FAQ · Reamer Research and Reamer Server: what they are and who they fit

Which languages can I write strategies in?

For Reamer Research, Python or C++ through the code that ships in the kit, or any language that can call a C library. For Reamer Server, the gate and the broker connector are written in C, C++, Rust or Go, and strategies connect over a socket from any language, Python included.

For Reamer Research, Python or C++ through the code that ships in the kit, or any language that can call a C library. For Reamer Server, the gate and the broker connector are written in C, C++, Rust or Go, and strategies connect over a socket from any language, Python included.

Both products are compiled libraries with a stable C interface. The C interface is the supported contract; the language code in the kits ships in source, ready to use or adapt.

Reamer Research

  • Python. A pure-Python binding using ctypes and numpy, for Python 3.8 or later, with no build step. You write an on_bar method that sees each instrument's recent bars as numpy arrays and returns orders. Templates and example strategies are included.
  • C++. A C++20 wrapper around the C interface, with example strategies.
  • Anything else that can call C, such as Rust, Go, Julia or C#, against the header directly.

Two things to know about Python:

  • It is slower per bar. In the kit's benchmark, a strategy cost about 74 µs per bar from Python against about 2.2 µs from C++. An 884,130-bar backtest took about 65 seconds.
  • The binding covers less than the C interface. It applies one cost setting to every instrument in a run, and passes no non-price data such as earnings dates. For those, call the C interface's newest entry point from C++ or extend the binding.

See Is there a backtesting engine I can call from Python that runs locally and never uploads my code?

Reamer Server

  • The gate and the connector are compiled into your server program, which links the core library. The kit has starting points in C++ and Rust (an accept-all gate with a paper broker) and a worked integration in Go, including a FIX 4.4 session.
  • Strategies are separate processes, so they can be in any language. They connect over a local Unix socket, with a byte-for-byte specified protocol, or through a relay. The kit's reference relay accepts one JSON message per line over TCP, so a Python strategy needs only the standard library. See How do I run several strategies through one broker connection?

A strategy researched in Python can stay in Python when it goes live; the change is from a backtest loop to a live event loop. See How do I take a strategy from backtest to live trading without a rewrite?

Next questions

Which operating systems are supported? Is there a Windows version?Reamer Research runs on Linux x86-64 with glibc 2.35 or later, and on macOS 11 or later on Apple Silicon. Reamer Server runs on Linux x86-64 with glibc 2.39 or later. There is no Windows version of either.How fast is it?On a 64-core AMD EPYC 9575F, Reamer Research replays about 1.7 million bars a second in one backtest, and Reamer Server takes an order from a strategy to an accepted event in a median of 11.3 µs, with about 200,000 to 220,000 orders a second across many strategies. Each figure comes with the conditions it was measured under, and both kits include a benchmark to run on your own hardware.

Every answer here restates the documents that ship in the kit, which are authoritative. All questions.

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