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I have over 600,000 one minute bars that I use for back testing in TS2k.
This is about 30 SP contracts. One of my indicators requires alot of
computation and takes about 20 mins per contract in TS2k. As you can
imagine It may be possible but I am not that patient.
I converted all the EL code into a Dll and it runs alot faster but still
slow due to TS maintaining Data for past Bars for every variable and
charting overhead etc etc.
Next I worte a very simple application to just open an ascii data file
read a line of data and call the exact same Dll that tradestation calls.
Its basically a very simple TS replacement. No charting of course. It
then writes the results to a text file that I examine afterwards. This
solution executes one contract in just over 2 seconds!
As for the timestamp on the data. I have been working on a siute of apps
that, convert, check, clean and link data. The Converting app outputs
the data in TS format and also adjusts timestamps for everybar so that
the time reflects that bars close.
Qcharts data (apat from being worthless inherantly) is timestamped 9:30
for the first bar of the SP in my version, so its data needs to be
adjusted -59 mins each bar.
If anyone would like a copy of my work, I am looking for Daily Data from
Pinnacle for the SP.
Regards
Mike
Re: Max no. of bars & Data timestamps
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