Can anyone comment on the suitability of databases of any kind as the data source for running a "high frequency trading" backtest? The fact that the market data ticks are in a database doesn't seem that helpful, given that the order book state needs to be built up by processing all previous ticks since market open anyway.
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Can anyone comment on the suitability of databases of any kind as the data source for running a "high frequency trading" backtest? The fact that the market data ticks are in a database doesn't seem that helpful, given that the order book state needs to be built up by processing all previous ticks since market open anyway.