Microsoft SQL Server Compression Test

Overview

The following tests calculate the amount of disk space required to store 10+ million time:value samples in a Microsoft SQL Server 2017 (RTM) - 14.0.1000.169 database.

Results

Schema	Compressed	Data Size	Index Size	Total Size	Row Count	Bytes per Row	Bytes per Sample
Trade Table	No	118,013,952	79,101,952	197,115,904	2,045,514	96.3	19.3
Trade Table	Yes	46,080,000	49,872,896	95,952,896	2,045,514	46.9	9.4
Universal Table	No	476,053,504	439,107,584	915,161,088	10,227,570	89.5	89.5
Universal Table	Yes	148,013,056	290,766,848	438,779,904	10,227,570	42.9	42.9

Dataset

The dataset represents 20+ years of historical minute stock trade data available from the Kibot company.

The one minute trade statistics are available for IBM stock traded on the New York Stock Exchange. The recording starts on February 1st, 1998 and lasts until the last trading day.

The data is provided in the commonly used OHLCV format.

Date,Time,Open,High,Low,Close,Volume
01/02/1998,09:30,104.5,104.5,104.5,104.5,67000
...
09/08/2017,17:38,142.45,142.45,142.45,142.45,3556

The records can be downloaded from http://api.kibot.com/?action=history&symbol=IBM&interval=1&unadjusted=0&bp=1&user=guest.

The file contains over 2 million lines. The OHLC metrics contain values with up to four decimal places. The volume metric is an integer. The dates are recorded in US/Eastern time.

Each row consists of 5 metrics for a given 1-minute interval:

09/08/2017,15:42,142.53,142.5399,142.49,142.49,10031
...
time   = 09/08/2017 15:42
open   = 142.53
high   = 142.5399
low    = 142.49
close  = 142.49
volume = 10031

Schema Alternatives

The tests are performed using two schema options:

Trade Table schema uses a named column for each input metric.
Universal Table schema uses a single metric ID column for all input metrics.

The Trade Table schema requires less disk space however the underlying table can not be extended to store different sets of columns for different instrument types. As such, multiple tables must be created to store data for various instrument types.

The Universal Table schema allows adding new metrics without altering the tables. This can be done by inserting a new record into the Metrics table (a dictionary) and using foreign keys when inserting data into the data table.

Trade Table Schema

TradeHistory Table

SELECT
    COLUMN_NAME,
    IS_NULLABLE,
    DATA_TYPE,
    NUMERIC_PRECISION,
    NUMERIC_SCALE,
    DATETIME_PRECISION
FROM INFORMATION_SCHEMA.COLUMNS
WHERE TABLE_NAME = 'TradeHistory';

COLUMN_NAME          |IS_NULLABLE|DATA_TYPE            |NUMERIC_PRECISION|NUMERIC_SCALE|DATETIME_PRECISION
---------------------|-----------|---------------------|-----------------|-------------|------------------
Instrument           |NO         |int                  |               10|            0|              NULL
Open                 |YES        |decimal              |                7|            4|              NULL
High                 |YES        |decimal              |                7|            4|              NULL
Low                  |YES        |decimal              |                7|            4|              NULL
Close                |YES        |decimal              |                7|            4|              NULL
Volume               |YES        |int                  |               10|            0|              NULL
Time                 |NO         |datetime2            |             NULL|         NULL|                 0

SELECT TOP 5 * FROM TradeHistory;

Instrument |Open     |High     |Low      |Close    |Volume     |Time
-----------|---------|---------|---------|---------|-----------|--------------------------------------
          1|  99.0000|  99.0000|  99.0000|  99.0000|       6600|                   1998-03-11 14:59:00
          1|  99.0000|  99.0600|  99.0000|  99.0600|       2400|                   1998-03-11 15:00:00
          1|  99.1200|  99.1900|  99.0600|  99.1900|      18300|                   1998-03-11 15:01:00
          1|  99.0600|  99.2500|  99.0600|  99.2500|      12700|                   1998-03-11 15:02:00
          1|  99.3100|  99.3700|  99.1200|  99.2500|      13600|                   1998-03-11 15:03:00

Instruments Table

SELECT
    COLUMN_NAME,
    IS_NULLABLE,
    DATA_TYPE,
    NUMERIC_PRECISION,
    NUMERIC_SCALE
FROM INFORMATION_SCHEMA.COLUMNS
WHERE TABLE_NAME = 'Instruments';

COLUMN_NAME          |IS_NULLABLE|DATA_TYPE            |NUMERIC_PRECISION|NUMERIC_SCALE
---------------------|-----------|---------------------|-----------------|-------------
Id                   |NO         |int                  |               10|            0
Name                 |YES        |varchar              |             NULL|         NULL

SELECT * FROM Instruments;

Id       |Name
---------|--------------------
        1|IBM

Universal Table Schema

UniversalHistory Table

SELECT
    COLUMN_NAME,
    IS_NULLABLE,
    DATA_TYPE,
    NUMERIC_PRECISION,
    NUMERIC_SCALE,
    DATETIME_PRECISION
FROM INFORMATION_SCHEMA.COLUMNS
WHERE TABLE_NAME = 'UniversalHistory';

COLUMN_NAME          |IS_NULLABLE|DATA_TYPE            |NUMERIC_PRECISION|NUMERIC_SCALE|DATETIME_PRECISION
---------------------|-----------|---------------------|-----------------|-------------|------------------
Instrument           |NO         |int                  |               10|            0|              NULL
Metric               |NO         |int                  |               10|            0|              NULL
Value                |YES        |decimal              |               12|            4|              NULL
Time                 |NO         |datetime2            |             NULL|         NULL|                 0

SELECT TOP 5 * FROM UniversalHistory;

Instrument |Metric     |Value         |Time
-----------|-----------|--------------|--------------------------------------
          1|          1|      104.5000|                   1998-01-02 09:30:00
          1|          1|      104.3800|                   1998-01-02 09:31:00
          1|          1|      104.4400|                   1998-01-02 09:32:00
          1|          1|      104.4400|                   1998-01-02 09:33:00
          1|          1|      104.3800|                   1998-01-02 09:34:00

Instruments Table

SELECT
    COLUMN_NAME,
    IS_NULLABLE,
    DATA_TYPE,
    NUMERIC_PRECISION,
    NUMERIC_SCALE
FROM INFORMATION_SCHEMA.COLUMNS
WHERE TABLE_NAME = 'Instruments';

COLUMN_NAME          |IS_NULLABLE|DATA_TYPE            |NUMERIC_PRECISION|NUMERIC_SCALE
---------------------|-----------|---------------------|-----------------|-------------
Id                   |NO         |int                  |               10|            0
Name                 |YES        |varchar              |             NULL|         NULL

SELECT * FROM Instruments;

Id       |Name
---------|--------------------
        1|IBM

Metrics Table

SELECT
    COLUMN_NAME,
    IS_NULLABLE,
    DATA_TYPE,
    NUMERIC_PRECISION,
    NUMERIC_SCALE
FROM INFORMATION_SCHEMA.COLUMNS
WHERE TABLE_NAME = 'Metrics';

COLUMN_NAME          |IS_NULLABLE|DATA_TYPE            |NUMERIC_PRECISION|NUMERIC_SCALE
---------------------|-----------|---------------------|-----------------|-------------
Id                   |NO         |int                  |               10|            0
Name                 |YES        |varchar              |             NULL|         NULL

SELECT * FROM Metrics;

Id         |Name
-----------|--------------------
          1|Open
          2|High
          3|Low
          4|Close
          5|Volume

Executing Tests

Download Input Data

Create directory /tmp/test.

mkdir /tmp/test

Download the dataset.

curl --compressed -o /tmp/test/IBM_adjusted.txt \
  "http://api.kibot.com/?action=history&symbol=IBM&interval=1&unadjusted=0&bp=1&user=guest"

Verify the row count:

wc -l IBM_adjusted.txt

2045514 IBM_adjusted.txt

Launch Microsoft SQL Server Database Container

Start a Microsoft SQL Server 2017 (RTM) - 14.0.1000.169 container.

Start the database container with /tmp/test directory.

docker run --name=mssql \
  -e 'ACCEPT_EULA=Y' \
  -e 'SA_PASSWORD=Axibase123' \
  -v /tmp/test:/data \
  -d microsoft/mssql-server-linux:2017-latest

Execute SQL scripts for the Trade Table Schema

curl -o /tmp/test/mssql-trade-table.sql \
 "https://raw.githubusercontent.com/axibase/atsd/master/administration/compaction/mssql-trade-table.sql"

cat /tmp/test/mssql-trade-table.sql |\
 docker exec -i mssql /opt/mssql-tools/bin/sqlcmd -U sa -P Axibase123 | \
 grep '|' --color=never

name                 |data_compression_desc
---------------------|---------------------
TradeHistory         |NONE

name                 |rows                |reserved          |data              |index_size        |unused
---------------------|--------------------|------------------|------------------|------------------|------------------
TradeHistory         |2045514             |192592 KB         |115248 KB         |77248 KB          |96 KB

name                 |data_compression_desc
---------------------|---------------------
TradeHistory         |PAGE

name                 |rows                |reserved          |data              |index_size        |unused
---------------------|--------------------|------------------|------------------|------------------|------------------
TradeHistory         |2045514             |93968 KB          |45008 KB          |48704 KB          |256 KB

Execute SQL scripts for the Universal Table Schema

curl -o /tmp/test/mssql-universal-table.sql \
 "https://raw.githubusercontent.com/axibase/atsd/master/administration/compaction/mssql-universal-table.sql"

cat /tmp/test/mssql-universal-table.sql |\
 docker exec -i mssql /opt/mssql-tools/bin/sqlcmd -U sa -P Axibase123 | \
 grep '|' --color=never

name                 |data_compression_desc
---------------------|---------------------
UniversalHistory     |NONE

name                 |rows                |reserved          |data              |index_size        |unused
---------------------|--------------------|------------------|------------------|------------------|------------------
UniversalHistory     |10227570            |894096 KB         |464896 KB         |428816 KB         |384 KB

name                 |data_compression_desc
---------------------|---------------------
UniversalHistory     |PAGE

name                 |rows                |reserved          |data              |index_size        |unused
---------------------|--------------------|------------------|------------------|------------------|------------------
UniversalHistory     |10227570            |428752 KB         |144544 KB         |283952 KB         |256 KB

# Microsoft SQL Server Compression Test

# Overview

# Results

# Dataset

# Schema Alternatives

# Trade Table Schema

# Universal Table Schema

# Executing Tests

# Download Input Data

# Launch Microsoft SQL Server Database Container

# Execute SQL scripts for the Trade Table Schema

# Execute SQL scripts for the Universal Table Schema