As part of End-Of-Day calculations once a particular market/exchange has closed for all the tickers traded on that market one may typically compute the following properties: OHLC Bid/Ask Price ...
I'd like to work with raw tick data and naturally this data is unevenly spaced (for example, a couple of quotes are at the same second etc.) For example ...
I have been looking for a low cost solution to effectively store and query tick and bar data. Databases like kdb+ and Streambase are too expensive for me. Building a custom solution with SSAS (Sql ...