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»Forums Index »Product Support »IQFeed 3rd Party Software Support »What is the best method to maintain a database of ticks for a collection of stocks?
Author Topic: What is the best method to maintain a database of ticks for a collection of stocks? (2 messages, Page 1 of 1)

smt52
-Interested User-
Posts: 31
Joined: Feb 23, 2009


Posted: Feb 23, 2009 08:48 AM          Msg. 1 of 2
Hi,

I'd like to maintain a historical database of tick data for stocks.

Can anybody suggest a method?

I would be open to any method that might require programming, such as a Ninja Trader solution.

I would also be open to any pre-packaged software that will take over the task of populating a database with tick data, in realtime, 365 days a year, 24 hours per day (actually, within trading hours).

Shane.

rbrodt
-Interested User-
Posts: 4
Joined: Oct 23, 2008

What color is an orange?


Posted: Mar 6, 2009 09:07 AM          Msg. 2 of 2
Since tick data is typically accessed sequentially (from start to end) instead of randomly (picking out a tick from the middle of at trading session) it makes sense to use a directory and file structure. One directory per trading instrument, and one file per trading session. To conserve space, we use a flyweight design pattern storing only the price and size offsets from an initial absolute price/size. So the tick file uses a "long" record that contains a timestamp, the LAST price and size, and volume, then subsequent ticks use a "short" record that contains a time offset from the previous record (in seconds), price offset (in "ticks" depending on the instrument) and a size offset. If the offsets are too large to fit into a "short" record, we write another "long" record. A day's worth of tick data is typically about 1Mb - small enough to be managed comfortably.
 

 

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