Reference/wj
Chris Burke (Talk | contribs) |
(restriction for window joins) |
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− | {{refheader|wj|window join function}} | + | {{refheader|wj wj1|window join function}} |
− | Window join is a generalization of asof join, and is available from kdb+ 2.6. asof join takes a snapshot of the current state, while window join aggregates all values of specified columns within intervals. | + | Window join is a generalization of asof join, and is available from kdb+ 2.6. asof join takes a snapshot of the current state, while window join aggregates all values of specified columns within intervals. (Since 3.0, <tt>wj</tt> and <tt>wj1</tt> are both implemented with <tt>ww</tt>.) |
+ | |||
+ | Note that windows joins with multiple symbols should be only used with a `p#sym like schema (typical RTD-like `g# gives undefined results) | ||
+ | Also note that only integral types are supported for the column to do the windowing on, so no reals, floats or datetimes. | ||
== Syntax == | == Syntax == | ||
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where: | where: | ||
− | *<tt>t</tt> and <tt>q</tt> are the tables to be joined | + | *<tt>t</tt> and <tt>q</tt> are the unkeyed tables to be joined. <tt>q</tt> should be sorted <tt>`sym`time</tt> with <tt>`p#</tt> on sym |
− | *<tt>w</tt> is a pair of lists of times, begin and end | + | *<tt>w</tt> is a pair of lists of times/timestamps, begin and end |
− | *<tt>c</tt> are the | + | *<tt>c</tt> are the names of the two common columns, syms and times |
*<tt>f0</tt>,<tt>f1</tt> are aggregation functions applied to values in q columns <tt>c0</tt>,<tt>c1</tt> over the intervals | *<tt>f0</tt>,<tt>f1</tt> are aggregation functions applied to values in q columns <tt>c0</tt>,<tt>c1</tt> over the intervals | ||
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For each record in <tt>t</tt>, the result has a record with additional columns <tt>c0</tt> and <tt>c1</tt>, which are the results of the aggregation functions applied to values over the matching intervals in <tt>w</tt>. | For each record in <tt>t</tt>, the result has a record with additional columns <tt>c0</tt> and <tt>c1</tt>, which are the results of the aggregation functions applied to values over the matching intervals in <tt>w</tt>. | ||
+ | |||
+ | A quote is understood to be in existence until the next quote. | ||
+ | |||
+ | Since v3.0, wj and wj1 are both [] interval, i.e. they consider quotes>=beginning and <=end of the interval. | ||
+ | |||
+ | For wj, the prevailing quote on entry to the window is considered valid as quotes are a step function. | ||
+ | |||
+ | wj1 considers quotes on or after entry to the window. If the join is to consider quotes that arrive from the beginning of the interval, please use '''wj1'''. | ||
+ | |||
+ | |||
+ | Prior to v3.0, wj1 considers only quotes in the window except for the window end (i.e. quotes >= start and < end). | ||
+ | |||
+ | '''Interval behaviour by version''' | ||
+ | {| class="wikitable" | ||
+ | |- | ||
+ | |'''Version'''||'''wj1'''||'''wj''' | ||
+ | |- | ||
+ | |3.0||[]||prevailing + [] | ||
+ | |- | ||
+ | |2.7/2.8||[)||prevailing + [] | ||
+ | |- | ||
+ | |} | ||
== Example == | == Example == | ||
<pre> | <pre> | ||
+ | q)t:([]sym:3#`ibm;time:10:01:01 10:01:04 10:01:08;price:100 101 105) | ||
q)t | q)t | ||
sym time price | sym time price | ||
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ibm 10:01:08 105 | ibm 10:01:08 105 | ||
+ | q)q:([]sym:9#`ibm;time:10:01:01+til 9;ask:101 103 103 104 104 107 108 107 108;bid:98 99 102 103 103 104 106 106 107) | ||
q)q | q)q | ||
sym time ask bid | sym time ask bid |
Latest revision as of 10:23, 14 July 2016
Contents |
wj wj1 (window join function)
Window join is a generalization of asof join, and is available from kdb+ 2.6. asof join takes a snapshot of the current state, while window join aggregates all values of specified columns within intervals. (Since 3.0, wj and wj1 are both implemented with ww.)
Note that windows joins with multiple symbols should be only used with a `p#sym like schema (typical RTD-like `g# gives undefined results) Also note that only integral types are supported for the column to do the windowing on, so no reals, floats or datetimes.
Syntax
wj[w;c;t;(q;(f0;c0);(f1;c1))]
where:
- t and q are the unkeyed tables to be joined. q should be sorted `sym`time with `p# on sym
- w is a pair of lists of times/timestamps, begin and end
- c are the names of the two common columns, syms and times
- f0,f1 are aggregation functions applied to values in q columns c0,c1 over the intervals
Typically. this might be:
wj[w;`sym`time;trade;(quote;(max;`ask);(min;`bid))]
For each record in t, the result has a record with additional columns c0 and c1, which are the results of the aggregation functions applied to values over the matching intervals in w.
A quote is understood to be in existence until the next quote.
Since v3.0, wj and wj1 are both [] interval, i.e. they consider quotes>=beginning and <=end of the interval.
For wj, the prevailing quote on entry to the window is considered valid as quotes are a step function.
wj1 considers quotes on or after entry to the window. If the join is to consider quotes that arrive from the beginning of the interval, please use wj1.
Prior to v3.0, wj1 considers only quotes in the window except for the window end (i.e. quotes >= start and < end).
Interval behaviour by version
Version | wj1 | wj |
3.0 | [] | prevailing + [] |
2.7/2.8 | [) | prevailing + [] |
Example
q)t:([]sym:3#`ibm;time:10:01:01 10:01:04 10:01:08;price:100 101 105) q)t sym time price ------------------ ibm 10:01:01 100 ibm 10:01:04 101 ibm 10:01:08 105 q)q:([]sym:9#`ibm;time:10:01:01+til 9;ask:101 103 103 104 104 107 108 107 108;bid:98 99 102 103 103 104 106 106 107) q)q sym time ask bid -------------------- ibm 10:01:01 101 98 ibm 10:01:02 103 99 ibm 10:01:03 103 102 ibm 10:01:04 104 103 ibm 10:01:05 104 103 ibm 10:01:06 107 104 ibm 10:01:07 108 106 ibm 10:01:08 107 106 ibm 10:01:09 108 107 q)f:`sym`time q)w:-2 1+\:t.time q)wj[w;f;t;(q;(max;`ask);(min;`bid))] sym time price ask bid -------------------------- ibm 10:01:01 100 103 98 ibm 10:01:04 101 104 99 ibm 10:01:08 105 108 104
The interval values may be seen as:
q)wj[w;f;t;(q;(::;`ask);(::;`bid))] sym time price ask bid -------------------------------------------------- ibm 10:01:01 100 101 103 98 99 ibm 10:01:04 101 103 103 104 104 99 102 103 103 ibm 10:01:08 105 107 108 107 108 104 106 106 107
See also
For a complete list of functions, see the kdb+ Function Reference.