In this note we consider the algebra $U_q(\hat{sl}_\infty)$ and we study the category O of its integrable representations. The main motivations are applications to quantum toroidal algebras. In this context, we state a general positivity conjecture for representations of $U_q(\hat{sl}_\infty)$ viewed as representations of quantum toroidal algebras, that we prove for Kirillov-Reshetikhin modules.