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QuestionLooking for a Better Database Solution for Trading Systems Pin
Rene Rose 202120-Apr-24 5:53
Rene Rose 202120-Apr-24 5:53 
I develop trading systems for stocks and other securities. To manage price data from various sources, I use a custom program written in VB.Net. This program maintains a LiteDB database for each underlying, resulting in several dozen database files.

I've found that LiteDB is very slow when inserting large amounts of data, and since I import a significant amount of data, I'm looking for a more efficient solution. Currently, I'm considering switching to a relational DB system like SQLite or MS SQL Server.

My data model includes a class for price data from CSV files, which contains the following fields:

"Identifier" (text)
"TimeStamp" (date/time)
"Open", "High", "Low", "Close" (single precision floating point numbers)
"Size" (integer)

The issue is that the identifier is identical for several hundred thousand data points, and the timestamps and price values often repeat. Since this data is distributed across various instruments, duplicate entries occur.

One possible solution would be to distribute this data class across multiple tables to avoid duplicate entries. However, I'm concerned that this may cause performance issues when inserting several hundred thousand data points.

Has anyone had similar experiences or advice to share?

Thanks in advance!
AnswerRe: Looking for a Better Database Solution for Trading Systems Pin
Jeremy Falcon20-Apr-24 8:15
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Questiontime-consuming insert operation Pin
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