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Speedup calculation for intraday data and decrease of memory footprint

Posted By Co0olCat 4 Years Ago

Speedup calculation for intraday data and decrease of memory footprint...

Posted Thursday February 27 2014

I am backtesting strategy using 1min resolution data starting from 2001.
Signals are already generated and stored at external DB.

To generate order the strategy needs only timestamp of most recent bar. For given timestamp and no open position -> order is looked up placed with RE.
To speed up the process (given that orders are already generated and stored) in BT I am building dictionary with all orders to test.
On new bar -> matching order is looked up and used.

Somewhere in help files for RE I have seen that to speed up the process and to decrease memory footprint -> to use multiple frequencies.

I would kindly appreciate it if you can share example applicable to my setup.

thank you.

Kind regards,
Posted Sunday March 02 2014
Ok, after browsing through past posts I see similar repeated advise: Set system frequency to daily, create handler for my intraday frequency (here 1min). In the provided examples output shows time stamp for daily (NewBar) and 1min (say, NewOneMinuteBar(...)).

My system uses BarsValid and BarsCountExit. Say, if the order is not filled within 3 min -> cancel order. If position is opened -> close it within 180 min.

From what I see system treats values for BarsValid and BarsCountExit in system frequency, not in 1 min one.

I can create dictionary and store initial BarsValid and BarsCountExit and then act accordingly in NewOneMinuteBar... But

Is there more elegant solution?

Thank you.

Kind regards,

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