Preprocessing of TickData

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tornadoatc
Posts: 8
Joined: 05 Feb 2011

Preprocessing of TickData

Postby tornadoatc » 08 Sep 2011

Hello,

I am developing a system using Volume / Share Bar Charts. I would like to optimize the system, using 3rd party tickdata, with as many Volume / Share Bars as possible for Optimization.

So my question is would I be able to load many more Volume/Share Bars using 3rd party tickdata if I were to preprocess the given tickdata to create a file where each record represented the Volume / Shares that I wanted to use for optimization? For instance if I were optimizing ES using 10,000 Volume / Share Chart each post processed record of tickdata would contain 10,000 Volume.

Or, would the chart just load faster because MC would not have to process so many records of tickdata but I would I still not be able to load many more bars?

I guess this is a question of how bars are constructed from tickdata and the memory they consume after loading.

Thanks for helping in understanding this issue.

Regards,
ATC

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Dave Masalov
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Re: Preprocessing of TickData

Postby Dave Masalov » 12 Sep 2011

Dear tornadoatc,

MC plots Volume charts out of tick data, but optimzation is done using bars from the actual chart (they already have been formed) so the won't be any difference in optimization speed if you load tick data or import ready 10,000 Volume / Share bars. Please let me know if this answers the question.

tornadoatc
Posts: 8
Joined: 05 Feb 2011

Re: Preprocessing of TickData

Postby tornadoatc » 12 Sep 2011

Thanks your reply does help in understanding this issue.

What is the current number of bars that I should approximately be able to load on a chart for an optimization run without running into memory issues?? I recall reading something about a parameter in the windows registry. What is this registry parameter and what are our options for setting it?

Thanks,
Atc

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Dave Masalov
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Re: Preprocessing of TickData

Postby Dave Masalov » 13 Sep 2011

Current limitation is 5 million bars per chart. You can increase this value by modifying following registry key:

HKEY_CURRENT_USER\Software\TS Support\MultiCharts\Shaper\MaxBarsCount

We have tested setups with up to 15 million bars. The only limitation here is the ressources of your computer.

As for memory issues, please note that MultiCharts is a 32 bit application and has a Windows limitation of 2 GB of virtual memory per process. The warning message comes up when the use of virtual memory reaches 1.5 GB. If the process that consumes too much memory is MultiCharts.exe or MCPortfolio.exe, then you can try to use multiple instances of the program. However, if it is Tsserver.exe, there is no workaround at the moment. The issue will disappear when we transition to 64 bits.

Task manager does not show the virtual memory consumption properly. The easiest way to check the consumption of virtual memory is to use Process Explorer (http://technet.microsoft.com/en-us/sysi ... 96653.aspx).


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