My firm is looking for an out-of-the-box database system to store and query high-frequency tick data. What are the best options? It seems that kdb+ is the market leader in this field.
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$\begingroup$ In those circumstances: The best database system is file system. $\endgroup$– MarianCommented May 19, 2014 at 5:54
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$\begingroup$ out-of-the-box? This concept does not exist in finance, unless of course you want to "trade" bitcoins. Whatever time series store you decide to go with you will not get around doing a lot of performance analytics, tweaking, and customization. Just for your reference, KDB generally sends a host of "consultants" who stay for several days just to setup the initial database structure. $\endgroup$– Matt WolfCommented May 19, 2014 at 7:35
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$\begingroup$ possible duplicate of Is there any thing out there as a substitute for KDB? $\endgroup$– Bob Jansen ♦Commented May 19, 2014 at 7:57
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$\begingroup$ I'm also quite interested in this; if anyone knows of a free DB that integrates well with .NET, please do tell. $\endgroup$– rexCommented May 19, 2014 at 11:52
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$\begingroup$ not aware of such free product. if low frequency, check open-tsdb. $\endgroup$– Daniel QinCommented May 20, 2014 at 6:18
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3 Answers
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An alternative is the TeaFiles file format. It's simple and boasts a high performance but I believe you'll have to reinvent some wheels.
answered May 19, 2014 at 7:47
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$\begingroup$ By the way: this is almost a duplicate of quant.stackexchange.com/questions/3156/… $\endgroup$– Bob Jansen ♦Commented May 19, 2014 at 7:57
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$\begingroup$ ups, just saw your answer, also recommended it in my comment to the question. $\endgroup$ Commented May 20, 2014 at 7:36
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kdb+ seems to be the leader but their programming language is a pain really. Personally I use a HDF5. It is a No-SQL database. It integrates very nicely with python.
I have been very happy with it so far.
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velocity analytics might be a choice.
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$\begingroup$ Can you say a bit more about why? $\endgroup$– Bob Jansen ♦Commented May 20, 2014 at 5:53
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$\begingroup$ you may check thomsonreuters.com/enterprise-platform-velocity-analytics $\endgroup$ Commented May 20, 2014 at 6:11
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$\begingroup$ @DanielQin you should ellaborate in your answer, otherwise, please just post a comment. This is one of the good practices of this web site. Thanks. And welcome anyway. $\endgroup$– lehalleCommented May 21, 2014 at 5:40