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Precompiler sublanguage

Posted By lksf 8 Years Ago
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Posted Monday May 04 2009
This is a long shot but I figured it's worthwhile having at the "Suggestion Box"

I'd love for the option to have some pre-compiler sub-language on top of the C# used to develop systems.
The general idea is to use values from the parameters and/or the backtesting/position managements parameters to be compiled into the code for efficiency.
I know it's not easy nor trivial, but I could see many uses for this.


On that note, another option I'd love to see is to be able to parametrize in optimization also the built in backtest/position management paramters. For example I could run the same system on different times, different stocks, different capital etc. using one optimization and see how it performs.
Posted Tuesday May 05 2009
I don't think accessing system parameter values takes an appreciable amount of time compared to running a simulation, so I don't think there'd be any benefit to precompiling them in.  What other uses were you thinking of for a sublanguage?

We are planning to add custom optimization (basically optimization plugins) which would allow you to optimize based on the items you mentioned.

Thanks,
Daniel

Posted Tuesday May 05 2009
it's not just accessing the parameters...it's the code inside the condition that depends on the parameter
as a simple example this code may include the use of some indicator that otherwise wouldn't need to be calculated during the run so the best would be if that indicator's code wouldn't even compile (saves time and memory)
also, asking if (SystemParameters["MyPAram"]!=0) may not be a big deal once, but if I have this a few times in my code and i run a simulation of 30min bars, over 1700 stocks for two years time, the saving of these milliseconds does gets accumulated


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