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I am looking to build a web based Equity chart to display performance of FX trading strategies.

I would like to hear opinions and advice on a few areas that I am unsure about.

Granularity

Equity can - and typically does - change every tick. Should I therefore save equity every tick? If I do I am likely to be saving a lot of data! And then the display of this data will also be a challenge - as there would be a lot of noise.

If I am to save a snapshot every moment in time, what would be a recommend timeframe? Every minute?

Optimizing for download

As the amount of data in the equity chart could be quite large, what are some recommend approaches to optimize for download? Would it be advisable to somehow smooth the equity curve and download just a vector line rather than downloading a csv/json with many thousands of datapoints?

Thanks for any feedback - its really appreciated.

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  • $\begingroup$ This sounds like application design more than quantitative finance. $\endgroup$ – SmallChess Oct 29 '14 at 0:25
  • $\begingroup$ Its both. And I hope this is not a problem for anyone. $\endgroup$ – Magick Oct 29 '14 at 13:19
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Granularity

  • Display granularity: You should choose granularity based on screen size constraint. Most screens support about 100 pixels per inch and can display 2000 discrete pixels in the horizontal axis. Let's say you store 2000 minutes of data. It will be impossible for a regular monitor screen to resolve the difference if you displayed them as points in 1 minute resolution or 0.5 minute resolution.

  • Storage granularity: The general rule of the thumb is to store as much as you can. It depends on your storage capability and data sources (and consequently, their average rate of data transfer). Firstly, what's a reasonable maximum amount of storage space you can buy and maintain? Plot that over a 5-10 year horizon. Then, experiment by storing 1 day (preferably, many days and take the average) of the highest resolution data. Determine how much storage space that takes, e.g. 20 MB per trading day, then you need about 5 GB of storage space for your first year. Assume 3x multiplying factor in storage needs as safety margin, so you need 5+15+45+135+405=605 GB of space in 5 years to be safe. If you think you'll only have 300 GB of space in 5 years, then you have to make the appropriate adjustments, i.e. instead of storing data every second, store it every 2 seconds.

Optimizing for download

It depends on your users! Without any further information, my best guess is that most of your users are human users and not machines/programs, so CSV is probably the most reasonable.

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