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Any tips for a faster executing EA?

  • #1
  • First Post: Jun 1, 2015 10:48pm Jun 1, 2015 10:48pm
Howdy,

I was wondering if anyone would be able to give any tips or advice on how to make your code execute quicker please. I am not trying to build a HFT algo so real time execution is secondary (but of course always a bonus). Instead, I am trying to cut down the strategy tester time between each pass.
This will have obvious benefits for time utilisation when running a large optimisation (as I am).

I am working within the MetaTrader environment but welcome discussion with any language that one might be using.
I have the following ideas that we are already implementing:

MetaTrader 5 (64 bit and uses all cores)
More powerful CPU (within ones budget)
The use of Integers
Object Orientated Programming (I am not 100% on this but it seem logical that a number of smaller length .mqh files is going to be faster than one gigantic .mq5 file - thoughts?)

Any other suggestions?

Thanks very much!
What's it all about? It's all about money.
  • #2
  • Jun 2, 2015 12:35am Jun 2, 2015 12:35am
Quoting Innate
Object Orientated Programming (I am not 100% on this but it seem logical that a number of smaller length .mqh files is going to be faster than one gigantic .mq5 file - thoughts?)
Probably not. That's not how computers work ... The code gets compiled anyway.
  • #3
  • Jun 2, 2015 1:17am Jun 2, 2015 1:17am
Thanks for the clarification.

I have no background in computers but have been teaching myself programming for a while now, so there will be large chapters of my computer science knowledge missing. Sorry if that was an obvious mistake.

Looking for good habits to pick up, keen to learn.
What's it all about? It's all about money.
  • #4
  • Jun 2, 2015 1:49am Jun 2, 2015 1:49am
Quoting Innate
Thanks for the clarification. I have no background in computers but have been teaching myself programming for a while now, so there will be large chapters of my computer science knowledge missing. Sorry if that was an obvious mistake. Looking for good habits to pick up, keen to learn.
Increasing calculation power is the very last measure you should take. The true calculation decrease comes in optimizing the algorithms. You can see the effect of algorithm optimization really nicely if you try to calculate a Fibonacci number iterative vs recursive. One of them takes minutes the other one just miliseconds.

 

  1. The mql4/5 editor has a build in profiling tool which should give you a basic understanding about which part of the algorithm takes a long time.
  2. How often does your code execute? Is it really important for every tick to be simulated or is it enough to check only the bar opening? This will give you a xxx % fold decrease in backtesting time.
  3. Is there large portions of the code that do not need to be executed over and over again? Can you write a simply if check and disregard a lot of calculations every cycle?
  4. Micro optimization (if you really want that last bit mql4 can do) like mapping often used values instead of calculating them over and over again. Buffer loop conditional variables. I think local variables are a bit faster as well as global scope. So you can save a fraction of a second there. Using bit shift instead of division. Try to avoid modulo etc .... But this is kind of overkill for you I suppose.

  • #5
  • Jun 2, 2015 1:57am Jun 2, 2015 1:57am
Hi,

From what I know:

MT5 multicore could be ok, but you need to program accordingly. That means separating your code in several threads that can execute concurrently.

More powerfull CPU, yes, that will speed up your execution time, but then if your transmission time (internet) is slow that has no sense.

Use of integers ? I don't understand this, you want to convert doubles to integers and vice-versa ? The conversion time will make you lose the gain of using them unless you make really heavy calculations.

OOP, no, that allows only to reorganize the code, the resulting binary is not quicker than procedural code. And the length of header files or having multiple header files instead of one big has nothing to do with execution speed.

BT
Simplicity is the Ultimate Sophistication.
  • #6
  • Jun 2, 2015 2:30am Jun 2, 2015 2:30am
Quoting Innate
Thanks for the clarification. I have no background in computers but have been teaching myself programming for a while now, so there will be large chapters of my computer science knowledge missing. Sorry if that was an obvious mistake. Looking for good habits to pick up, keen to learn.
I don't know much about MQL, I just got into it over the weekend. I have a lot of knowledge about other languages though. The thing is: Programming languages are not made for computers, they are made for humans. The computer "reads" a translated version - generated by the compiler. The compilers output has not too much resemblance with what you see in your editor. The compiler will change (optimize) a lot, including inlining of code which in turn will make the code even bigger instead of smaller.

General advice: Don't go for the micro optimization until your code really works. It's a waste of time. Tackle the overall program structure, logic and maybe your calculations (if you heavily rely on those). Just by looking at the structure of an EA for example it is quite clear that to much (unnecessary) computation in OnTick() is a bad idea as that routine is called very often.
  • #7
  • Jun 2, 2015 5:35pm Jun 2, 2015 5:35pm
Quoting Kilian19
{quote} Increasing calculation power is the very last measure you should take. The true calculation decrease comes in optimizing the algorithms. You can see the effect of algorithm optimization really nicely if you try to calculate a Fibonacci number iterative vs recursive. One of them takes minutes the other one just miliseconds. The mql4/5 editor has a build in profiling tool which should give you a basic understanding about which part of the algorithm takes a long time. How often does your code execute? Is it really important for every tick to...
Hi Kilian,
Thanks for the reply.
Iterative vs recursive Fibonacci: Never heard of this and is something I will keep reading up on. Found some stuff on stackoverflow.
mql5 editor profiling tool: Not something I have used before, found some articles on it and reading about it now. Obvious solution, thank you!
OnTick: I have been quite mindful of this and tried to keep majority of tasks OnBar but yes one of the trade types is OnTick which will be eating away at processing time. This looks like some low hanging fruit.
Portions of the code being executed over and over again?: This is not a area I have considered much and shall look into. I think you are correct there should be some good efficiency to be found here.
Micro optimization: Love the suggestions and if I get that far I will definitely try anything (good for my learning regardless).

Much appreciated.
What's it all about? It's all about money.
  • #8
  • Jun 2, 2015 5:48pm Jun 2, 2015 5:48pm
Quoting broketrader
Hi, From what I know: MT5 multicore could be ok, but you need to program accordingly. That means separating your code in several threads that can execute concurrently. More powerfull CPU, yes, that will speed up your execution time, but then if your transmission time (internet) is slow that has no sense. Use of integers ? I don't understand this, you want to convert doubles to integers and vice-versa ? The conversion time will make you lose the gain of using them unless you make really heavy calculations. OOP, no, that allows only to reorganize...
Hey Broketrader,

MT5 multicore: I never realised that you can separate your code into different threads like that. This could make a huge difference. Currently you only get the advantage of multicore when running the optimiser. (which is an epic difference over mt4).
CPU: Im looking at acquiring a new machine currently. The new Haswell chips look pretty slick. Internet connection speed is not an issue. I am just focused on the code executing.
Integers: I could be totally wrong but with my limited understanding Integers are easier for a machine to calculate than say a Double. e.g. only work in pips or _Points when calculating things like stops and targets. Not interested in converting integers and doubles back and forth.
int StopLoss = 300; // StopLoss in _Points
Not able to be done everywhere, just where the opportunity presents itself.

Thank you for all your input it is greatly appreciated.
What's it all about? It's all about money.
  • #9
  • Jun 2, 2015 5:56pm Jun 2, 2015 5:56pm
Quoting JensG
{quote} I don't know much about MQL, I just got into it over the weekend. I have a lot of knowledge about other languages though. The thing is: Programming languages are not made for computers, they are made for humans. The computer "reads" a translated version - generated by the compiler. The compilers output has not too much resemblance with what you see in your editor. The compiler will change (optimize) a lot, including inlining of code which in turn will make the code even bigger instead of smaller. General advice: Don't go for the micro optimization...
Thanks for the general advice. I will do just that. Tackle the bigger problem (structure, logic and calculations) and then work my way down to the micro level.
OnTick() looks like a great place to start for easy gains.

New to mql? Best of luck to you in your trading! If you are familiar with programming in general you should churn through mql pretty fast. Mql4 is certainly the flavour of choice, but if you know your stuff go straight to mql5. The benefits in testing eat any advantage that mql4 can offer. Its a tired old horse and everyone keeps on flogging it.
What's it all about? It's all about money.
  • #10
  • Jun 3, 2015 5:43am Jun 3, 2015 5:43am
I watch windows task manager, I saw mt4 only can use 25 CPU in maximum, then, mt4 stucked.
How to increase % usage of CPU for mt4 in order to mt4 run fast, no stucked?
  • #11
  • Jun 3, 2015 10:02am Jun 3, 2015 10:02am
Quoting Jack168
I watch windows task manager, I saw mt4 only can use 25 CPU in maximum, then, mt4 stucked. How to increase % usage of CPU for mt4 in order to mt4 run fast, no stucked?
I guess you have a quad core PC - in that case 25% equals to 100% of one core. To benefit from multiple cores an application must be designed for multi threading (parallel execution) so there is probably nothing you can do on your end.
  • #12
  • Last Post: Jun 4, 2015 11:06am Jun 4, 2015 11:06am
Quoting JensG
{quote} I guess you have a quad core PC - in that case 25% equals to 100% of one core. To benefit from multiple cores an application must be designed for multi threading (parallel execution) so there is probably nothing you can do on your end.
Yes, you are right. My PC has a quad core in CPU. Thank.
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