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API configuration

Some features of the API calls either must have, or can have configuration to be available for use

This section documents configuration that can be set for these API parameters.

Depending on the feature, this is either configured by a q variable loaded into the system, or by populating a reference table in the assembly.

Configuration defined via q variables

These q variables can be packaged up in a custom package using the customization/configuration guide.

Alternatively, these variables can be edited in the existing fsi-lib package itself. This should be done before deploying any assemblies. To use this method, follow these steps:

  • unpack the fsi-lib package
  • edit the src/fsi.config.q file and update the variables to the desired values
  • re-package the fsi-lib package
  • push the fsi-lib package
  • bounce the aggregators and resource-coordinators

Commands to unpack and re-package a package can be found here.

Commands to push a package and bounce aggregators/resource-coordinators can be found here.

idCol / idList

If no configuration is provided, and idCol is not provided in the API call, it will look for an instrumentID column. If not found and no configuration is provided, it will use the leftmost symbol type column. If no symbol is found it will then look for guids, then strings and then any type that is not temporal.

`.api.cfg.IdCols` can be appened to in a client specified q library loaded into the DAPs and aggregator. This is a two column table, or table names and idCols. For example, some out of the box definitions are

.api.cfg.IdCols:flip `table`idCol ! flip (
    (`Quote;                `instrumentID);
    (`Trade;                `instrumentID);
    (`Order;                `instrumentID);
    (`Contract;             `contractID);
    (`CanCor;               `instrumentID);

timeCol time windowing

When a timeCol that is not the default partition column is provided, more partitions must be scanned to find data within the given time window. Doing this is less performant. Therefore the buffer for how many days either side of the provided window are checked is configurable.

By default it is 7 days.

If the use case is to query on non partition time columns, but the timestamps are guaranteed to be in the same partition, then this can be set to 0 for optimal performance.

If timeCol is not provided in query then this makes no difference to performance regardless of the setting.


Configuration defined via reference table population


id mapping functionality depends on a populated IDMap table. This is a reference table that exists in all DAPs. The content should be as follows

header type Description
queryIdentifier symbol The identifer that will be provided in the API call
mappedIdentifier symbol (list) The underlying identifier(s) that will be queried
alwaysMap boolean For this querySymbol, always do idMapping regardless of API flag
returnAsMappedIdentifier boolean Return in the data as the underlying identifier, rather than the querySymbol

The corresponding yaml for this table is

- name: IDMap
  - description: Identifier that will be provided on query
    name: queryIdentifier
    type: symbol
  - description: Identifier in the source data
    name: mappedIdentifier
    type: symbols
  - description: Flag for if this is always mapped or done with the API flag
    name: alwaysMap
    type: boolean
  - description: Flag for if to returning data in source ID format
    name: returnAsMappedIdentifier
    type: boolean
  description: Identifier mapping reference table
  type: splayed


Similarly to idMapping, the filterRule functionality depends on a reference table called FilterRules of format

column type Description
tableName symbol Name of the table that will be filtered
tradedExchange symbol Name of the exchange in the table
condition string The condition to map against
include symbol[] List of filter names that will include this condition/exchange combination

The corresponding yaml for this table is

- name: FilterRules
  - description: Table name that the filter applies to
    name: tableName
    type: symbol
  - description: Exchange that this condition is found on
    name: tradedExchange
    type: symbol
  - description: The condition code to match
    name: condition
    type: string
  - description: Filter rules that include this condition
    name: include
    type: symbols
  description: Filter rule configuration reference table
  type: splayed