[Monetdb-developers] Time series extension module

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


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


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


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