My strategies do not hit the entry and exit conditions consistently. It seems that (rerunning the same day over and over again), some strategies place entry and exit orders when run alone, but fail to do so when running simultaneously with as few as three other strategy instances (instruments).
It appears that when I run multiple strategies, perhaps some of the ticks in the data stream do not get processed by OnBarUpdate(). Does that sound plausible? Is there a way to find out whether that is happening in real time?
I initially suspected that it might be a matter of the ticks arriving faster than the computer could process them, so that some of them are just ignored. But, I ran a set of four stocks (strategy instances) for a day of Market Replay data at both 500X and 50X speed and I got exactly the same results at both speeds. However, both of those times, the results were missing entries and exits for two of the stocks. If I run those two stocks together (without the other two) at 500X speed, the previously missing entries and exits are executed correctly.
Is this likely to happen in real-time trading? If so, how many strategies could I likely run simultaneously?
Do you have any suggestions?
I would greatly appreciate any help you can give me.
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