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description=Equities Order Analytic Functions Glossary;
author=KX Systems, Inc., a subsidiary of KX Software Limited;

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eqea, analytics, equities, order, analytic, functions, glossary, arrivalvalue, converttousd, endvalue, inlimitinterval, insidespreadinterval, interval, intervalopenclose, intervalspread, intraorderprofile, intraorderprofilespread, midvalues, nearask, nearbid, orderperformance, reversion, volatility,

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Text of the page (random words):
inlimitinterval eqea analytics insidespreadinterval eqea analytics interval eqea analytics intervalopenclose eqea analytics intervalspread eqea analytics intraorderprofile eqea analytics intraorderprofilespread eqea analytics midvalues eqea analytics nearask eqea analytics nearbid eqea analytics orderperformance eqea analytics reversion eqea analytics volatility query window adjustment factor bloomberg bpipe bloomberg bpipe bloomberg bpipe overview bloomberg bpipe quickstart bloomberg bpipe feed install and setup bloomberg emrs feed install and setup bloomberg to insights enterprise user map bloomberg entitlements filter onetick us consolidated equities onetick us consolidated equities onetick us consolidated equities quickstart onetick us consolidated equities realtime pipeline onetick us consolidated equities historic pipeline onetick us consolidated equities data volume prep how to how to deployment and content configuration configuration in the fsi library use the accelerators set up daily pipeline execution apis apis api overview getticks getstats getbars getorderanalyticsummary generateorderanalytics customize getstats customize data for use with getbars api configuration api errors glossary examples examples cancellations and corrections extending accelerator apis utility functions releases releases overview ice order book release notes ice fixed income release notes ice equity analytics release notes bloomberg equity analytics release notes bloomberg b pipe release notes onetick volume prep release notes onetick us comp release notes fsi library release notes on this page eqea analytics arrivalvalue eqea analytics converttousd eqea analytics endvalue eqea analytics inlimitinterval eqea analytics insidespreadinterval eqea analytics interval eqea analytics intervalopenclose eqea analytics intervalspread eqea analytics intraorderprofile eqea analytics intraorderprofilespread eqea analytics midvalues eqea analytics nearask eqea analytics nearbid eqea analytics orderperformance eqea analytics reversion eqea analytics volatility equities order analytic functions glossary the equities order analytics accelerator provides hundreds of analytics out of the box this page provides a brief explanation of some of the analytics generated eqea analytics arrivalvalue this function is used to retrieve the bidprices and askprices from the quote table where eventtimestamp striketime parameter name type description orderanalyticsres table keyed table containing all input order data and order analytic results up to this point in the eqea analytics cfg table args dict argument dictionary returns type description table keyed table containing all input order data and all order analytic results up to this point in the eqea analytics cfg table eqea analytics converttousd this function is used to calculate the order execution analytics that involve fx conversion to usd the values calculated by eqea analytics converttousd are arrivalvalue arrivalmid executedqty executedvalueusd executedvalue usdaskrate arrivalvalueusd arrivalvalue usdaskrate where usdaskrate is the usd ask value for the currency or the order at the tradedate of the order parameter name type description orderanalyticsres table keyed table containing all input order data and order analytic results up to this point in the eqea analytics cfg table args dict argument dictionary returns type description table keyed table containing all input order data and all order analytic results up to this point in the eqea analytics cfg table eqea analytics endvalue this function is used to retrieve the bidprices and askprices from the quote table where eventtimestamp ordercompletedtime parameter name type description orderanalyticsres table keyed table containing all input order data and order analytic results up to this point in the eqea analytics cfg table args dict argument dictionary returns type description table keyed table containing all input order data and all order analytic results up to this point in the eqea analytics cfg table eqea analytics inlimitinterval this function is used to calculate the inlimitinterval values the inlimitinterval analytics definitions change slightly depending on the values of the order in question if ordersidecode buy and limitprice is not null then inlimitinterval values are calculated based on data from the trade table where the price limitprice if ordersidecode sell and limitprice is not null then inlimitinterval values are calculated based on data from the trade table where the price limitprice analytics calculated by eqea analytics inlimitinterval include number of trades between striketime and ordercompletedtime where price limitprice for buy side orders or p rice limitprice for sell side orders spread between striketime and ordercompletedtime where price limitprice for buy side orders or p rice limitprice for sell side orders highest traded price between striketime and ordercompletedtime where price limitprice for buy side orders or price limitprice for sell side orders lowest traded price between striketime and ordercompletedtime where price limitprice for buy side orders or price limitprice for sell side orders volume between striketime and ordercompletedtime where price limitprice for buy side orders or price limitprice for sell side orders vwap between striketime and ordercompletedtime where price limitprice for buy side orders or price limitprice for sell side orders traded price at striketime that meets the condition price limitprice for buy side orders or price limitprice for sell side orders traded price at ordercompletedtime that meets the condition price limitprice for buy side orders or price limitprice for sell side orders note if null values are found they are replaced with values as per the configurations settings in the eqea analytics prevailing cfg table parameter name type description orderanalyticsres table keyed table containing all input order data and order analytic results up to this point in the eqea analytics cfg table args dict argument dictionary returns type description table keyed table containing all input order data and all order analytic results up to this point in the eqea analytics cfg table eqea analytics insidespreadinterval this function is used to calculate the inside spread analytic values these are analytics performed on trade data where striketime eventtimestamp ordercompletedtime and arrivalbidprice price arrivalaskprice analytics calculated by eqea analytics insidespreadinterval include tradecountinsidespread number of trades where striketime eventtimestamp ordercompletedtime and arrivalbidprice price arrivalaskprice volumeinsidespread the sum of trade volume where striketime eventtimestamp ordercompletedtime and arrivalbidprice price arrivalaskprice parameter name type description orderanalyticsres table keyed table containing all input order data and order analytic results up to this point in the eqea analytics cfg table args dict argument dictionary returns type description table keyed table containing all input order data and all order analytic results up to this point in the eqea analytics cfg table eqea analytics interval this function is used to calculate interval aggregations of trade data from striketime to ordercompletedtime note if null values are found they are replaced with values as per the configurations settings in the eqea analytics prevailing cfg table parameter name type description orderanalyticsres table keyed table containing all input order data and order analytic results up to this point in the eqea analytics cfg table args dict argument dictionary returns type description table keyed table containing all input order data and all order analytic results up to this point in the eqea analytics cfg table eqea analytics intervalopenclose this function is used to calculate the open and close trade prices note if null values are found they are replaced with values as per the configurations settings in the eqea analytics prevailing cfg table parameter name type description orderanalyticsres table keyed table containing all input order data and order analytic results up to this point in the eqea analytics cfg table args dict argument dictionary returns type description table keyed table containing all input order data and all order analytic results up to this point in the eqea analytics cfg table eqea analytics intervalspread this function is used to calculate the intervalspread orderexecution analytic here intervalspread is defined as the time weighted average spread for every quote between the striketime and ordercompletedtime parameter name type description orderanalyticsres table keyed table containing all input order data and order analytic results up to this point in the eqea analytics cfg table args dict argument dictionary returns type description table keyed table containing all input order data and all order analytic results up to this point in the eqea analytics cfg table eqea analytics intraorderprofile this function is used to calculate the intraorder profile orderexecution analytics the intraorder profile analytics show the market behavior at regular intervals between striketime and ordercompletedtime the first step is the calculate the bucketduration value where bucketduration ordercompletedtime striketime 10 this value is used to generate time stamps whereby analytic_n occurs at striketime bucketduration n analytics calculated by eqea analytics intraorderprofile include quoted ask price striketime bucketduration n quoted bid price striketime bucketduration n traded open price striketime bucketduration n traded close price striketime bucketduration n traded high price where striketime bucketduration n 1 eventtimestamp bucketduration n traded low price where striketime bucketduration n 1 eventtimestamp bucketduration n traded volume where striketime bucketduration n 1 eventtimestamp bucketduration n trade count where striketime bucketduration n 1 eventtimestamp bucketduration n trade vwap where striketime bucketduration n 1 eventtimestamp bucketduration n trade volatility where striketime bucketduration n 1 eventtimestamp bucketduration n note note trade volatility is defined here as standard deviation of the difference between first and last prices in each 5 minute window and the five minute windows being however many there are between striketime bucketduration n 1 eventtimestamp bucketduration n parameter name type description orderanalyticsres table keyed table containing all input order data and order analytic results up to this point in the eqea analytics cfg table args dict argument dictionary returns type description table keyed table containing all input order data and all order analytic results up to this point in the eqea analytics cfg table eqea analytics intraorderprofilespread this function is used to calculate the intervalspread_n values here intervalspread_n is defined as the time weighted average spread for every quote where striketime bucketduration n 1 eventtimestamp bucketduration n parameter name type description orderanalyticsres table keyed table containing all input order data and order analytic results up to this point in the eqea analytics cfg table args dict argument dictionary returns type description table keyed table containing all input order data and all order analytic results up to this point in the eqea analytics cfg table eqea analytics midvalues this function is used to calculate the reversion mid values the reversionmid_n values are defined as reversionmid_n reversionaskprice_n reversionbidprice_n 2 parameter name type description orderanalyticsres table keyed table containing all input order data and order analytic results up to this point in the eqea analytics cfg table args dict argument dictionary returns type description table keyed table containing all input order data and all order analytic results up to this point in the eqea analytics cfg table eqea analytics nearask this function is used to calculate the near ask analytic values the near ask values are based on trade data where striketime eventtimestamp ordercompletedtime and arrivalaskprice 0 01 price arrivalaskprice 0 01 analytics calculated by eqea analytics nearask include tradecountnearask number of trades where striketime eventtimestamp ordercompletedtime and arrivalaskprice 0 01 price arrivalaskprice 0 01 volumenearask the sum of trade volume where striketime eventtimestamp ordercompletedtime and arrivalaskprice 0 01 price arrivalaskprice 0 01 parameter name type description orderanalyticsres table keyed table containing all input order data and order analytic results up to this point in the eqea analytics cfg table args dict argument dictionary returns type description table keyed table containing all input order data and all order analytic results up to this point in the eqea analytics cfg table eqea analytics nearbid this function is used to calculate the near bid analytic values the near bid values are based on trade data where striketime eventtimestamp ordercompletedtime and arrivalbidprice 0 01 price arrivalbidprice 0 01 analytics calculated by eqea analytics nearbid include tradecountnearbid number of trades where striketime eventtimestamp ordercompletedtime and arrivalbidprice 0 01 price arrivalbidprice 0 01 volumenearbid the sum of trade volume where striketime eventtimestamp ordercompletedtime and arrivalbidprice 0 01 price arrivalaprice 0 01 parameter name type description orderanalyticsres table keyed table containing all input order data and order analytic results up to this point in the eqea analytics cfg table args dict argument dictionary returns type description table keyed table containing all input order data and all order analytic results up to this point in the eqea analytics cfg table eqea analytics orderperformance this function is used to calculate the order performance relative to the arrivalmid price value analytics calculated by eqea analytics orderperformance include ordersideenum this value is 1 for buy side orders 1 for sell side orders executionshortfall averageprice arrivalmid arrivalmid 0 001 ordersideenum striketoendreturn endmid arrivalmid arrivalmid 0 001 ordersideenum executionshortfall averageprice arrivalmid arrivalmid 0 001 ordersideenum reversionreturn_n reversionmid_n arrivalmid arrivalmid 0 001 ordersideenum where n is signifies the number of seconds after ordercompletedtime for example reversionmid_60 is the mid point of the askprice and the bidprice for an ordered instrument 60 seconds after the order was completed parameter name type description orderanalyticsres table keyed table containing all input order data and order analytic results up to this point in the eqea analytics cfg table args dict argument dictionary returns type description table keyed table containing all input order data and all order analytic results up to this point in the eqea analytics cfg table eqea analytics reversion this function is used to c...