Performance-issue-with-MetaStrategy-combining-Daily-and-intraday-strategies

Hi Team,

I’ve encountered a significant performance issue after adding an intraday strategy to my MetaStrategy. The MetaStrategy previously comprised multiple daily strategies and ran relatively quickly, approximately 3-5 times slower than the sum of individual strategy durations when run separately. However, after introducing an intraday strategy that operates on 1-minute intervals and executes very infrequently (around 50 trades in 20 years), the MetaStrategy execution times became extremely slow. It eventually hanged, requiring me to terminate WealthLab through the Dispatcher Server after several hours.

Here are the details of my setup:

Strategies:
DailyStrategy (SPY, daily)
IntradayStrategy (SPY, 1 min)

Test Period: 20 years of SPY data

Trades: Both strategies perform only one trade.

The code:

CODE:
   public class MyStrategy : UserStrategyBase
   {
      public MyStrategy()      
      {  
      }

      public override void Initialize(BarHistory bars)
      {
      }

      public override void Execute(BarHistory bars, int bar)
      {
         ClosePosition(LastPosition, OrderType.MarketClose);

         if (bar == 1)
            PlaceTrade(bars, TransactionType.Buy, OrderType.MarketClose);
      }
   }

I ran the following tests to isolate the issue, and here are the results for the second and subsequent runs in the same WealthLab instance (loading times excluded):

Individual DailyStrategy: <1 sec
Individual IntradayStrategy: 11 sec
Total for both separately: 12 secs

However, when combining them in a MetaStrategy, the performance degrades significantly:

MetaStrategy (1 x DailyStrategy, 1 x IntradayStrategy): 86 sec
MetaStrategy (2 x DailyStrategy, 1 x IntradayStrategy): 150 sec
MetaStrategy (3 x DailyStrategy, 1 x IntradayStrategy): 260 sec
MetaStrategy (4 x DailyStrategy, 1 x IntradayStrategy): 368 sec
MetaStrategy (5 x DailyStrategy, 1 x IntradayStrategy): 548 sec

The computational overhead seems to increase disproportionately, suggesting a potential inefficiency in how MetaStrategy handles the combination of daily and intraday data.

Could you please investigate this issue?

Thank you for your assistance!

UPDATE: if you combine 5 intrday strategies the performance is also dismal, if combine 5 daily strategies - everything is fine.