Fernando,
> I've been following the postings at the uptick google group
> (
http://groups-beta.google.com/group/uptick?hl=en), and one of the
> major concerns of the author is the db for keeping the price data.
> Apparently, a rdb is too slow for time series.
>
> How was this solved for alchemetrics? Did you use a oodb or what?
Well, it depends what you mean by price data. The real-time price data
comes in tick by tick and is used immediately and is not stored.
The historical price data is split into two forms, daily bars and
minute bars. This is used for historical back testing and for the daily
generation of new orders. Interestingly, given the recent complaints
in this newsgroup about the format, this data is stored in STB files.
To be honest, this was originally intended to be a stopgap solution
that would be The Simplest Thing That Could Possibly Work. We have a
memory mapped file format ready to go for use in the future but, at the
moment, performance from the STB format is acceptable.
--
Andy Bower
Dolphin Support
www.object-arts.com
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