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

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cfg table this information can help you build out analytics that are dependent on other analytics by placing them lower down the config table than the analytics they depend on for example the analytic intervalspread depends on the values of arrivalaskprice and arrivalbidprice which means that it appears in the eqea analytics cfg table after these analytics aggclause this is 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 in the example 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 q documentation for more information on how functional qsql works tip the eqea util simpleanalytics function can accept a single row in the cfg argument if necessary but analytics should be grouped together where possible grouping analytics where possible ensures best performance as it reduces the amount of operations needed for examples calculating 10 analytics in 1 functional select is much more efficient than calculating the same 10 analytics in 10 different functional selects the only reasons analytics should not be grouped are analytics that require different logic that is analytics that are as of join to market data are calculated differently to analytics that are aggregations of market data and so cannot be grouped together in a single operation analytics that are dependent on the output of other analytics note the analytics are calculated in order so any analytics that are dependent on others should be added further down the eqea config custom analytics table than their dependencies example usage this example demonstrates writing a custom function that makes use of eqea util simpleanalytics as follows in the example custom configuration file example eqeacustomanalytics q define your config table eqea config custom analytics as shown below eqea config custom analytics flip analytic analytictype funcname aggclause marketdatatabname jointimeoffset flip myarrivalcalc mysimpleanalytic custom mysimpleanalytic arrivalaskprice arrivalbidprice 0nt myendcalc mysimpleanalytic custom mysimpleanalytic endaskprice endbidprice 0nt content of the custom function custom mysimpleanalytic custom mysimpleanalytic orderanalyticsres args run simple analytics that use already existing columns analytics cfg select from eqea config custom analytics where analytictype mysimpleanalytic we can use a utility function eqea util runsimpleanalytic to run analytics that are dependent on columns that already exist in the orderanalytics table eqea util simpleanalytics orderanalyticsres cfg orderanalyticsres cfg note the code snippets provided in the example above are simply an example of the configuration and code required to use this function for a fully working example refer to the how to add custom analytics guide parameter name type description args dict argument dictionary accepted keys are outlined in the function description returns type description table keyed table containing all orderanalytic results to this point eqea util tickdata getdataandaggfromcfg the eqea util tickdata getdataandaggfromcfg utility function is used to calculate get market data and aggregate analytics that is analytics based on aggregations of market data this function derives a where clause from the input orderanalytics data for example where eventtimestamp within striketime ordercompletedtime gets analytic definitions from the aggclause column of the input cfg data gets the corresponding column names from the analytic column of the input cfg data takes an optional by clause argument performs a functional select on the table defined by the marketdatatabname which generally takes the form of marketdatatabname wc bc analytic aggclause the result of this functional select becomes the value of the column s defined by the value of the analytic column in the input cfg data for example the out of the box analytic intervalhigh makes use of the eqea util tickdata getdataandaggfromcfg utility function to get the max trade price of an instrumentid between the striketime and ordercompletedtime values of each order this function takes a dictionary as its input accepted dictionary keys are outlined in the below table name type description orderanalyticsres table input orderanalytics data cfg table subset of eqea config custom analytics contains all the details required for the current batch of analytics wclist list optional list of where clauses to be used when querying tick data to be used when an analytic requires a where clause more complex than instrumentid id eventtimestamp within starttime endtime note if no additional where clause logic is needed then simply use note if additional where clause logic is required then the list should have the same number of items as there are rows in the order data starttime symbol or parse tree start time of the query window used in the market data aggregation can either be an atomic symbol indicating a timestamp column or a parse tree which can be used to derive a timestamp from values in the input orderanalyticsres table for example column based to use the strike time of an order as the query window start time simply specify the symbol striketime relative timestamp to use a 5 seconds delay before the strike time as the query window start time specify using a parse tree striketime 00 00 05 complex relative timestamp timestamp columns can be combined with timespan columns to produce timestamps from more complex conditions one example of this is using bucket duration the analytic bucketduration is an analytic that is calculated by the order analytics framework out of the box you can use this derived timespan to generate a derived start time if you use a parse tree which looks like this striketime bucketduration note the above is just a simple example to illustrate flexibility these parse trees can be more complex than this if required endtime symbol or parse tree end time of the query window used in the market data aggregation functions the same way as the starttime argument refer to the starttime argument description for more in depth info usequerywindowadjustmentfactor boolean boolean value when true adds the amount of time defined by eqea querywindowadjustmentfactor to endtime when querying for market data refer to the query adjustment window guide for more details apiargs dict argument dictionary input to fsi eqea generateorderanalytics analytics that make use of the eqea util tickdata getdataandaggfromcfg utility function should have at a minimum the following values populated in eqea config custom analytics analytic the name of the analytic you 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 funcname this is the name of the function used to calculate these analytics the function fsi eqea generateorderanalytics calculates order analytics in the order that they appear in the eqea analytics cfg table this information can help you build out analytics that are dependent on other analytics by placing them lower down the config table than the analytics they depend on for example the analytic intervalspread depends on the values of arrivalaskprice and arrivalbidprice which means that it appears in the eqea analytics cfg table after these analytics aggclause this is 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 in the example 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 how functional qsql works note for the eqea util tickdata getdataandaggfromcfg utility function the aggclause should only contain columns from the market data table specified by the value of marketdatatabname marketdatatabname this is the name of the market data table you are querying in this analytic example usage this section provides an example custom function that makes use of the eqea util tickdata getdataandaggfromcfg utility function in the example custom configuration file example eqeacustomanalytics q define your config table eqea config custom analytics as shown below eqea config custom analytics flip analytic analytictype funcname aggclause marketdatatabname jointimeoffset flip these two analytics are intended to show how the query time window can be derived from names of timestamp columns in the orderanalytics table e g striketime intervalmaxbidprice myintervalanalytic custom myaggfromcfganalytic max bidprice quote 0nt intervalmaxaskprice myintervalanalytic custom myaggfromcfganalytic max askprice quote 0nt these two analytics are intended to show how the query time window can be derived from operations on timestamp columns in the orderanalytics table e g striketime 00 00 05 intervalmaxbidpricewiderwindow mywiderintervalanalytic custom myaggfromcfganalytic max bidprice quote 0nt intervalmaxaskpricewiderwindow mywiderintervalanalytic custom myaggfromcfganalytic max askprice quote 0nt these two analytics are intended to show how the query time window can be derived from operations on timestamp and time columns in the orderanalytics table e g striketime bucketduration intervalmaxbidpricederivedwindow myderivedintervalanalytic custom myaggfromcfganalytic max bidprice quote 0nt intervalmaxaskpricederivedwindow myderivedintervalanalytic custom myaggfromcfganalytic max askprice quote 0nt these two analytics are intended to show how additional filtering logic can be derived from the incoming orderanalytics data e g add a greater than or less than filter depending on whether the order in question is a buy or sell intervalmaxpricewhereclause mywhereclauseintervalanalytic custom myaggfromcfganalytic max price trade 0nt intervalmaxpricewhereclause mywhereclauseintervalanalytic custom myaggfromcfganalytic max price trade 0nt content of the custom function custom mysimpleanalytic custom myaggfromcfganalytic orderanalyticsres args example analytics that are based on aggregations on market data here we simply use striketime and ordercompletedtime as the bounds of our query window cfg select from eqea config custom analytics where analytictype myintervalanalytic orderanalyticsres eqea util tickdata getdataandaggfromcfg orderanalyticsres cfg wclist starttime endtime usequerywindowadjustmentfactor apiargs orderanalyticsres cfg striketime ordercompletedtime 1b args here show how we can derive timestamps using a time column some value cfg select from eqea config custom analytics where analytictype mywiderintervalanalytic orderanalyticsres eqea util tickdata getdataandaggfromcfg orderanalyticsres cfg wclist starttime endtime usequerywindowadjustmentfactor apiargs orderanalyticsres cfg striketime 00 00 05 ordercompletedtime 00 00 05 1b args here we show how we can derive the query window using a combination of columns we are using striketime bucketduration as the starttime and ordercompletedtime bucketduration as the end time of our query window cfg select from eqea config custom analytics where analytictype myderivedintervalanalytic orderanalyticsres eqea util tickdata getdataandaggfromcfg orderanalyticsres cfg wclist starttime endtime usequerywindowadjustmentfactor apiargs orderanalyticsres cfg striketime bucketduration ordercompletedtime bucketduration 0b args here we are using a where clause as part of our analytic here we generate a list of where clauses which use greater than or less than depending on whether the order in question is a buy or sell wclist exec whereclause from update whereclause buy sell ordersidecode price limitprice from orderanalyticsres where not null limitprice cfg select from eqea config custom analytics where analytictype mywhereclauseintervalanalytic orderanalyticsres eqea util tickdata getdataandaggfromcfg orderanalyticsres cfg wclist starttime endtime usequerywindowadjustmentfactor apiargs orderanalyticsres cfg wclist striketime ordercompletedtime 1b args return our results orderanalyticsres note the code snippets provided in the example above are simply an example of the configuration and code required to use this function for a fully working example refer to the how to add custom analytics guide parameter name type description args dict argument dictionary accepted keys are outlined in the function description returns type description table keyed table containing all orderanalytic results to this point eqea util asof ajfromcfg the eqea util asof ajfromcfg utility function is used to calculate as of join analytics that is analytics defined by an as of join on market data for example the analytics arrivalbidprice and arrivalaskprice make use of the eqea util asof ajfromcfg function as they are defined by the bidprice and askprice values from the quote table at strike time this function takes a dictionary as its input accepted dictionary keys are outlined in the below table name type description orderanalyticsres table input order analytics data cfg table configuration settings usually taken from eqea config custom analytics used to define how the function operates joinordertimecol symbol time column from the order table you add the value of jointimeoffset from the cfg to this value to create the data set used in the as of join kcols symbol list of key column names used to append successive analytics to the orderanalytics table wc parse tree where clause used to filter tick data when joining note only use this where clause argument when it is absolutely necessary as this can make as of joins more inefficient refer to the aj performance documentation for details apiargs dict argument dictionary input to fsi eqea generateorderanalytics analytics that make use of the eqea util asof ajfromcfg utility function should have at a minimum the following values populated in eqea config custom analytics analytic the name of the analytic you 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 funcname this is the name of the function used to calculate these analytics the function fsi eqea generateorderanalytics calculates order analytics in the order that they appear in the eqea analytics cfg table this information can help you build out analytics that are dependent on other analytics by placing them ...