New trading systems platform
Thu Jul 7 23:18:21 CEST 2005
> > 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
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.
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