Quote from hft_boy:
When people say R vectorization is really fast -- that's just compared to R loops which are incredibly slow because the expression to be executed in the loop has to get interpreted every iteration. With vectorization it just compiles once, and gets passed to an internal C loop -- nothing magical going on. I'm guessing the authors put in all this vectorization stuff because they realized that interpreted loops were way too slow to get anything done. And then they realized they could sell it as a feature -- no more loops to manage your arrays, yay!
Personally I tend to shy away from R since it's unwieldy for this kind of event based stuff (although it can be used well for getting a feel for the data), and, for me, code bases larger than like 100 lines get incredibly difficult to manage.
If your attitude is just 'whatever gets the job done' (and it's a good attitude) why don't you just use the language you are most comfortable with and roll your own? Depending on how accurate your testing needs to be and how good of a coder you are, it can be done in a few hours, and you'll be on your way to a production system. If you're looking for Rails feel then I've heard Python has some good OO / script qualities. Not my style though -- personally, I generally go with Java for sketching things out since it's easy to scale up the code base and/or port to C(++) when you need it to go.
If you're going to be doing big backtesting (GB/TB of data, optimization, etc.) you might as well put in the effort to write your infrastructure in native and get incredible speedups. If you just want to try something here and there, probably not worth it. Up to you to decide though.
