VWAP indicator eating up memory

[zrobfrank]

I have developed a strategy based on the VWAP indicator. If I change the settings to calculate.oneachtick I frequently get the error "not enough quota..." and it takes forever to backtest or load charts. However, if the settings are calculate.onbarclose then the stoploss and setprofittargets do not trigger correctly. Is there something I'm overlooking about the strategy settings or the indicator that could be causing it to behave this way? I've looked at the code for the indicator, it doesn't seem so complicated that it would eat up memory like it does.

#region Using declarations

using System;

using System.Collections.Generic;

using System.ComponentModel;

using System.ComponentModel.DataAnnotations;

using System.Linq;

using System.Text;

using System.Threading.Tasks;

using System.Windows;

using System.Windows.Input;

using System.Windows.Media;

using System.Xml.Serialization;

using NinjaTrader.Cbi;

using NinjaTrader.Gui;

using NinjaTrader.Gui.Chart;

using NinjaTrader.Gui.SuperDom;

using NinjaTrader.Gui.Tools;

using NinjaTrader.Data;

using NinjaTrader.NinjaScript;

using NinjaTrader.Core.FloatingPoint;

using NinjaTrader.NinjaScript.Indicators;

using NinjaTrader.NinjaScript.DrawingTools;

#endregion




//This namespace holds Strategies in this folder and is required. Do not change it.

namespace NinjaTrader.NinjaScript.Strategies

{

public class vwap2 : Strategy

{



private VWAP VWAP1;




private bool TradeSwitch;

protected override void OnStateChange()

{

if (State == State.SetDefaults)

{

Description = @"Enter the description for your new custom Strategy here.";

Name = "vwap2";

Calculate = Calculate.OnBarClose;

EntriesPerDirection = 1;

EntryHandling = EntryHandling.AllEntries;

IsExitOnSessionCloseStrategy = true;

// ExitOnSessionCloseSeconds = 30;

IsFillLimitOnTouch = true;

MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;

OrderFillResolution       = OrderFillResolution.Standard;              

    // OrderFillResolutionType   = BarsPeriodType.Tick;

    // OrderFillResolutionValue  = 1;      

Slippage = 4;

StartBehavior = StartBehavior.AdoptAccountPosition;

IsAdoptAccountPositionAware = true;

IncludeCommission = true;

TimeInForce = TimeInForce.Day;

TraceOrders = true;

RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;

StopTargetHandling = StopTargetHandling.PerEntryExecution;

BarsRequiredToTrade = 20;

// Disable this property for performance gains in Strategy Analyzer optimizations

// See the Help Guide for additional information

IsInstantiatedOnEachOptimizationIteration = true;



Loss = 300;

LongProfitMultiplier = 2;







}

else if (State == State.Configure)

{





}

else if (State == State.DataLoaded)

{



VWAP1 = VWAP(Close);



AddChartIndicator(VWAP1);



}

}





​

[NinjaTrader_Emily]

Hello zrobfrank,

Thank you for your post.

It appears you are using a third-party vwap indicator and not the Order Flow VWAP indicator that comes with NinjaTrader:

https://ninjatrader.com/support/helpGuides/nt8/order_flow_vwap2.htm

In the case of a third party indicator, please refer to the developer of that indicator with any questions or concerns regarding that indicator's performance impact.

Please let us know if we may be of further assistance.

[zrobfrank]

Jiminy Christmas, I have to pay an additional $59/month to be able to use the native VWAP?

[NinjaTrader_Emily]

Jiminy Christmas, I have to pay an additional $59/month to be able to use the native VWAP?

Yes, the Order Flow+ tools are available either by purchasing the monthly account add-on or by purchasing a lifetime account plan. For more information, please see the help articles below:

• https://support.ninjatrader.com/s/ar...language=en_US
• https://support.ninjatrader.com/s/ar...language=en_US

Please feel free to reach out with any additional questions or concerns.