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PostPosted: Thu Jul 09, 2009 8:37 pm 
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Joined: Tue Aug 26, 2008 10:59 pm
Posts: 4
Location: U.S.
Hi,

I've been running a simulation on a 50 market portfolio on about
8 years of historical daily data. It takes about 5 to 10 minutes to
complete. I recently added exchange rate data so that the
contracts denominated in other currencies would be properly
accounted for. When I added the exchange rate data my
simulation slowed so much that it doesn't finish in a day and
runs out of memory after about 7 years.

Should the multi-currency calculations slow the simulation
so much?

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PostPosted: Fri Jul 10, 2009 4:40 pm 
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Joined: Wed Oct 08, 2003 1:06 pm
Posts: 833
Hi,

Currency conversion is not very fast operation, so it can slowdown overall performance. As to the out of memory exception - normally in should not happen because of currency conversion. Could you try to run your simulation including all series with exchage rates, but with currency conversion turned off (set all instruments currency to the portfolio currency) and see if out of memory exception happens again?

Regards,
Sergey.


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PostPosted: Fri Jul 10, 2009 9:20 pm 
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Joined: Tue Aug 26, 2008 10:59 pm
Posts: 4
Location: U.S.
Hi Baraz,
I have run the same simulation without the currency data enabled
and it finishes ok. I think Iam close to using all memory though
as it wouldn't run when I had 60 markets to trade in.
I'm not worried about the memory problem as I have ordered
more memory for my system, but I'm worried that I won't be
able to do optimizations when the simulation takes so long.
Is there any way to speed things up?

Thanks,
SteveF

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PostPosted: Sat Jul 11, 2009 3:06 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6817
Hi,

currency conversion is a time consuming operation. We need to find a corresponding entry in exchange rate series for every bar or tick and this operation takes much more time than direct OnBar() or OnTrade() calls.

As a workaround I would suggest you to convert your price series to one currency and run backtests and optimization without on-the-fly currency conversion.

Regards,
Anton


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PostPosted: Sat Jul 11, 2009 5:10 pm 
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Joined: Tue Aug 26, 2008 10:59 pm
Posts: 4
Location: U.S.
Hi Anton,

Okay, I thought that may be an alternative, thanks for confirming.

--SteveF

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PostPosted: Thu Jul 23, 2009 7:45 pm 
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Joined: Thu Jul 23, 2009 7:44 pm
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Hello,

im having same troubles here.. any inputs would be great!

Thanks!
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PostPosted: Thu Aug 06, 2009 5:51 am 
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Joined: Thu Aug 06, 2009 5:51 am
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I am not so knowledgeable about this matter. So i have to learn it. Thanks for the post


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