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description=Order Execution Analytics Configuration Settings;
author=KX Systems, Inc., a subsidiary of KX Software Limited;

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configuration settings accelerators skip to content accelerators configuration settings initializing search home get started accelerators how to apis examples releases accelerators home get started get started get started with accelerators prerequisites ice combined accelerator fsi accelerators overview fsi library overview accelerators accelerators about ice order book ice order book ice ob overview ice ob quickstart configure ice ob ice ingestion ice fixed income screener ice fixed income screener ice fi screener overview ice fi quickstart configure ice fi screener ice fi data ingestion ice fi historic data set up daily bar generation set up manual bar generation ice equities analytics ice equities analytics ice equities overview ice equities quickstart ingest market data order ingest pipeline results generation use a table other than order add custom analytics test custom analytics custom analytics developer guide configure using prevailing values order execution analytics configuration settings order execution analytics configuration settings on this page eqea maptocompositeticker eqea reversecompositemap eqea querywindowadjustmentfactor eqea restrictordergentosingledate eqea traperrs eqea useintervalprevailingvalues inf2null eqea analytics cfg eqea analytics prevailing cfg eqea api cfg logstetwarn eqea cfg ajlookbackbyfuncname eqea cfg removeanalyticslist eqea volatility bucketsize equities order analytic functions glossary query window adjustment factor bloomberg equities analytics bloomberg equities analytics bloomberg equities overview bloomberg equities quickstart ingest bloomberg market data order ingest pipeline use a table other than order results generation add custom analytics test custom analytics custom analytics developer guide configure using prevailing values order execution analytics configuration settings order execution analytics configuration settings on this page eqea maptocompositeticker eqea reversecompositemap eqea querywindowadjustmentfactor eqea restrictordergentosingledate eqea traperrs eqea useintervalprevailingvalues inf2null eqea analytics cfg eqea analytics prevailing cfg eqea api cfg logstetwarn eqea cfg ajlookbackbyfuncname eqea cfg removeanalyticslist eqea volatility bucketsize equities order analytic functions glossary 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 maptocompositeticker eqea reversecompositemap eqea querywindowadjustmentfactor eqea restrictordergentosingledate eqea traperrs eqea useintervalprevailingvalues inf2null eqea analytics cfg eqea analytics prevailing cfg eqea api cfg logstetwarn eqea cfg ajlookbackbyfuncname eqea cfg removeanalyticslist eqea volatility bucketsize order execution analytics configuration settings the fsi eqea generateorderanalytics api provides a certain level of flexibility with a number of options that can be configured in the file src equitiesea api config q this page serves as a glossary of the different configuration settings eqea maptocompositeticker if eqea maptocompositeticker 1b then instrumentids are mapped to their corresponding composite ticker before running order analytics generation note if this setting is enabled calling the fsi eqea generateorderanalytics api with the regenexistingids argument set to false will no longer trigger a check for ids that already have generated order analytics instead order analytics will be generated for all ids in the specified period effectively behaving the same as when regenexistingids is set to true eqea reversecompositemap if eqea reversecompositemap is set to 1b and eqea maptocompositeticker is also 1b the composite ticker mapping for instrumentids is reversed before the order analytics generation results are returned eqea querywindowadjustmentfactor when eqea querywindowadjustmentfactor 0 the functions eqea util tickdata getdataandaggfromcfg and eqea util tickdata getdataandaggregate query where eventtimestamp within starttime endtime eqea querywindowadjustmentfactor eqea restrictordergentosingledate boolean flag that if true prevents fsi eqea generateorderanalytics from running order analytic generation on time windows that span more than a single date the order analytic generation is a resource intensive and potentially long running operation this restriction has been put in place as a safe guard against accidental large queries that can take over a lot of resources eqea traperrs the equity analytics framework calculates several order analytics by default if an error occurs while executing an analytic the system stops calculating any more analytics and displays the error in the ui you can enable an alternative mode in which errors are trapped and logged without interrupting the rest of the analytics in this mode any error from a specific analytic is recorded in the dap while all other order analytics continue to run normally and no error messages are displayed in the ui so error trap calculation of each execution analytic function behaves as follows if true an error is logged on the dap but calculation of the other execution analytics continues if false an error halts calculation of the other execution analytics the error is visible in the ui if running in a pipeline or as an api to configure this change the value of the eqea traperrs variable from false 0b to true 1b this variable can be changed in the equitiesea api config q file eqea useintervalprevailingvalues boolean flag to dictate the data assigned to eqea analytics prevailing cfg inf2null helper function used in the participationrate analytic swaps infinite values for null values eqea analytics cfg the table eqea analytics cfg is at the heart of the order analytics generation the function fsi eqea generateorderanalytics uses the data in eqea analytics cfg to determine what analytics are calculated the order in which the functions to calculate the analytics are run this ensures analytics can be chained together where analytics further down the table can use the output of previous analytics as their input the utility functions also use the data in eqea analytics cfg to define each analytic is calculated brief summary of each column in eqea analytics cfg analytic the name of the analytic we are calculating this should match a corresponding column name in the orderanalytics table analytictype this is simply a value that can be used to group analytics together beyond funcname funcname the name of the functions used to calculate analytics first a distinct list of function names is returned from the funcname column using eqeafuncs exec distinct funcname from eqea analytics cfg the api fsi eqea generateorderanalytics then runs these functions in the order that they appear in this eqeafuncs variable based on this information you can chain analytics that are dependent on other analytics by placing them lower down the config table than the analytics they depend on example the analytic intervalspread depends on the values of arrivalaskprice and arrivalbidprice so it appears in the eqea analytics cfg table after these analytics aggclause the behavior of this column depends on the utility function it is passed to eqea util simpleanalytics a q language parse tree which defines the calculation for each analytic note that we match the aggregation clause to the corresponding analytic column name by creating a dictionary with analytic as the key and aggclause as the values as shown below create a dictionary to be used in a functional select to calculate our analytics aggdict exec analytic from cfg exec aggclause from cfg this dictionary is then used in a functional select similar to below to generate our analytics data wc bc aggdict refer to the q documentation for more information on functional qsql note for eqea util simpleanalytics the aggclause should only reference columns in the orderanalytics table eqea util tickdata getdataandaggfromcfg a q language parse tree which defines the calculation for each analytic the aggregation dictionary is created using analytic and aggclause values as outlined above note for eqea util tickdata getdataandaggfromcfg the aggclause should only reference columns in the table defined by the corresponding value of marketdatatabname eqea util asof ajfromcfg this the name of the column containing the values for our analytic this column needs to exist in the table specified by the corresponding value of marketdatatabname note in the case of eqea util asof ajfromcfg as this is an as of join not an aggregation this value should be an atomic symbol marketdatatabname used by utility functions eqea util tickdata getdataandaggfromcfg and eqea util asof ajfromcfg in both cases this defines the name of the partitioned market data table used by the analytic in question jointimeoffset used by eqea util asof ajfromcfg only this timestamp value added to the joinordertimecol when building the dataset used in the as of join this can be a simple timestamp value for example 00 00 30 or it can be a derived timestamp for example bucketduration 4 eqea analytics prevailing cfg configuration table that defines how to use eqea util simpleanalyticswithwc to replace unwanted values used to define prevailing value corrections in the event no value is available for interval open close high low etc if eqea useintervalprevailingvalues 1b then unwanted infinite values are replaced with their preceding value where relevant for example if intervalhigh_3 0w then it is to be replaced by the value of intervalhigh_2 if eqea useintervalprevailingvalues 0b then unwanted infinite values are simply replaced with nulls eqea api cfg logstetwarn logs a warning for each order id if start time end time when calculating volatility orderexecution analytics eqea cfg ajlookbackbyfuncname number of days to look back if analytics that make use of eqea util asof ajfromcfg return null values used by the eqea util asof ajfromcfg utility function this is particularly useful for two edge cases orders placed at or near midnight with no corresponding market data preceding in the date partition need to get the latest value from the previous date partition very illiquid instruments that might only be traded once every few days note if eqea util asof ajfromcfg is used within a function that does not exist in this table then no lookback logic is applied to that function this could cause null values for the edge cases described above eqea cfg removeanalyticslist list of analytics to remove from eqea analytics cfg use this to remove skip analytics calculated by fsi eqea generateorderanalytics contents of this variable should be a symbolic list of analytic values from eqea analytics cfg note this prevents analytics from being calculated but does not remove columns from the orderanalytics schema if you wish to remove the corresponding columns from the orderanalytics schema then delete the relevant entries from pkg_name tables orderanalytics yaml and redeploy the package eqea volatility bucketsize bucket size used by all intervalvolatility and intervalvolatility_n calculations back to top previous configure using prevailing values next equities order analytic functions glossary 2026 kx systems inc all rights reserved kx kdb x and kdb are registered trademarks of kx systems inc a subsidiary of kx software limited made with material for mkdocs insiders