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If the only purpose is to backtest with the data, the primary (in some cases, only) access pattern is to seek to a start time and read all of the data serially through to an end time. Then, there is a strong argument for storing it in plain, flat files with binary encoding, i.e. dumping the data structs in their in-memory layout straight to disk. Storing it ...


Some Quantitative department use Arctic which is a timeseries/dataframe database built on top of MongoDB.

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