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I run backtesting for options trading as a hobby and storing EOD tick data, querying it and extracting it is a pain. I dl my source data currently from a retail
by noname123 12y ago
I run backtesting for options trading as a hobby and storing EOD tick data, querying it and extracting it is a pain. I dl my source data currently from a retail historical data provider, then store it in MongoDB in AWS. What would you recommend tech stackwise to do backtesting on time seriea data?
- remyp 12y agoThey don't have options data, but you might check out QuantConnect or Quantopian if you're interested in stocks and FX.
- leoplct 12y agoHave you tried quantopian.com ?
- jaredbroad 12y agoQuantConnect.com has tick data for every stock in the US universe back to 1998 -- its roughly 4TB of data.
- dmichulke 12y agoI also first used MongoDB but I switched to cassandra and I find it much better. MongoDB was bad for this case because it devours memory and it lacks a primary key (so saving a tick that's already creates a second tick). cassandra is better (it has a PK, although it's a bit weird because of its distributed-first attitude) but in the long run I think postgres would be even better (because it's space efficient). Apart from that I use some Java libraries and clojure/incanter and program the rest around it myself.