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Data parallel analsysis
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Anyone figured a clean way to attach individual analyzer per datafeed? The purpose is to compare performance of the strategy using build-in analyzers (return, sharpe, drawdown, etc) across multiple venues. I am aware that analyzers are meant to operate on strategies, however I was wondering whether anyone came up with a reusable pattern to write analyzers that operate on datafeeds.
For now, I am simply running an individual backtest per datafeed in a separate process, which allows for such parallelism but introduces some overhead.
