On 17 March 2016 at 12:41, Harry G wrote: | Thinking of using RInside for predicting a theoretical price for a high | frequency trading strategy. Strategy is written in C++. | | Let's assume I want to use the lm() function. | Flow i'm imagining: get the factors in c++ -> have R pre-process them -> use | the R predict() function. | | What is the recommended approach for something like this. Latencies > 50 | micros matter.
In that case you probably want to stay away from R in all forms, including RInside. Most people end up using hybrid schemes -- test and train 'off-line' and use the models and parameters online. A decade ago I 'invented' a scheme where the print method for my model emitted valid C(++) header code I could just compile in ... Dirk -- http://dirk.eddelbuettel.com | @eddelbuettel | e...@debian.org _______________________________________________ Rcpp-devel mailing list Rcpp-devel@lists.r-forge.r-project.org https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/rcpp-devel
