This is a very fast, highly compressed datastore for ticks. It has a couple restrictions by design.
Uses a simple binary file format: Dense Tick Format(DTF)
order book tick data tuple (timestamp, seq, is_trade, is_bid, price, size).
Append only for now
sorted by seq/timestamp
Stores one row of data in 13 bytes.
12.4MB per 1 million row
This software is motivated by reducing expenditure. 500GB stored on Google Cloud PostgreSQL was too expensive. Since financial data is usually read in bulk.