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 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 |
+-----------+---------------------+---------------------+

# MySQL Compression Test

# Overview

# Results

# Dataset

# Schema Alternatives

# Trade Table Schema

# Universal Table Schema

# Executing Tests

# Download Input Data

# Launch MySQL Database Container

# Execute SQL scripts for the Trade Table Schema

# Execute SQL scripts for the Universal Table Schema