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Hi everyone,
I've developed myself a walkforward optimization and also some bruteforce generator that uses multiple instances of LEAN Engine, to generate multiple backtests all together with different parameters for each instance run.
I'm talking about generally 1 instance per CPU Core, everything is handled with a main program that creates and manages multiple background workers.
Now the problem comes in.
I have noticed that if i run multiple instances , the speed of LEAN does not remain constant, infact it decreases a lot.
The thing i've noticed particularly is that all the bars consolidation process takes more time as there are more instances.
I'm afraid tha there might be locks on file readings or such, and it's so annoying that the engine does not even go full throttle and that wastes a lot of time and power.
Can anyone confirm this, or give a hint?
Thanks.
Jared Broad
Interesting Marco, the best way to learn is to profile -- please download a profiler and post the results here. Its generally one of the big 3: Ram, Disk or CPU. SSD read limits, CPUs overheat and slow, if doing a lot of ram operations heaps slow it down.
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Marco Concato
I am profiling it now, probably today or tomorrow will post results.
Anyway it's been like this even without multithreading, lean never and never used more than 40% /50% of a CPU core and i hardly doubt it's a hardware restriction
Marco Concato
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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