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[B] You will have differences when using a data from different sources this is a common sense. Still not clear why you would use a data from one source and place orders using an other.

So when you place your orders you will wonder why the difference. Good luck with this.

You don't get a data feed from IB? It is not wise to use a different data feed than your broker's.

Broker/dealers, etc. can ping the market for orders. If up to 1 sec they don't find an order, they can cancel the request. Say, they test the market at 20.7, if there are not orders at this level, they cancel the order. If they do that up to 1 sec, nobody is seeing that.

[B] I included latency in high frequency to make conversation short. Meaning I was focusing on the high speed of the events. No matter if you place orders or not. For example pinging is one form of active monitoring without actually trading. [B] This makes more sense of course...

[B] What is the benefit of analyzing real time data? If you go through all of this and come with a profitable strategy how it will be used in practice? If the real time data are in the milliseconds range you have to be closer physically to exchange to get the benefits from real time data...

[B] Cannot be done with COTS databases. This is still the topic of this discussion. I don't question your abilities.

It seems to me you do a custom software projects. With your source code and your expertize you surely can do that and do it good. Also if your customers have an access to your source code they surely can adapt it to their needs if they know C++ good enough. I am talking about a screener, not...

Hi, I would say too that this is a very interesting discussion. With this quick note I like to clarify some misunderstandings which affect the whole discussion and would explain better my position and will save your time. The topic of this discussion was SQL and attracted my attention...

We made extensive benchmarks of using COTS software for screening and back testing - .NET, MS SQL, Sybase Anywhere. You can get some info at this thread: http://www.elitetrader.com/vb/showthread.php?s=&threadid=168685 [B] Retail tools for trading are not exactly focused on screening...

The simpler is always better, and no curve fitting of course. You said it ;) That point is reached pretty early because SQL engines cannot handle more of it. We don't wanted to be limited from SQL or whatever.

That is right. [B] This is true. By SQL I was referring mostly to the SQL data management implementation mostly, not the SQL as a language. [B] Screening and back testing is where my focus was in the entire discussion. There is a lot of amount of data generated and it needs better...

It has to do with compression. 10 times more possible numbers - less compression. The more data is similar - better compression. 32 bit is still a lot. [B] Float and double in financial computation is not the best idea. Mine are very high too. ;) This is not the best idea...

I believe it was good idea to describe our experience because this happens often and it takes a lot of time to understand what actually happens and why. That explains better why we made a decision to create a better solution which we eventually can offer to others too. Basically this is the...

Hi Bob, thanks for your response. I believe what we can create as a trading strategy can based only the available data. The list above covers a lot of different angles and gives a good enough picture for creating a trading strategy based on 3-5 days period from buying to selling. I...

SQL. .NET etc. work for specific tasks. And they were designed for moderate stress loads. In fact MS has a HPC server on basis of Windows but sometimes it is better to begin from scratch. My point is something interesting happens currently in the time we are living - virtually all old...

Exactly. When referring to column DB it is the storage organization what differentiates them. But this again is an opposite extreme. Usually the fastest performance you get with full in memory organization but sometimes you cannot just read the full column in memory especially when you have...

I am under NDA and cannot reveal a lot but there is no insert cost at all - just up to the performance limits of the disk speeds. [B] There two ways to access the disk - sequential and random. The way the disks are designed a sequential access with a lot of data at once is of magnitude...