New trading systems platform

HP Wei <>
Thu Jul 7 23:18:21 CEST 2005


hi Joel,

> >   I just want to point out that to store tick data
> >   of many years needs a LOT of disk space plus
> >   the capability of compression (when writing)
> >   (and decompression when reading)  in your database design.
>
> Do you have a model for tick data storage? Fields, etc.

   All I am allowed to say is that we have a proprietary model.

> Why would I bother to compress/decompress? Wouldn't keeping 1-2-3Gb
> in-memory be enough? Should I really care about disk storage?

   hmmm,  I think this depends on the operation
   and the scale of your trading system.

   Usually, for real-time trading, you only need data as back as
   only a few months to get your initial parameters. If you don't
   access them very often during the trading, then IO is not
   an issue.
   And putting all today's data in memory is certainly ok
   with nowaday's computers.

   However, when you do backtesting (or model studying),  I believe
   you will need several years of
   tick data, then you are likely gonna hit the issues of
   disk space and the efficiency of database IO.

--HP




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