AI&BigData Lab. Николай Алексеенко "KDB+ - устрашающее...
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KDB+: Устрашающее совершенство Lynx Capital Partners LLC Николай Алексеенко Руслан Шевченко Виктор Советов Ольга Гриценко
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Transcript of AI&BigData Lab. Николай Алексеенко "KDB+ - устрашающее...
KDB+: Устрашающее совершенство
Lynx Capital Partners LLC
Николай АлексеенкоРуслан Шевченко
Виктор СоветовОльга Гриценко
REQUIREMENTS
• Speed
• Big Data processing
• InMemory/Disk storage
• Realtime/Historical data
• Distributed
• Simplicity (sic!)
KDB+ Customers
• Goldman Sachs
• Morgan Stanley
• J.P. Morgan
• Deutsche Bank
• Shenzhen Stock Exchange
• NYSE
What is KDB+ ?• Column-Based DBMS
• Q and K APL-like programming languages
• SQL emulator
• HTTP-Server
• RPC-Server
• etc.
What is Q?• APL-style vector language
• Very fast small interpreter
• As fast as C/C++
• Compact code
• Parallel operations
Q: code examples
q)table: ([] sym:`AAPL`IBM`MSFT; price:(132.54;172.22;46.90); size:(100;300;250))q)tablesym price size----------------AAPL 132.54 100 IBM 172.22 300 MSFT 46.9 250
q)dict:`AAPL`IBM`MSFT!(132.54;172.22;46.9)q)dictAAPL| 132.54IBM | 172.22MSFT| 46.9
q)10 * (1 2 3 4 5)10 20 30 40 50
q)1 2 3 * 10 20 3010 40 90
Q: code examplesq)genlist:{x+til y}q)genlist[10;5]10 11 12 13 14
q)genlist2:{[frst;lst] frst + til 1+lst-frst}q)genlist2[5;10]5 6 7 8 9 10
NormPrice:{execs:select from orderexec where date in x;syms:select price_digits by date,symbol from symbols where
date in x;update price:price*xexp[10;neg price_digits] from
execs lj syms}
Q: code examplesq)fix:"8=FIX.4.2|9=0287|35=8|34=000001409|56=BS01|49=STIM|52=20150504-11:49:34.922|128=ETBV|20=0|17=71|150=2|11=STE-SHORT-106295118|37=31799|39=2|1=NVNIKHARS|55=CLF|54=5|38=2000|32=2000|151=0|14=2000|44=5.84|31=5.84|6=5.84|9621=0.0|59=5|9730=R|9991=R|30=SPDR|9994=ARCA|9995=ARCA|76=BAYP|9992=ARCA|9993=SPDR_DMA|10=204|"
q)(!/)"I=|"0:fix
8 | "FIX.4.2"9 | "0287"35 | ,"8"34 | "000001409"56 | "BS01"49 | "STIM"52 | "20150504-11:49:34.922"128| "ETBV"20 | ,"0"17 | "71"150| ,"2"..
Q code: understandingq)5*2-20
q)(5*2)-28
FUNCTION ARG;
FUNCTION2 FUNCTION1 FUNCTION0 ARG0 FUNCTION2 FUNCTION1 ARG1 FUNCTION2 ARG2
q)a: 1 2 3q)a 12q)a[1]2
q)5*2-20
q)(5*2)-28
Q/KDB+: interfacing• С/С++
• Java
• Scala
• Python
• Perl
• C#
• Lua
• PHP
• Mathlab
• R
• CUDA
• etc
KDB+: IPC
C APP
KDB+
KDB+
Java APP
Mode:
• Sync (Request-Response)
• Async (Data Streaming)
KDB+TICKFeeds Frontend RDB HDB
PUB/SUB
RT Queries
Reports&Analytics
KDB+ problems: price
KDB+ problems:Newbies
Q Resources• Q For Mortals. A tutorial in Q programming (Jeffry A. Borror)
• Q Tips: Fast, Scaleable and Maintainable KDB+ (Nick Psaris)
• http://code.kx.com/wiki/Main_Page
• Q For Gods Whitepaper Series http://www.firstderivatives.com/
• http://www.timestored.com
Questions ?
