interactive brokers - How should I store tick data? - Quantitative Finance Stack Exchange Using IBrokers from R is going to be the easiest route. A quick example of capturing data to disk would be: library(IBrokers) tws <- twsConnect() aapl.csv <- file("AAPL.csv", open="w") # run an infinite-loop ( <C-c> to break ) reqMktData(tws, twsSTK("AAPL"), eventWrapper=eWrapper.MktData.CSV(1), file=aapl.csv) close(aapl.csv) close(tws) This will send CSV style output to disk. Additionally the data can be stored in xts objects within the loop which can be appended to/filled to provide a constant in-memory object to use for analytics. Given the symbol limit of IB (100 concurrent more or less) and the 250ms updates - R can typically handle all of this without breaking a sweat (i.e. the JVM running IB's TWS or even IBGateway client is likely to be far surpassing the R/IBrokers process in terms of CPU usage). In terms of something closer to long-term storage/access, the packages Josh referred to (mmap and indexing) are also very useful.
Integrating the Trading Value Chain via .NET Framework Steven A. Smith 4th Story, LLC. John T. Powers Digipede Technologies, LLC. Brian Sentance Xenomorph Software Ltd. Stevan D. August 2007 Applies to: Financial Services Architecture .NET Framework Summary: This paper describes how .NET Framework 2.0 was used to integrate a strategy execution management system with grid-enabled trade order analytics and financial markets data management platform. Contents IntroductionIntegration Objectives4th Story Design OverviewXenomorph Design OverviewDigipede Network OverviewIntegrating Market DataIntegrating Trading Strategies with Grid ComputingConclusionReferences Introduction Many customers in the Securities and Capital Markets industry rely on products from Independent Software Vendors (ISVs) to obtain solutions for their business needs. Integration Objectives The following objectives were established at the beginning of the project: 4th Story Design Overview Figure 1. Xenomorph TimeScape Design Overview Figure 2. Digipede Network Overview Figure 3. Conclusion