[erlang-questions] trading systems

Robert Raschke rtrlists@REDACTED
Thu Oct 1 12:58:10 CEST 2009

On Thu, Oct 1, 2009 at 11:45 AM, Joel Reymont <joelr1@REDACTED> wrote:

> Has anyone used Erlang to backtest trading systems?
> This basically involves loading price and timestamp pairs
> and iterating over them calculating various things like
> moving averages, correlation, etc.
> Off the top of my head, Erlang does not seem to be the most
> efficient platform for this because prices would need to be
> stuffed into ETS or copied around otherwise.
> The most efficient way to manage price data is to simply keep
> appending quotes to the end of an mmap-ed file. I would love
> to represent the mmap-ed memory as a binary and I think it may
> even be possible. It would require some tricky work at the
> driver level, though.
> What do you think?
>        Thanks, Joel
You'll want a column based data store, K comes to mind (http://www.kx.com/).

If you want something a little bit more open, look at J (
http://www.jsoftware.com/) and it's JDB effort.

Staying with the one letter theme (must be an in joke of stats heads,
methinks), there's also S and R. Good look searching for those ;-)


More information about the erlang-questions mailing list