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Memory issue: simulation based on tick data

Posted By VovaM 6 Years Ago
Rated 5 stars based on 1 vote.
Posted Saturday September 22 2012
Hi, I'm planning to purchase RE for numerous simulations based on tick history data. So, I'm going to create my own datastore plugin (IDataStore) for my proprietary database.
But due to handling huge amount of data I must to know how the tick (bar) data is transferred during simulations from a datastore plugin to simulator: either tick-by-tick("ondemand") or as a single array in memory ("once before it starts").
In the second case whole data history (e.g. six years tick history of E-Mini) cannot be loaded in memory, especially for multi-leg strategies
5 stars.
Posted Sunday September 23 2012
It loads the ticks in batches of about 5000 ticks (per symbol). So it doesn't need to keep all of them in memory at once.

Make sure you implement the Load(), GetCount(), and GetDateTimeAtIndex() methods of the IDataAccessor interface correctly. Otherwise it may skip ticks, repeat them, or crash.

Posted Sunday September 23 2012
Thx a lot!

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