MySQL Compression Test

Overview

The following tests calculate the amount of disk space required to store 10+ million time:value samples in a MySQL database, version 5.7.

Results

Schema Compressed Data Size Index Size Total Size Row Count Bytes per Row Bytes per Sample
Trade Table No 119,160,832 40,468,480 159,629,312 2,045,514 78.0 15.6
Trade Table Yes 63,266,816 20,234,240 83,501,056 2,045,514 40.8 8.2
Universal Table No 480,247,808 243,187,712 723,435,520 10,227,570 70.7 70.7
Universal Table Yes 231,735,296 121,602,048 353,337,344 10,227,570 34.5 34.5

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 the following URL: 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
DESCRIBE TradeHistory;
+------------+--------------+------+-----+-------------------+-------+
| Field      | Type         | Null | Key | Default           | Extra |
+------------+--------------+------+-----+-------------------+-------+
| Instrument | int(11)      | NO   | MUL | NULL              |       |
| Open       | decimal(7,4) | YES  |     | NULL              |       |
| High       | decimal(7,4) | YES  |     | NULL              |       |
| Low        | decimal(7,4) | YES  |     | NULL              |       |
| Close      | decimal(7,4) | YES  |     | NULL              |       |
| Volume     | int(11)      | YES  |     | NULL              |       |
| Time       | timestamp    | NO   |     | CURRENT_TIMESTAMP |       |
+------------+--------------+------+-----+-------------------+-------+

SELECT * FROM TradeHistory LIMIT 5;
+------------+----------+----------+----------+----------+--------+---------------------+
| Instrument | Open     | High     | Low      | Close    | Volume | Time                |
+------------+----------+----------+----------+----------+--------+---------------------+
|          1 | 104.5000 | 104.5000 | 104.5000 | 104.5000 |  67000 | 1998-01-02 09:30:00 |
|          1 | 104.3800 | 104.5000 | 104.3800 | 104.3800 |  10800 | 1998-01-02 09:31:00 |
|          1 | 104.4400 | 104.5000 | 104.3800 | 104.5000 |  13300 | 1998-01-02 09:32:00 |
|          1 | 104.4400 | 104.5000 | 104.3800 | 104.3800 |  16800 | 1998-01-02 09:33:00 |
|          1 | 104.3800 | 104.5000 | 104.3800 | 104.3800 |   4801 | 1998-01-02 09:34:00 |
+------------+----------+----------+----------+----------+--------+---------------------+
  • Instruments Table
DESCRIBE Instruments;
+-------+-------------+------+-----+---------+----------------+
| Field | Type        | Null | Key | Default | Extra          |
+-------+-------------+------+-----+---------+----------------+
| Id    | int(11)     | NO   | PRI | NULL    | auto_increment |
| Name  | varchar(20) | YES  |     | NULL    |                |
+-------+-------------+------+-----+---------+----------------+

SELECT * FROM Instruments;
+----+------+
| Id | Name |
+----+------+
|  1 | IBM  |
+----+------+

Universal Table Schema

  • UniversalHistory Table
DESCRIBE UniversalHistory;
+------------+---------------+------+-----+-------------------+-------+
| Field      | Type          | Null | Key | Default           | Extra |
+------------+---------------+------+-----+-------------------+-------+
| Instrument | int(11)       | NO   | MUL | NULL              |       |
| Metric     | int(11)       | NO   |     | NULL              |       |
| Time       | timestamp     | NO   |     | CURRENT_TIMESTAMP |       |
| Value      | decimal(12,4) | YES  |     | NULL              |       |
+------------+---------------+------+-----+-------------------+-------+

SELECT * FROM UniversalHistory LIMIT 5;
+------------+--------+---------------------+----------+
| Instrument | Metric | Time                | Value    |
+------------+--------+---------------------+----------+
|          1 |      1 | 1998-01-02 09:30:00 | 104.5000 |
|          1 |      1 | 1998-01-02 09:31:00 | 104.3800 |
|          1 |      1 | 1998-01-02 09:32:00 | 104.4400 |
|          1 |      1 | 1998-01-02 09:33:00 | 104.4400 |
|          1 |      1 | 1998-01-02 09:34:00 | 104.3800 |
+------------+--------+---------------------+----------+
  • Instruments Table
DESCRIBE Instruments;
+-------+-------------+------+-----+---------+----------------+
| Field | Type        | Null | Key | Default | Extra          |
+-------+-------------+------+-----+---------+----------------+
| Id    | int(11)     | NO   | PRI | NULL    | auto_increment |
| Name  | varchar(20) | YES  |     | NULL    |                |
+-------+-------------+------+-----+---------+----------------+

SELECT * FROM Instruments;
+----+------+
| Id | Name |
+----+------+
|  1 | IBM  |
+----+------+
  • Metrics Table
DESCRIBE Metrics;
+-------+-------------+------+-----+---------+----------------+
| Field | Type        | Null | Key | Default | Extra          |
+-------+-------------+------+-----+---------+----------------+
| Id    | int(11)     | NO   | PRI | NULL    | auto_increment |
| Name  | varchar(20) | YES  |     | 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 MySQL Database Container

Start a MySQL 5.7 container. Mount /tmp/test directory to the container.

docker run --name mysql-axibase-storage-test \
    -e MYSQL_DATABASE=axibase \
    -e MYSQL_ROOT_PASSWORD=axibase \
    -v /tmp/test:/data \
    -d mysql/mysql-server:5.7

Execute SQL scripts for the Trade Table Schema

curl -o /tmp/test/mysql-trade-table.sql \
 "https://raw.githubusercontent.com/axibase/atsd/master/administration/compaction/mysql-trade-table.sql"
cat /tmp/test/mysql-trade-table.sql | \
 docker exec -i mysql-axibase-storage-test mysql \
  --user=root \
  --password=axibase \
  --database=axibase \
  --table | grep -E '\+|\|' --color=never
+--------+--------------+------------+------------+-------------+--------------+--------------+
| engine | table_name   | row_format | table_rows | data_length | index_length | total_length |
+--------+--------------+------------+------------+-------------+--------------+--------------+
| InnoDB | TradeHistory | Dynamic    |    2038732 |   119160832 |     40468480 |    159629312 |
+--------+--------------+------------+------------+-------------+--------------+--------------+

+--------+--------------+------------+------------+-------------+--------------+--------------+
| engine | table_name   | row_format | table_rows | data_length | index_length | total_length |
+--------+--------------+------------+------------+-------------+--------------+--------------+
| InnoDB | TradeHistory | Compressed |    2042141 |    63266816 |     20234240 |     83501056 |
+--------+--------------+------------+------------+-------------+--------------+--------------+

+-----------+---------------------+---------------------+
| row_count | min_time            | max_time            |
+-----------+---------------------+---------------------+
|   2045514 | 1998-01-02 09:30:00 | 2017-09-08 17:38:00 |
+-----------+---------------------+---------------------+

Execute SQL scripts for the Universal Table Schema

curl -o /tmp/test/mysql-universal-table.sql \
 "https://raw.githubusercontent.com/axibase/atsd/master/administration/compaction/mysql-universal-table.sql"
cat /tmp/test/mysql-universal-table.sql | \
 docker exec -i mysql-axibase-storage-test mysql \
  --user=root \
  --password=axibase \
  --database=axibase \
  --table | grep -E '\+|\|' --color=never
+--------+------------------+------------+------------+-------------+--------------+--------------+
| engine | table_name       | row_format | table_rows | data_length | index_length | total_length |
+--------+------------------+------------+------------+-------------+--------------+--------------+
| InnoDB | UniversalHistory | Dynamic    |    9943125 |   480247808 |    243187712 |    723435520 |
+--------+------------------+------------+------------+-------------+--------------+--------------+

+--------+------------------+------------+------------+-------------+--------------+--------------+
| engine | table_name       | row_format | table_rows | data_length | index_length | total_length |
+--------+------------------+------------+------------+-------------+--------------+--------------+
| InnoDB | UniversalHistory | Compressed |    9978432 |   231735296 |    121602048 |    353337344 |
+--------+------------------+------------+------------+-------------+--------------+--------------+

+-----------+---------------------+---------------------+
| row_count | min_time            | max_time            |
+-----------+---------------------+---------------------+
|  10227570 | 1998-01-02 09:30:00 | 2017-09-08 17:38:00 |
+-----------+---------------------+---------------------+