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Running live system on historical bars

Posted By lksf 9 Years Ago
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Posted Friday November 28 2008
Currently when running live system, the system collects ticks and constructs bars at the end of the defined timeframe for bars.
However, when watching several symbols, it is very common to see the message:

"Tick data arriving too fast to process. At least XXXXXX ticks were discarded"

This behavior may lead to wrong bar information in the on-the-fly constructed bars.

It could be handy if I could set up a historical data update at the end of the bar to retrieve the correct & full bar information from the data provider and then run the NewBar code.
Posted Monday March 23 2009
Anyone? please?

Is this or a solution to my problem on any agenda?

Posted Monday March 23 2009
This is by design on our end. The alternative was to let tick processing get behind and lock up the system loop (which is what it did before we introduced this). We're open to ideas for solving this in a better way, but when ticks are coming in faster than the processor can take them, there's not a lot of options.
Posted Monday March 23 2009
Last line of my original post:

"It could be handy if I could set up a historical data update at the end of the bar to retrieve the correct & full bar information from the data provider and then run the NewBar code."

I understand this pose some other issues, such as what if it takes longer to update the history than the time it is to run a new bar, which I admit I haven't found a theoretical solution yet other than benchmarking the time it takes to get the new historical bars. I just know that for me personally it's better to run a New 30min bar at 10:03am with the correct data than it is to run it at 10:00am sharp with partial/missing/wrong data.

Another option I thought about, is to have the plugin do nothing but aggregate the tics and then right at the NewBar schedule fire very few relevant summarized ticks that will make RE construct the correct bar. I don't know if this will work but will defenitely takes a lot of load of the CPU and Netwrok.



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