Questions regarding multi-day, multi instrument capability

[NinjaTrader_Bertrand]

You are welcome bridenour. NinjaTrader 7 will increase performance on the issues you mentioned.

[bridenour]

Unfortunately, after attempting to live test my multi-instrument strategy, I have determined that Ninja Trader simply will not support it. 250 symbols seems to be far beyond the bounds of what it can manage from a memory utilization standpoint. I was hoping to see different results when running it live, but if anything it is worse.

So, NT may support multiple instruments in small numbers, but doesnt scale very far.

Potentially in a future release it will better address this approach.

Thanks for your assistance in answering some of my questions.

br

[Anagoge]

I've come to basically the same conclusion as you, bridenour. NT 6.5 works fine for short-term strategies and I like having the power of C# and I appreciate the fairly modern UI, but the lack of any built in position/money management, the slow speed and huge memory requirements of backtesting, and the lack of features for longer term trading (margin, interest, there isn't a real equity curve that tracks total account value over time!) make it much less useful for me. I'm hoping NT7 fixes as much of this as possible, as has been hinted here.

[bridenour]

Anagoge,

I actually went through the hassle of developing a money management framework that would work across multiple positions in a multi-instrument strategy. It can be done -- you have to code it all yourself -- but it can be done.

However, the memory limitation is unavoidable.

The other problem i encountered that i think is pretty much a deal breaker is the fact that I lose my MBTrading connection at night (maybe just on weekends?) and the strategy has to be restarted. With enough instruments/positions it becomes almost impossible to start the strategy up in a way that is synced properly with your account (particularly if you are going to have unplanned restarts).

[molecool]

I have read the multi instrument - multi timeframe informatoin

I'm new here - could you please forward me that information? Have a similar problem where I need to manage several instrument feeds in combination with multi timeframes.

Thanks!

[molecool]

Seems tedious to type in 1000 'add' lines.

Simple - manually create a list containing your instrument strings. Then just write a foreach loop that iterates through the list and adds one by one until it reaches the end of the list. You can probably find tons of C# examples out there.

[molecool]

....I have determined that Ninja Trader simply will not support it. 250 symbols seems to be far beyond the bounds of what it can manage from a memory utilization standpoint. I was hoping to see different results when running it live, but if anything it is worse.
br

Okay, here's maybe a dumb suggestion. Have you tried to throw more hardware at the problem? I mean - is it possible for you to run your script on a kick-butt system with 3.5GB of RAM? I've worked in engineering for 17 years before I retired to become a full time trader. Have worked on systems that receive millions of requests a day. Often it was cheaper to scale up the hardware instead of devoting engineering resources to a more efficient solution.

Anyway, just a suggestion - many times a state-of-the-art hardware upgrade can solve performance issues simply and quickly.

[bridenour]

Hi Mole,

I was originally testing it on a laptop with 2 gigs of mem. It would always top out at about 1.5 gigs of mem in process and NT would just freeze.

So, I moved to a desktop with 4 gigs of mem -- exact same results! It wouldnt even utilize above 1.5 gigs or so.

Honestly, the memory management problem appears to be in the way in which is imports historical data at the beginning of any strategy run.

Anyway, it doesn't work. I spent weeks on it. Functionally, it works great. Technically, zip zero nada.

You could probably run up to 50 instruments in parallel without too much problem. Although, the limit may be lower...

[bridenour]

If you need any help with what you are working on, let me know...

[molecool]

Bridenour - it seems that you did your homework and then some. The problem with &^@%# Windows is that it only can address about 3.2GB of RAM - buying more is simply a waste of time.

Sometimes it also depends on the type of hardware you use. You might try something on an HP box and it just keeps crashing - then you do the same on a similar Dell equipment and it just hums away. At minimum I would recommend you go to a friend's house and try to run your strategy on another system. The Windows architecture is crap - we all know that - often thinking out of the box is necessary :-)

My own stuff - well, I have a hard time to align a strategy painting a 1min TICK with a 60min chart. I have actually posted a thread about it - Josh has already chimed in and it seems I'm SOL. If you have any ideas please let me know.

Thanks,

Michael