backtesting settings: Ignore Tick Cache in Realtime  [SOLVED]

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backtesting settings: Ignore Tick Cache in Realtime

Postby wilkinsw » 10 Jan 2019


Can someone help me out with what this new setting means: Thanks!

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Anna MultiCharts
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Re: backtesting settings: Ignore Tick Cache in Realtime  [SOLVED]

Postby Anna MultiCharts » 17 Jan 2019

Hello, wilkinsw!

Tick cache is required to ensure that no ticks are skipped during strategy calculations in realtime. This is especially important for highly volatile symbols, when new ticks arrive faster than a strategy can be calculated, e.g. while your strategy is being calculated on tick #1 the symbol ticks 5 more times, so by the time the calculation on tick #1 finishes the strategy doesn’t skip ticks #2-6 and proceeds with the most recent realtime update (tick #7), but it also calculated on each of #2-6 ticks from the data provider.

As was recently revealed this tick cache can be an obstacle when you reference several data series in your code, the “RT/history matching” option is ON and Data2 has a rather huge resolution compared to the main data series, e.g. Data1 = 1 min, Data2 = 1 day. In this case once the bar of Data2 is closed the strategy starts recalculation upon each tick that’s included in this daily bar, and this leads to 100% CPU load that can last up to several hours (depending on the amount of ticks included in the last bar of Data2). But this recalculation is obviously not required as it’s already been performed on historical data. In order to omit this unnecessary recalculation on the bar close of Data2 (or any other additional data series with higher resolution) the “Ignore Tick Cache in Realtime” option was introduced so that it was possible to continue using “RT/history matching”.

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