custom fill type

[boaza]

When running an optimization - does each strategy instance gets its own dedicated fill engine instance, or is it shared between threads?
I'm asking, as I'm developing a custom fill algorithm, which has to keep some internal state between calls, and I'm not sure if I can place the variables in the strategy class or the fill class.

Boaz

[NinjaTrader_AdamP]

Boaza,

I am happy to assist you.

Strategies are run multi-threaded so each one should have its own state and should be creating objects for their own exclusive use.

Please let me know if I may assist further.

[boaza]

Is the fill instance (i.e. the one which implements the Fill() method) that is derived from FillType (e.g. DefaultFillType which is supplied with NT), unique for every strategy instance, or does the simulator call the same object for different strategy instances?

[NinjaTrader_AdamP]

boaza,

I would suspect each creates their own unique object since optimization is a multi-threaded task. Generally in object oriented programming the whole point of having classes like this is so they are created individually when needed. You could always try it out in simulation and see if there are any unsuspected results with a toy example.

Unfortunately this level of customization isn't supported.

Please let me know if I may assist further.

[boaza]

OK, thanks