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Matlab for backtesting large amounts of tick data
Started:September 11th, 2013 (12:37 AM) by Big Mike Views / Replies:873 / 2
Last Reply:September 11th, 2013 (06:13 AM) Attachments:0

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Matlab for backtesting large amounts of tick data

Old September 11th, 2013, 12:37 AM   #1 (permalink)
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Matlab for backtesting large amounts of tick data

Can anyone comment on using Matlab to test large amounts of tick data?

Say for example 500 million ticks or more?

I've read that Matlab can be very, very slow for this type of task. I am also unsure on it's x64 capabilities, can it really handle 25GB of data being stored in memory for calculations? I know that "technically" it can, my question though is whether or not has actual experience in testing this large of a data set?


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Old September 11th, 2013, 12:37 AM   #2 (permalink)
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Old September 11th, 2013, 06:13 AM   #3 (permalink)
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Hi Mike,

I last used Matlab December last year. Obviously depends on what calculations you are doing with the data. There are tricks to speed it up, such as avoiding looping commands and configuring the input data in vectors.

This may be helpful

Best of luck

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