[129] DatabankColumn called multiple times unnecessarily - performance improvements

Added logging to a custom DatabankColumn and it seems to be getting called 9 times, when running one strategy in the Retester. I do not have any InSample and OutOfSample in Data tab. It should be called only 3 times instead.


Based on logging the sequence seems to be:

  1. long with all orders InSample 
  2. short with all orders InSample 
  3. bidirectional with all orders InSample 
  4. long with no orders OutOfSample 
  5. short with no orders OutOfSample 
  6. bidirectional with no orders OutOfSample 
  7. long with all orders FullSample 
  8. short with all orders FullSample 
  9. bidirectional with all orders FullSample 

It is possible that even if there is no OutOfSample, the Builder is running stats for all. Please fix unnecessary duplicate logic, to improve performance.



Also, can you please change to call FullSample bidirectional one first and then long and short - to save on performance as some of the bidirectional values can be reused for the longs/shorts?

Please fix to have this sequence instead:

  1. bidirectional with all orders FullSample 
  2. bidirectional with all orders InSample (skip this if no OOS)
  3. bidirectional with no orders OutOfSample (skip this if no OOS)
  4. long with all orders FullSample
  5. short with all orders FullSample
  6. long with all orders InSample (skip this if no OOS)
  7. short with all orders InSample (skip this if no OOS)
  8. long with no orders OutOfSample (skip this if no OOS)
  9. short with no orders OutOfSample (skip this if no OOS)


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  • Votes +2
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Low

History

b
#1

gin

12.11.2020 04:03
Voted for this task.
MF
#2

Mark Fric

13.11.2020 09:43

Priority changed from Normal to Low

MF
#3

Mark Fric

16.11.2020 15:03

Status changed from New to Fixed

f
#4

fm663

09.12.2020 01:05
its an improvement with 130dev2, but Longs, Shorts and Birectional are getting called in this order.


Can you pls call Birectional FullSample first?


MF
#5

Mark Fric

09.12.2020 08:41
no, because some columns compute symmetry between Long and SHort, so they have to be computed before Bidirectional

Votes: +2

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