The most effective way to store Tick Data

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Audai Louri  

Hello Everyone,

I'm trying to store tickdata and not sure what would be the most effective way to store this data. The Tick Data I want to store will be up to 1 minute of data and based on this I would like to do some calculations therefore I will require to access that data at any millisecond time interval.

But I'm not sure if I should store it in an

1) Array

2) File

3) Database

4) Better method i'm not aware of?

Any advice in the direction I should head would be highly appreciated.

Thank you in advance all.

Audai,

Tobias Johannes Zimmer  
Audai Louri:

Hello Everyone,

I'm trying to store tickdata and not sure what would be the most effective way to store this data. The Tick Data I want to store will be up to 1 minute of data and based on this I would like to do some calculations therefore I will require to access that data at any millisecond time interval.

But I'm not sure if I should store it in an

1) Array

2) File

3) Database

4) Better method i'm not aware of?

Any advice in the direction I should head would be highly appreciated.

Thank you in advance all.

Audai,

Wouldn't harm if you tried the array with milsec fields and watch out for Ticks that get lost in high frequency hours.
Raymond Ogechukwu Omeh  
Depends... on the size of tick data, why you're storing it and how frequently you need to access this data.
Audai Louri  
Raymond Ogechukwu Omeh #:
Depends... on the size of tick data, why you're storing it and how frequently you need to access this data.

Thank you Raymond.

Honestly if I'm storing tick data in milliseconds I assume its over 60,000 chars and I know that the array can only hold 40,000 chars max.

So there is an option of creating multiple arrays, as receiving data will be faster from RAM rather than file or DB.

The short of it I'm storing data in milliseconds, or the closest I can get to storing in milliseconds, and requesting them per tick.

How to store the What is the best The ticking history of
Audai Louri  
pennyhunter #:
Wouldn't harm if you tried the array with milsec fields and watch out for Ticks that get lost in high frequency hours.

Hi Pennyhunter,

That was one of my concerns, if I set the timer to 1 milisec that tickdata can be lost.

But I believe array is the fastest option there.

My only concern is that arrays can only hold 40,000 chars.

Wishes for MQL5 very weird error:"array out Multi Timeframe Indicators
Tobias Johannes Zimmer  
Audai Louri #:

My only concern is that arrays can only hold 40,000 chars.

Would you care to back that up with a source?
Audai Louri  
pennyhunter #:
Would you care to back that up with a source? 
void OnTick()
  {
   double test[70000];
  }

Its really more of a warning


Alexandre Borela  
Audai Louri #:

Hi Pennyhunter,

That was one of my concerns, if I set the timer to 1 milisec that tickdata can be lost.

But I believe array is the fastest option there.

My only concern is that arrays can only hold 40,000 chars.

Dynamic arrays can have 2147483647 elements.

https://www.mql5.com/en/docs/array/arrayresize

Documentation on MQL5: Array Functions / ArrayResize
Documentation on MQL5: Array Functions / ArrayResize
  • www.mql5.com
ArrayResize - Array Functions - MQL5 Reference - Reference on algorithmic/automated trading language for MetaTrader 5
Tobias Johannes Zimmer  

Have you tried global variables just to be sure?


Audai Louri #:

Hi Pennyhunter,

That was one of my concerns, if I set the timer to 1 milisec that tickdata can be lost.


Also did you look into how in MQL5/Indicators/Examples the calculations are limited to the last bar?

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