I generate "backtests" of a stock trading model, IE I see how it would have done historically. Each backtest reads lots of vendor data from Postgres, and writes some output to Postgres. I can't run a backtest on a "dev" version of the vendor data, I need all of it to make my results correct. The vendor data is too big to easily have two copies.
To make this more complex, it's not a simple process where I read vendor data then generate analysis. My model is generated in several steps, which involves reading vendor data, generating output, then combining the output I generated in a previous step with more vendor data to generate the next step of output.
Backtests are "prod-like" in that they must use real vendor data and must generate correct results that drive business decisions. But they are "dev-like" since I don't want my backtest to interfere with my production system, which generates the version of the model that I currently trade. For a backtest I might want to make a new database table, or change the behavior of an existing process that generates data.
I've tried 2 solutions to this: One is have classes to handle all data reads and writes, and configuration that causes functions to read or write from a dev or production DB as needed. This is a pain to set up, but works well.
The other solution is DB clones. One advantage of DB clones is that it lets me write SQL that joins data I've generated on vendor data. I don't love having business logic in SQL for the obvious reasons, but it can be very performant and easy to maintain. Using classes for data access means that I can't easily do a SQL join between vendor data (which is always on the production DB) and data I generate (which might be on the dev DB.)
To make this more complex, it's not a simple process where I read vendor data then generate analysis. My model is generated in several steps, which involves reading vendor data, generating output, then combining the output I generated in a previous step with more vendor data to generate the next step of output.
Backtests are "prod-like" in that they must use real vendor data and must generate correct results that drive business decisions. But they are "dev-like" since I don't want my backtest to interfere with my production system, which generates the version of the model that I currently trade. For a backtest I might want to make a new database table, or change the behavior of an existing process that generates data.
I've tried 2 solutions to this: One is have classes to handle all data reads and writes, and configuration that causes functions to read or write from a dev or production DB as needed. This is a pain to set up, but works well.
The other solution is DB clones. One advantage of DB clones is that it lets me write SQL that joins data I've generated on vendor data. I don't love having business logic in SQL for the obvious reasons, but it can be very performant and easy to maintain. Using classes for data access means that I can't easily do a SQL join between vendor data (which is always on the production DB) and data I generate (which might be on the dev DB.)