Microservices Expo Authors: Elizabeth White, Mehdi Daoudi, Pat Romanski, Flint Brenton, Gordon Haff

Related Topics: Microservices Expo, @CloudExpo

Microservices Expo: Blog Feed Post

Building a Back Testing Platform for Algorithmic Trading

Let’s first examine what market data looks like

On this continuing series, I am examining thoughts and specific implementation details around building a back-testing platform for algo trading.  Eventually, we’ll see where complex event processing plays and how to implement it.

Appendix to Part One – The Data Format

Rather than looking at various database solutions first and then trying to define the problem in terms of those solutions, let’s first examine what market data looks like.  In its most simple form, market data looks like this (there’s usually a little more, but this is fine for our purposes):

  • Date: The date of the market data,
  • Time: When did the quote occur during the date,
  • Sequence #: Most quote or trade streams include a sequence #,
  • Symbol: What security is this data for?
  • Best Bid: The best bid (we’re going to concern ourselves with BBO data for this series, it’s easier),
  • Best Bid Size: How much does someone want to buy at the Best Bid,
  • Best Offer: The best offer,
  • Best Offer Size: How much does someone want to sell at the Best Offer.

Consider this chart:

Market Data

If we break down data, we can successively see how data might be arranged on disk for subsequent reading.  We want to read the data very quickly.  If we were using a standard relational database, it’s easy to see that we might be replicating some unnecessary data during the reads.  And we if use a typical columnar database, we can see that there are chunks that could be read together increasing throughput.

For example, for any given millisecond (Time) in a quote feed, there may be more than one symbol with a quote.  In fact, that’s quite common.  So replicating the time stamp is superfluous.  So if we had a table for a date’s worth of data, then we’d have a Time column that was replicated throughout the table.  No reason to do that.

Looking again at the data, we can see that, for a given time, there might be multiple quotes available for multiple symbols.  We’d like to read those in order as a little group.  By organizing the data on disk as a flattened multi-dimensional map of maps, we would:

  1. Start with a given day (our table),
  2. Start with a time (our row),
  3. Read each quote in sequence # order (our column)
  4. Process (do something)
  5. Increment the time, and go to #2 above until we run out of data (lather, rise, repeat)
  6. Put the $ in the bank

If we could write this data structure to disk as we get it from the quote feed, and had fast enough disk, we could keep up with the feed.  If we needed to create some indexes on the data, we could easily do that as well.  We’d simply create another table that would hold an inverted list of time and sequence #’s by symbol.  If we want to process a day’s worth of data, we’re all set.  If we want to process a symbol, or group of symbols, we’re all set.

So, to summarize, we need a hybrid approach.  In some places, we want rows of data – storing columns of data via a unique key.  In our case, that’s the Time column above for a given day.  The row above is Time, the column (or Super Column) is the Quote for a Symbol.  The Super Column’s key is the Sequence #.  Can anyone guess which database might fit nicely for this use case?

In my next post, I’ll describe a formalized data structure and it’s implementation.  I might even include a little code for all you #NoSQL guys and gals out there.

Thanks for reading!

Read the original blog entry...

More Stories By Colin Clark

Colin Clark is the CTO for Cloud Event Processing, Inc. and is widely regarded as a thought leader and pioneer in both Complex Event Processing and its application within Capital Markets.

Follow Colin on Twitter at http:\\twitter.com\EventCloudPro to learn more about cloud based event processing using map/reduce, complex event processing, and event driven pattern matching agents. You can also send topic suggestions or questions to [email protected]

Comments (0)

Share your thoughts on this story.

Add your comment
You must be signed in to add a comment. Sign-in | Register

In accordance with our Comment Policy, we encourage comments that are on topic, relevant and to-the-point. We will remove comments that include profanity, personal attacks, racial slurs, threats of violence, or other inappropriate material that violates our Terms and Conditions, and will block users who make repeated violations. We ask all readers to expect diversity of opinion and to treat one another with dignity and respect.

@MicroservicesExpo Stories
"We started a Master of Science in business analytics - that's the hot topic. We serve the business community around San Francisco so we educate the working professionals and this is where they all want to be," explained Judy Lee, Associate Professor and Department Chair at Golden Gate University, in this SYS-CON.tv interview at 21st Cloud Expo, held Oct 31 – Nov 2, 2017, at the Santa Clara Convention Center in Santa Clara, CA.
For over a decade, Application Programming Interface or APIs have been used to exchange data between multiple platforms. From social media to news and media sites, most websites depend on APIs to provide a dynamic and real-time digital experience. APIs have made its way into almost every device and service available today and it continues to spur innovations in every field of technology. There are multiple programming languages used to build and run applications in the online world. And just li...
There is a huge demand for responsive, real-time mobile and web experiences, but current architectural patterns do not easily accommodate applications that respond to events in real time. Common solutions using message queues or HTTP long-polling quickly lead to resiliency, scalability and development velocity challenges. In his session at 21st Cloud Expo, Ryland Degnan, a Senior Software Engineer on the Netflix Edge Platform team, will discuss how by leveraging a reactive stream-based protocol,...
The general concepts of DevOps have played a central role advancing the modern software delivery industry. With the library of DevOps best practices, tips and guides expanding quickly, it can be difficult to track down the best and most accurate resources and information. In order to help the software development community, and to further our own learning, we reached out to leading industry analysts and asked them about an increasingly popular tenet of a DevOps transformation: collaboration.
We call it DevOps but much of the time there’s a lot more discussion about the needs and concerns of developers than there is about other groups. There’s a focus on improved and less isolated developer workflows. There are many discussions around collaboration, continuous integration and delivery, issue tracking, source code control, code review, IDEs, and xPaaS – and all the tools that enable those things. Changes in developer practices may come up – such as developers taking ownership of code ...
The dynamic nature of the cloud means that change is a constant when it comes to modern cloud-based infrastructure. Delivering modern applications to end users, therefore, is a constantly shifting challenge. Delivery automation helps IT Ops teams ensure that apps are providing an optimal end user experience over hybrid-cloud and multi-cloud environments, no matter what the current state of the infrastructure is. To employ a delivery automation strategy that reflects your business rules, making r...
Cloud Governance means many things to many people. Heck, just the word cloud means different things depending on who you are talking to. While definitions can vary, controlling access to cloud resources is invariably a central piece of any governance program. Enterprise cloud computing has transformed IT. Cloud computing decreases time-to-market, improves agility by allowing businesses to adapt quickly to changing market demands, and, ultimately, drives down costs.
Modern software design has fundamentally changed how we manage applications, causing many to turn to containers as the new virtual machine for resource management. As container adoption grows beyond stateless applications to stateful workloads, the need for persistent storage is foundational - something customers routinely cite as a top pain point. In his session at @DevOpsSummit at 21st Cloud Expo, Bill Borsari, Head of Systems Engineering at Datera, explored how organizations can reap the bene...
How is DevOps going within your organization? If you need some help measuring just how well it is going, we have prepared a list of some key DevOps metrics to track. These metrics can help you understand how your team is doing over time. The word DevOps means different things to different people. Some say it a culture and every vendor in the industry claims that their tools help with DevOps. Depending on how you define DevOps, some of these metrics may matter more or less to you and your team.
"CA has been doing a lot of things in the area of DevOps. Now we have a complete set of tool sets in order to enable customers to go all the way from planning to development to testing down to release into the operations," explained Aruna Ravichandran, Vice President of Global Marketing and Strategy at CA Technologies, in this SYS-CON.tv interview at DevOps Summit at 21st Cloud Expo, held Oct 31 – Nov 2, 2017, at the Santa Clara Convention Center in Santa Clara, CA.
"We are an integrator of carrier ethernet and bandwidth to get people to connect to the cloud, to the SaaS providers, and the IaaS providers all on ethernet," explained Paul Mako, CEO & CTO of Massive Networks, in this SYS-CON.tv interview at 21st Cloud Expo, held Oct 31 – Nov 2, 2017, at the Santa Clara Convention Center in Santa Clara, CA.
"Grape Up leverages Cloud Native technologies and helps companies build software using microservices, and work the DevOps agile way. We've been doing digital innovation for the last 12 years," explained Daniel Heckman, of Grape Up in this SYS-CON.tv interview at 21st Cloud Expo, held Oct 31 – Nov 2, 2017, at the Santa Clara Convention Center in Santa Clara, CA.
"NetApp's vision is how we help organizations manage data - delivering the right data in the right place, in the right time, to the people who need it, and doing it agnostic to what the platform is," explained Josh Atwell, Developer Advocate for NetApp, in this SYS-CON.tv interview at 20th Cloud Expo, held June 6-8, 2017, at the Javits Center in New York City, NY.
"Outscale was founded in 2010, is based in France, is a strategic partner to Dassault Systémes and has done quite a bit of work with divisions of Dassault," explained Jackie Funk, Digital Marketing exec at Outscale, in this SYS-CON.tv interview at 20th Cloud Expo, held June 6-8, 2017, at the Javits Center in New York City, NY.
"I focus on what we are calling CAST Highlight, which is our SaaS application portfolio analysis tool. It is an extremely lightweight tool that can integrate with pretty much any build process right now," explained Andrew Siegmund, Application Migration Specialist for CAST, in this SYS-CON.tv interview at 21st Cloud Expo, held Oct 31 – Nov 2, 2017, at the Santa Clara Convention Center in Santa Clara, CA.
Let's do a visualization exercise. Imagine it's December 31, 2018, and you're ringing in the New Year with your friends and family. You think back on everything that you accomplished in the last year: your company's revenue is through the roof thanks to the success of your product, and you were promoted to Lead Developer. 2019 is poised to be an even bigger year for your company because you have the tools and insight to scale as quickly as demand requires. You're a happy human, and it's not just...
The enterprise data storage marketplace is poised to become a battlefield. No longer the quiet backwater of cloud computing services, the focus of this global transition is now going from compute to storage. An overview of recent storage market history is needed to understand why this transition is important. Before 2007 and the birth of the cloud computing market we are witnessing today, the on-premise model hosted in large local data centers dominated enterprise storage. Key marketplace play...
Cavirin Systems has just announced C2, a SaaS offering designed to bring continuous security assessment and remediation to hybrid environments, containers, and data centers. Cavirin C2 is deployed within Amazon Web Services (AWS) and features a flexible licensing model for easy scalability and clear pay-as-you-go pricing. Although native to AWS, it also supports assessment and remediation of virtual or container instances within Microsoft Azure, Google Cloud Platform (GCP), or on-premise. By dr...
With continuous delivery (CD) almost always in the spotlight, continuous integration (CI) is often left out in the cold. Indeed, it's been in use for so long and so widely, we often take the model for granted. So what is CI and how can you make the most of it? This blog is intended to answer those questions. Before we step into examining CI, we need to look back. Software developers often work in small teams and modularity, and need to integrate their changes with the rest of the project code b...
Kubernetes is an open source system for automating deployment, scaling, and management of containerized applications. Kubernetes was originally built by Google, leveraging years of experience with managing container workloads, and is now a Cloud Native Compute Foundation (CNCF) project. Kubernetes has been widely adopted by the community, supported on all major public and private cloud providers, and is gaining rapid adoption in enterprises. However, Kubernetes may seem intimidating and complex ...