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Disapointed of the lack of new features in the Strategy Analyzer

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    Disapointed of the lack of new features in the Strategy Analyzer

    Hi,
    I have been playing around with the NT8 beta for few days now and I am happy with the strong focus on programming features.

    I however can not hide my disappointment when it comes down to the NT8 Strategy Analyzer tool. For me personally the strategy analyzer is as equally important as the NinjaScript editor because it is the fundament of any decision making for launching an automated strategy in live trading mode. If I spent hundreds of hours of working on my codes, I spent thousands testing and analyzing after that.

    I see just a minor upgrade with only 2 new features added to the tool which don't really add any of the important feature requests that were made on the forum long time ago.

    I assume the order fill resolution is intended to fix the granularity problem that NT7 had, which is nice as there is no need to add second tick bars to the strategies anymore and the Multi-objective optimizing, is a good feature for the optimizer as well.

    However I really do feel that there is no empowering of the capabilities that the NT7 Strategy Analyzer had and I feel like I am actually working with the old tool.

    The real problem with the strategy analyzer is the challenge of physical processing power. The NT7 Strategy Analyzer had all the analytical features I needed, however it lacked the flexibility to go beyond the physical boundaries of the machine where it was being run.

    I was expecting distributed computing to be added as a feature in order to harness the combined power of the strong community NT has. I do want to emphasize that this is a feature that MetaTrader has for quite some time now...and in lame terms, this is a major disadvantage for all of us.

    No matter what I do with the Strategy Analyzer of NT8, I will always be limited to the resource of the the computer where I have it installed...whereas MT users can utilize distributed computing (for a on-demand processing fee of course).

    If there is a feature to share the physical resource of one's machine for a certain fee that can be calculated based on e.g. flops, this would be a strong upgrade and would really unlock the power of the Strategy Analyzer. I would be more than happy to leave my machine in idle mode, available for someone else to remotely push to me a chunk of data for computing ..especially if I get few bucks for it.

    2. Another important feature request that also has not been incorporated is the support for GPU processing that could potentially increase the limitation on the physical CPU power as well.

    3. Cloud / peer-to-peer exchange of market replay data.

    Not sure if you are aware but the market replay data is impossible to find right now. Backtesting is not suitable for high frequency algorithms due to the granularity problem and intrabar movements that are missed in historical data, and the only way to fine tune such an algo is through extensive market replays. The one that is downloaded from the NT server is filtered and is not suitable for heavy testing (e.g. for 1 second bars or tick based strategies). There is too much missing ticks in that feed which leaves the whole community either with the option of starting to record (and accepting that no historic periods can be used for market replay) or to try purchase market replay feed from questionable websites.

    I have been scammed twice by different websites and lost more than $2000, buying feeds that don't work or that were never delivered to me.

    As a result I started to record unfiltered market replay data for more than 10 instruments which I would love to share with anyone who is interested in it. I am almost certain that a lot other users are doing the same and are willing to share their market replay data as well. If there was an established order of exchanging this between community members as a built in feature of the platform, I can say for certain that unlike NT7, NT8 would be suitable for HFT which on its end could attract some of the most powerful users from other communities.


    In case those features are not added, It would be good to at least open up the platform with some API e.g. and documentation in order to give developers a chance of creating such applications. =
    Last edited by nikolaalx; 07-30-2015, 07:38 AM.

    #2
    Thanks for taking the time to post your feedback, appreciate it.

    As to Optimizations:

    We did look into distributed optimization in the development of NT8 and as you know NinjaTrader utilizes standard C# as our language for development. As you are also likely aware with C# you can code anything you liked and use external libraries and references. This is the power of NinjaTrader and is both a blessing and a curse in some cases. Running regular C# code that we can't verify on some hosted shared external optimization server there's no telling what could happen. There is also the concern of sending your proprietary code externally through the web to an optimization server that likely is running other code and trying to insure that it stays protected.

    In any case my point is there are many engineering problems we would need to solve to achieve this and we decided that it was not a priority at this time.

    We did make extensive improvement to optimization speed with NinjaTrader 8 so you should see improved utilization of system resources during optimizations. Furthermore one idea I might share with you is that you could look into running NinjaTrader on Amazon EC2 like service. This would allow you to utilize much more massive hardware and overall be much simpler overall to setup and run for your optimization needs.

    As to Market Replay:

    I'm sorry to hear about the experience of trying to get Market Reply . I would like to note that we record market reply right on our servers same as you would record market replay yourself. As long as our historical data servers are connected and recording the market replay data should be consistent.

    I would also like to take a moment to make you aware of the new Tick Replay feature if your not already. Tick Replay processes tick data like it was live. This allows you to get level of testing similar to running a test via NT7's Market Replay or NT8s Playback feature and can be done with just historical tick data.

    Thanks again for your feedback and I've added your suggestion on file as below.

    1) SFT-557
    2) SFT-557
    3) SFT-558
    BrettNinjaTrader Product Management

    Comment


      #3
      Hello Brett,
      the NT market replay feed which is available for download from your server is not full and there's a maximum lookback limitation on the available dates. If you run a 1 sec bar chart you will notice how bars are choppy and the close/open of each bar quite often is not connected. Not sure how it is being filtered but it is not suitable for high frequency testing simply because it contains much less ticks than the one of an unfiltered market recording.

      I can hire a programmer develop an external strategy analyzer, however I will need to also develop a GUI to work with that analyzer. Then I will also have to develop all of the features, analytical and reporting tools, then the genetic optimizers with all of their features as well because there will be no way to push the processed data back to the native NT Strategy Analyzer in order to utilize the native analytical environment. By itself, I would have to spend a five figure amount for this project...and I most probably will because I see this as long term investment (I could utilize e.g. 10 or 15 computers that I have access to) and generate a combined power much stronger than the EC2's $2500 per month Server.

      I want to emphasize again that this is a feature that MetaTrader 5 has and that's a software released in 2010.

      Thank you for the detailed response, however I would suggest to rethink the method of prioritization of the features as I believe your team made the wrong choice with this one. Knowing that it was now added again as a feature request after it had already been rejected is not very encouraging, but still I appreciate it.

      Perhaps running a poll among community members would be a good way to do it for features that you aren't sure of. Security wise there's always a solution. Making a client application that users could connect with their own NT is a simple and effective solution at their own risk.

      Comment


        #4
        Thanks for the feedback.

        On the Market Replay data the source we record from uses the new MDP 3.0 market data feed from CME. Which explains the difference you see in terms of less ticks. Its not filtered by us but in fact bundled at the exchange level.
        BrettNinjaTrader Product Management

        Comment

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