building quant database and risk modeling / transaction cost analysis

sicilian's picture
Rank: Senior Baboon | 183

Does anyone have experience setting up a quant database? What is the most optimal way to structure the tables?

Also are there any good references for transaction cost analysis and risk modeling? Want to start with mainly equities and options.

Thanks for any advice from experienced voices.

Comments (9)

Jan 18, 2020

Bloomberg terminal

Jan 18, 2020

bloomberg terminal is terrible for historical data

Jan 18, 2020

It really depends on what you're trying to do ( what type of queries you'll run) and how big the data sets are. You could use a relational database - or one of those nosql ones.

Jan 18, 2020

i'm trying to build a securities database. But also interested in being able to query 13f filings.

Jan 18, 2020

If it's timeseries, you should use a columnar database like Cassandra.

Jan 18, 2020

it's best to use a vendor for 13f filings (you don't want to download all that stuff yourself and then parse it) and have your securities records easily matchable with the vendor's securities. You'll probably be OK with a relational database structure.

Jan 18, 2020

I have the data for 13f filings already so don't plan on scraping it. Have you built a securities database before? I'm mainly looking for the best way to structure the relationships.

Jan 20, 2020
Jan 20, 2020
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