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tick data database

4 messages · Hae Kyung Im, Dirk Eddelbuettel, Wind +1 more

Original
Hae Kyung Im
# 
Hi,

it may be slightly off topic but I was wondering if any of you heard
about using netCDF format (or similar) to handle tick data?

I thought kdb would be a nice option but the price seems a bit too
high for my purpose. Do you know of any good open source alternative?

Also is there any package to connect R with kdb?

Thanks
Haky
Dirk Eddelbuettel
#
On 1 May 2009 at 16:45, Hae Kyung Im wrote:
| it may be slightly off topic but I was wondering if any of you heard
| about using netCDF format (or similar) to handle tick data?

I know of places that use hdf5 so it likely that someone may also be using
netCDF.
 
| I thought kdb would be a nice option but the price seems a bit too
| high for my purpose. Do you know of any good open source alternative?
| 
| Also is there any package to connect R with kdb?

Yes, you can get it off the (public access, as I recall) kx.com website.  I
looked at it for a few days---and even enhanced the existing R / kdb package
with corrected support for sub-second time types between R and Kx with a
patch you find on my blog at http://dirk.eddelbuettel.com/blog---but we
decided to go with a competing product (for which I've since written an
internal R package connecting to their C++ API).  If you want to evaluate Kx,
you get a free-as-in-beer 32 bit binary that will run for two hours after
which you need to relaunch.

The is a lot of cool stuff listed at the bottom of the 'column-oriented DBMS'
page on Wikipedia.  Someone should nudge these towards open-source tick data
bases. Jeff and I talked about it but alas no free time...

Dirk
Ulrich Staudinger
#
Wind2 wrote:
Hi,

sorry to crosspost, but there are two interesting threads on aq.org and on
the rsig-finance mailing list where i think it is worth they know of each
other ...

http://www.nabble.com/Thoughts-about-handling-huge-amounts-of-ticks-in-db-backend-td22999165.html
http://www.nabble.com/tick-data-database-td23340204.html


Regards,
Ulrich