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runtrader, what sources do you use for your data, i'm assuming they are available for retail traders? Could you provide more info which ones are good vs which ones are problematic? Thanks!

You can have multiple plots on the same chart. Check out these links below: http://www.spssusers.co.uk/Events/2012/GRAPHICS_WITH_R2012.pdf http://www.statmethods.net/graphs/creating.html

Either cast datetime to date, and mark rows based on "date" column (i.e. all rows for 8/17/2015 are marked together) , or you need another data.frame with data aggregated by date (no time) for labeling days.

Just add another column to mark your rows with boolean/logical data type, then on your plot you can can a separate plot "line" using points for the markers.

Correction: USL splits holdings over next 12 months expiration since, USO holds only front month

Most value from those research papers is for those who "sell" them to promote their books, advisory service, custom software, etc.. or whose job is to produce those papers (professors / professional analysts) , but rarely there is any real value in practice, at least for small-scale/individual...

USO (as most commodity ETFs) is bad for long-term investment due to time/rollover decay. They have to roll over futures monthly, losing money in the process (unless market is in backwardation vs contango, which is most of them time). Even though USO is not as bad as most other ETFs since they...

Try googling the issue, there are a lot of posts on Microsoft support forums and elsewhere with people experiencing DDE issues on Windows 10, most of them seem to be resolved by upgrading to a later build. For long term - syswizard is right, Microsoft announced that they stopped...

volpunter, sounds interesting, also sounds like your experience with database systems comes from large enterprise environments... Installing mysql on my laptop took about as much time as installing R itself... and you don't have to find and install additional packages to create a simple flat...

Agree, other examples - Hadoop Hive and Amazon RedShift..

Could you explain why you are making this statement regarding SQL and time series? I'm interested to learn about specific problems. I would definitely agree if we were talking about processing streaming data, but from R1234's question it sounds he is just working on a static historical data set...

In fact, This is, in fact, wrong. A relational database like mysql, oracle, SQL server, etc... , unlike R, does not keep entire data set in memory, unless you are using a memory table, which is a special case..., but only a limited amount of data, based index configuration, db settings...

Yes, you are right, it will work for millions of stocks, given enough disk space and CPU speed, and memory, since even db required it. I just described a solution that will scale better than a pure R approach in response to the original question by R1234, not really trying to compare anything :)

As mentioned above - R keeps everything in memory, so your algo will be limited by that. The easiest solution, IMHO, is to load your data into a relational database (say MySQL) running locally, and use it to sort your data. You just write ORDER BY in SQL when you pull data from database into R ...

DDE link is just a very slow channel, not really design for high-speed data exchange. If you need high response time - you should use sockets through C++ or Java API

If you have an Interactive Brokers account - I've been using this tool for some time, they even have historical data for options now, which is pretty exciting since i trade options regularly: http://www.tradinggeeks.net/downloads/ib-data-downloader/

There is technically nothing wrong with placing orders when the market is closed. In most cases your broker will hold the orders and send them to the exchange when it opens. However, there is significant risk because of the events (geopolitical, news, natural disasters, another Greece bailout...

If you backtest any trading algo (RSI2 or anything else) on a specific symbol and you were able to get good results (PnL, Sharpe, whatever you use) - you should get similar results when backtesting same algo on other symbols. That would actually mean you have found a decent algo with good...

Yes, I'm familiar with those tools, and used some of them in the past, I was just wondering if you built/used an actual real world trading system written with Python + a messaging middleware solution, and what were the reasons developers picked that combination instead of C++ or Java?

2rosy, I think you are right, you could solve the problem with a messaging tool, however it complicates the infrastructure setup. Have you done something like this? What did you use for the messaging layer?