Strategy Analyser - Too Many Historical Requests

[tmfdouglas]

Also another question - I've subscribed to Kinetick hoping that this would function correctly as it's built into Ninjatrader instead of using an API. I can't see any logs for Kinetick though and I believe it's built on IQ Feed so how would I know if the same problem occurs?

Have checked the trace file although doesn't provide any additional information.

Thanks

[tmfdouglas]

Just to update on this - Kinetick seems to work correctly, the strategy analyser runs to completion and seems to be bringing in all the data (although I guess it's difficult to be certain unless there's error log?).

It does seem to be slower at retrieving data, seems to be a serial rather than concurrent process?

Also a related issue, when running a back test on the s&p 500 equities it consumes a significant volume of memory, I can run a 1 month backtest on a 1 tick interval but when trying a two month backtest it maxes out, this is on a 32gb system.

Is there a way to make the backtest engine remove all the data it doesn't require? I.e. when it's finished testing an instrument it gets rid of all the data from memory if it's not required for any of the other tests?

Screenshot attached.

Thanks

[NinjaTrader_JessicaP]

Hello tmfdouglas,

Kinetick should be reporting to files in your (My) Documents\NinjaTrader 8\log and (My) Documents\NinjaTrader 8\trace folders. Be sure to look for all the files in your trace folder with the same date.



I have submitted a feature request to the product management team for the following feature :


This user would like to load backtest data in pages which are wiped from memory when done with them, so there is a smaller overall memory footprint


I will follow up with more information as soon as it's available. If the feature requests already exists, a vote will be added to it.


Please let us know if there are any other ways we can help.

[NinjaTrader_JessicaP]

Hello tmfdouglas,

I am following up on your request. I had just a couple questions. When I tried to run the SampleMACrossover strategy with 1 tick backtesting on the S&P 500 list, my memory output did not reach what yours did.

I would like to ask, do you observe this behavior using the SampleMACrossover strategy? Also, I would just like to confirm that you are using the latest beta, beta 11? There were several memory improvements in the last beta version.

[tmfdouglas]

Hi,

Tested again and same problem, was on the Sample MA Crossover using 1 tick over a 2 month time period on the s&p 500 equities. Using beta 11 64bit.

Could it have anthing to do with it having to download the data, i.e. if it has the data for the specified date range stored on disk it might not use as much memory as might move it in and out of memory rather than leaving it all in memory?

Thanks

[NinjaTrader_JessicaP]

Hello tmfdouglas,

Thank you for providing that information. Because other users have not reported this occurring, and it is difficult to produce on our end, I have reason to believe that there is something happening on your system, and that we will need to do some investigation on your end in order to have a complete enough picture to nail down what is occurring.

I am providing a link to two publicly available tools Microsoft puts out for testing your system's memory consumption.

SQLIO

https://www.microsoft.com/en-in/download/details.aspx?id=20163

UMDH

https://support.microsoft.com/en-us/kb/268343

Of these, we will start with the simplest case, as UMDH is an advanced tool.

I would like to ask if you could install the SQLIO tool above, and then follow these instructions. This will give me a somewhat clearer picture of what is happening on your system.

Open the Command Prompt.


Type the following command and press Enter.


sqlio


Once this has completed, provide a screenshot of the results.


To send a screenshot with Windows 7 or newer I would recommend using Window's Snipping Tool.
Click here for instructions

Alternatively to send a screenshot press Alt + PRINT SCREEN to take a screenshot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.
Click here for detailed instruction

If you would prefer to send this information privately, please send it to platformsupport[at]ninjatrader[dot]com , referencinng this unique ID in the body of your e-mail : 1529789

[tmfdouglas]

Thanks for following this up Jessica.

Screenshot attached.

[tmfdouglas]

Hi Jessica,

FYI - tried on beta 12 and same problem.

Thanks

[NinjaTrader_JessicaP]

Hello tmfdouglas,

Thank you for running the sqlio test. Ninja is using a substantial amount of memory because it is able to generate data very quickly internally, while there is a bottleneck slowing down Ninja sending requests out and receiving responses back. I/O with your disk seems to be within a tolerable range, not enough to back up your page file to cause Ninja to run with that much memory.

I would like next to see if there is an internet bottleneck. Even if you have a high speed internet connection, it may be that traffic between you and your data provider is not optimal.

May I ask, then, for you to run this test as well?

Open the Command Prompt.
Type the following command and press Enter.
tracert dtniq.com
Once this has completed, provide a screenshot of the results.
To send a screenshot with Windows 7 or newer I would recommend using Window's Snipping Tool.
Click here for instructions

Alternatively to send a screenshot press Alt + PRINT SCREEN to take a screenshot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.
Click here for detailed instruction

[tmfdouglas]

Hi,

Screenshot attached.

I've also tested the backtest by using local data only (through the properties menu on strategy analyser) and had the same problem though.

Thanks

[NinjaTrader_JessicaP]

Thank you for this additional information.

We have narrowed things down to the connection directly between NinjaTrader and IQFeed. Provided you are using 5.1.0.5 , and you have reviewed the connection guide here for IQFeed settings, http://www.ninjatrader.com/Connectio...tion-Guide.php , and that you have "Use back adjusted data" checked so that your configuration and mine match, then I will at this time need to recommend using either simulated data, or another data connection, for backtesting. Your copy of Ninja will not be able to backtest using this adapter quickly.

The product management team has been made aware of this situation. If you could follow up with your machine specs, we can continue trying to reproduce what you have observed on our end. Any settings and logs you can send us from IQFeed would be appreciated as well. Your system specs are listed on the first page of your System control panel.

I will keep you informed of our progress. You can also keep an eye on the release notes here,

http://ninjatrader.com/support/helpGuides/nt8/en-us/release_notes.htm

Thank you for using NinjaTrader Beta 8. Please let us know if there are any other ways we can help.

[tmfdouglas]

Thanks Jessica although earlier in the thread I said that I've switched over to using Kinetick to prevent the too many historical requests error message I was getting with IQ Feed and have continued to use Kinetick for the more recent tests (for the last 10 days or so).

One setting that I don't have enabled is the use back adjusted data, what does this setting do?

Should the connection be relevant though seeing as how I was encountering the same problem even when using data stored locally?

[tmfdouglas]

Hi Jessica,

Have tested on a Google Computer VM and confirm the same behaviour. IT has 60gb of memory but you can see from the screensot it would of reached it eventually and used a similar amount to the earlier tests whilst it was only 100 symbols through the backtest.

This is with beta 12 and Kinetick as the data source.

Screenshot attached.

Thanks

[tmfdouglas]

Hi Jessica,

Also - what time do you run your tests? I'm wondering if you ran into the 8 days historical tick data limit (from IQ Feed although I've seen the same behaviour with Kinetick which makes sense as IQ Feed is the ultimate source).

During US session hours and shortly afterwards if you request historical tick data for a period longer than 8 days it will only send the last 8 days. I saw this happen yesterday when running my tests during US session hours and it used far less ram, looking at the data source explorer and at the Ninjatrader data files themselves I saw there was only 8 data for the last 8 days (I deleted all files beforehand and the database).

Afterwards started the test at 21:31 British Summer time and encountered the problem.

Thanks

[NinjaTrader_JessicaP]

Hello tmfdouglas,

First I do apologize for the delay and inconvenience, and appreciate your patience with this process. I have personally been out of the office.

That said, thank you for the additional information. I will repeat my tests in a Windows 10 64 bit virtual machine during the time constraints you mentioned, and will get back to you with more information.