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Fantastic resource Matlab and tick data repositories for fast tick data processing HDF5, KDB, BerkelyDB

(Last Updated On: October 25, 2010)
Fantastic resource Matlab and tick data repositories for fast tick data processing HDF5, KDB, BerkelyDB
matlab and tick database options
There are a few threads over in Software on databases. The options I’d recommend would be BerkleyDB, KDB or HDF5. Berkley is most likely hardest to manage but has excellent speed. HDF5 is easy to manage and relatively fast. KDB+ is okay but a bit expensive.
But note that Matlab is not an option for HFT, it’s way to slow and has too much overhead. It’s decent for prototyping, back testing etc. for trading strategies but it’s not going to be fast enought for HFT. For small shop medium frequency trading (and general algorithmic trading) it will be fine (<10 bulk trades intra day or maybe every 2-3 days). For non co-located HFT you will most likely want C++ with proper memory managed access to read the ticks and work with them in real time (but you’ll be at a huge disadvantage even then because of not being co-located). For co-located stuff you’re best of getting advice from people with experience in that space since I have none.
http://www.wilmott.com/messageview.cfm?catid=38&threadid=77495

matlab and tick database options
There are a few threads over in Software on databases. The options I’d recommend would be BerkleyDB, KDB or HDF5. Berkley is most likely hardest to manage but has excellent speed. HDF5 is easy to manage and relatively fast. KDB+ is okay but a bit expensive.
But note that Matlab is not an option for HFT, it’s way to slow and has too much overhead. It’s decent for prototyping, back testing etc. for trading strategies but it’s not going to be fast enought for HFT. For small shop medium frequency trading (and general algorithmic trading) it will be fine (<10 bulk trades intra day or maybe every 2-3 days). For non co-located HFT you will most likely want C++ with proper memory managed access to read the ticks and work with them in real time (but you’ll be at a huge disadvantage even then because of not being co-located). For co-located stuff you’re best of getting advice from people with experience in that space since I have none.http://www.wilmott.com/messageview.cfm?catid=38&threadid=77495

http://208.234.169.12/vb/printthread.php?threadid=201252

http://www.mathworks.ch/help/toolbox/datafeed/kx.html;jsessionid=KJzyMByVd7KShv22QQkZtRlv7jDpPPnnGgbmG23tLMKH1Q6pghX2!-1666454064

Now a days when I want to access tick data directly then I use FastTick (now a Reuters product, http://quant.thomsonreuters.com/) which has its own proprietary database for accessing TAQ data. It’s really fast.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

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