Archive Page 4

qStudio adds Nested Server Folder Support

Since our last qStudio kdb+ IDE announcment we have added a lot of new features:

Bulk importing kdb server lists

Bulk importing kdb server lists

There’s a lot of new features to allow supporting a huge number of servers efficiently:

  • Support importing HUGE number of servers:
    • 5000+ server connections are now supported
    • To prevent massive memory use, the object tree for a server is no longer refreshed at startup only on connection.
    • Allow specifying default username/password once for all servers
    • Allow nested connection folders
    • Add critical color option – servers with prod in name get highlighted in red
  • Sort File Tree Alphabetically
  • Numerous bugfixes including:
    • Fix critical Mac bug that prevented launching in some instances
    • Fix query cancelling

Smart Meter Data Analytics Benchmark – Open vs Closed

Benchmarking Smart Meter Data Analytics – I got forwarded this interesting paper that compares how quickly smart meter data can be analysed using

  1. a Relational Database
  2. Matlab
  3. An in-memory Column-Oriented database
  4. Two new NoSQL alternatives

Smart electricity grids, which incorporate renewable energysources such as solar and wind, and allow information sharingamong producers and consumers, are beginning to replace conventional power grids worldwide. Smart electricity meters are afundamental component of the smart grid, enabling automated collection of fine-grained (usually every 15 minutes or hourly) consumption data. This enables dynamic electricity pricing strategies,in which consumers are charged higher prices during peak timesto help reduce peak demand. Additionally, smart meter data analytics, which aims to help utilities and consumers understand electricity consumption patterns, has become an active area in researchand industry. According to a recent report, utility data analytics isalready a billion dollar market and is expected to grow to nearly 4billion dollars by year 2020

 

Open Sourced kdb+

In a world overran with open source big data solutions is kdb+ going to be left behind? I hope not…

Every few weeks someone comes to me with a big data problem often with a half-done mongoDB/NoSQL solution that they “want a little help with”. Usually after looking at it I think to myself

“I could solve this in 20 minutes with 5 lines of q code”

But how do I tell someone they should use a system which may end up costing them £1,000s per core in licensing costs. Yes it’s great that there’s a free 32-bit trial version but the risk that you may end up needing the 64-bit is too great a risk.

kdb+ vs mongoDB database popularity

Given the ever-increasing number of NoSQL solutions and in particular the rising popularity of Hadoop, R, python and MongoDB it’s not hard to see that open-source is taking over the world. Right now kdb+ still has the edge, that it’s faster, sleeker, sexier..but I don’t think that will save it in the long run. The power of open-source is that it let’s everyone contribute, witness the 100’s of libraries available for R, the 1000’s of javascript frameworks. The truly sad thing is that it’s not always the best underlying technology that wins. A 1000 amateurs creating a vibrant ecosystem of plug-ins, add-ons, tutorials… can beat other technologies through sheer force of numbers.

  • APL was a great language yet it remains relegated to history while PHP flourishes.
  • PostgreSQL was technically superior to MySQL yet MySQL is deployed everywhere

I believe kdb+ is the best solution to a large number of “big data” problems (small data to kdb+), When you stop and think, time-series data is everywhere, open sourcing kdb+ would open up entirely new sectors to kdb+ and I hope it’s a step kx take before it’s too late.

What do you think? Leave your comments below.

qStudio kdb+ GUI adds Dark Theme and Chinese Language

Based on user requests we have released a number of new features with qStudio 1.36:

Download the latest ->qStudio<- now.

Dark Code Editor Themes

qstudio-kdb-dark-theme-gui

Which can be set under settings->preferences

qstudio-settings-preferences

Open Results and Charts in New Window

To expand a panel into a new window click the “pop-out” icon.
pop-out

This will bring up the result in a new window:

mutliple-chart-windows

UTF-8 Chinese Language Support

qstudio-utf8

First Derivatives buy a majority stake in KX

First Derivatives buys €36m majority stake in Kx

Newry-based financial software firm First Derivatives has acquired a majority shareholding in big data analytics company Kx Systems for £36m (€44m).

KX has historically had a hard time penetrating markets outside finance, FD have a good sales team and previously acquired a marketing company in Philadelphia, hopefully this is the chance for kdb+ to go mainstream.

However it’s a worry that FD (First Derivatives) may increasingly “encourage” purchasing of the delta platform bundle rather than stand-alone kdb+. With the smaller margins outside of finance, will FD take a risk and open up the database. (Would FD have been a supporter of the 32-bit version becoming free for commercial use?) There’s a large number of individuals in off-shore locations that want to learn kdb+, FD could be incentivized to discourage that as it would hurt their consulting business.

It’s also interesting to consider companies that have already invested in KX technology and whether they will continue to do so

  • Competing consulting firms that specialise in kdb+ won’t take this as good news.
  • Panopticon/Datawatch based their visualization system on kdb+ (OEM license), they probably regret that now, given that their visualization software directly competes with FD’s dashboards.
  • Companies that had used kdb+ as part of their trading platform stack may consider FD a competitor as they also offer a trading platform.

What do you think? Will this lead to wider adoption? a growing platform?

Developer Salary by Location

kdb+ London Contract – £800 p/day
kdb+ belfast Citigroup Contract £400 p/day
Java Poland £150 p/day
java

Command Line Kdb+ Charts

sqlDashboards are included as a bundle with qStudio, part of that package is a command line utility called sqlChart that allows generating customized sql charts from the command line.

Checkout the video to see how you can create a chart based on data from a kdb+ database in 2 minutes:

The sqlChart page has all the documentation you need, Download the qstudio.zip to try it now.

The q Code

Help Screen

Pipe-lining Time Series Calculations for Cache Efficiency

I always like to investigate new technology and this week I found a nice automatic technique for improved cache use that I had previously seen some people manually write.

Consider a database query with three steps (three SQL SELECTs), some databases may pass results of each step to temporary tables in main memory. When the first step is finished, these intermediate results are passed back into CPU cache to be transformed by the second step, then back into a new temporary table in main memory, and so on.

To eliminate this back-and-forth, vector-based statistical functions can be pipelined, with the output of one function becoming input for the next, whose output feeds a third function, etc. Intermediate results stay in the pipeline inside CPU cache, with only the full result being materialized at the end.

This technology is part of ExtremeDB, they have a video that explains it well:

Time Series Calculations

Moving Averages Stock Price Example

This is what the actual code would look like to calculate the 5-day and 21-day moving averages for a stock and detect the points where the faster moving average (5-day) crosses over or under the slower moving average (21-day):

  1. Two invocations of ‘seq_window_agg_avg’ execute over the closing price sequence, ‘ClosePrice’, to obtain 5-day and 21-day moving averages.
  2. The function ‘seq_sub’ subtracts 21- from 5-day moving averages;
  3. The result “feeds” a fourth function, ‘seq_cross’, to identify where the 5- and 21-day moving averages cross.
  4. Finally, the function ‘seq_map’ maps the crossovers to the original ‘ClosePrice’ sequence, returning closing prices where the moving averages crossed.

This approach eliminates the need to create, populate and query temporary tables outside CPU cache in main memory. One “tile” of input data is processed by each invocation of ‘mco_seq_window_agg_avg_double()’, each time producing one tile of output that is passed to ‘mco_seq_sub_double()’ which, in turn, produces one tile of output that is passed as input to mco_seq_cross_double(), which produces one tile of output that is passed to mco_seq_map_double(). When the last function, mco_seq_map_double() has exhausted its input, the whole process repeats from the top to produce new tiles for additional processing.

A very cool idea!

And yes, ExtremeDB are the same guys that posted the top Stac M3 benchmark for a while (in 2012/13 I think).

Bitwise Operators for Kdb+ Database

Kdb does not have built-in functions for bitwise and,or,xor operations, we are going to create a C DLL extension that provides bitwise operators.

To download the source and definitions for and/or/xor bitwise operations click here
If your new to extending Kdb+ see this tutorial on writing a DLL for Kdb+

I also thought this would be a good opportunity to look at using q-code to generate C code, to generate Kdb Dll’s. When converting an existing library to work with Kdb or writing similar functions for different types, there’s a lot of repetitive coding. Either you can use macros or you can use one language to generate another, to save a lot of typing. Let’s look at bitwise operations as an example of what I mean:

If I wanted to write a bitwise and function band that takes two lists and performs a corresponding operation, we could write the C functions like so:

Notice the similarity between the bandJJ and bandII functions. Plus if we want to handle the case where the second argument is an atom we need an entire other set of C functions similar to bandJ to handle that. This is soon beginning to spiral beyond an easy copy paste job. Instead I used the following 20 lines of q code to generate the 130 lines of C code:

This generates my C code, a .def file exporting the functions that I want to provide and creates a .q file that loads those functions into kdb. Which means any time I add a function or want to support a new type, everything is done for me. let’s look at our functions in action:

Yes the q code is messy (it could be improved) but the concept of dynamically generating your imports can be a real time saver.

This code is not intended for reliability or performance, use at your own risk! If however bitwise operations are a topic that interest you I recommend this article on: Writing a fast vectorised OR function for Kdb.

Kdb qSQL vs standard SQL queries

Often at the start of one of our training courses I’m asked why banks use the Kdb Database for their tick data.

  • One well known reason is that kdb is really fast at typical financial time-series queries
    (due to Kdbs column-oriented architecture).
  • Another reason is that qSQL is extremely expressive and well suited for time-series queries.

To demonstrate this I’d like to look at three example queries, comparing qSQL to standard SQL.

SQL Queries dependent on order

From the table below we would like to find the price change between consecutive rows.

time price
07:00 0.9
08:30 1.5
09:59 1.9
10:00 2
12:00 9

q Code

In kdb qSQL this would be the extremely simple and readable code:

Standard SQL

In standard SQL there are a few methods, we can use. The simplest is if we already have a sequential id column present:

Even for this simple query our code is much longer and not as clear to read. If we hadn’t had the id column we would have needed much more code to create a temporary table with row numbers. As our queries get more complex the situation gets worse.

Select top N by category

Given a table of stock trade prices at various times today, find the top two trade prices for each ticker.

trade table
time sym price
09:00 a 80
09:03 b 10
09:05 c 30
09:10 a 85
09:20 a 75
09:30 b 13
09:40 b 14

qSQL Code

In q code this would be select 2 sublist desc price by sym from trade, anyone that has used kdb for a few days could write the query and it almost reads like english. Select the prices in descending order by sym and from those lists take the first 2 items (sublist).

SQL Code

In standard SQL a query that depends on order is much more difficult , witness the numerous online posts with people having problems: stackoverflow top 10 by category, mysql first n rows by group, MS-SQL top N by group. The nicest solution, if your database supports it, is:

The SQL version is much harder to read and will require someone with more experience to be able to write it.

Joining Records on Nearest Time

Lastly we want to consider performing a time based join. A common finance query is to find the prevailing quote for a given set of trades. i.e. Given the following trade table t and quote table q shown below, we want to find the prevailing quote before or at the exact time of each trade.

trades t
time sym price size
07:00 a 0.9 100
08:30 a 1.5 700
09:59 a 1.9 200
10:00 a 2 400
12:00 b 9 500
16:00 a 10 800
quotes q
time sym bid
08:00 a 1
09:00 b 9
10:00 a 2
11:00 b 8
12:00 b 8.5
13:00 a 3
14:00 b 7
15:00 a 4

In qSQL this is: aj[`sym`time; t; q], which means perform an asof-join on t, looking up the nearest match from table q based on the sym and time column.

In standard SQL, again you’ll have difficulty: sql nearest date, sql closest date even just the closest lesser date isn’t elegant. One solution would be:

It’s worth pointing out this is one of the queries that is typically extremely slow (minutes) on row-oriented databases compared to column-oriented databases (at most a few seconds).

qSQL vs SQL

Looking at the simplicity of the qSQL code compared to the standard SQL code we can see how basing our database on ordered lists rather than set theory is much more suited to time-series data analysis. By being built from the ground up for ordered data and by providing special time-series based joins, kdb let’s us form these example queries using very simple expressions. Once we need to create more complex queries and nested selects, attempting to use standard SQL can quickly spiral into a verbose unmaintainable mess.

I won’t say qSQL can’t be cryptic 🙂 but for time-series queries qSQL will mostly be shorter and simpler than trying to use standard SQL.

If you think you have shorter SQL code that solves one of these examples or you are interested in one of our kdb training courses please get in touch.