I've heard great things. SAS and R experience is a strength for myself.

    Any past experiences, advice?

  2. 1. I really like R and have integrated it with C# very nicely and works well.
    2. Haven't used SAS much but I hear it's more elegant when defining equations, but who cares when you have so many great libraries in R. all free.
    3. OpenQuant looked amazing at the outset, long list of plus but once you dig deep very poor due to lack of documentation and conceptually poor and lacking intuition. doesn't seem to be developed by a trader, and more product of a great programmer. But investing in learning its paradigm is waste of time, in my view. can give problems later.

    I would recommend using RightEdge or Tradelink. for Stats use R. Python is pretty too so all depends on your taste and experience.