Replacing the HDB: ClickHouse for historical ticker data

In financial services, market data systems are typically divided into two tiers: real-time and historical, with the latter being a low-risk environment for testing new databases due to its lack of microsecond latency requirements. The article explores the use of ClickHouse for historical ticker data from Binance's public archive, highlighting its cost-efficiency and querying accessibility. ClickHouse's columnar storage allows for significant compression, using techniques like dictionary, delta, and run-length encoding, which are particularly effective for tick data's predictable patterns. The use of SQL makes querying accessible to a wide range of developers and analysts. The article provides a detailed example of ingesting and analyzing nearly 2 billion records of USD-M perpetual futures data, demonstrating how ClickHouse efficiently processes large datasets for trading desk operations like VWAP and OHLC candles. The compression capabilities of ClickHouse are emphasized, with a 19x reduction in data size noted, costing $1.88 per month on ClickHouse Cloud for 10 months of data. The article concludes by encouraging readers to explore ClickHouse Cloud with a free trial offer.

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