High frequency finance with Julia and QuestDB

QuestDB is highlighted as a cutting-edge, open-source database particularly suited for handling market data, offering high ingestion throughput, advanced SQL analytics, and efficient hardware usage. The text, written by Dean Markwick, details how QuestDB serves as a time series database for high-frequency trading and illustrates its application through the Julia programming language. Markwick shares insights on setting up and connecting to a QuestDB database using Julia to analyze BTCUSD trades from the CoinbasePro WebSocket feed, leveraging QuestDB's capabilities for calculating various financial metrics. Through this setup, he demonstrates how to calculate the limit order book, assess market impact, and perform ASOF joins to align trades with bid-offer data, ultimately enhancing the analysis of trading behaviors and market impact with larger datasets. The document emphasizes the ease of integrating QuestDB via the LibPQ.jl package and the benefits of using a database over traditional CSV files for managing large volumes of financial data.