Market replay becomes very slow when trading in high frequency

[nikolaalx]

Hi,
I have a strategy that executes 300-400 trades per day.

I noticed that when I run a market replay for e.g. 1 month...the replay becomes very sluggish at some point. I think that the more trades it has made as a whole, the slower it gets.

Is there any advice on how I can avoid this problem? Or at least partially solve it (e.g. delete some log files while the market replay is still going so It could speed up)?

Thanks

[NinjaTrader_PatrickH]

Hello nikolaalx,

Thank you for your post.

You can try a few different items:

• Mare sure no other workspaces are open but your Market Replay test workspaces.
• Reduce any Log() and Print() methods in your code.
• If you call indicators from the strategy that Draw please reduce these as well.

You can take a look at our performance tips at the following link: http://www.ninjatrader.com/support/h...ance_tips2.htm

Each instance of Market Replay will create new executions and the stored executions will be removed on disconnect and reconnect.

[sledge]

Nope.. Nothing you can do.

look at your memory usage and swap file. It should be out of control.

RESTART NT every Market Replay also. Else it just piles on.

Here's a good thread that's related:

http://www.ninjatrader.com/support/forum/showthread.php?t=52458&highlight=market+replay+slow

[outsource]

Has nothing to do with how many trades.The reason is probably some poorly coded indicator that you use with the strategy.

[sledge]

Has nothing to do with how many trades.The reason is probably some poorly coded indicator that you use with the strategy.

Run the code in the link I posted from Marcow, no poorly coded indicator involved.

[outsource]

Run the code in the link I posted from Marcow, no poorly coded indicator involved.

I have a strategy and an indicator both 10K lines of code + up to 100 limit orders in quantity,plus 4 years of replay data,and i`ve replayed about 100 years,if combined,with different indicators.The only time i had an issue when i put some ugly coded script into strategy.

[sledge]

I have a strategy and an indicator both 10K lines of code + up to 100 limit orders in quantity,plus 4 years of replay data,and i`ve replayed about 100 years,if combined,with different indicators.The only time i had an issue when i put some ugly coded script into strategy.

And how many trades total? Creating 100 limit orders has nothing to do with this.


The crossover strategy was just about that - # of trades. Too much memory consumed by NinjaTrader creating objects on charts.


Oh - for the original poster - you might try to run without a chart.. just put the strategy in the control panel. (I haven't done any full testing with this,but it kind of defeats the purpose to verify).

[sledge]

I have a strategy and an indicator both 10K lines of code + up to 100 limit orders in quantity,plus 4 years of replay data,and i`ve replayed about 100 years,if combined,with different indicators.The only time i had an issue when i put some ugly coded script into strategy.

Here's the CODE...

no indicators.

REPLAY THAT!

This is HIGH FREQUENCY to the MAX.

namespace NinjaTrader.Strategy
{
    /// <summary>
    /// Enter the description of your strategy here
    /// </summary>
    [Description("Enter the description of your strategy here")]
    public class ReplayCrash : Strategy
    {
        #region Variables
        // Wizard generated variables
       			
        // User defined variables (add any user defined variables below)
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            SetProfitTarget("", CalculationMode.Ticks, 2);

            BarsRequired = 2;
			ExitOnClose = false;
			CalculateOnBarClose = true;
			
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            
			if  ( Close[0] > Close[1] )
				EnterLong(DefaultQuantity, "");
			
			if  ( Close[0] < Close[1] )
				EnterShort(DefaultQuantity, "");
				
			
		}

        #region Properties

[outsource]

And how many trades total? Creating 100 limit orders has nothing to do with this.


The crossover strategy was just about that - # of trades. Too much memory consumed by NinjaTrader creating objects on charts.


Oh - for the original poster - you might try to run without a chart.. just put the strategy in the control panel. (I haven't done any full testing with this,but it kind of defeats the purpose to verify).

Can`t remember exactly how many,but you can do ZZ test on a 5M chart and see.I used simple ZZ indicator with the strategy.

Could be easily a couple of thouthands,without any issues.

What drawing objects have to do with the xover indicator,btw?

[outsource]

Here's the CODE...

no indicators.

REPLAY THAT!

This is HIGH FREQUENCY to the MAX.

namespace NinjaTrader.Strategy
{
    /// <summary>
    /// Enter the description of your strategy here
    /// </summary>
    [Description("Enter the description of your strategy here")]
    public class ReplayCrash : Strategy
    {
        #region Variables
        // Wizard generated variables
       			
        // User defined variables (add any user defined variables below)
        #endregion

        /// <summary>
        /// This method is used to configure the strategy and is called once before any strategy method is called.
        /// </summary>
        protected override void Initialize()
        {
            SetProfitTarget("", CalculationMode.Ticks, 2);

            BarsRequired = 2;
			ExitOnClose = false;
			CalculateOnBarClose = true;
			
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            
			if  ( Close[0] > Close[1] )
				EnterLong(DefaultQuantity, "");
			
			if  ( Close[0] < Close[1] )
				EnterShort(DefaultQuantity, "");
				
			
		}

        #region Properties

thx,my dearrr,

come gimme hug

[sledge]

thx,my dearrr,

come gimme hug

There's nothing more for to prove... it's been tested.. been there done that.

I'm not sure what is happening on NT's end but they've got a memory leak or something going on....and it surely won't be addressed at this point with NT8 on the horizon...

And I do think 300-400 trades a day is nuts.

I'll stay at 100 trades a year... takes 12 hours to market replay.

http://www.ninjatrader.com/support/forum/showthread.php?t=54193&highlight=market+replay+slow