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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.

pezpezpez
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  • In those circumstances: The best database system is file system. – Marian May 19 '14 at 05:54
  • 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. – Matt Wolf May 19 '14 at 07:35
  • possible duplicate of Is there any thing out there as a substitute for KDB? – Bob Jansen May 19 '14 at 07:57
  • I'm also quite interested in this; if anyone knows of a free DB that integrates well with .NET, please do tell. – rex May 19 '14 at 11:52
  • not aware of such free product. if low frequency, check open-tsdb. – Daniel Qin May 20 '14 at 06:18
  • @Arman, check out Teafiles, also consider writing your own binary data store, or you could consider document DBs, but other than that there are not a whole lot of open-source columnar DBs out there. – Matt Wolf May 20 '14 at 07:35

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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.

Bob Jansen
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  • By the way: this is almost a duplicate of http://quant.stackexchange.com/questions/3156/is-there-any-thing-out-there-as-a-substitute-for-kdb/3209#3209 – Bob Jansen May 19 '14 at 07:57
  • ups, just saw your answer, also recommended it in my comment to the question. – Matt Wolf May 20 '14 at 07:36
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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.

Onyxx
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velocity analytics might be a choice.

Daniel
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