How to save high frequency data in mongodb

February 24, 2012 at 16:09 · Filed under EN, quant

Are you looking for ways how to save real time, high frequency data taken from Interactivebrokers.com API ? I built an example in C++ which saves all incoming data in Mongodb. Check this link if you are interested:

https://github.com/kafka399/TwsMongo

 

1 Comment »

  1. unsown said,

    September 4, 2012 @ 4:14

    Thanks for sharing these codes. I wondered if this application is able to store level II bid ask depth data?

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