A regression testing framework for financial time-series databases: an effective combination of fitnesse, scala, and kdb/q

Authors:
Roberto Salama
Affiliations:
Morgan Stanley, New York, NY, USA
Venue:
Proceedings of the ACM international conference companion on Object oriented programming systems languages and applications companion
Year:
2011

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Abstract

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.