Solution to Record Financial Market Data

Tick Data Persistance Plan

Data persistant process:

  1. During trading hours of the day
  2. save tick data into today_tick_details database (or separate data from different exchanges by prefix, such as shfe_today_tick_details) using contract symbol as collection name, such as m1809
  3. After trading hours of the day
  4. run a script to generate bar data and bulk tick data from original raw tick data records in today_tick_details
  5. generate 1min bar data and save to history_bar_1min (also can prefix with exchange_, similarly hereinafter)
  6. compress all original raw tick data records of the day as one and save to history_tick_1day
  7. dump today_tick_details to prepare a clean environment for tomorrow

Other aspects to care:

Framework


* cached version, generated at 2019-06-21 23:18:24 UTC.

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