trading systems

[Joel Reymont]

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

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