November 2019
Beginner
394 pages
10h 31m
English
Content preview from Learn Algorithmic Trading
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HDF5 file
The Hierarchical Data Format (HDF) is a file format designed to store and manage large amounts of data. It was designed in the 90s at the National Center for Supercomputing Applications (NCSA), and then NASA decided to use this format. Portability and efficiency for time series storage was key in the design of this language. The trading world rapidly adopted this format, in particular, High-Frequency Trading (HFT) firms, hedge funds, and investment banks. These financial firms rely on gigantic amounts of data for backtesting, trading, and any other kinds of analysis.
This format allows HDF users in finance to handle very large datasets, to obtain access to a whole section or a subsection of the tick data. Additionally, since it ...
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