Sync MarketData/Depth in AddOn with Indicators/Strategies

[NJA_MC]

I am working on functions that do some heavy lifting, highly CPU intensive. I tested the concept by attaching the class directly to indicators, but that forces duplicate calculation and slows the system down.

So I created an "AddOn" type processor (Singleton really) which opens the desire instrument using:

marketData = new MarketData(instrument);
marketDepth = new MarketDepth<MarketDepthRow>(instrument);

marketData.Update += OnMarketData;
marketDepth.Update+= OnMarketDepth;

This is because if I passed the Data/Depth from the indicators directly to the Singleton, it would get 4 copies if I have 4 indicators and I don't know ahead of time how many will be connected. This also avoids the need to add these OnEvents to each indicator.

I got all this working fine, but what I am seeing is that the Data/Depth events do not happen at the same time. It seems like the AddOn's events are ASYNC to those of the indicators.

How do I force the events to happen synchronously?

I really need the processing to be in this sequence. In {} any order:
{
OnMarketData -> AddOn
OnMarketData -> Indicator1
OnMarketData -> Strategy1
OnMarketData -> Indicator2
OnMarketData -> Indicator3
OnMarketData -> Strategy2
}
OnBarUpdate()

Generally this happens if you are using just indicators, but seems like with this external subscription, the "AddOn" marketData/Depth seems to flow as it feels.

[NinjaTrader_PatrickH]

Hello NJA_MC,

Thank you for your post.

I am not certain how you would force the sync. Do you have an example we could test of what you are trying to accomplish?

[NJA_MC]

Patrick,

I will see what I can put together. It will be confidential and private code so I will send it directly to PlatformSupport.

[NJA_MC]

Patrick,

I have sent the test scripts off to you for help in Synchronizing.

Thanks,
Greg

Edit: Ticket #1389909

[NJA_MC]

Patrick,

Any luck syncing the AddOn with the Indicators? I know you probably got busy with the public release but just checking in on this issue. This would be a major CPU reduction if we can get this to work.

[NinjaTrader_PatrickH]

Hello NJA_MC,

Thank you for your patience.

As we discussed today over e-mail, I am still investigating this on my end. I appreciate your assistance with this item.