Dear Dukas Support,
In the latter half of the following post:
viewtopic.php?f=88&t=47923, an issue was raised regarding calculations for indicators with Shift = 0, vs Shift = 1 using Renko Feeds as the Feed Descriptor. It was mentioned that there seems to be significant performance issue when calculating with Shift = 0 as opposed to with Shift = 1. The original post was marked as 'Fixed' however, this isn't the case and I have built a little "Bench-Marking" tool to demonstrate.
In the onBar method call as part of the IRenkoBarFeedListener, the following code was inserted:
int[] offsets = new int[]{1,0};
int runs = 100, shift;
long duration;
org.joda.time.DateTime start, finish;
try{
TRIAL_COUNTER++;
FeedDescriptor renkoFeedDescriptor = this.feedDescriptor;
//Loop through the 'Shift' values, 1 and 0.
for(int i = 0; i < offsets.length; i++){
shift = offsets[i];
//Conduct the Benchmark.
start = DateTime.now();
for(int j = runs -1; j >=0; j--){
context.getIndicators().calculateIndicator(renkoFeedDescriptor,new OfferSide[]{offerSide},
"DEMA",new AppliedPrice[]{AppliedPrice.CLOSE},new Object[]{10},shift);
}
finish = DateTime.now();
//Determine the duration and report the result.
duration = finish.getMillis() - start.getMillis();
System.out.println("Trial "+TRIAL_COUNTER + ": Duration With Shift: " + shift + ", is: " + duration + "MS After: " + runs + " Indicator Calculations.");
}
}
catch(JFException ex){
//Handle Quietly.
}
In this above code, the 10 bar DEMA is calculated 100 times, with the indicator shift = 1 (up to last completed bar) and with shift = 0 (including the current bar). The duration of the net calculation for each 100 x batch is then returned to the screen. This process is then repeated each time a new bar is received by the onBar method.
The results are quite clear in my opinion, for trial 2 and beyond, the calculation for shift = 0 takes 12+ seconds, compared to <5MS for Shift = 1, sample output listed below.
Trial 1: Duration With Shift: 1, is: 12MS After: 100 Indicator Calculations.
Trial 1: Duration With Shift: 0, is: 9MS After: 100 Indicator Calculations.
Trial 2: Duration With Shift: 1, is: 5MS After: 100 Indicator Calculations.
Trial 2: Duration With Shift: 0, is: 12843MS After: 100 Indicator Calculations.
Trial 3: Duration With Shift: 1, is: 5MS After: 100 Indicator Calculations.
Trial 3: Duration With Shift: 0, is: 12783MS After: 100 Indicator Calculations.
Trial 4: Duration With Shift: 1, is: 3MS After: 100 Indicator Calculations.
Trial 4: Duration With Shift: 0, is: 12762MS After: 100 Indicator Calculations.
Trial 5: Duration With Shift: 1, is: 4MS After: 100 Indicator Calculations.
Trial 5: Duration With Shift: 0, is: 12758MS After: 100 Indicator Calculations.
Trial 6: Duration With Shift: 1, is: 4MS After: 100 Indicator Calculations.
Trial 6: Duration With Shift: 0, is: 12796MS After: 100 Indicator Calculations.
Trial 7: Duration With Shift: 1, is: 4MS After: 100 Indicator Calculations.
Trial 7: Duration With Shift: 0, is: 12805MS After: 100 Indicator Calculations.
Trial 8: Duration With Shift: 1, is: 3MS After: 100 Indicator Calculations.
Trial 8: Duration With Shift: 0, is: 12788MS After: 100 Indicator Calculations.
Trial 9: Duration With Shift: 1, is: 3MS After: 100 Indicator Calculations.
Trial 9: Duration With Shift: 0, is: 12777MS After: 100 Indicator Calculations.
Trial 10: Duration With Shift: 1, is: 3MS After: 100 Indicator Calculations.
Trial 10: Duration With Shift: 0, is: 12806MS After: 100 Indicator Calculations.
Can you please confirm whether this error can be replicated, the feed descriptor is for a 5pip Renko Brick Size FYI.
Many Thanks and Regards.
ADP.
