How do I calculate a rolling 30 day window in KDB? - kdb

I have a keyed table of the form:
t | ar av mr mv
-----------------------------| ----------------------------------------
2016.01.04D09:51:00.000000000| -0.001061315 513 -0.01507338 576
2016.01.04D11:37:00.000000000| -0.0004846135 618 -0.001100514 583
2016.01.04D12:04:00.000000000| -0.0009708739 1619 -0.001653045 1000
I want to calculate the 30 day rolling correlation ar cor mr.
I'm stuck trying to create a self join with wj, but I'm not getting anywhere. Is this the way to do it?

You could do something like:
/-Function which creates the rolling windows (w:window size, s:list)
q)f:{[w;s] (w-1)_({ 1_x,y }\[w#0;s])}
/-e.g.
q)f[3;til 5]
0 1 2
1 2 3
2 3 4
/-Apply cor to each 30-day rolling window as below:
q)ar:exec ar from t;
q)mr:exec mr from t;
q)cor'[f[30;ar]; f[30; mr]]

Related

An issue with argument "sortv" of function seqIplot()

I'm trying to plot individual sequences by means of function seqIplot() in TraMineR. These individual sequences represent work trajectories, completed by former school's graduates via a WEB questionnaire.
Using argument "sortv", I'd like to sort my sequences according to the order of the levels of one covariate, the year of graduation, named "PROMO".
"PROMO" is a factor variable contained in a data frame named "covariates.seq", gathering covariates together:
str(covariates.seq)
'data.frame': 733 obs. of 6 variables:
$ ID_SQ : Factor w/ 733 levels "1","2","3","5",..: 1 2 3 4 5 6
7 8 9 10 ...
$ SEXE : Factor w/ 2 levels "Féminin","Masculin": 1 1 1 1 2 1
1 2 2 1 ...
$ PROMO : Factor w/ 6 levels "1997","1998",..: 1 2 2 4 4 3 2 2
2 2 ...
$ DEPARTEMENT : Factor w/ 10 levels "BC","GCU","GE",..: 1 4 7 8 7 9
9 7 7 4 ...
$ NIVEAU_ADMISSION: Factor w/ 2 levels "En Premier Cycle",..: NA 1 1 1 1
1 NA 1 1 1 ...
$ FILIERE_SECTION : Factor w/ 4 levels "Cursus Classique",..: NA 4 2 NA
1 1 NA NA 4 3 ..
I'm also using "SEXE", the graduates' gender, as a grouping variable. To plot the individual sequences so, my command is as follows:
seqIplot(sequences, group = covariates.seq$SEXE,
sortv = covariates.seq$PROMO,
cex.axis = 0.7, cex.legend = 0.7)
I expected that, by using a process time axis (with the year of graduation as sequence-dependent origin), sorting the sequences according to the order of the levels of "PROMO" would give a plot with groups of sequences from the longest (for the older graduates) to the shortest (for the younger graduates).
But I've got an issue: in the output plot, the sequences don't appear to be correctly sorted according to the levels of "PROMO". Indeed, by using "sortv = covariates.seq$PROMO" as in the command above, the plot doesn't show groups of sequences from the longest to the shortest, as expected. It looks like the plot obtained without using the argument "sortv" (see Figures below).
Without using argument "sortv"
Using "sortv = covariates.seq$PROMO"
Note that I have 733 individual sequences in my object "sequences", created as follows:
labs <- c("En poste","Au chômage (d'au moins 6 mois)", "Autre situation
(d'au moins 6 mois)","En poursuite d'études (thèse ou hors
thèse)", "En reprise d'études / formation (d'au moins 6 mois)")
codes <- c("En poste", "Au chômage", "Autre situation", "En poursuite
d'études", "En reprise d'études / formation")
sequences <- seqdef(situations, alphabet = labs, states = codes, left =
NA, right = "DEL", missing = NA,
cnames = as.character(seq(0,7400/365,1/365)),
xtstep = 365)
The values of the covariates are sorted in the same order as the individual sequences. The covariate "PROMO" doesn't contain any missing value.
Something's going wrong, but what?
Thank you in advance for your help,
Best,
Arnaud.
Using a factor as sortv argument in seqIplot works fine as illustrated by the example below:
sdc <- c("aabbccdd","bbbccc","aaaddd","abcabcab")
sd <- seqdecomp(sdc, sep="")
seq <- seqdef(sd)
fac <- factor(c("2000","2001","2001","2000"))
par(mfrow=c(1,3))
seqIplot(seq, with.legend=FALSE)
seqIplot(seq, sortv=fac, with.legend=FALSE)
seqlegend(seq)

Spark: All RDD data not getting saved to Cassandra table

Hi, I am trying to load RDD data to a Cassandra Column family using Scala. Out of a total 50 rows , only 28 are getting stored into cassandra table.
Below is the Code snippet:
val states = sc.textFile("state.txt")
//list o fall the 50 states of the USA
var n =0 // corrected to var
val statesRDD = states.map{a =>
n=n+1
(n, a)
}
scala> statesRDD.count
res2: Long = 50
cqlsh:brs> CREATE TABLE BRS.state(state_id int PRIMARY KEY, state_name text);
statesRDD.saveToCassandra("brs","state", SomeColumns("state_id","state_name"))
// this statement saves only 28 rows out of 50, not sure why!!!!
cqlsh:brs> select * from state;
state_id | state_name
----------+-------------
23 | Minnesota
5 | California
28 | Nevada
10 | Georgia
16 | Kansas
13 | Illinois
11 | Hawaii
1 | Alabama
19 | Maine
8 | Oklahoma
2 | Alaska
4 | New York
18 | Virginia
15 | Iowa
22 | Wyoming
27 | Nebraska
20 | Maryland
7 | Ohio
6 | Colorado
9 | Florida
14 | Indiana
26 | Montana
21 | Wisconsin
17 | Vermont
24 | Mississippi
25 | Missouri
12 | Idaho
3 | Arizona
(28 rows)
Can anyone please help me in finding where the issue is?
Edit:
I understood why only 28 rows are getting stored in Cassandra, it's because I have made the first column a PRIMARY KEY and It looks like in my code, n is incremented maximum to 28 and then it starts again with 1 till 22 (total 50).
val states = sc.textFile("states.txt")
var n =0
var statesRDD = states.map{a =>
n+=1
(n, a)
}
I tried making n an accumulator variable as well(viz. val n = sc.accumulator(0,"Counter")), but I don't see any differnce in the output.
scala> statesRDD.foreach(println)
[Stage 2:> (0 + 0) / 2]
(1,New Hampshire)
(2,New Jersey)
(3,New Mexico)
(4,New York)
(5,North Carolina)
(6,North Dakota)
(7,Ohio)
(8,Oklahoma)
(9,Oregon)
(10,Pennsylvania)
(11,Rhode Island)
(12,South Carolina)
(13,South Dakota)
(14,Tennessee)
(15,Texas)
(16,Utah)
(17,Vermont)
(18,Virginia)
(19,Washington)
(20,West Virginia)
(21,Wisconsin)
(22,Wyoming)
(1,Alabama)
(2,Alaska)
(3,Arizona)
(4,Arkansas)
(5,California)
(6,Colorado)
(7,Connecticut)
(8,Delaware)
(9,Florida)
(10,Georgia)
(11,Hawaii)
(12,Idaho)
(13,Illinois)
(14,Indiana)
(15,Iowa)
(16,Kansas)
(17,Kentucky)
(18,Louisiana)
(19,Maine)
(20,Maryland)
(21,Massachusetts)
(22,Michigan)
(23,Minnesota)
(24,Mississippi)
(25,Missouri)
(26,Montana)
(27,Nebraska)
(28,Nevada)
I am curious to know what is causing n to not getting updated after value 28? Also, what are the ways in which I can create a counter which I can use for creating RDD?
There are some misconceptions about distributed systems embedded inside your question. The real heart of this is "How do I have a counter in a distributed system?"
The short answer is you don't. For example what you've done in your code example originally is something like this.
Task One {
var x = 0
record 1: x = 1
record 2: x = 2
}
Task Two {
var x = 0
record 20: x = 1
record 21: x = 2
}
Each machine is independently creating a new x variable set at 0 which gets incremented within it's own context, independently over the other nodes.
For most use cases the "counter" question can be replaced with "How can I get a Unique Identifier per Record in a distributed system?"
For this most users end up using a UUID which can be generated on independent machines with infinitesimal chances of conflicts.
If the question can be "How can I get a monotonic increasing unique indentifier?"
Then you can use zipWithUniqueIndex which will not count but will generate monotonically increasing ids.
If you just want them number to start with it's best to do it on the local system.
Edit; Why can't I use an accumulator?
Accumulators store their state (surprise) per task. You can see this with a little example:
val x = sc.accumulator(0, "x")
sc.parallelize(1 to 50).foreachPartition{ it => it.foreach(y => x+= 1); println(x)}
/*
6
7
6
6
6
6
6
7
*/
x.value
// res38: Int = 50
The accumulators combine their state after finishing their tasks, which means you can't use them as a global distributed counter.

Libsvm Classification MATLAB

I used 1~200 data as trainning data, 201~220 as testing data
format likes: 3 class(class 1,class 2, class 3) and 20 features
2 1:100 2:96 3:88 4:94 5:96 6:94 7:72 8:68 9:69 10:70 11:76 12:70 13:73 14:71 15:74 16:76 17:78 18:81 19:76 20:76
2 1:96 2:100 3:88 4:88 5:90 6:98 7:71 8:66 9:63 10:74 11:75 12:66 13:71 14:68 15:74 16:78 17:78 18:85 19:77 20:76
2 1:88 2:88 3:100 4:96 5:91 6:89 7:70 8:70 9:68 10:74 11:76 12:71 13:73 14:74 15:79 16:77 17:73 18:80 19:78 20:78
2 1:94 2:87 3:96 4:100 5:92 6:88 7:76 8:73 9:71 10:70 11:74 12:67 13:71 14:71 15:76 16:77 17:71 18:80 19:73 20:73
2 1:96 2:90 3:91 4:93 5:100 6:92 7:74 8:67 9:67 10:75 11:75 12:67 13:74 14:73 15:77 16:77 17:75 18:82 19:76 20:74
2 1:93 2:98 3:90 4:88 5:92 6:100 7:73 8:66 9:65 10:73 11:78 12:69 13:73 14:72 15:75 16:74 17:75 18:83 19:79 20:77
3 1:73 2:71 3:73 4:76 5:74 6:73 7:100 8:79 9:79 10:71 11:65 12:58 13:67 14:73 15:74 16:72 17:60 18:63 19:64 20:60
3 1:68 2:66 3:70 4:73 5:68 6:67 7:78 8:100 9:85 10:77 11:57 12:57 13:58 14:62 15:68 16:64 17:59 18:57 19:57 20:59
3 1:69 2:64 3:70 4:72 5:69 6:65 7:78 8:85 9:100 10:70 11:56 12:63 13:62 14:61 15:64 16:69 17:56 18:55 19:55 20:51
3 1:71 2:74 3:74 4:70 5:76 6:73 7:71 8:73 9:71 10:100 11:58 12:58 13:59 14:60 15:58 16:65 17:57 18:57 19:63 20:57
1 1:77 2:75 3:76 4:73 5:75 6:79 7:66 8:56 9:56 10:59 11:100 12:77 13:84 14:79 15:82 16:80 17:82 18:82 19:81 20:82
1 1:70 2:66 3:71 4:67 5:67 6:70 7:63 8:57 9:62 10:58 11:77 12:100 13:84 14:75 15:76 16:78 17:73 18:72 19:87 20:80
1 1:73 2:72 3:73 4:71 5:74 6:74 7:68 8:58 9:61 10:59 11:84 12:84 13:100 14:86 15:88 16:91 17:81 18:81 19:84 20:86
1 1:71 2:69 3:75 4:71 5:73 6:73 7:74 8:61 9:61 10:60 11:79 12:75 13:86 14:100 15:90 16:88 17:74 18:79 19:81 20:82
1 1:74 2:74 3:80 4:76 5:78 6:76 7:73 8:66 9:64 10:59 11:81 12:76 13:88 14:90 15:100 16:93 17:74 18:83 19:81 20:85
1 1:76 2:77 3:77 4:76 5:78 6:75 7:73 8:64 9:68 10:65 11:80 12:78 13:91 14:88 15:93 16:100 17:79 18:79 19:82 20:83
1 1:78 2:78 3:73 4:71 5:75 6:75 7:61 8:58 9:57 10:56 11:82 12:73 13:81 14:74 15:74 16:80 17:100 18:85 19:80 20:85
1 1:81 2:85 3:79 4:80 5:82 6:82 7:63 8:56 9:55 10:57 11:82 12:72 13:81 14:79 15:83 16:79 17:85 18:100 19:83 20:79
1 1:76 2:77 3:78 4:75 5:76 6:79 7:65 8:57 9:57 10:63 11:81 12:87 13:84 14:81 15:81 16:82 17:80 18:83 19:100 20:87
1 1:76 2:76 3:78 4:73 5:75 6:78 7:60 8:59 9:51 10:57 11:82 12:80 13:86 14:82 15:85 16:83 17:85 18:79 19:87 20:100
Then, I write code to classify them:
% read the data set
[image_label, image_features] = libsvmread(fullfile('D:\...'));
[N D] = size(image_features);
% Determine the train and test index
trainIndex = zeros(N,1);
trainIndex(1:200) = 1;
testIndex = zeros(N,1);
testIndex(201:N) = 1;
trainData = image_features(trainIndex==1,:);
trainLabel = image_label(trainIndex==1,:);
testData = image_features(testIndex==1,:);
testLabel = image_label(testIndex==1,:);
% Train the SVM
model = svmtrain(trainLabel, trainData, '-c 1 -g 0.05 -b 1');
% Use the SVM model to classify the data
[predict_label, accuracy, prob_values] = svmpredict(testLabel, testData, model, '-b 1');
But the final result for predict_label are all class 1, so the accuracy is 50%, which that it cannot get the correct predict label for class 2 and 3.
Is there something wrong from the format of data, or the code that I implemented?
Please help me, thanks very much.
To elaborate a bit more about the problem, there are at least three problems here:
You just check one values of parameters C (c) and Gamma (g) - behaviour of SVM is heavily dependant on the good choice of these parameters, so it is a common approach to use a grid search using cross validation testing for selecting the best ones.
Data scale also plays an important role here, if some of the dimensions are much bigger then the rest, you will bias the whole classifier, in order to deal with it there are at least two basic approaches: 1. Scale linearly each dimension to some interval (like [0,1] or [-1,1]) or normalize the data by transformation through Sigma^(-1/2) where Sigma is a data covariance matrix
Label imbalance - SVM works best when you have exactly the same amount of points in each class. Once it is not true, you should use the class weighting scheme in order to get valid results.
After fixing these three issues you should get reasonable results.
My guess is that you'd want to tune your parameters.
Make a loop over your -c and -g values (typically logarithimically, eg -c 10^(-3:5) ) and pick the one that is best.
That said, it is advisable to normalize your data, eg. scale it such that all values are between 0 and 1.

Creating open-high-low-close (ohlc) bars from tick data in Matlab

I have a CSV file 'XPQ12.csv' of futures tick data in the following form:
20090312 30:14.0 717.25 1 E
20090312 30:15.0 718.47 1 E
20090312 30:17.0 717.25 1 E
20090312 30:32.0 718.42 1 E
20090312 30:49.0 715.32 1 E
20090312 30:58.0 717.57 1 E
20090312 31:06.0 716.65 3 E
20090312 31:12.0 718.35 2 E
20090312 31:45.0 721.14 1 E
20090312 31:52.0 719.24 1 E
20090312 32:11.0 717.02 6 E
20090312 32:29.0 717.14 1 E
20090312 32:35.0 717.34 1 E
20090312 32:55.0 717.26 1 E
(The first column is the yearmonthdate, the second column is the minute:second:tenthofsecond, the third column is the price, the fourth column is the number of contracts traded, and the fifth indicates if the trade was electronic or in a pit). In my actual data set, I may have thousands of price quotes within any given minute.
I read the file using the following code:
fid = fopen('C:\Program Files\MATLAB\R2013a\XPQ12.csv','r');
[c] = fscanf(fid, '%d,%d:%d.%d,%f,%d,%c')
Which outputs:
20090312
30
14
0
717.25
1
69
20090312
30
15
0
718.47
3
69
.
.
.
(the 69s are the matlab representation for E I believe)
Now I want to cut this up into one minute ohlc bars, so that for each minute, I record what the first, highest, lowest, and last price was within that minute. I'd really like to know the best way to go about this.
My original idea was to store the sequence of minutes in a vector d, and while working through the data, each time the number at the end of d changed I would record the corresponding price as an open, record the previous price as a close for the last bar, and find the largest and smallest prices within each open and close.
c(2) is the first minute, so I said:
d(1)=c(2);
and then noting that I'd always be counting by 7 before getting to the next minute, I said:
Nrows = numel(textread('XPQ12.csv','%1c%*[^\n]')); % counts rows in file
for i=1:Nrows
if mod(i-2,7)== 0;
d(end+1)=c(i);
end
end
which should fill up d with all the minutes:
30
30
30
30
30
30
31
31
31
31
32
32
32
32
in the case of the example data. I'm kind of lost what to do from here, or if what I'm doing is on the right track.
From where you are:
Minutes = c(2:7:end);
MinuteValues=unique(Minutes);
Prices = c(5:7:end);
if (length(Prices)>length(Minutes))
Prices=Prices(1:length(Minutes));
elseif (length(Prices)<length(Minutes))
Minutes=Minutes(1:length(Prices));
OverflowValues=1+find(Minutes(2:end)==0 & Minutes(1:end-1)==59);
for v=length(OverflowValues):-1:1
Minutes(OverflowValues(v):end)=Minutes(OverflowValues(v):end)+60;
end
Highs=zeros(1,length(MinuteValues));
Lows=zeros(1,length(MinuteValues));
First=zeros(1,length(MinuteValues));
Last=zeros(1,length(MinuteValues));
for v=1:length(MinuteValues)
Highs(v) = max(Prices(Minutes==MinuteValues(v)));
Lows(v) = min(Prices(Minutes==MinuteValues(v)));
First(v) = Prices(find(Minutes==MinuteVales(v),1,'first'));
Last(v) = Prices(find(Minutes==MinuteVales(v),1,'last'));
end
Using textread would make this easier for you, as mentioned.
(If you are lost at this stage, I wouldn't find accumarray as mentioned in the comments is the best place to start!)
By the way, this is assuming that minutes increases above 60 and you don't have hours in there somewhere. Otherwise this won't work at all.

How to calculate a Mod b in Casio fx-991ES calculator

Does anyone know how to calculate a Mod b in Casio fx-991ES Calculator. Thanks
This calculator does not have any modulo function. However there is quite simple way how to compute modulo using display mode ab/c (instead of traditional d/c).
How to switch display mode to ab/c:
Go to settings (Shift + Mode).
Press arrow down (to view more settings).
Select ab/c (number 1).
Now do your calculation (in comp mode), like 50 / 3 and you will see 16 2/3, thus, mod is 2. Or try 54 / 7 which is 7 5/7 (mod is 5).
If you don't see any fraction then the mod is 0 like 50 / 5 = 10 (mod is 0).
The remainder fraction is shown in reduced form, so 60 / 8 will result in 7 1/2. Remainder is 1/2 which is 4/8 so mod is 4.
EDIT:
As #lawal correctly pointed out, this method is a little bit tricky for negative numbers because the sign of the result would be negative.
For example -121 / 26 = -4 17/26, thus, mod is -17 which is +9 in mod 26. Alternatively you can add the modulo base to the computation for negative numbers: -121 / 26 + 26 = 21 9/26 (mod is 9).
EDIT2: As #simpatico pointed out, this method will not work for numbers that are out of calculator's precision. If you want to compute say 200^5 mod 391 then some tricks from algebra are needed. For example, using rule
(A * B) mod C = ((A mod C) * B) mod C we can write:
200^5 mod 391 = (200^3 * 200^2) mod 391 = ((200^3 mod 391) * 200^2) mod 391 = 98
As far as I know, that calculator does not offer mod functions.
You can however computer it by hand in a fairly straightforward manner.
Ex.
(1)50 mod 3
(2)50/3 = 16.66666667
(3)16.66666667 - 16 = 0.66666667
(4)0.66666667 * 3 = 2
Therefore 50 mod 3 = 2
Things to Note:
On line 3, we got the "minus 16" by looking at the result from line (2) and ignoring everything after the decimal. The 3 in line (4) is the same 3 from line (1).
Hope that Helped.
Edit
As a result of some trials you may get x.99991 which you will then round up to the number x+1.
You need 10 ÷R 3 = 1
This will display both the reminder and the quoitent
÷R
There is a switch a^b/c
If you want to calculate
491 mod 12
then enter 491 press a^b/c then enter 12. Then you will get 40, 11, 12. Here the middle one will be the answer that is 11.
Similarly if you want to calculate 41 mod 12 then find 41 a^b/c 12. You will get 3, 5, 12 and the answer is 5 (the middle one). The mod is always the middle value.
You can calculate A mod B (for positive numbers) using this:
Pol( -Rec( 1/2πr , 2πr × A/B ) , Y ) ( πr - Y ) B
Then press [CALC], and enter your values for A and B, and any value for Y.
/ indicates using the fraction key, and r means radians ( [SHIFT] [Ans] [2] )
type normal division first and then type shift + S->d
Here's how I usually do it. For example, to calculate 1717 mod 2:
Take 1717 / 2. The answer is 858.5
Now take 858 and multiply it by the mod (2) to get 1716
Finally, subtract the original number (1717) minus the number you got from the previous step (1716) -- 1717-1716=1.
So 1717 mod 2 is 1.
To sum this up all you have to do is multiply the numbers before the decimal point with the mod then subtract it from the original number.
Note: Math error means a mod m = 0
It all falls back to the definition of modulus: It is the remainder, for example, 7 mod 3 = 1.
This because 7 = 3(2) + 1, in which 1 is the remainder.
To do this process on a simple calculator do the following:
Take the dividend (7) and divide by the divisor (3), note the answer and discard all the decimals -> example 7/3 = 2.3333333, only worry about the 2. Now multiply this number by the divisor (3) and subtract the resulting number from the original dividend.
so 2*3 = 6, and 7 - 6 = 1, thus 1 is 7mod3
Calculate x/y (your actual numbers here), and press a b/c key, which is 3rd one below Shift key.
Simply just divide the numbers, it gives yuh the decimal format and even the numerical format. using S<->D
For example: 11/3 gives you 3.666667 and 3 2/3 (Swap using S<->D).
Here the '2' from 2/3 is your mod value.
Similarly 18/6 gives you 14.833333 and 14 5/6 (Swap using S<->D).
Here the '5' from 5/6 is your mod value.