[erlang-questions] trading systems

Robert Raschke <>
Thu Oct 1 12:59:46 CEST 2009


On Thu, Oct 1, 2009 at 11:58 AM, Robert Raschke <>wrote:

>
> On Thu, Oct 1, 2009 at 11:45 AM, Joel Reymont <> 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 ;-)
>
> Robby
>
>
Sorry, meant to say "have a look at ... for inspiration".

Robby


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