[CoolGuySteve]

Yeah, it's still pretty much the same just at 10 or 40 gbit now.

Hardware capture almost never drops and timestamps with GPS sync.

You can then take those capture files and manipulate them however you want into normalized market data.

Market data has the notable feature of being segmented by trading day, so the combination of symbol-venue-date is an appropriately small unit of data to run aggregations of any kind over or to distribute over a cluster.

So for market data at least, there's not much to "rolling your own" time series DB in Python or what-have-you.

Prcessing that firehouse in real time for trading is a different matter though and how you build that depends heavily on your latency requirements.