0

Given a set of price buckets (of varying sizes) as follows:

buckets:(
    1000.0 1000.4 1000.9 1001.6 1002.5 1003.6 1004.9 1006.4 1008.1 1010; // min bucket price
    1000.4 1000.9 1001.6 1002.5 1003.6 1004.9 1006.4 1008.1 1010 1012.1 // max bucket price
);

specifying the maximum and minimum prices for a given bucket respectively. How might I group a trades table by these buckets and conduct aggregations on them thereafter. i.e.

q) trades
   tid time                   | size price side
   ---------------------------| ---------------
   0   2020.10.18T19:55:41.554| 40   1000.0 0  // first bucket
   1   2020.10.18T20:07:41.554| 83   1000.1 0  // first bucket
   2   2020.10.18T18:43:41.554| 30   1000.5 0  // second bucket
   3   2020.10.18T19:35:41.554| 102  1000.6 0  // second bucket
   4   2020.10.18T19:11:41.554| 16   1000.6 0  // second bucket
   5   2020.10.18T21:17:41.554| 29   1000.9 0  // third bucket
   6   2020.10.18T22:24:41.554| 67   1001.9 0  // fourth bucket
...

for simplicity's sake I have only shown the aggregation for one side

 q) fn[trades;buckets]
    bid | tid
    ---------------
      0 | 0 1
      1 | 2 3 4
      2 | 5
      3 | 6

Is there a canonical (efficient) way of achieving this functionality in kdb+/q?

Thanks for your guidance

James
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2 Answers2

2

Two ways of achieving this with bin being preferable

q)buckets:(1000.0 1000.4 1000.9 1001.6 1002.5 1003.6 1004.9 1006.4 1008.1 1010;1000.4 1000.9 1001.6 1002.5 1003.6 1004.9 1006.4 1008.1 1010 1012.1);
q)px:raze .01 -.01+buckets
q)n:5000000;trades:flip`id`time`price`side!n?/:(n;.z.T;px;1)
q)
q)\ts r1:where each trades[`price]within/: flip buckets
237 125830544
q)
q)// using bin
q)
q)bkts:asc distinct raze buckets
q)\ts r2:group bkts bin trades`price
196 243277712
q)
q)asc[r1]~asc value r2
1b
q)
q)exec`l`h!(min;max)@\: price by priceBucket:bkts bkts bin price from trades
priceBucket| l       h
-----------| ---------------
1000       | 1000.01 1000.39
1000.4     | 1000.41 1000.89
1000.9     | 1000.91 1001.59
1001.6     | 1001.61 1002.49
1002.5     | 1002.51 1003.59
1003.6     | 1003.61 1004.89
1004.9     | 1004.91 1006.39
1006.4     | 1006.41 1008.09
1008.1     | 1008.11 1009.99
1010       | 1010.01 1012.09
jasonfealy
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2

Use the bin command. You only need the distinct values for your bucket list too.

q)n:1000000
time         sym price  side
----------------------------
01:35:38.122 CCC 1002.8 0
00:57:13.343 CCC 1003.5 0
02:40:31.958 BBB 1000.3 1
...

q)buckets:1000.0 1000.4 1000.9 1001.6 1002.5 1003.6 1004.9 1006.4 1008.1 1010 1012.1
q)show t2:select time,sym,price,side by Bucket:buckets bin price from t
Bucket| time                                                                 ..
------| ---------------------------------------------------------------------..
0     | 02:40:31.958 01:56:19.155 03:07:33.543 02:19:32.484 03:19:00.728 02:4..
1     | 00:51:01.325 04:15:50.568 01:20:01.150 01:27:36.835 04:05:26.790 00:4..

Then either ungroup your result to create large table with Bucket column you can reference or index into t2 to get the data for each bucket like:

q)flip t2 0
time         sym price  side
----------------------------
02:40:31.958 BBB 1000.3 1
01:56:19.155 BBB 1000.1 1
03:07:33.543 BBB 1000   0

q)flip t2 3
time         sym price  side
----------------------------
02:44:04.837 BBB 1001.8 0
02:47:43.405 CCC 1001.7 1
01:15:08.693 BBB 1002.3 0

Hope this helps. Let us know if it is not what you are after.

CWD
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