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thanks for the kx recommendation Thanks for pointing out kdb as an option. I had never heard of it before. I downloaded the trial version so I could play around with it and see how hard the syntax is to pick up.

justification for multiple tables I knew the idea of creating a new table for each security may upset a few people, but I do have a reason. If I were using daily data I would probably use a table like the one posted below. However, I am using relatively high frequency data (15 seconds). I am...

I am working on setting up a mysql database to store all of my historical stock data. I want to organize it such that there is a table of contents table that contains the ticker, name, and date range of prices for each security in the database. I also want this table to have a trigger that...

High Frequency Trading, by Irene Aldridge - this book was quite good. It is kind of a technical how-to book about most all aspects of how to set up a serious professional high frequency trading system. It is a fairly technical discussion about a lot of topics ranging from simple things like how...

I am trying to develop a pairs strategy based on stocks in the S&P 500 index. I have access to all of the historical price data I need, but I am having a hard time finding a list of all current S&P 500 constituents WITH the GICS classification. If I don't want the GICS classification, there...

Hey Everyone, I am trying to develop a pairs strategy based on stocks in the S&P 500 index. I have access to all of the historical price data I need, but I am having a hard time finding a list of all current S&P 500 constituents WITH the GICS classification. If I don't want the GICS...

Does anyone know a good place to get medium-high frequency historical equities data? I am looking for 1-15 min data for the NYSE. I am not looking for free data, but I would like to find a source that's not too expensive. Ryan