Anyone have any hints for optimizing C# code?

November 29th, 2012, 03:20 PM

Quoting

Should there be a reference for the CCI too, such as in the example below?

private EMA emathingy;
private CCI cmithingy;

cmithingy = CCI(CCIPeriod);
emathingy = EMA(cmithingy,10);

Yes, as long as the value of CCIPeriod does not change within the indicator.

Once in a while, as in "Adaptive" indicators, the parameters of external classes vary under programmatic control.

December 11th, 2012, 02:27 PM

The LinReg indicator does not have much of a performance impact but this example shows how it can be made more efficient.

Calls to the external SUM class eliminated. SUM algorithm moved into this indicator. Beats using a reusable instance of the external SUM class.
Variables that do not change intrabar are calculated only on FirstTickOfBar.
OnBarUpdate does not process redundant intrabar ticks.
Single precision "Float" variables reduce amount of arithmetic and memory load since a Float has half the bytes of a Double.

If you want to use this, rename the file to @LinReg and REPLACE the existing file that has that name.

December 11th, 2012, 03:43 PM

@Zondor

You actually lose performance by downcasting those doubles. C# double addition takes 0.11 ns more than float addition on a 2 GHz machine, all else is the same. So downcasting is more expensive for your algorithm. I would only do it if the memory bandwidth was comparable to the L2 cache.

December 11th, 2012, 03:59 PM

Thanks @artemiso, I was wondering about that. The float downcasting is a sledgehammer approach.

I was brought up in the days of slide rules, so am very aware that doing arithmetic with excessive non signficant precision is very wasteful. But I am not sure that there is any good way to curtail it. Math.Round, Trunc, and string formatting don't sound like good options either.

Noticed that lots of people have looked at this post. You are probably admiring my necktie and wondering where you can get your own.

December 11th, 2012, 04:07 PM

Zondor

Thanks @artemiso, I was wondering about that.

Doing arithmetic with excessive non signficant precision is very wasteful, but I am not sure that there is any good way to curtail it. Math.Round, Trunc, and string formatting don't sound like good options either.

You're welcome. Unfortunately, modern processors are so fast that the primitives nearly all take 1 clock cycle. The extra precision is indeed wasteful, but it's here to stay.

January 9th, 2013, 08:25 AM

Zondor

RWT-004 :: Move the Markets

Very interesting post at MoveTheMarkets. The way we usually do things is terribly inefficient and there is a better way:

"In all of the coding tutorials and examples I've seen, Ninjatrader indicators are used in-line. So, if you want to know when the SMA is going up, you'd check:
SMA(Close, 5)[0] > SMA(Close, 5)[1]
I find this practice repulsive for two reasons: redundancy and ineﬃciency. This paper chronicles the path I took to ﬁfinding a better way. If you just want to know what the better way is, skip to the 'Solution' section at the end......"

@Zondor, @Richard

That movethemarkets link does not work any longer. Any ideas?

January 9th, 2013, 08:32 AM

@Richard closed it down to pursue other interests, but hopefully is still around on futures.io (formerly BMT).

Too bad, there was some great stuff posted there.

January 10th, 2013, 06:57 AM

MWinfrey

@Zondor, @Richard

That movethemarkets link does not work any longer. Any ideas?

RWT-004 :: Move the Markets ?

Found it on NT support site
Best practice for programming efficient indicators for the NT Strategy Analyzer? - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

February 28th, 2013, 07:49 PM

I'm learning more about this topic and found this thread really helpful. Thank you!

Here is the movethemarkets PDF "Calling Upon Indicators Efficiently in NinjaScript" (attached)

Also, found this thread which has some more good info on this topic:

Best practice for programming efficient indicators for the NT Strategy Analyzer
Best practice for programming efficient indicators for the NT Strategy Analyzer? - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

May 30th, 2013, 12:00 PM

How would you go about this "economization" of indicators if you are using a multi-instrument strategy?

ie, if you declared

Code

class MyIndicator : Indicator {
private SMA sma1;
private SMA sma2;
...
protected void override OnStartup() {
sma1 = SMA(Close,5);
sma2 = SMA(Close, 13);
...
}

How could you then call sma1 or sma2 for a BarsArray[index] item?

Anyone have any hints for optimizing C# code?

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Anyone have any hints for optimizing C# code?