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Tick Replay vs. High Resolution Processor Usage

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    Tick Replay vs. High Resolution Processor Usage

    I'm almost certain I won't get an answer but thought I'd ask anyway.

    I tried my code out two different ways using 1) Tick Replay and 2) High Resolution + 1 Tick Resoltuion backtest.

    The outcomes are different. I know this. This is not about the outcomes.

    When I run the same set of optimizations with both codes, the High Resolution code is FAST. Like I can do hundreds or thousands in an hour. Whereas on Tick Replay it can be 5-10 in the same time.

    I get they do different things but... just wondering if there's a reason why in how NT processes?

    Thanks,
    Tony

    #2
    Hello Tony,

    With TickReplay and Calculate.OnEachTick / .OnPriceChange, NinjaTrader is running the logic in OnBarUpdate() for every tick (or price change) while the bar is open.
    With High Order Fill Resolution, NinjaTrader is not running the logic in OnBarUpdate() for every tick, and is only using the loaded tick data for use with order fills.

    The TickReplay is going to use much more CPU compute to evaluate the logic many times for each bar.
    Chelsea B.NinjaTrader Customer Service

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      #3
      Thanks for the concise answer Chelsea. I also have some logic in OnMarketData which I imagine even makes that worse.

      Appreciate your help as always!
      Tony

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        #4
        Hello Tony,

        Yes, this is correct. OnMarketData() is also going to be updating for TickReplay.
        Chelsea B.NinjaTrader Customer Service

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