It's about 1000 lines of code and will probably pick up another 500-700 lines by the time I'm done.
Anyway, when I try to backtest it on tick data, say, 3 months worth for instance, memory and VM blow up to >1,500,000 kb each and then after a few minutes the program crashes. I was able to run this in about 2 minutes in OpenQuant.
However, the strategy will backtest in NT on 1-minute bars. It takes a few minutes, but it runs. But, since it's a tick-bar based strategy, this is of no use to me.
Can someone from NT take a quick look at my code and tell me what I can do to get the strategy to run properly? Or, is this what working with tick data is like in NT?
Thx,
BlueLou
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