Re: Stock Market Price Data & postgreSQL? HELLPPP Please

On Wed, 19 Aug 2009, Adrian Klaver wrote:

> In the its a small world category I just ran across a streaming database
> called Telegraph(http://telegraph.cs.berkeley.edu/telegraphcq/v2.1/)
> yesterday. It is based on Postgres 7.3.2, so approach with caution.

TelegraphCQ was the research project that Truviso, the company where I
work, originated from. Having taken considerably more mature code of this
type than what's posted there and applied it to market data, I can tell
you that just having a streaming database doesn't make that many of the
problems go away. Streaming database technology certainly helps compute
technical indicators and such more efficiently than having to pull the
data back out of the database, but that's only a small subset of what you
have to do in order to build a complete trading system.

As for Sanjay's project, it sounds like it's underfunded by between two
and four orders of magnitude. Before getting involved with Truviso, I
once wrote a PostgreSQL based automatic trading system that pulled in
streaming market data and made trading decisions based on it, with
backtesting and everything. Took about six months of full time work to
get the first version working, and I doubt that approach would scale up to
more than a few hundred active symbols even on modern hardware.

The libraries provided by Marketcetera would give you a big head start on
the coding compared to where I began at, but without a serious development
budget you're going to be stuck taking somebody's entire software stack
as-is. You should be asking programatic traders where there are complete
applications ready to go here, not asking about the database details
because you're really not going to have any choice besides just using
whatever the app is designed around. Given your lack of developent
background, you sound more like a Tradestation or Metastock customer than
someone who is going to assemble this app yourself.

Sorry to sound like a downer here, but your problem is much bigger than
you think it is and I'm not sure where to even begin sorting out the bits
you're going to need but don't have yet.

--
* Greg Smith gsmith(at)gregsmith(dot)com http://www.gregsmith.com Baltimore, MD