A Regression Testing Framework for Financial Time-Series Databases
In this paper we present the testing framework built during the development of Morgan Stanley’s next generation enterprise-wide time-series database, Horizon. Horizon replaces two separate time-series data containers: one houses a-periodic tick by tick data originating from real-time feeds and the other houses periodic data received from vendors at regular intervals. Both of these data sets, although disparate in nature, are now managed through the same system, and the original containers, both traditional row-ordered relational databases are now being retired. One of the biggest challenges the team faced was how to migrate data and functionality from systems with a long history into new containers while guaranteeing the same data quality and accuracy.
Roberto Salama has an MS in Electrical and Computer Engineering from North Carolina State University. He worked in the area of circuit simulation for a number of years before heading on to financial engineering. Over the last twenty years, Roberto has worked at Goldman Sachs and Morgan Stanley building systems ranging from Fixed Income trading systems to financial analysis interactive platforms to time series systems. His area of interest is the application of emerging technologies, especially in the areas of languages and distributed processing, to financial engineering.