[Monetdb-developers] Time series extension module

Joel Reymont joelr1 at gmail.com
Thu Jul 28 11:29:09 CEST 2005


Folks,

I'm building a real-time, very short-frequency trading platform.
The platform needs a backend for storing exchange ticks (quotes)
and I think MonetDB could be that platform.

My ultimate attraction is the vertical decomposition that sets
MonetDB apart. It's the approach taken by KDB

http://www.kx.com/products/kdbplusfaq.php
http://cs.nyu.edu/cs/faculty/shasha/papers/sigmodpap.pdf

and that has already proven immensely effective.

My personal need is in searching for matching subsequences
in other time series (k-NN?) which would require me to compute
the Euclidian distance between points, etc.

Martin suggested that I build a time series extension module
which is fine with me (see http://wagerlabs.com/resume.pdf)
I have several questions before I embark on this project...

I don't have a clear understanding of how MonetDB managed indexes.
If I'm dealing with timestamp, price and volume and need to search
either would I need to build indexes on the three columns?

I believe MonetDB supports range queries. Could I just store
timestamp as an integer such as YYYYMMDDHHSS and do a range query
on that?

How would I go about building the time series extension module?
Would I need to add custom search accelerators to build
a specialized index on the fly?

     Thanks, Joel

--
http://wagerlabs.com/uptick







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