TradeStation bug optimizing strategies using Data2 data streams
Jeff swanson documented a bug when optimizing strategies with a data2 data stream. I confirmed this issue and contacted TS support in this post and found that this issue occurs when using TradeStation in their performance multi-threaded mode. The issue does not occur when using compatibility single-threaded mode.
However, the issue was also present when optimizing the test strategy in EITHER single or multi-threaded mode using TradeStation’s Optimization API. MultiWalk uses this API. The Optimization API does not use compatibility or perforamnce mode, but has its own thread management system. Therefore I don’t see any workaround with this issue when optimizing using MulitWalk.
I have checked several of my own strategies that use multiple data streams, and so far none of them are experiencing this issue, so I am unclear just what triggers this issue.
But if your strategy uses data2 and you are seeing differences between TradeStation’s or MultiWalk’s optimization results vs the results when running the strategy on a chart, then this issue may be the cause.