We conclude the Data Operations part of the book by illustrating some common time series operations in
kdb+/q and a demo of a real-time CEP engine.
11.1 ROLLING VWAP
The first example originates in high-frequency finance. Any update in the market will result in an update (tick) in our data. It is of fundamental importance for any market participant to understand the current state of the market. For this purpose, various statistics and indicators are needed to monitor market activity. Let us assume that we wish to calculate a moving VWAP (Volume Weighted Average Price) over a rolling window. We will cover two use cases.
11.1.1 N Tick VWAP
Here, we can make use of the
msum function we saw in Chapter 3 to calculate the moving VWAP for, say, 2 consecutive ticks. Using our standard trades table
trd from our hdb
and the definition of a -tick VWAP at tick
The 2-tick vwap for each symbol is
11.1.2 Time Window VWAP
For a moving time-window ...