I plan to try it out myself, but I wanted to check here if running
applyStrategy in a loop, while looping over different dates, will work? I
could not find any examples of this.
There are 2 reasons for wanting to do this: First of all, one could have a
couple of years of tick data, which is too big to fit in memory for each
symbol. Of course, I am assuming that the orders placed by the strategy are
sparse enough so that the order_book generated by applyStrategy can still
fit in memory.
The second reason is that if this loop could moreover be run in parallel,
then there could potentially be a 500x speed up for two years of data.
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