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Direct MessagesDate/Time: Wed, 01 May 2024 23:02:23 +0000
Post From: Automated Strategy/Study - Processing Each Tick Considerations
| [2018-06-14 09:33:30] |
| User281933 - Posts: 4 |
|
Hi Flipper, The 200ms could be any number - say 50ms. I'm only new to Sierra - have previously been with Ninja, and have some programming experience. I'm just trying to shine a light into the dark corners where the market data starts to come in too fast to allow a Study to be executed for each market data event that has been received since the last Update Study Function Call. If 10 market data events come in within the 50ms window, then each of the 10 market data values can be looped through (and associated strategy calculations performed) before the next Update Study Function call happens (50 ms later). So what happens if 50 events come in the 50ms window? What happens if 300 come in - eventually we get to the stage that there are too many market data events within the update interval - does the Study start to lag further and further behind the actual market price due to a lack of processing power to keep up with all of the computations that have to be done for each data value (assuming that the same calculations are performed for each market value)? It's not about passing judgement (good or bad) on Sierra - it's about me trying to understand the designed behavior of the software in edge cases where the market gets very busy, but the Study is one that (ideally) requires all market data points to be evaluated... Apologies - I understand what I'm trying to ask in my head - putting it down on (virtual) paper seems to be the difficult aspect of things :-( Regards, Kieran |