Hi Thomas -
I didn't change the window in your code, and when I load the aborted backtest into the research platform, only 9% of the memory is consumed. So, I don't think it is the overall scale of the algo (transactions, orders, etc.). Not sure what's going on, but as you guys post examples, I'd expect users to try running over the longest time periods possible. Not sure how you did the testing on your end, but if you run all the way back when backtesting, then if some fixes are still required, at least you can add a caveat (which you did, but I'm not clear if it applies here, because apparently there are multiple factors that can cause large scale algos to crash due to memory limitations).
EDIT: Well, I actually had another error:
TimeoutException: Call to before_trading_start timed out
There was a runtime error on line 352.
So, it may be that the memory error I reported was due to transactions. I'll see if I can push past the time-out error...maybe some electrons/holes in your transistors got confused.