How to protect custom static list during multi-thread optimization?

[kbeary33]

I am working on a strategy that ranks a set of instruments, and stores the ranked instruments into a static list.

It then buys/sells the best/worst instruments, and removes their corresponding entry from the sorted list. When this strategy runs in a multi-threaded optimization, it seems like that list is being shared from one instance to another, and it throws an error when one instance tries to access an entry that has been removed by another.

How can I avoid this?

Thanks,

[NinjaTrader_PatrickH]

Hello kbeary33,

Thank you for your post.

You will want to Dispose() of any items that need to be removed during termination of the strategy in OnTermination().

For information on OnTermination() please visit the following link: http://www.ninjatrader.com/support/h...ermination.htm

Please let me know if I may be of further assistance.

[kbeary33]

Hi,

Thanks very much for the reply. However, I don't think that this solves the problem... it actually makes it worse...

The issue is that two instances of the same strategy are trying to access the same variable, due to the multi-threading of the optimizer. If I put Clear() or Dispose() statements in the OnTermination() block, then the 3 threads that are still running immediately crash.

Is there some way to declare the list collection such that each instance of the strategy loads its own list/dictionary variables? There is a note in the help guide saying:

"Should you be using custom resources like text files, static members, etc. it is important to protect your resources from concurrent access. If NinjaTrader tried to use the resource at the same time you would run into errors similar to this one:

8/20/2010 12:14:29 PM|3|128|Error on calling 'OnBarUpdate' method for strategy 'SampleStrategy/1740b50bfe5d4bd896b0533725622400': The process cannot access the file 'c:\sample.txt' because it is being used by another process.

However, it doesn't give any instructions on how to accomplish this. (And so I'm very much over my head WRT programming skill)

Thanks

[sledge]

http://stackoverflow.com/questions/3544237/net-thread-safety

this might be of help:

http://msdn.microsoft.com/en-us/library/dd997305.aspx

which links to this example:

http://msdn.microsoft.com/en-us/library/dd997369.aspx

Hi,

Thanks very much for the reply. However, I don't think that this solves the problem... it actually makes it worse...

The issue is that two instances of the same strategy are trying to access the same variable, due to the multi-threading of the optimizer. If I put Clear() or Dispose() statements in the OnTermination() block, then the 3 threads that are still running immediately crash.

Is there some way to declare the list collection such that each instance of the strategy loads its own list/dictionary variables? There is a note in the help guide saying:

"Should you be using custom resources like text files, static members, etc. it is important to protect your resources from concurrent access. If NinjaTrader tried to use the resource at the same time you would run into errors similar to this one:

8/20/2010 12:14:29 PM|3|128|Error on calling 'OnBarUpdate' method for strategy 'SampleStrategy/1740b50bfe5d4bd896b0533725622400': The process cannot access the file 'c:\sample.txt' because it is being used by another process.

However, it doesn't give any instructions on how to accomplish this. (And so I'm very much over my head WRT programming skill)

Thanks

[kbeary33]

So, finally sorted it out. For anyone else that comes across this issue, the problem was in how I declared my list.

My initial code:

public class sortInstrument
{
  	public static List<KeyValuePair<int, double>> instrumentSorted = new List<KeyValuePair<int, double>>();
}

My corrected code:

private class sortInstrument
{
public List<KeyValuePair<int, double>> instrumentSQNSorted = new List<KeyValuePair<int, double>>();
}

private sortInstrument currentSortInstrumentClass = new sortInstrument();

So, instead of referencing sortInstrument.instrumentSorted, I just call on sortInstrument.currentSortInstrumentClass

Another thing to note is that this solved my memory leak issue as well. In the initial configuration, when I ran an optimization the memory usage would keep growing until it used up all 12GB available. By changing these 3 lines, it stays stable at ~1GB or less.

Thanks everyone for your help!

[koganam]

I am working on a strategy that ranks a set of instruments, and stores the ranked instruments into a static list.

It then buys/sells the best/worst instruments, and removes their corresponding entry from the sorted list. When this strategy runs in a multi-threaded optimization, it seems like that list is being shared from one instance to another, and it throws an error when one instance tries to access an entry that has been removed by another.

How can I avoid this?

Thanks,

If you are using a sorted list, check for the existence of the TKey before trying to access it. The pretty comprehensive example on the MSDN page covers this in multpile ways.

ref: http://msdn.microsoft.com/en-us/library/ms132319.aspx