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| Problem while using a frequently changing set of Indicators. http://www.smartquant.com/forums/viewtopic.php?f=75&t=10769 |
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| Author: | Frank Weissbach [ Mon Jun 16, 2014 6:15 pm ] |
| Post subject: | Problem while using a frequently changing set of Indicators. |
Hi, I'm working with a strategy where the set of indicators & parameters is constantly changing. Therefor I need to construct new Instances of the Indicator class on every bar (onBar). A strategy coded in this way does run, but it is very slow and in backtesting after some hunderd bars I run into this OutOfMemory error. I've verified that the calling the Indicator class construction at every bar is indeed the problem. If I construct the Indicators at OnStrategyStart, so with parameters kept constant during the simulation, there is no problem. What approach would you suggest for my situation ? Regards, Frank Quote: System.OutOfMemoryException: Exception of type 'System.OutOfMemoryException' was thrown.
at System.Collections.Generic.SortedList`2.set_Capacity(Int32 value) at System.Collections.Generic.SortedList`2.EnsureCapacity(Int32 min) at System.Collections.Generic.SortedList`2.Insert(Int32 index, TKey key, TValue value) at System.Collections.Generic.SortedList`2.set_Item(TKey key, TValue value) at SmartQuant.Data.MemorySeries`1.Add(DateTime datetime, Object obj) at SmartQuant.Indicators.Indicator.Add(DateTime DateTime, Double Data) at SmartQuant.Indicators.EMA.Calculate(Int32 index) at SmartQuant.Indicators.EMA.OnInputItemAdded(Object sender, DateTimeEventArgs EventArgs) at SmartQuant.Indicators.Indicator.OnInputItemAdded2(Object sender, DateTimeEventArgs EventArgs) at SmartQuant.Series.ItemAddedEventHandler.Invoke(Object sender, DateTimeEventArgs e) at SmartQuant.Series.TimeSeries.EmitItemAdded(DateTime dateTime) at SmartQuant.Series.BarSeries.Add(Bar bar) at SmartQuant.Instruments.BarSeriesList.l9GsJ1Y3L(Instrument , Bar ) at SmartQuant.Instruments.DataManager.FXeMVYXvd(Object , BarEventArgs ) at SmartQuant.Providers.ProviderManager.donsPjTgF5(Object , BarEventArgs ) at SmartQuant.Providers.BarEventHandler.Invoke(Object sender, BarEventArgs args) at SmartQuant.Simulation.SimulationDataProvider.oB8NQOfhqM(IFIXInstrument , Bar ) at SmartQuant.Simulation.SimulationDataProvider.QGYNAiGibJ(SeriesObjectEventArgs ) at SmartQuant.Simulation.SeriesObjectEventHandler.Invoke(SeriesObjectEventArgs args) at SmartQuant.Simulation.Simulator.dEG48R9xls(IDataSeries , IDataObject ) at SmartQuant.Simulation.Simulator.Asx4Vq8104() at System.Threading.ThreadHelper.ThreadStart_Context(Object state) at System.Threading.ExecutionContext.RunInternal(ExecutionContext executionContext, ContextCallback callback, Object state, Boolean preserveSyncCtx) at System.Threading.ExecutionContext.Run(ExecutionContext executionContext, ContextCallback callback, Object state, Boolean preserveSyncCtx) at System.Threading.ExecutionContext.Run(ExecutionContext executionContext, ContextCallback callback, Object state) at System.Threading.ThreadHelper.ThreadStart() |
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| Author: | Dr. Anton Fokin [ Mon Jun 16, 2014 6:36 pm ] |
| Post subject: | Re: Problem while using a frequently changing set of Indicat |
Hi, are we talking about OpenQuant 2013, 2014 or VisualQuant (you posted this message into VisualQuant forum...) Regards, Anton |
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