Monday, June 2, 2008

New Project

I've started creating a R API to the opentick data servers. My goal is to provide a native R interface to opentick real time and historical market data. I have reservations about being able to make it solely R-based, due to threading issues I don't totally understand at the moment.

Even though I've read of quality issues with opentick's data, the price can't be beat for small, part-time traders (i.e. me).

Due to the upgrading of its network infrastructure, opentick is not currently accepting new users. That should change in the near future, however. You can sign up to be notified when the upgrades are complete.

For those who already have accounts with opentick, you can find the very-alpha source code on r-forge.

Disclaimer: This software is not endorsed in any way by opentick corporation and I am not affiliated with opentick corporation.

4 comments:

Louis R. Marascio said...

Josh, this is great! I hope it works out. Are you going to stream the data into R and do analysis real-time on it?

Louis (www.fitnr.com)

Josh Ulrich said...

Hi Louis,
I don't currently have any real-time trading strategies, so I don't plan to use it for that - but I do plan to use the historical data for my analysis.

A friend has created a R API to Interactive Brokers Trader Workstation. I believe he ultimately plans to do real-time analysis and trading with it.

That may prove problematic because of threading issues with R itself... but we'll cross that bridge when we reach it.

Regards,
Josh

pitcat said...

Rather than use threads you might like to investigate an event driven model - kind of like a state machine in R. Not sure if that is possible - search out or ask on the R-project mail list about 'Aspect oriented' programming using R. R is supposed to be OO so it _may_ be possible.
Good luck!

Josh Ulrich said...

pitcat,

Thanks for the suggestions! I'll look into them.

Thanks,
Josh