Recording High-Frequency Futures Ticks with VeighNa and TDengine

Summary

This guide describes a VeighNa workflow for recording large volumes of futures tick data in TDengine. It outlines running TDengine in a Docker container, configuring database storage and ports, and connecting VeighNa’s CTP gateway and data-recorder app. The script listens for contract events, filters contracts by exchange and product, and queues matching symbols for tick recording. Recorder logs are routed through the event engine to the logging system.

The article provides setup and script examples but no throughput benchmarks or measured comparisons with other databases. Its performance motivation is that relational databases such as SQLite may struggle with simultaneous high-volume writes, but the guide does not quantify data loss or demonstrate TDengine’s results. It uses a simulated CTP account and defaults to a limited exchange and futures selection; live-market use requires appropriate credentials and configuration. It also mentions alternative storage backends, including DolphinDB.

Key ideas

• TDengine is presented as a time-series backend for high-volume tick recording in VeighNa.
• The recorder can automatically add symbols when contract events match selected exchanges and product types.
• The example connects through the CTP gateway and directs data-recorder events to the logging system.
• The guide supplies operational setup details but no performance measurements or comparative benchmark.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.