What is the most convenient/fast way to implement a sorted set in redis where the values are objects, not just strings.
Should I just store object id's in the sorted set and then query every one of them individually by its key or is there a way that I can store them directly in the sorted set, i.e. must the value be a string?
It depends on your needs, if you need to share this data with other zsets/structures and want to write the value only once for every change, you can put an id as the zset value and add a hash to store the object. However, it implies making additionnal queries when you read data from the zset (one zrange + n hgetall for n values in the zset), but writing and synchronising the value between many structures is cheap (only updating the hash corresponding to the value).
But if it is "self-contained", with no or few accesses outside the zset, you can serialize to a chosen format (JSON, MESSAGEPACK, KRYO...) your object and then store it as the value of your zset entry. This way, you will have better performance when you read from the zset (only 1 query with O(log(N)+M), it is actually pretty good, probably the best you can get), but maybe you will have to duplicate the value in other zsets / structures if you need to read / write this value outside, which also implies maintaining synchronisation by hand on the value.
Redis has good documentation on performance of each command, so check what queries you would write and calculate the total cost, so that you can make a good comparison of these two options.
Also, don't forget that redis comes with optimistic locking, so if you need pessimistic (because of contention for instance) you will have to do it by hand and/or using lua scripts. If you need a lot of sync, the first option seems better (less performance on read, but still good, less queries and complexity on writes), but if you have values that don't change a lot and memory space is not a problem, the second option will provide better performance on reads (you can duplicate the value in redis, synchronize the values periodically for instance).
Short answer: Yes, everything must be stored as a string
Longer answer: you can serialize your object into any text-based format of your choosing. Most people choose MsgPack or JSON because it is very compact and serializers are available in just about any language.
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