Strategy that uses two data sets runs EXTREMELY slow

[burmaz]

Hello,

I am trying to run a strategy that I built on strategy builder (that calculates on price change) that utilizes intraday and daily data. The issue is apparently my daily chart indicators seem to only be accurate when 365 days are loaded. Therefore when I run the strategy and enter 365 days to load on the strategy configuration, it takes 15 mins or more and utilizes gigabytes of ram just to load, as I think it loads 365 days of intraday along with the daily chart data. How do I just get a few days of intraday data to load with 365 days of daily chart data? Can this be done on strategy builder?

[NinjaTrader_BrandonH]

Hello burmaz,

Thanks for your post.

There are no options available to specify a certain number of days loaded for the Daily data series and the intraday Data Series that the script uses. Each data series will load data based on the 'Days to load' Data Series property that is set.

We are tracking interest in this feature in an internal feature request ticket and I have added your vote. This request is being tracked under the number SFT-4583.

As with all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted in the Release Notes page of the Help Guide.

Release Notes — https://ninjatrader.com/support/help...ease_notes.htm

Something you could consider is specifying the number of bars you want to load for an added data series by using the AddDataSeries() syntax that lets you set the barsToLoad property.

AddDataSeries(string instrumentName, BarsPeriod barsPeriod, int barsToLoad, string tradingHoursName, bool? isResetOnNewTradingDay)

See this help guide page for more information: https://ninjatrader.com/support/help...dataseries.htm

Please let me know if I may assist further.

[burmaz]

Thank you for your response.

Currently I have the strategy built in strategy builder and am only able to test it using playback which of course is VERY slow.

If I were to have the strategy hard coded, is it possible that a strategy that requires a data set 365 days of OHLC of daily chart but on price change for only the current day and on price change for intraday data to be backtested?

If not, can all 365 days of data be loaded on price change in addition to on price change for intraday data be backtested (instead of playback which I'm currently doing) for a significant performance increase? Or would strategy analyzer not allow for 365 days of data to be loaded

[NinjaTrader_BrandonH]

Hello burmaz,

Thanks for your note.

As stated in my previous post, there are no options available to specify a certain number of days loaded for added secondary Data Series. This is also true for Strategy Builder strategies. This feature request is being tracked in an internal ticket and your vote was added.

The number of days loaded for the primary series and added secondary series is based on the 'Days to load' property in the Data Series window on a chart. It is not dependent on the Calculate mode used.

In the Strategy Analyzer, the number of days of data processed for the backtest would be dependent on the Start Date and End Date properties you set.

When using the Strategy Analyzer only the Open, High, Low, and Close will be available and there will be no intra-bar data. This means actions cannot happen intra-bar, fills cannot happen intra-bar. All prices and actions come from and occur when the bar closes as this is all the information that is known.

Because of this, OnBarUpdate will only update 'On bar close' as it does not have the intra-bar information necessary for 'On price change' or 'On each tick' and the script will not have the intra-bar information to accurately fill an order at the exact price and time.

The Calculate mode determines how often OnBarUpdate() processes logic from a script.

Calculate: https://ninjatrader.com/support/help.../calculate.htm

Please review the help guide document on the differences on real-time vs backtest (historical).
http://ninjatrader.com/support/helpG...ime_vs_bac.htm

Please let me know if I may assist further.