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Quantitative Finance · Glossaire

Qu'est-ce que « Intraday store, historical store » ?

Aussi appelé : intraday store · historical store

Definition 4.6 Research, Data and Risk Platforms · Chapitre 4 — A Tick Store on Open Formats

The intraday store holds the current session’s data in the forms written during it, optimised for appending and for recent reads; the historical store holds every compacted day, optimised for reading ranges across days and symbols.

The tick store: capture writes the intraday store as the session runs; compaction at the close turns each day into sorted, partitioned columnar files; one query layer reads the historical partitions and the current day together.
Figure 4.3. The tick store: capture writes the intraday store as the session runs; compaction at the close turns each day into sorted, partitioned columnar files; one query layer reads the historical partitions and the current day together.

Exemples

Example 4.7 (One window, two stores)

The count of SIM2’s quote changes from 09:32 to 09:35 on each day of the week comes back as 12 291, 996, 1 388, 1 197 and 4 473: four days from the Parquet partitions, the fifth from the intraday IPC table, in one SQL statement that names neither. The query took 18 ms on the laptop.

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