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I just had a good experience using the odbc database driver with
amibroker.
I built a tick database, about 75GB worth. From that, I can calculate
volume at price, vwap and other data. I use postgress, a free open
source database.
I thought that I would have to write my own trade match and backtest
code in sql, but then I found the odbc sql interface to pull the data
into amibroker.
I was plesantly surprised how fast the odbc/amibroker interface was.
Working with tick data is never fast, but each sql query from ami was
only a handful of ms.
-Doug
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