when I said slow, I meant generating an array of ints in C# passing it to R through the wrapper, perform whatever calculation you desire and return its results. You will find the time it takes till the result comes back is almost entirely taken up by passing the array into R. The library is very poorly written. I would never have done it that way but would have passed the data through an inmem db, such as Redis or the like.
Quote from slickpick:
I agree that C# is great for handling the business end of things and almost everything else but HFT.
Wasn't aware that it's extremely slow, however I suppose it also depends on what your definition of slow is right?Suppose it takes a few seconds for this thing to run, that's ages for someone doing something latency sensitive but might be meaningless for someone else.
I think you're mistaken, they're pretty trivial to implement.
