Really, I hate reinventing wheels. but sometimes there are just rectangular ones available.
While I am busy getting married, I plan to write a series of articles on automated trading, for the stuff I built over the past few years to distract myself from the stress. I do plan to open source all the infrastructure code after cleaning them up. Here’s the first module: Finance::FITF.
It’s really more a format than a library, and a very simple one. But there just aren’t anything openly available i can find. The idea is to provide efficient storage for both aggregated (the typical OHLC content) as well as tick data when you want to do more fine-grained back testing or statistics. The aggregated data entry has an index pointing to the start of the tick data in the corresponding time period, so you can seek there and just run through just the part of the ticks data you need.