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Re: [amibroker] Re: double (64-bit) precision



PureBytes Links

Trading Reference Links

Thank you for the detailed answer.

I just thought a 5,000-symbol portfolio with 20-year daily data on a
couple of GB of RAM was *practical*...

regards,
ysk

--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Hello,
> 
> 1. Not easy but doable. Problem is with the existing plugins - they
would ALL need to be rewritten.
> 
> 2. Raw calculation speed is not a problem because calculations are
processed anyway using FPU which is almost 
>     as fast in 32 bit IEEE as in 64 bit IEE. The problem is the
MEMORY and accessing 2x larger data blocks.
> 
>     Note that internal calculations and intermediate result storage
are 64 bit already but just results
>     and data fields are stored in 32 bit floating point format. And
this is mainly to conserve memory usage.
>     Eventual speed drop would be the result of 2x memory size
required (for example: things that fit into CPU cache
>     would not fit anymore - if data do not fit into the cache it
means HUGE drop in performance). 
> 
>    64 bit precision means DOUBLING memory requirements.
>    It may not be a problem for you but several people are trying to
calculate things on 500000 data bars.
>    Currently each such array consists of 4MB. Quote data (OHLCVOI -
6 * 8 * 500000 bytes = 24MB).
>    This means that 500000 bars of single security would take 24MB of
CONTINUOUS memory.
>    This becomes a problem because on Windows RAM is very often
fragmented and even if you have for example
>    128MB ram free there is no 24MB continuous block.
>    Also when running portfolio backtests memory is required to hold
entry/exit prices and if this would need
>   to be in 64 bit then people running backtests on large portfolios
(>1000 symbols) would not be able to
>   run them at all.
> 
> Frankly from my point of view it does not make any sense. 32 bit
floating point provides accuracy of
> 1e-7 it is: 0.00001%. 
> 
> I simply can not imagine how anyone would consider 0.000001%
accuracy inappropriate for financial
> application. If you are trading say portfolio worth $100000 (one
hundred thousands dollars) 32bit floating point provides results
> that are accurate +/- $0.01 (plus/minus one cent).  Practical
accuracy is better because INTERMEDIATE
> calculations and results in backtester are performed in full 64 bit
so total profit and other reported figures are
> much more accurate (upto 15 significant digits)
> 
> This is why I don't think if moving everything to 64 bit has ANY
*practical* merrit.
> 
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message ----- 
> From: "qqqqq_99999_qqqqq" <qqqqq_99999_qqqqq@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, April 16, 2004 6:12 PM
> Subject: [amibroker] double (64-bit) precision
> 
> 
> > Tomasz,
> > 
> > 1) How easy is it to convert AmiBroker to double (64-bit)
precision ?
> > 
> > 2) How much sacrifice in terms of speed do you expect from the
> >    conversion?
> > 
> > TIA
> > 
> > regards,
> > ysk
> > 
> > 
> > 
> > 
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
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> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
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> > 
> > 
> > 
> >  
> > 
> >



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