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I use matlab with 32gb and 8 cores. But it depends on what you're doing and the toolboxes involved. If it's for real-time, then I'd go higher but for backtesting, this suffices. matlab is a hog though and not very efficient, there's a lot of functions that are just plain slow and its better...

can you look up historical news going back a few months?

Why do you think ecns and cme are the same thing?

whats the right way to test fills/slippage?

So how are you storing this hardware-wise?

out of curiousity, have you ever loaded a days worth of tick data into matlab?

they have a sample c# app and its supported by them, why don't you email them?

How do they identify other algos?

This thread is going off-topic. The question was how to best structure hdf5 for stock time-series. Whether you use a custom built file or commercial db is irrelevant, that depends on your own mix of strategy and timeframe. Frankly, i'd like to hear how other people are using hdf5.

I played around with tradelink a while ago. They had this feature which records and logs your mouse clicks on the gui which cause performance to be outrageous. Maybe it still exists but seems like a marketing ploy or maybe worse, there's no reason for any app to have that sort of hidden code.

thanks, that worked.

thanks, that solved the issue for win32, but I guess I need to recompile the libs for 64bit, have you done that? I was just using the included lib files in the msvc project.

I'm getting a linker error under vs2010, under c++->general I added the includes in "talib\c\include" for the header. Under linker->general I added the folder "talib\c\lib": I get this error: 1>test.obj : error LNK2001: unresolved external symbol TA_MA 1>test.obj : error LNK2001...

has anyone used ta-lib here? I'm having compile issues with the c library

Depends on type of data IMHO, if just daily closes then you could just put it in one file and one table. Tick I think would be better in one file then a table for each day. It all depends on how you access the data, if you need multiple datasets then opening multiple files might be slow.

Agreed, they want you to upgrade to NxCore for $500+. There is little cost to populate bid/ask sizes or add a couple more zeros to the timestamp for ms resolution. I saw one post say that it is just a means to backfill data meaning you should be recording 24hrs using your own software.

is this delay only thru their api feed or also on their gui?

you can export using matlabbuilder a com component and then include it in excel

To people who use tick data, my question is on how you select the appropriate timeframe for backtesting. Do you look at 1 day's worth of tick data or multiple days or just use several hours? If multiple days, it's a given that you will run out of memory soon enough. What are the approaches to...

They generally refer you to their "nxcore" service whenever you need something substantial...in any case I haven't come across this issue much since I don't rely on ms quotes but am curious as this is a basic building blocking of anything automated. Have you tried their support forum? What...