Is it feasible to backtest and execute a strategy that incorporates 100s or thousands of lines/data-feeds? In the multi-data feed examples like here it appears that you need to add a line for each feed.
What if my strategy wants to observes ~1,000 different securities with OHLCV and possible more inputs, so 5,000+ lines per timestamp. Is this feasible? If so an example would be much appreciated.