Definitely for normalization, e.g. take a UTDF message, convert it to some representation (either a C-blob, CSV, or JSON, depending on final use), then push it to a Redis list named utdf.MSFT.

But beyond normalization, there is building books (be they level-1, 2, or 3), maintaining state, and extracting information from that. Random example (i.e. not a real query I've done): emit all the trade executions on any venue that happen within the first two depth levels of NASDAQ.

LuaJIT could do the hard crunching, like regression analysis, quite well, and there are some interesting projects like GSL-shell... but Matlab and numpy/matplotlib are quite expressive and more complete environments.