System performance on tick backtest

[silacitrader]

Hello,

I have attached a strategy to a 5min chart. The strategy adds an indicator which calculates support and resistance levels. So far everything is running off of the 5min data.

The strategy will trigger a long when price reaches support determined by the indicator.

I wanted more granularity in the strategy, so I added another tick data series to check when price reaches support intra-bar and trigger a long. The indicator is still based off of the 5min data, therefore only the strategy is running off of the tick. I verified that only the strategy is running off of the tick data, the indicator OBU gets called every 5min

The problem is that the system became extremely slow after I added tick data. Now I understand that there's a lot more processing involved, but it's taking around 15min to run the strategy on a 1 day chart. Everything is normal on the 5min.

What should I be expecting in terms of performance when I use tick data? Obviously 15min for 1 day of data renders using tick backtests impossible.

Thanks

[NinjaTrader_ChelseaB]

Hello silacitrader,

The speed at which a strategy starts depends on your computers resources. 15 minutes is quite excessive for 1 day of historical tick data to process.

As a comparison, I have made a video of me testing the SampleMACrossOver strategy that has been modified to add tick granularity.

http://screencast.com/t/8Qcot6jZ

Please let me know if you have any questions with this video.

[silacitrader]

Hi Chelsea, thank you for the video.
There's no audio, but at one point you show the historical data and that only contains minute data. So I assume you are loading the tick data from Kinetick?

I'm using an i7 8 core with 12GB RAM. Something is not right. I'll profile the code to try to locate the issue.

Thanks again.

[NinjaTrader_ChelseaB]

Hi silacitrader,

I didn't realize I had the mic muted when I made the video.

I opened the Historical Data Manager to show that no tick data had been downloaded ahead of time.

I have deleted the data and made a new video with sound ;-)

http://screencast.com/t/XaolxUlm

[silacitrader]

Thank you Chelsea.

I spoke too soon. The problem was in my code. I am reading an external config file in the barupdate and I left it on the tick series by mistake.

It's taking 10 seconds now. At least this is something I can work with.

Thanks.