[darthtrader2.0]

This thread is inspired by david22's post about neoticker in another thread and building internals for non NYSE markets...
I know this is neoticker's game and this is my last ditch attempt before I just buy neoticker...
I blew away one of my machines the other day and played around with the neoticker demo today but I just don't like the program.
So the first question is, has anyone here ever messed around with multi instrument strategy plots in Ninja? I know currently it is possible to construct some form of the tick client side from the datafeed with onmarketdata() and strategyplot() but I do not know if Ninja/our machines/memory can handle creating the SPX in real time..I'm pretty sure not...
NT7 is promised to have multiple instrument indicators so I'm on hold with neoticker until I see what that can do.
How many instruments that will support in real time is the key...While I do not expect to be able to calculate the S&P cash market from the individual stocks(even though this would rule because it would gives us a real time, tick precise PREM) there should be a work around as far as pruning the list down from 500.
A simple correlation between the move of security X and the S&P cash over a good sample size should do the trick there with a cutoff point, I suspect the list is much smaller than what we probly think.
The other reason then I want to stick with ninja is its not that hard to override plot()..OHLC and candles are simply a terrible way to visualize the data of TICK...we already know the bounds of the data, a distribution at N time makes alot more sense.

[ryker]

Originally Posted by darthtrader2.0 »

This thread is inspired by david22's post about neoticker in another thread and building internals for non NYSE markets...
I know this is neoticker's game and this is my last ditch attempt before I just buy neoticker...
I blew away one of my machines the other day and played around with the neoticker demo today but I just don't like the program.
So the first question is, has anyone here ever messed around with multi instrument strategy plots in Ninja? I know currently it is possible to construct some form of the tick client side from the datafeed with onmarketdata() and strategyplot() but I do not know if Ninja/our machines/memory can handle creating the SPX in real time..I'm pretty sure not...
NT7 is promised to have multiple instrument indicators so I'm on hold with neoticker until I see what that can do.
How many instruments that will support in real time is the key...While I do not expect to be able to calculate the S&P cash market from the individual stocks(even though this would rule because it would gives us a real time, tick precise PREM) there should be a work around as far as pruning the list down from 500.
A simple correlation between the move of security X and the S&P cash over a good sample size should do the trick there with a cutoff point, I suspect the list is much smaller than what we probly think.
The other reason then I want to stick with ninja is its not that hard to override plot()..OHLC and candles are simply a terrible way to visualize the data of TICK...we already know the bounds of the data, a distribution at N time makes alot more sense.

Hi darth,
Using the strategyplot to display markets internals is quite easy to do and also using it to calculate and display some indicators based on a few instruments is quite easy but if the list is too big NT won't handle it (I can't say what is the limit though...).
I think you're right by saying that we could bring down the number but it would require some quantitative analysis which would be probably better to do outside NT (you can plug NT to a statistical software).

Do you use some statistical software?

[darthtrader3.0beta]

Originally Posted by ryker »

Hi darth,
Using the strategyplot to display markets internals is quite easy to do and also using it to calculate and display some indicators based on a few instruments is quite easy but if the list is too big NT won't handle it (I can't say what is the limit though...).
I think you're right by saying that we could bring down the number but it would require some quantitative analysis which would be probably better to do outside NT (you can plug NT to a statistical software).

Do you use some statistical software?

Hey ryker,
Can you define what is too big as far as ninja goes here as far as your experience? I've mostly been waiting to see what they do in 7 as far as the the multi instrument indicator stuff...i'm sure that won't be much different than in strategies...
If its 100 vs 500 that is cool..if its 500 vs 3...not so good...
Statistical software wise I've messed around with R but never found anything that wasn't easier to do with Excel...Excel is probly robust enough, certainly for this kind of thing..
Output to the Ninja window with commas is kind of a pain for large datasets to save/paste/import into excel but certainly impossible and easier than any other solution I've found at my level of programming....

[ryker]

I've never done any testing in NT regarding what is the maximum number of instruments we can add in the strategy. But it all depends on your actual setup and also on your computer.

I'll run some tests this week by adding a few instruments in a blank strategy and then running some simple calculations on them.

As for NT7, I don't think the multi instrument indicator would be too much different thant the multi instrument strategy but NT7 will support multiple cores so if you have a powerful CPU you should be able to have a bigger list than in NT6.5.

I saw NeoBreath and it looks quite cool, I don't think that NT7 would have something similar and the multi instrument indicator won't be probably as quick as NeoBreath (although I'd like to be wrong here ).

[darthtrader3.0beta]

Oh I had not heard that that NT7 will support multiple cores..thats fantastic...
I'm going to try to build TIKI over the thanksgiving holiday. I guess the problem with that is I'm sure ninja can handle 30 custom series like that if its just doing addition and subtraction. I would think at some point memory becomes a bigger issue than actual CPU useage but I could be totally off there.
As far as neobreadth, isn't the the ease of that have to do with the fact that neoticker handles the list of single equities behind the scenes?
We could potentially do something like that pulling from a text file with a for loop in Initialize():

for (blah blah)
Add("X", PeriodType.Minute, 1);

[darthtrader3.0beta]

Well I messed around with this on the weekend and just loaded it up.
Bad news is my calculations make no sense and the plot is bogus but the good news is Ninja seems to be handling 30 manually added instruments like cakewalk..
In intialize I just did:
Add("AA", PeriodType.Minute, 1);
Add("AXP", PeriodType.Minute, 1);
Add("BA", PeriodType.Minute, 1);
Add("BAC", PeriodType.Minute, 1);
ect, ect..

then in onbarupdate (set to calculate on close false)
for(x = 0;x < 29; x++)
{
if(Closes[0][x] > LastTransactedPrice)
{Direction = 1;}

ect ect
So 30 instruments work and a for loop works, this should be doable. I couldn't figure out how to do this by overriding onmarketdata() but hopefully this will be good enough. Once I get the logic right I'll see if I can crash it with the S&P100.

[BlowFish]

Does ninja generate a bar update event if any data series changes or just if the first one does?

[darthtrader3.0beta]

Originally Posted by BlowFish »

Does ninja generate a bar update event if any data series changes or just if the first one does?

Well I think I just got TIKI going just now and spitting out the DOW stock data to the ninja output window its updating all the data series extremely fast. I'm not sure if its on the first dataseries or on all them though, I just loaded up SPY so that even if it needs a tick from the main dataseries to update, SPY is more than fast enough.
This is certainly better than the 5 second lag I get on DTN.
Going to drink some coffee and grunt through adding the S&P 100 right now.

Bump: Lame...well it appears Ninja has a 50 instrument limit as fas as add() goes.
Above this the strategy loads but doesn't switch on.
very disappointing considering how smoothly its handling 50 instruments.