Archive for the 'kdb+' Category

qStudio Dot Graph Rendering of FIX Order Status

“The Financial Information eXchange (FIX) protocol is an electronic communications protocol initiated in 1992 for international real-time exchange of information related to the securities transactions and markets.”. You can see an example of a FIX message being parsed here.

What we care about is that an order goes through a lifecycle. From newly created to filled or removed. Anything that involves state-transitions or a lifecycle can be visualized as a graph. A graph depicts transitions from one state to another. Often SQL tables record every transition of that state. This can then be summarised into a count of the last state, giving something like the following:

From To label cnt
PendingCancel Calculated Rejected 50
PendingReplace Calculated Rejected 10
PendingReplace Calculated Replaced 40
Calculated PendingReplace PendingReplace 50
Calculated Filled Trade 9400
Calculated Calculated Trade 5239
PendingCancel Removed Cancelled 150
Calculated PendingCancel PendingCancel 200
New Calculated Calculated 9660
New Removed Rejected 140
Created Removed Rejected 300
Created New New 9800

qStudio now automatically converts this result table to DOT format and if you have graphviz“>graphviz installed and on the PATH, will generate the following:

Note I did tweak the table a little to add styling like so:

update style:(`Filled`Removed!("color=green";"color=red")) To,label:(label,'" ",/:cnt) from currentFixStatus

The format is detailed again in our qStudio Chart Data Format page.

This is another even simpler example:

kdb – 2017 in Review

Notable events this year or possibly the previous year due to incoherent memory issues:

  • KX went open on APIs – Improved and open sourced python, R, java and kafka interfaces.
    • Java Driver – Got some new serialization functionality
    • PyQ – KX acquired the rights
    • The fusion/interface/machine-learning team at kdb promise to keep bringing improvements
  • KX went to the cloud – There is now a cloud offering of kdb that is dynamically costed based on usage. It’s for existing customers only so far. Beta is available for personal use but kx may terminate access at any time. You can’t run it on third party “clouds”, no AWS I guess.and costs $0.10 per core <=4 cores, $0.05 per core >4 cores.
  • Other users outside finance start to use kdb – It’s great to see and this probably flows from First Derivatives (FD) having purchased KX. However a number of them seem like proof of concepts pushed by FD to demonstrate it can be used. Hopefully in 2018 we will see more independently operating users.
    • European Space Agency (ESA) – Al Worden an actual astronaut came to the London meetup with some great stories.
    • Partnerships with redbull racing and marketing companies demonstrate possible growth opportunities
  • Technical:
    • Debugger with Stack Trace – You can now change the number of threads after startup
    • uj/ij changes – A change in the behaviour of ij/lj joins means we now have ljf/ujf functions to provide historical equivalents. This is an old change but worth mentioning here as more people are only now upgrading from kdb 2.x
    • Analyst – a jupyter notebook / tableau for kdb – KX launched an “analyst” product “a complete real time data transformation, exploration and discovery workflow. Using an intuitive point and click interface, the typical analyst can import, transform, filter, and visualize massive datasets without programming”

kdb lj ij uj joins and upgrading 2.6 to 3.x

A quick post to highlight something a lot of people are bumping into with upgrades. The joins in 3.x for uj/ij and lj all changed how they treat nulls from the keyed table. In particular nulls now by default overwrite existing values. In the past nulls from the joining table did not overwrite and left the original value in the column. See the difference in the 3/three row shown below:


q)t:([] a:1 2 3; b:`one`two`three; c:1.0 2.0 3.0)
q)u:([a:2 3 4] b:`j``l; c:100 200 300.0)

q)t
a b c
---------
1 one 1
2 two 2
3 three 3

q)u
a| b c
-| -----
2| j 100
3| 200
4| l 300

q)t lj u / v3.x The null from u overwrites previous value in column b
a b c
---------
1 one 1
2 j 100
3 200

q)t ljf u / v2.0 or ljf - The original 3 value not overwritten by null
a b c
-----------
1 one 1
2 j 100
3 three 200

Other than the int/long indexing change this is one of the biggest breaking changes in migrating kdb 2.x to 3.x.

You may also enjoy our full kdb joins article.

qStudio 1.43 Released – mac save bug fixed

qStudio 1.43 Released. This:

  • Adds stack traces to kdb 3.5+
  • Fixes the mac bug where the filename wasn’t shown when trying to save a file.
  • Fixes a number of multi-threading UI problems

Download it now.

kdb 3.5 Released with Stack Trace

kdb+ 3.5 had a significant number of changes:

  • Debugger – At long last we can finally get stack traces when errors occur.
  • Concurrent Memory Allocator – Supposedly better performance when returning large results from peach
  • Port Reuse – Allow multiple processes to listen on same port. Assuming Linux Support
  • Improved Performance – of Sorting and Searching
  • Additional ujf function – Similar to uj from v2.x fills from left hand side

kdb Debugger

The feature that most interests us right now is the Debugging functionality. If you are not familiar with how basic errors, exceptions and stack movement is handled in kdb see our first article on kdb debugging here. In this short post we will only look at the new stack trace functionality.

Now when you run a function that causes an error at the terminal you will get the stack trace. Here’s a simple example where the function f fails:

Whatever depth the error occurs at we get the full depth stack trace, showing every function that was called to get there using .Q.bt[]:

qstudio-stack-trace-error

The good news is that this same functionality is availabe in qStudio 1.43. Give it a try: qStudio.

Note: the ability to show stack traces relies on qStudio wrapping every query you send to the server with its own code to perform some analysis and return those values. By default wrapping is on as seen in preferences. If you are accessing a kdb server ran by someone else you may have to turn wrapping off as that server may limit which queries are allowed. Unfortunately stack tracing those queries won’t be easily possible.

That’s just the basics, there are other new exposed functions and variables, such as .Q.trp – for trapping calls and accessing traces that we are going to look at in more detail in future.


qUnit adds an HTML Diff Report

qUnit has added a new HTML report to allow visually easily seeing the difference between expected kdb results and actual results. To generate a report you could call:

.qunit.generateReport[.qunit.runTests[]; `:html/qunit.html]

qUnit HTML Diff

It’s also added a

.qunit.assertKnown[actualResult; expectedFilename; msg]

call to allow comparing an actual results to a file on disk. While allow easy updating of that file and avoiding naming collisions.

Drawing the DeathStar bmp with kdb+

This post is a walkthrough of my implementation in Q of the RosettaCode task ‘Death Star’.

The code is organized as general-purpose bitmap generator which can be used in other projects, and a client specific to the task of deathstar-drawing. The interface is a function which passes a map of pixel position to pixel value. The map can be a mapping function, or alternatively a 2D array of pixel values. The bitmap generator raster-scans the image, getting pixel values from either a mapping function or a mapped array.

genheader follows directly from the referenced BMP Wikipedia article.

genbitmap and genrow perform a raster scan of the image to be constructed. genbitmap steps along the vertical axis, calling genrow, which steps along the pixels of the current line, in turn calling fcn, the pixel-mapping function passed in by the client.

A sample client is included in comments, the simplest possible demonstration of shape and color (a circular mask selecting between two fill colors):

Conveniently, functions and arrays can be equivalently accessed in Q.
Here is an array-passing client which replicates the first example in the Wikipedia article on BMP format.

Element ordering can be confusing at first glance: Byte order for RGB pixels is B,G,R. Also, rows are indexed from bottom to top, and since bitmaps are in row-major order, the first and second array indices designated x and y correspond to the y and x image axes respectively.

bmp-format

After centering the image fcn applies several masks:

is calculates the orientation of a point on a sphere, and then a pixel value for that point, using the dot product of l, the light source direction, and s, the surface orientation. A correction of (1+value)/2 is applied, to achieve the ‘soft’ appearance of a space object in a movie. Alternatively we might have suppressed negative illumination values, to get the high-contrast appearance of an actual space object.

We might want to generate images of the death star at different rotations, however due to some simplifying assumptions we can’t rotate the weapon face to the side without glitching. We calculate z1 and z2 to select between the forward surface of the death star and the rearward surface of the weapon face. We should also calculate z3, the forward surface of the weapon face sphere, and z4, the rearward surface of the death star:

z3:170+z[x2;y;r];
z4:-z1;

Then the masks can be modified so that when z3 > z1 > z4 > z2, an additional bit of background is visible through the carved-out chunk of the deathstar.

TODO: discuss limitations of mask-and-fill; alternative approaches; display-list; …
TODO: discuss animation; …
TODO: discuss three-component architecture: orchestrator, world, bitmap generator
TODO: … conclusions

qStudio 1.41 Release with Custom Security

qStudio 1.41 is now available to download.

It adds the ability to use custom Security Authentications and custom JDBC drivers.
By automatically loading .jar plugins from libs folder.

After a few users reported issues around “watched expressions” we are removing the ctrl+w shortcut as it was often getting used by mistake. The last change was some internal work to improved startup/shutdown logging for debugging purposes..

Standard SQL sucks and this is Why

dbfire

Recently there was a post on SQL tips by the JOOQ guys. I love their work but I think standard SQL is not the solution to many of these problems. What we need is something new or in this case old, that is built for such queries. What do I mean, well let’s look through their examples reimplemented in qsql and I’ll show you how much shorter and simpler this could be.

Everything is a table

In kdb we take this a step further and make tables standard variables, no special notation/treatment, it’s a variable like any other variable in your programming language. Instead of messing about with value()() we define a concise notation to define our variables like so:

Data Generation with Recursive SQL

This is the example syntax they have used to define two tables and then join them:

What to hell! If I want variables, let’s have proper variables NOT “Common Table Expressions”.

I created two tables a and b then I joined them sideways. See how simple that was.

Running Total Calculations

Oh dear SQL how badly you have chosen your examples. Running calculations are to APL/qSQL as singing is to Tom Jones, we do it everyday all day and we like it. In fact the example doesn’t even give the full code. See this SO post for how these things get implemented. e.g. Standard SQL Running Sum

qSQL table Definition and Running Sum:

Finding the Length of a Series

This is their code:

This is KDB:

In 1974 Ken Iverson gave a talk on APL. He described how he reduced it down to a core set of operations that everything could be made from. Using these simple building blocks you could make some really cool things. It’s sad to think we may not have came that far.

qSQL/kdb is a database based on the concept of ordered lists, carrying over many ideas from APL that make array operations shorter and simpler. If you like what you see we provide tutorials on kdb to get started, this intro is a good place to get started.

We also have free online kdb training for students.

kdb standard SQL support s)

First, in case you haven’t heard about it kdb has a standard SQL mode, you can send queries prefixed with s) and they will be interpreted as standard SQL like so:

Notice how the standard “and” syntax worked when I used s) but without it, q’s right to left evaluation causes problems. It’s about now that a lot of people get very excited, they think great I can skip learning that q-sql and use my standard SQL. Sometimes the look of joy on their faces transforms to frustration once they start using it. So let’s look at what works:

Operation Works?
Standard SQL Inserts Yes
ORDER BY half works
COUNT Yes
DELETE Yes
UPDATE Yes
String matching slightly works
NOT NO
IN Yes
GROUP BY Yes
LIMIT / TOP NO
Date Times NO

Standard SQL Inserts work

ORDER BY half works

“ORDER BY” will sort the columns in ascending order, attempting to use DESC has no effect.

COUNT works

DELETE works

UPDATE works

String matching slightly works

NOT fails

Modifying our String query slightly by adding NOT throws an error. My guess is that the interpreter has got confused.

IN works

GROUP BY works

LIMIT / TOP does not work

Date Times Don’t Work Right

Overall standard SQL support in kdb has got much better. However I would still recommend only using the s) syntax for plugging into an existing jdbc/odbc visualization tool and getting some immediate simple results. For any form of complex queries on strings, joins etc. support is either not there or the result may not be what you expect.