"Hack" Intrabar Updates

[Blaze212]

Is there a way to "hack" intrabar updates into a strategy analyzer run?
I do not want to use tick replay, because its incredibly slow, and uses too much RAM. Testing over more than a week of data takes hours, and I have a fast desktop (i7, 64GB RAM).

What I want to do is get 1 second updates on a 5 min indicator. I thought I might be able to do this jamming the 1 second data into the [0] index of the 5 min indicator but the ISeries[0] does not have a setter exposed.

The other idea I had was to use the 1 seconds series but calculate on the 5 min data. So jam the 5 minute data into the 1 second series, and recalculate using the only the updated 0-th element but behind the scenes Ninja moves the underlying data in in the ISeries so every time a 1 seconds bar closes it pushes the data farther back. Theoretically I could set the history to unlimited instead of 256 and then index off of every 300th element, but then I'd have to rewrite a bunch of indicators and I don't want to use unlimited history because it uses a ridiculous amount of RAM...


Any suggestion? Has anyone done this before?

[NinjaTrader_Gaby]

Hello Blaze212,

Thank you for your post.

Tick Replay is necessary in order to have logic process intrabar. Adding a higher resolution series (like 1 tick or 1 second) would allow for higher accuracy fill times and prices, however, it won't provide the intrabar update information in order to calculate on each tick or on price change.

Please let us know if you have any further questions.

[Blaze212]

Hmmm, Ok what about if I modify the raw tick data to make the tick data effectively just 1 second updates.

I could easily do a single pass through the tick data and cover every second of tick data into 4 individual ticks OCHL, like ninja does, then when I do the playback it will have the speed of a 1 second playback, but Ninja will actually be doing a tick replay so it will give me the intra bar updates that I want.

Is the a library to parse the .ncd files?

I could just do a 1 year tick replay with a strategy that just process the tick data and saves it to disk, and then upload that in to ninja. That should work but would require a playback of all the tick data a needed to parse.

[Blaze212]

I bit the bullet and parsed the existing tick data into a 1 seconds ticks and uploaded them into a custom indicator. That was super easy. I validated that the data is correct and has exactly 4 ticks per second. I ran a 3 day strategy analyzer simulation on a 1 second data series and the run finished in less 2 seconds like it does on the original data set. I then turned on tick replay and the exact same simulation took 4 minutes...


What's going on here? I was expecting roughly a 4x increase in runtime based on 4 ticks per second, not a x120 runtime increase... I have a complex strategy with many data series and indicators added, but this is wayyy slower than I expected.

I have 19 indicators and 8 time frames loaded into my strategy 19 x 8 x 4 = 108 which is very close to 120. Is that where the slowdown is coming from?

Can you provide some insight as to what's going on behind the scenes?

[NinjaTrader_Gaby]

Hello,

It is noted in the Help Guide that Tick Replay implies that more PC resources are used to calculate your indicators and strategies also and as a result will lead to a performance impact.

"Warning: It is important to note that this property implies that more PC resources are used to calculate your indicators and strategies and as a result will lead to a performance impact. The tick replay setting should only be reserved for indicators and strategies which would truly benefit from the additional resources dedicated to arrive at these calculations."

https://ninjatrader.com/support/helpGuides/nt8/tick_replay.htm

https://ninjatrader.com/support/helpGuides/nt8/performance_tips2.htm

Unfortunately, our support team does not have visibility on the way TickReplay works on the platform's back end.