Wednesday, March 9, 2011

Tick data repository - real-time/historical market data

I think this was a CS interview...

Used for 1) back-testing, 2) trading signal generation, even if no real order sent, and 3) algorithmic real-$ trading.

First target user is back testing. Users would also try the 1 -} 2 -} 3 in that sequence.

Stores FX, FI and equity market data. Therefore the system treats everything just as generic tick data either quote ticks or trade ticks.

Multiple TB of data in memory. Time-series (not SQL) database.

Created using c++ and java. Probably due to sockets.

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New York (Time Square), NY, United States
http://www.linkedin.com/in/tanbin