Publications by XmPh
“R” scripts for Metatrader ….. The first steps of many for proper trading
I have designed and developed Automated Trading Systems (ATS) for few years now. Since trading live, I have been fairly profitable (that is, I achieved my goals). However, I had the unsatisfactory feeling that I was missing some information to increase the level of trust in my systems … I was missing the proper tools […] Related ...
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Algorithmic Trading in R: Available Information
After digging through different blogs and info on the web I found an amazingly strong and developping community supporting R for specific applications in algorithmic trading. Thereafter I present some of the major information that I believe are essential to the novice R algorthmic trader, hoping this will reduce the learning curves of...
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Enhancing R Graphic packages
This will be the last thing I’ll post prior starting to connect R with Metatrader. Indeed, as you may suspect already I use this blog as my lab-book. The following might be quite general, but it fits in my overall ambition to build a personal quant-trading architecture as professional as I can. Graphic visualization is […] Relate...
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Transfering MT4 quotes in R
The more I get into this, the more I adjust my objectives. Currently, I’m willing to make the most of the Quantmod and Blotter R-packages, while eventually building a MT4 equivalent of the InteractiveBroker-R_API. As a first step, I was willing to Chart ticks from MT4 in R using the Quantmod’s chartSeries(). There are different ...
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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-sequencial programming a...
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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 sl...
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Validating R-Backtesting frameworks against Metatrader 4 with 99% tick accuracy
The primary objective here is to make sure the framework I use in R to backtest strategies delivers similar results to that of MT4, most specifically to 99% tick accuracy MT4 backtesting. Why the 99% tick accuracy …. because it’s … Continue reading → Related To leave a comment for the author, please follow the link and comme...
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