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Tick Data Storage, Treatment (NaNs, Spikes, Missing Data) for Quant Analysis

Tick Data Storage, Treatment (NaNs, Spikes, Missing Data) for Quant Analysis Anyone out here use MATLAB and kdb+ for investigating algo-trading? I’d like some tips about treating tick data. What are the dangers of downsampling, smoothing and handling missing data, are there any — I have done a lot of work in tick level analysis. …

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Data stream sampling algorithm(s) when sample storage is limited and data storage is not?

Data stream sampling algorithm(s) when sample storage is limited and data storage is not? The problem is: I have limited sample storage and unlimited data storage. Data is ingested : 1. in a real-time. but can be ingested 2. incrementally (periodic batch mode) Simple approach “take every n/th sample” does not work for obvious reason. …

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