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Interactive Brokers supports this via their Trader Workstation. I traded WTI-Brent spreads through them, you can trade calendar spreads as well. https://www.interactivebrokers.com/en/home.php

I have a custom backtesting framework implemented in R. Have been planning for a while to create a package that can be distributed via R packaging system, but did not have the time yet. If you are interested - send me a message.

And here is a link to find it: www.tradinggeeks.net/downloads/ib-data-downloader/

IB Data Downloader is available for $15 off with a coupon until December 10th. If you want to use historical data from IB for your own analysis and don't want to spend days developing your own custom API solution - it's worth taking a look..

MatLab is a very expensive option. The problem with it is that on top of the core product you will be required to purchase add-ons if you will want to access relational databases, run computations in parallel, integrate with Excel etc... Unless you are ready to shell out between 5K-10K for...

k p , sorry for repeating your points, just read your comments after I posted my response to Sig

Hehe, I really admire your passion about this. Couple of questions: 1) Why 5%, I thought the official figures state the inflation is at or below 2%? Do I sense admission that the inflation is actually higher than the officially stated numbers? 2) There is a flow in your proposed scheme - price...

You sound like either a politician or a Fed official (is there a difference?) In any case someone whose livelyhood depends on winning people over, something I don't really care about on this forum ;) Your tendency to believe (or support) official numbers supports my suspicion. Also, no, I do...

No, not because I simply say so, but because i have open eyes and see the prices I pay for goods and services increasing by waaaay more than 2% year over year ever since the Fed started printing money... I'm guessing your butler or personal assistant is doing your shopping and you don't even...

BTW, Stating that inflation in the US now or has been at any time in the past few years is 2% is insulting everyone's intelligence.

Hmm, this looks like it was posted by a bot.. ;)

With so much talk about raising or not raising - most people completely forget another much more important topic related to the Fed: the fact that it does not deserve to exist and should be abolished. It does not provide any benefit to the economy, and its policy and activities are major...

As usual US foreign policy results in more problems for the US than problems solved. After a wave of shale oil company bankruptcies and the resulting damage to the US economy a few years from now people will be looking at this and realizing yet again that US politicians have proved themselves to...

Sorry, just dont understand why a person would not be able top skype? Do you live on an island that does not have an Internet access?

Wow, I did not mean to start a flame war or anything like that... I believe it's better to have a variety of tools in your toolbox, and R, like Java / C++ / Python / MatLab and many other programming languages/platforms environments has their own strengths and valid applications. The only one...

Not yet, but I read a bit about it. Does it help with/use vectorization?

Yes, good point. I came to the conclusion that to properly apply R I need to figure out how to vectorize my signal generator functions. This is the next thing I will be looking into.

The real computational power these days comes from multithreading/ ability to use multiple cores or servers to process your data. Due to R's signle-threaded nature it's limited to offline data exploration and "light" strategy backtesting role. I would be interested to hear if anyone was able to...

Any backtesting strategyb should simulate reality as closely as possible in order to avoid nasty surprises when you go live with your strategy. Using ask prices for long entries and bid prices for short entries would help improve simulation accuracy. Of course, as mentioned above the bigger the...

Any backtesting strategyb should simulate reality as closely as possible in order to avoid nasty surprises when you go live with your strategy. Using ask prices for long entries and bid prices for short entries would help improve simulation accuracy. Of course, as mentioned above the bigger the...