I'm happy how we store a single time series but we somehow lack a system that glues them all together. I'm talking about a few million time series coming from ~50 data vendors and representing maybe a million contracts.
It appears to me that hydrologists(!) have a pretty decent framework (KiTSM) but it takes A LOT of imagination to apply their (GIS-based) system to financial time series.
I imagine something with a comprehensive set of command line tools for batch processing, a neat web interface for tagging and generating custom compilations and maybe something to allow users to subscribe certain compilations, as well as some bindings for the big systems, maybe a matlab/R/octave/SAS/you-name-it plugin.
I'm not particularly fixated on exactly these features, my (daily) work flow in detail:
- schedule data retrieval plans (somewhat like cron jobs) and monitor them, i.e. get a list of time series that haven't been updated this morning
- get all back-adjustments and other corrections to time series
- inform research groups that currently use those time series about corrections
- provide fail-over time series/data vendors on request, e.g. resort to CSI settlement prices when CME's DataMine service is down
Something like this is best given into the hands of the end-users because they probably have a better idea of what might suit their specific needs.
Does a tool like this exist?