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I have a backtesting framework that needs to replay tick level market data in order. I am currently using Cassandra where my schema is structured to have all ticks for a single trade date in 1 row. Each column represents a single tick. This makes the backtesting framework simple because it can play date ranges by pulling one date at a time in sequence.

I would like to use ChronicleMap and compare its performance with Cassandra.

How do you model ChronicleMap to support the schema of 1 row per tick data?

leventov
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RPJ
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1 Answers1

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ChronicleMap is designed to be a random access key-value store.

For back testing, most people use Chronicle Queue to store ordered events. You can use it to store any type of data in order. To look up by time you can search on a monotonically increasing field with a binary search or a range search.

Note: Chronicle Queue is designed to record data in your application in realtime, i.e. less than a micro-second overhead. You can replay this data either as it happens or later as historical data. It is designed to support GC free writing and reading.

Peter Lawrey
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