I stumbled upon an interesting interface written to connect Metatrader (MT4) to the R project for statistical computing. If you have an active R installation, you can access R through MT4 via the mt4R.dll. mt4R.dll was created as an interface to wrap the functions of Rterm.exe, a component of the R project that is meant to allow batch mode access to the R terminal. mt4R.dll is a wrapper for Rterm.exe that exposes the R functionality in a well documented and intuitive manner.
Metatrader is a charting package for trading forex. If you like Metatrader, you will like the R for MetaTrader project, where you can download mt4R.dll as well as sample MT4 code to interface MT4 with R. There is a discussion about R for Metatrader on Forex Factory.
I plan to use mt4R.dll to interface VB6 to R, thus saving me from having to implement my own interface. In this effort I have found partial success, though I'm still struggling with a matrix conversion issue of the original interface, and may post more on a VB6 wrapper for mt4R.dll as time goes by.