kdb+/q: Apply iterative procedure with updated variable to a column - kdb

Consider the following procedure f:{[x] ..} with starting value a:0:
Do something with x and a. The output is saved as the new version of a, and the output is returned by the function
For the next input x, redo the procedure but now with the new a.
For a single value x, this procedure is easily constructed. For example:
a:0;
f:{[x] a::a+x; :a} / A simple example (actual function more complicated)
However, how do I make such a function such that it also works when applied on a table column?
I am clueless how to incorporate this step for 'intermediate saving of a variable' in a function that can be applied on a column at once. Is there a special technique for this? E.g. when I use a table column in the example above, it will simply calculate a+x with a:0 for all rows, opposed to also updating a at each iteration.

No need to use global vars for this - can use scan instead - see here.
Example --
Generate a table -
q)t:0N!([] time:5?.z.p; sym:5?`3; price:5?100f; size:5?10000)
time sym price size
-----------------------------------------------
2002.04.04D18:06:07.889113280 cmj 29.07093 3994
2007.05.21D04:26:13.021438816 llm 7.347808 496
2010.10.30D10:15:14.157553088 obp 31.59526 1728
2005.11.01D21:15:54.022395584 dhc 34.10485 5486
2005.03.06D21:05:07.403334368 mho 86.17972 2318
Example with a simple accumilator - note, the function has access to the other args if needed (see next example):
q)update someCol:{[a;x;y;z] (a+1)}\[0;time;price;size] from t
time sym price size someCol
-------------------------------------------------------
2002.04.04D18:06:07.889113280 cmj 29.07093 3994 1
2007.05.21D04:26:13.021438816 llm 7.347808 496 2
2010.10.30D10:15:14.157553088 obp 31.59526 1728 3
2005.11.01D21:15:54.022395584 dhc 34.10485 5486 4
2005.03.06D21:05:07.403334368 mho 86.17972 2318 5
Say you wanted to get cumilative size:
q)update cuSize:{[a;x;y;z] (a+z)}\[0;time;price;size] from t
time sym price size cuSize
------------------------------------------------------
2002.04.04D18:06:07.889113280 cmj 29.07093 3994 3994
2007.05.21D04:26:13.021438816 llm 7.347808 496 4490
2010.10.30D10:15:14.157553088 obp 31.59526 1728 6218
2005.11.01D21:15:54.022395584 dhc 34.10485 5486 11704
2005.03.06D21:05:07.403334368 mho 86.17972 2318 14022
If you wanted more than one var passed through the scan, can pack more values into the first var, by giving it a more complex structure:
q)update cuPriceAndSize:{[a;x;y;z] (a[0]+y;a[1]+z)}\[0 0;time;price;size] from t
time sym price size cuPriceAndSize
--------------------------------------------------------------
2002.04.04D18:06:07.889113280 cmj 29.07093 3994 29.07093 3994
2007.05.21D04:26:13.021438816 llm 7.347808 496 36.41874 4490
2010.10.30D10:15:14.157553088 obp 31.59526 1728 68.014 6218
2005.11.01D21:15:54.022395584 dhc 34.10485 5486 102.1188 11704
2005.03.06D21:05:07.403334368 mho 86.17972 2318 188.2986 14022

#MdSalih solution is correct, I am just explaining here what could be the possible reason with global variable in your case and solution for that.
q) t:([]id: 1 2)
q)a:1
I think you might have been using it like this:
q) select k:{x:x+a;a::a+1;:x} id from t
output:
k
--
1
2
And a value is 2 which means function executed only once. Reason is we passed full id column list to function and (+) is atomic which means it operates on full list at once. In following ex. 2 will get added to all items in list.
q) 2 + (1;3;5)
Correct way to use it is 'each':
q)select k:{x:x+a;a::a+1;:x} each id from t
output:
k
--
2
3

Related

KDB - Automatic function argument behavior with Iterators

I'm struggling to understand the behavior of the arguments in the below scan function. I understand the EWMA calc and have made an Excel worksheet to match in an attempt to try to understand but the kdb syntax is throwing me off in terms of what (and when) is x,y and z. I've referenced Q for Mortals, books and https://code.kx.com/q/ref/over/ and I do understand whats going on in the simpler examples provided.
I understand the EWMA formula based on the Excel calc but how is that translated into the function below?
x = constant, y= passed in values (but also appears to be prior result?) and z= (prev period?)
ewma: {{(y*1-x)+(z*x)} [x]\[y]};
ewma [.25; 15 20 25 30 35f]
15 16.25 18.4375 21.32813 24.74609
Rearranging terms makes it easier to read but if I were write this in Excel, I would incorrectly reference the y value column in the addition operator instead of correctly referencing the prev EWMA value.
ewma: {{y+x*z-y} [x]\[y]};
ewma [.25; 15 20 25 30 35f]
15 16.25 18.4375 21.32813 24.74609
EWMA in Excel formula for auditing
0N! is useful in these cases for determining variables passed. Simply add to start of function to display variable in console. EG. to show what z is being passed in as each run:
q)ewma: {{0N!z;(y*1-x)+(z*x)} [x]\[y]};
q)ewma [.25; 15 20 25 30 35f]
15f
16.25
18.4375
21.32812
//Or multiple at once
q)ewma: {{0N!(x;y;z);(y*1-x)+(z*x)} [x]\[y]};
q)
q)ewma [.25; 15 20 25 30 35f]
0.25 15 20
0.25 16.25 25
0.25 18.4375 30
0.25 21.32812 35
Edit:
To think about why z is holding 'y' values it is best to think about below simplified example using just x/y.
//two parameters specified in beginning.
//x initialised as 1 then takes the function result for next run
//y takes value of next value in list
q){0N!(x;y);x+y}\[1;2 3 4]
1 2
3 3
6 4
3 6 10
//in this example only one parameter is passed
//but q takes first value in list as x in this special case
q){0N!(x;y);x+y}\[1 2 3 4]
1 2
3 3
6 4
1 3 6 10
A similar occurrence is happening in your example. x is not being passed to the the iterator and therefore will assume the same value in each run.
The inner function y value will be initilised taking the first value of the outer y variable (15f in this case) like above simplified example. Then the z takes the 2nd value of the list for it's initial run. y then takes the result of previous function run and z takes the next value in the list until how list has bee passed to function.

KDB: select and round off each row

I created my own function of round off:
.q.rnd:{$[x < 0; -1; 1] * floor abs[x] + 0.5}
I have a table Test with a string column of COL
select "F"$(COL) from Test
24549.18741328
48939.50717263
-274853.33568872
-24549.18741328
298753.62574861
84822.70074144
-7468840.64371524
117944.21228603
-117944.21228603
7468840.64371524
-7468840.64371524
I want to derive a table that would round-off the records in Test
One would think that the statement below would work. But it does not.
select .q.rnd "F"$(COL) from Test
I get the error "type". So how do I round off the records?
The result if the if-else conditional must be an atomic boolean. When you run .q.rnd on a column, you are operating on a list and x<0 is going to return a list of booleans, not an atom. The vector conditional is ?
Nonetheless, it looks like you want a resulting integer/long anyway, so just use parse here
q)t:([]string (10?-1 1)*10?10000f)
q)select "F"$x from t
x
-------------------
4123.1701336801052
-9877.8444156050682
-3867.3530425876379
7267.8099689073861
4046.5459413826466
-8355.0649625249207
6427.3701561614871
-5830.2619284950197
1424.9352994374931
-9149.8820902779698
q)select "j"$"F"$x from t
x
-----
4123
-9878
-3867
7268
4047
-8355
6427
-5830
1425
-9150
To add to what Sean's said, if you wanted to use your function as well you could use each which will apply .q.rnd to each item in the list.
q)select .q.rnd each "F"$x from t
x
-----
-3928
5171
5160
-4067
-1781
3018
-7850
5347
-7112
-4116
but using select "F"$x from t is better as it is vectorised.
q)\t:1000 select "j"$"F"$x from t
22
q)\t:1000 select .q.rnd each "F"$x from t
33
Also it should be noted that the .q namespace isn't necessary and is "reserved for kx use". A lot of the default q functions are in the .q namespace and there's always a chance future kdb updates could add a .q.rnd that has different behaviour and will break any code where you have used your function in.

SAS Placeholder value

I am looking to have a flexible importing structure into my SAS code. The import table from excel looks like this:
data have;
input Fixed_or_Floating $ asset_or_liability $ Base_rate_new;
datalines;
FIX A 10
FIX L Average Maturity
FLT A 20
FLT L Average Maturity
;
run;
The original dataset I'm working with looks like this:
data have2;
input ID Fixed_or_Floating $ asset_or_liability $ Base_rate;
datalines;
1 FIX A 10
2 FIX L 20
3 FIX A 30
4 FLT A 40
5 FLT L 30
6 FLT A 20
7 FIX L 10
;
run;
The placeholder "Average Maturity" exists in the excel file only when the new interest rate is determined by the average maturity of the bond. I have a separate function for this which allows me to search for and then left join the new base rate depending on the closest interest rate. An example of this is such that if the maturity of the bond is in 10 years, i'll use a 10 year interest rate.
So my question is, how can I perform a simple merge, using similar code to this:
proc sort data = have;
by fixed_or_floating asset_or_liability;
run;
proc sort data = have2;
by fixed_or_floating asset_or_liability;
run;
data have3 (drop = base_rate);
merge have2 (in = a)
have1 (in = b);
by fixed_or_floating asset_or_liability;
run;
The problem at the moment is that my placeholder value doesn't read in and I need it to be a word as this is how the excel works in its lookup table - then I use an if statement such as
if base_rate_new = "Average Maturity" then do;
(Insert existing Function Here)
end;
so just the importing of the excel with a placeholder function please and thank you.
TIA.
I'm not 100% sure if this behaviour corresponds with how your data appears once you import it from excel but if I run your code to create have I get:
NOTE: Invalid data for Base_rate_new in line 145 7-13.
RULE: ----+----1----+----2----+----3----+----4----+----5----+----6----+----7----+----8----+--
145 FIX L Average Maturity
Fixed_or_Floating=FIX asset_or_liability=L Base_rate_new=. _ERROR_=1 _N_=2
NOTE: Invalid data for Base_rate_new in line 147 7-13.
147 FLT L Average Maturity
Fixed_or_Floating=FLT asset_or_liability=L Base_rate_new=. _ERROR_=1 _N_=4
NOTE: SAS went to a new line when INPUT statement reached past the end of a line.
NOTE: The data set WORK.HAVE has 4 observations and 3 variables.
Basically it's saying that when you tried to import the character strings as numeric it couldn't do it so it left them as null values. If we print the table we can see the null values:
proc print data=have;
run;
Result:
Fixed_or_ asset_or_ Base_
Floating liability rate_new
FIX A 10
FIX L .
FLT A 20
FLT L .
Assuming this truly is what your data looks like then we can use the coalesce function to achieve your goal.
data have3 (drop = base_rate);
merge have2 (in = a)
have (in = b);
by fixed_or_floating asset_or_liability;
base_rate_new = coalesce(base_rate_new,base_rate);
run;
The result of doing this gives us this table:
Fixed_or_ asset_or_ Base_
ID Floating liability rate_new
1 FIX A 10
3 FIX A 10
2 FIX L 20
7 FIX L 20
4 FLT A 20
6 FLT A 20
5 FLT L 30
The coalesce function basically returns the first non-null value it can find in the parameters you pass to it. So when base_rate_new already has a value it uses that, and if it doesn't it uses the base_rate field instead.

Joining multiple times in kdb

I have two tables
table 1 (orders) columns: (date,symbol,qty)
table 2 (marketData) columns: (date,symbol,close price)
I want to add the close for T+0 to T+5 to table 1.
{[nday]
value "temp0::update date",string[nday],":mdDates[DateInd+",string[nday],"] from orders";
value "temp::temp0 lj 2! select date",string[nday],":date,sym,close",string[nday],":close from marketData";
table1::temp
} each (1+til 5)
I'm sure there is a better way to do this, but I get a 'loop error when I try to run this function. Any suggestions?
See here for common errors. Your loop error is because you're setting views with value, not globals. Inside a function value evaluates as if it's outside the function so you don't need the ::.
That said there's lots of room for improvement, here's a few pointers.
You don't need the value at all in your case. E.g. this line:
First line can be reduced to (I'm assuming mdDates is some kind of function you're just dropping in to work out the date from an integer, and DateInd some kind of global):
{[nday]
temp0:update date:mdDates[nday;DateInd] from orders;
....
} each (1+til 5)
In this bit it just looks like you're trying to append something to the column name:
select date",string[nday],":date
Remember that tables are flipped dictionaries... you can mess with their column names via the keys, as illustrated (very noddily) below:
q)t:flip `a`b!(1 2; 3 4)
q)t
a b
---
1 3
2 4
q)flip ((`$"a","1"),`b)!(t`a;t`b)
a1 b
----
1 3
2 4
You can also use functional select, which is much neater IMO:
q)?[t;();0b;((`$"a","1"),`b)!(`a`b)]
a1 b
----
1 3
2 4
Seems like you wanted to have p0 to p5 columns with prices corresponding to date+0 to date+5 dates.
Using adverb over to iterate over 0 to 5 days :
q)orders:([] date:(2018.01.01+til 5); sym:5?`A`G; qty:5?10)
q)data:([] date:20#(2018.01.01+til 10); sym:raze 10#'`A`G; price:20?10+10.)
q)delete d from {c:`$"p",string[y]; (update d:date+y from x) lj 2!(`d`sym,c )xcol 0!data}/[ orders;0 1 2 3 4]
date sym qty p0 p1 p2 p3 p4
---------------------------------------------------------------
2018.01.01 A 0 10.08094 6.027448 6.045174 18.11676 1.919615
2018.01.02 G 3 13.1917 8.515314 19.018 19.18736 6.64622
2018.01.03 A 2 6.045174 18.11676 1.919615 14.27323 2.255483
2018.01.04 A 7 18.11676 1.919615 14.27323 2.255483 2.352626
2018.01.05 G 0 19.18736 6.64622 11.16619 2.437314 4.698096

how to handle type F in a table in Q/KDB

I have started to learn q/KDB since a while, therefore forgive me in advance for trivial question but I am facing the following problem I don't know how to solve.
I have a table named "res" showing, side, summation of orders and average_price of some simbols
sym side | sum_order avg_price
----------| -------------------
ALPHA B | 95109 9849.73
ALPHA S | 91662 9849.964
BETA B | 47 9851.638
BETA S | 60 9853.383
with these types
c | t f a
---------| -----
sym | s p
side | s
sum_order| f
avg_price| f
I would like to calculate close and open positions, average point, made by close position, and average price of the open position.
I have used this query which I believe it is pretty bizarre (I am sure there will be a more professional way to do it) but it works as expected
position_summary:select
close_position:?[prev[sum_order]>sum_order;sum_order;prev[sum_order]],
average_price:avg_price-prev[avg_price],
open_pos:prev[sum_order]-sum_order,
open_wavgprice:?[sum_order>next[sum_order];avg_price;next[avg_price]][0]
by sym from res
giving me the following table
sym | close_position average_price open_pos open_wavgprice
----------| ----------------------------------------------------
ALPHA | 91662 0.2342456 3447 9849.73
BETA | 47 1.745035 -13 9853.38
and types are
c | t f a
--------------| -----
sym | s s
close_position| F
average_price | F
open_pos | F
open_wavgprice| f
Now my problem starts here, imagine I join position_summary table with another table appending another column "current_price" of type f
What I want to do is to determinate the points of the open positions.
I have tried this way:
select
?[open_pos>0;open_price-open_wavgprice;open_wavgprice-open]
from position_summary
but I got 'type error,
surely because sum_order is type F and open_wavgprice and current_price are f. I have search on internet by I did not find much about F type.
First: how can I handle this ? I have tried "cast" or use "raze" but no effects and moreover I am not sure if they are right on this particular occasion.
Second: is there a better way to use "if-then" during query tables (for example, in plain English :if this row of this column then take the previous / next of another column or the second or third of previous /next column)
Thank you for you help
Let me rephrase your question using a slightly simpler table:
q)show res:([sym:`A`A`B`B;side:`B`S`B`S]size:95 91 47 60;price:49.7 49.9 51.6 53.3)
sym side| size price
--------| ----------
A B | 95 49.7
A S | 91 49.9
B B | 47 51.6
B S | 60 53.3
You are trying to find the closing position for each symbol using a query like this:
q)show summary:select close:?[prev[size]>size;size;prev[size]] by sym from res
sym| close
---| -----
A | 91
B | 47
The result seems to have one number in each row of the "close" column, but in fact it has two. You may notice an extra space before each number in the display above or you can display the first row
q)first 0!summary
sym | `A
close| 0N 91
and see that the first row in the "close" column is 0N 91. Since the missing values such as 0N are displayed as a space, it was hard to see them in the earlier display.
It is not hard to understand how you've got these two values. Since you select by sym, each column gets grouped by symbol and for the symbol A, you have
q)show size:95 91
95 91
and
q)prev size
0N 95
that leads to
q)?[prev[size]>size;size;prev[size]]
0N 91
(Recall that 0N is smaller than any other integer.)
As a side note, ?[a>b;b;a] is element-wise minimum and can be written as a & b in q, so your conditional expression could be written as
q)size & prev size
0N 91
Now we can see why ? gave you the type error
q)close:exec close from summary
q)close
91
47
While the display is deceiving, "close" above is a list of two vectors:
q)first close
0N 91
and
q)last close
0N 47
The vector conditional does not support that:
q)?[close>0;10;20]
'type
[0] ?[close>0;10;20]
^
One can probably cure that by using each:
q)?[;10;20]each close>0
20 10
20 10
But I don't think this is what you want. Your problem started when you computed the summary table. I would expect the closing position to be the sum of "B" orders minus the sum of "S" orders that can be computed as
q)select close:sum ?[side=`B;size;neg size] by sym from res
sym| close
---| -----
A | 4
B | -13
Now you should be able to fix the rest of the columns in your summary query. Just make sure that you use an aggregation function such as sum in the expression for every column.
Type F means the "cell" in the column contains a vector of floats rather than an atom. So your column is actually a vector of vectors rather than a flat vector.
In your case you have a vector of size 1 in each cell, so in your case you could just do:
select first each close_position, first each average_price.....
which will give you a type f.
I'm not 100% on what you were trying to do in the first query, and I don't have a q terminal to hand to check but you could put this into your query:
select close_position:?[prev[sum_order]>sum_order;last sum_order; last prev[sum_order].....
i.e. get the last sum_order in the list.