Thanks for your response! My goal is an automated trading system for home(*), that's cross platform (I'm using Mono so far and I have to say it's a pretty good IDE, albeit not Visual Studio material). For now I want something that's not slow (e.g. not R) nor too expensive (e.g. Matlab). With regard to long-term goals, I'd like the system to be in principle extensible to parallel processing, multithreading etc but all these are not really goals for now. I just want to be able to implement them in principle, should I choose to do so in the (very distant) future.(*) I plan to use the cointegration code as part of the backtesting module. With regard to speed, the more the better but being realistic, I cannot hope to code this in C++, already coding in C# will require quite a few months and the longer the development time, the smaller the probability to complete the project. I think C# is the golden cut, it is a "clean" language, fast enough for this purpose, doesn't require a license and I hope it offers a productivity boost s.t. I can take the mental pain to code this up. Integration with Excel is a big plus ofc thanks for pointing that out. Is this boost library widely adopted? to put it more simply, is this the "standard" library people use when they write C++ code for cointegration ? By the way since other people may want to use C# for their coding and they may choose Mac/Linux/BSD as their dev platform, I'm posting the links on how to call unmanaged C++/C from C# in Mono.
http://www.mono-project.com/Embedding_M ... _Libraries http://www.mono-project.com/DllImport">
http://www.mono-project.com/DllImportQuoteOriginally posted by: CuchulainnDepending on your goals (speed, proof of concept etc.) I would say that C# is worth a shot. Productivity levels are 5 times that of C++ and C# speed is OK. A nice feature is C#/Excel interop.I suppose gretl is a C time series package. You could integrate it with C++ using C++/CLI (Managed C++). Here is a Boost library that seems to be relevant accumulator