Skip to content

Statistics (aggregates)

These functions return aggregates from their arguments. In most cases, they return an atom from a simple list, but avgs, maxs and mins return running aggregations.

avg (average)¶

Syntax: avg x (unary, aggregate)

Returns the arithmetic mean of numeric list x. the mean of an atom is itself. Null is returned if x is empty, or contains both positive and negative infinity. Any null items in x are ignored.

q)avg 1 2 3
2f
q)avg 1 0n 2 3       / null values are ignored
2f
q)avg 1.0 0w
0w
q)avg -0w 0w
0n
q)\l trade.q
q)show select ap:avg price by sym from trade
sym| ap
---| -----
a  | 10.75


avgs (averages)¶

Syntax: avgs x (unary, uniform)

Returns the running averages of numeric list x, i.e. applies function avg to successive prefixes of x.

q)avgs 1 2 3 0n 4 -0w 0w
1 1.5 2 2 2.5 -0w 0n


cor (correlation)¶

Syntax: x cor y (binary, aggregate)

Returns the correlation ( Wikipedia, accessible version) of x and y as a floating point number in the range -1f to 1f. Applies to all numeric data types and signals an error with temporal types, char and sym.

q)29 10 54 cor 1 3 9
0.7727746
q)10 29 54 cor 1 3 9
0.9795734
q)1 3 9 cor neg 1 3 9
-1f

q)select price cor size by sym from trade


Correlation

Perfectly correlated data results in a 1 or -1. When one variable increases as the other increases the correlation is positive; when one decreases as the other increases it is negative. Completely uncorrelated arguments return 0f. Arguments must be of the same length.

cov (covariance)¶

Syntax: x cov y (binary, aggregate)

Returns the covariance of x and y as a floating point number. Applies to all numeric data types and signals an error with temporal types, char and sym.

q)2 3 5 7 cov 3 3 5 9
4.5
q)2 3 5 7 cov 4 3 0 2
-1.8125
q)select price cov size by sym from trade


dev (standard deviation)¶

Syntax: dev x (unary, aggregate)

Returns the standard deviation ( Wikipedia, accessible version) of list x (as the square root of the variance). Applies to all numeric data types and signals an error with temporal types, char and sym.

q)dev 10 343 232 55
134.3484
q)select dev price by sym from trade


max (maximum)¶

Syntax: max x (unary, aggregate)

Returns the maximum of the items of list x. The maximum of an atom is itself. Applies to any datatype except symbol. Nulls are ignored, except that if the items of x are all nulls, the result is negative infinity.

q)max 2 5 7 1 3
7
q)max "genie"
"n"
q)max 0N 5 0N 1 3                  / nulls are ignored
5
q)max 0N 0N                        / negative infinity if all null
-0W
q)select max price by sym from t   / use in a select statement


maxs (maximums)¶

Syntax: maxs x (unary, uniform)

Returns the running maximums of the prefixes of list x. The maximum of an atom is itself. Applies to any datatype except symbol. Nulls are ignored, except that initial nulls are returned as negative infinity.

q)maxs 2 5 7 1 3
2 5 7 7 7
q)maxs "genie"
"ggnnn"
q)maxs 0N 5 0N 1 3         / initial nulls return negative infinity
-0W 5 5 5 5


med (median)¶

Syntax: med x (unary, aggregate)

Returns the median of numeric list x.

q)med 10 34 23 123 5 56
28.5
q)select med price by sym from trade where date=2001.10.10,sym inAAPLLEH


Partitions and segments

In V3.0 upwards med signals a rank error when running a median over partitions, or segments. This is deliberate, as previously med was returning median of medians for such cases. This should now be explicitly coded as a cascading select.


q)select med price by sym from select price,sym from trade where date=2001.10.10,sym inAAPLLEH


min (minimum)¶

Syntax: min x (unary, aggregate)

Returns the minimum of list x. The minimum of an atom is itself. Applies to any datatype except symbol. Nulls are ignored, except that if the argument has only nulls, the result is infinity.

q)min 2 5 7 1 3
1
q)min "genie"
"e"
q)min 0N 5 0N 1 3                  / nulls are ignored
1
q)min 0N 0N                        / infinity if all null
0W
q)select min price by sym from t   / use in a select statement


Aggregating nulls

avg, min, max and sum are special: they ignore nulls, in order to be similar to SQL92. But for nested x these functions preserve the nulls.


q)avg (1 2;0N 4)
0n 3


mins (minimums)¶

Syntax: mins x (unary, uniform)

Returns the running minimums of the prefixes of list x. The minimum of an atom is itself. Applies to any datatype except symbol. Nulls are ignored, except that initial nulls are returned as infinity.

q)mins 2 5 7 1 3
2 2 2 1 1
q)mins "genie"
"geeee"
q)mins 0N 5 0N 1 3         / initial nulls return infinity
0W 5 5 1 1


scov (sample covariance)¶

Syntax: x scov y (binary, aggregate)

Returns the sample covariance of x and y as a float atom.

scov(x,y)=\frac{n}{n-1}cov(x,y)

Applies to all numeric data types and signals an error with temporal types, char and sym.

q)2 3 5 7 scov 3 3 5 9
8
q)2 3 5 7 scov 4 3 0 2
-2.416667
q)select price scov size by sym from trade


sdev (sample standard deviation)¶

Syntax: sdev x (unary, aggregate)

Returns the sample standard deviation of list x (as the square root of the statistical variance).

sdev(x)=\sqrt{\frac{n}{n-1}var(x)}

Applies to all numeric data types and signals an error with temporal types, char and sym.

q)sdev 10 343 232 55
155.1322
q)select sdev price by sym from trade


svar (sample variance)¶

Syntax: svar x (unary, aggregate)

Returns the sample variance of numeric list x as a float atom.

svar(x)=\frac{n}{n-1}var(x)
q)var 2 3 5 7
3.6875
q)svar 2 3 5 7
4.916667
q)select svar price by sym from trade where date=2010.10.10,sym inIBMMSFT


var (variance)¶

Syntax: var x (unary, aggregate)

Returns the variance ( Wikipedia, accessible version) of numeric list x as a float atom. Nulls are ignored.

q)var 2 3 5 7
3.6875
q)var 2 3 5 0n 7
3.6875
q)select var price by sym from trade where date=2010.10.10,sym inIBMMSFT


wavg (weighted average)¶

Syntax: x wavg y (binary, aggregate)

Returns the weighted average of numeric list y weighted by numeric list x. The result is a float atom. The calculation is (sum x*y) % sum x.

q)2 3 4 wavg 1 2 4
2.666667
q)2 0N 4 5 wavg 1 2 0N 8  / nulls in either argument ignored
6f


Volume-weighted average price

The financial analytic known as VWAP is a weighted average.


q)select size wavg price by sym from trade
sym| price
---| -----
a  | 10.75


wsum (weighted sum)¶

Syntax: x wsum y (binary, aggregate)

Returns the weighted sum of the products of x and y. When both x and y are integer lists, they are first converted to floats. The calculation is sum x *y.

q)2 3 4 wsum 1 2 4   / equivalent to sum 2 3 4 * 1 2 4f
24f
q)2 wsum 1 2 4       / equivalent to sum 2 * 1 2 4
14