Brokerage : You need a broker that supports programming APIs so that we can automate the trades. One of the best brokers in this field is the Interactive Brokers IB. IB also offers very competitive commission structure in the industry. Hardware : You need to schedule the R script to run during market hours on some sort of computer. You can use a desktop, a laptop, or a server but it has to be reliable. Unix-like systems are usually more reliable and developer friendly, such as a mac or a linux system.
If you want a lower rate, you can even purchase the reserved instance, which is what I did. You can use the reserved instance for other purpose other than the trading to fully utilize it. As for the operating system image choice, I recommend the ubuntu image other than the default AMI image because ubuntu is more friendly to the graphic user interface which we need to install on the server in a later step.
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I am not going to talk about any specific trading strategy. I will defer to you to explore more and build your own trading strategy. Moreover, I highly recommend you to create a version control repository to manage your awesome trading code and sync it remotely to Github or any other providers. Recently, Github announced that they begin to offer free private repository, which should be a good choice for any work considered to be sensitive like what we are doing here.
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How to Build an Automated Trading System using R
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Connect to your brokerage's API, and the source code is plug-and-play. Automated Trading with R explains the broad topic of automated trading, starting with its mathematics and moving to its computation and execution.