Hi folks, Anybody please point me to some good software that can facilitate HFT backtest on tick data? If such software doesn't exist, I guess we have to build one. I am thinking of using Matlab. Matlab's vectorized operations are no slower than C/Java/C#. However, the key is to setup Matlab with a good fast solid database. I don't have good idea on this part yet. Anybody had done similar work in HFT? Thank you!
http://tradelink.googlecode.com * super fast tick-based backtesting (bid/ask/trade + depth supported) * open-source, free * synchronized multi-symbol portfolios * 250,000 ticks/second playback multi-symbol * easily dump simulation indicators and trades to R or matlab for analysis http://tradelink.googlecode.com