I know this is kind of a long shot, but I'm really hoping someone at Ninja can do some creative thinking and help me figure out what might be causing the slow-down. I'm talking about probably a 10x-20x degredation in performance from Ninja 6.5 to Ninja 7, on a machine identical to what I was using previously. (A test that used to take 1 minute will often take 15 minutes now... a test that used to run in 5 minutes, well, I can't wait that long.)
My strategy has some quirks in it:
- I run on two instruments, with 3 different time series (1/5/30 minute bars).
- on any given bar, I can place up to 20 different orders. Most of these are stop orders. (So, yes... single instrument, perhaps bracketed by 5-10 stop orders on each side, with prices updated every 1-5 minutes.)
- I have custom OnExecution() code which does some processing upon a fill.
- I do not use any Ninja-based order handling (targets/OCOs/stops). I exclusively use unmanaged order functions.
I am not using any of the strategy analyzer's optimize functions, just doing a straight back-test over a roughly 30-50 day time period.
So... help! What am I doing wrong?
Comment