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Parallel optimization
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Parallel optimization

  #1 (permalink)
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Parallel optimization

Hi all,

My first post, and my first problem with NT. I'm designing a parallel optimizer, I mean, run each of the iterations on diferent machines/procesors. I have the optimizer, the messaging system, and the problem. The idea is running empty iterations on the master NT, which are actually executed on a slave NT, and when the iteration is finished, replace the result in the master NT from the slave NT. And then the problem arises. Once I recover the Strategy object from the slave NT, how can I "insert" those results in the master NT? Is there any point in the code of an optimizer where I can change the strategy results for one iteration? (With change I actually mean insert)

There are other "dirties" posibilities available for exhaustive optimization, like saving all the results, from master and slaves, in the same file, or export the result of the optimization on every NT and merge them externally, etc. But the first option is the best, i f possible, because it allows to use any optimizer algorithm.

Greetings and thanks,
Juanjo

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Quick Summary
Quick Summary Post

Apps used:

- MPI.NET + HPC
- NinjaTrader


Last edited by jjmmg; January 25th, 2011 at 06:53 AM.
 
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This is an ambitious project, I hope you can bring it to market.

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VERY


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This is an ambitious project, I hope you can bring it to market.

Mike

Actually I think it is the most ambitious undertaking I have heard of someone implementing with NinjaTrader. Would be great to see working, especially on a multiple virtual machine environment. I wonder if the staff at NT support would say more than 'unsupported' if they were asked for assist in getting it working.

IMHO, in retrospect, it is actually sad that someone is even thinking along these lines: it shows how much Windows/NT is lacking in such areas (distributed computing has been around for some time).

Jon

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Trader.Jon View Post
Actually I think it is the most ambitious undertaking I have heard of someone implementing with NinjaTrader. Would be great to see working, especially on a multiple virtual machine environment. I wonder if the staff at NT support would say more than 'unsupported' if they were asked for assist in getting it working.

IMHO, in retrospect, it is actually sad that someone is even thinking along these lines: it shows how much Windows/NT is lacking in such areas (distributed computing has been around for some time).

Jon

Well, if he is able to accomplish this the benefits are limitless. One possibility would be to also implement CUDA for the engine, which would increase optimization performance probably 10x over.

Mike

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GPU for NT ?


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Well, if he is able to accomplish this the benefits are limitless. One possibility would be to also implement CUDA for the engine, which would increase optimization performance probably 10x over.

Mike

Yeahhh ... I would LIKE that! Or the ATI version of GPU ... I have a 2GB 4670 ATI ready for beta testing .. not sure about that 10x ... certainly would need lots of tweaking and NT developer support .. maybe even a GPU version of NT for full GPU-power.

Somehow I dont think just building a class or method in C# will be enough but I could be wrong .... research on google and looks like there is hope .. maybe ?

There are Parallel computing
http://blogs.msdn.com/b/pfxteam/archive/2010/07/01/10030256.aspx
and .NET C# resources available
http://brahma.ananthonline.net/
that might be helpful for anyone that is gifted with the needed skillset and tools.

At one time I was involved in a team that was first line support for some of the first HPC cluster servers 'way back when'. Glad I wasnt on the software side of the team ...I would have been fired the first day .. tools are a lot better now, and Win7 was built with parallelism in mind, but not totally installed ... the evil empire keeps us waiting again

Jon


Last edited by Trader.Jon; November 16th, 2010 at 08:21 PM. Reason: added resources for jjmmg
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As CUDA is not a possibility for me right know, I've seen a MPI implementation for .NET, called MPI.NET. I'll try it and let you know the results.

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To continue with this NT improvement, I need to solve this problem before.

https://futures.io/ninjatrader-programming/8044-optimizer-iteration-result-insertion-extraction.html#post95889

Any ideas?

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jjmmg View Post
To continue with this NT improvement, I need to solve this problem before.

https://futures.io/ninjatrader-programming/8044-optimizer-iteration-result-insertion-extraction.html#post95889

Any ideas?

jjmmg,

Have a look at this whole thread:
writing all Trades to a file - NinjaTrader Support Forum

There is some work going on using unsupported code to access more of the optimization parameters. Perhaps your collabaration with those involved might be useful for all of you.

Jon

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