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POC# code and SQL Server 2008 stored procedure performance comparison
 

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  1. POC# code and SQL Server 2008 stored procedure performance comparison
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    <p>I am developing a high frequency trading application using C#, .NET 3.5 framework and SQL Server 2008 R2. I am subscribing to 70 instruments, for each instrument I am storing 1 minute bars. Each bar for each instrument consists of <code>Open Price</code>, <code>High Price</code>, <code>Low Price</code>, <code>Close Price</code>, <code>Volume</code>. </p> <p>I am pushing all the one minute bars for each instrument in one common table where the primary key is <code>StockID</code>.</p> <p>Now, for some calculation. I will need to construct 5 min bars, 10 mins bars, 15 mins bars etc. from the 1 min Bars. Example: I will loop though last 5 rows of 1 min bars and construct 1st bar with bar size = 5 min. And within that 5 min bar I will need to find <code>Open Price</code>, <code>High Price</code>, <code>Low Price</code>, <code>Close Price</code>, <code>Volume</code>. Similarly, I will need 180, 5 min bars. So, I will need 180 * 5 = 900 rows of 1 min bars. (From 900, I will construct 180 rows each of 5 mins)</p> <ol> <li><p>If I do a simple Select statement from C# code to get all 900 one min data and then loop and create 180 data with 5 min bar in my C# code and in each 5 min bar get open price, high price, close price, volume.</p></li> <li><p>Or, I write a SQL stored procedure to do the same above and return open price, high price, low price, close price, volumes for all 180 data of 5 min bars to C# code.</p></li> </ol> <p>My question is, which will be much faster 1) or 2) and which will be more robust 1) or 2)</p> <p>Hope, I have framed my question and scenario in detail for experts to guide me.</p>
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    1. USAnkur
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    1. COFrom my experience, stored procedures are much faster because it redures the number of queries between the servers
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      1. USMathieu
    2. COAnother 'measure it yourself' question. At least you're somewhat asking about maintainability.
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      1. USMarc
    3. COThis depends on many variables - speed of client, speed of server, network latency, amount of data, indexes, quality of s'proc. You need to test it yourself.
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      1. POC# code and SQL Server 2008 stored procedure performance comparison
      1. USPhil
 

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