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That sounds good - can you describe your set-up, what language you use to read/write the files? do you any specific frameworK/IDE? As language I'm using Python, with performance critical parts implemented in C. The C extensions are not written by hand but generated by courtesy of Cython. The...

I've played with HDF5 through it's Python bindings (called PyTables) and found it to be unsuitable for a tick database. First of all, it is slower then just working with regular files. Second, the HDF5 database is one huge file that is easily corruptible. For example, if you accidently...

After comparing the excel sheet with tick data of the DAX. the exits look plausible. They are just fixed brackets around the entry. But the entries only look possible if they are limit orders that are placed well in advance. Eugene, can you tell us if this is the case?