Issue 473 in tradelink: profile ExecutionPerformance unit test

[trad...@googlecode.com]

Status: Accepted
Owner: frantajosh

New issue 473 by frantajosh: profile ExecutionPerformance unit test
http://code.google.com/p/tradelink/issues/detail?id=473

to see why executions are slower than rest of the simulation.

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[trad...@googlecode.com]

Comment #1 on issue 473 by frantajosh: profile ExecutionPerformance unit
test
http://code.google.com/p/tradelink/issues/detail?id=473

here is my test, which I'm profiling using EQATEC free .net profiler

class Program
{
static int tickcount = 0;
static long lasttime = 0;
const double EXPECTEX = .8;
static HistSim h;
static void Main(string[] args)
{
h = new
HistSim(@"C:\Users\jfranta\Desktop\TLS\TradeLinkTests\");
h.GotTick += new TradeLink.API.TickDelegate(execute_GotTick);
h.SimBroker.GotFill += new
TradeLink.API.FillDelegate(SimBroker_GotFill);

for (int i = 0; i < 1000; i++)
GO();
}

static void GO()
{
h.Reset();
h.Initialize();
System.Threading.Thread.Sleep(1000);
tickcount = 0;
lasttime = 0;
fillcount = 0;

DateTime start = DateTime.Now;
h.PlayTo(HistSim.ENDSIM);
double time = DateTime.Now.Subtract(start).TotalSeconds;
Console.WriteLine("Execution runtime: " + time.ToString("N2")
+ "sec,
versus: " + EXPECTEX + "sec expected.");
Console.WriteLine("Execution " + ((double)tickcount /
time).ToString("N0") + " ticks/sec. " + ((double)fillcount /
time).ToString("N0") +
" fills/sec");
h.Stop();

}
const double EXPECT2SYMTIME = 1.5;
const int desiredfills = 1000;
static int fillcount = 0;
static List<string> syms = new List<string>();

static void SimBroker_GotFill(TradeLink.API.Trade t)
{
fillcount++;
}

static void execute_GotTick(TradeLink.API.Tick t)
{
tickcount++;
// generate fills periodically
if (fillcount >= desiredfills) return;
if (tickcount % 50 == 0)
{
bool side = fillcount % 2 == 0;
h.SimBroker.sendOrder(new MarketOrder(t.symbol, side, 100));

[trad...@googlecode.com]

Comment #2 on issue 473 by frantajosh: profile ExecutionPerformance unit
test
http://code.google.com/p/tradelink/issues/detail?id=473

(No comment was entered for this change.)

Attachments:
TL473.jpg 48.0 KB

[trad...@googlecode.com]

Updates:
Status: Verified

Comment #3 on issue 473 by frantajosh: profile ExecutionPerformance unit
test
http://code.google.com/p/tradelink/issues/detail?id=473

reworked account.Equals call to use faster comparison here :

http://blogs.msdn.com/noahc/archive/2007/06/29/string-equals-performance-
comparison.aspx

got around 20% increase. rest of increase will need to come from
refactoring the
process.