High-Frequency Data Benchmarking
Benchmarks are divided into the following categories: –
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Trade Data – Including averages and volume weighted
average price (VWAP) -
Order Book – Including Bid/Ask Spread and National Best
Bid and Offer (NBBO) -
Complex Query – Including compute volatility for
execution and mid-quote returns -
Writing Efficiency – Persistent Storage
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Storage Efficiency
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