Performance tips, when creating custom indicators

[mgamache]

I am in the process of optimizing strategies with 2-3 indicators on five minute charts (so there are a lot of bars each day). Are there any best practices for optimizing the performance of the indicators? I am limiting the data to a list with 350 items and the values seem to match Trading View so it's enough data.

Indicators used (some as part of my own custom indicators): Stochastic VWMA, EMA, SMA.

any tips would be helpful.

thanks

[DaveSkender]

There’s quite a few aspects of your implementation that might have performance tuning opportunities. If you don’t know the source of slowness, the first step is to test each unit, with something like benchmarks.net or with other IDE profiler tools, so you can 1) see what part is slower, and 2) try different things to see how it affects performance.

[mgamache]

Thanks, I did a quick CPU profile just to make sure the indicators are taking most of the CPU. I use doubles and not decimals for all indicator calculations.

I've attached one of my custom indicators based on this TV version for your review.
https://www.tradingview.com/v/tqitSsyG/

BBWPIndicator.zip

[DaveSkender]

These LINQ elements are really slowing this down.
ElementAt, Take, Skip, Select, Sum
There's also a faster inline way to do your initial SMA, and StdDev
Also, enum definition might be better outside of the result class.

[DaveSkender]

Checkout the *.Series.cs files in our sources for examples

[mgamache]

Thanks the profiler didn't flag the Skip Select or Sum as major contributors, but the SMA/StdDev were large CPU percentages so that will be the first place I look. Then I'll look at replacing the Linq statements.

note: the Select statement was put in place as an optimization vs a for loop that was slower.

[DaveSkender]

Yeah, with the way you’re setup, you have three “passes” over your quotes, so it’ll be at least 3x slower than a single pass approach. Both SMA and STDEV are particularly intensive because they have to re-evaluate the lookback window with every new bar.