getTicks
The getTicks API is used for raw data extraction and preprocessing. It is intended to run on a Data Access Process and retrieve records from a configured database table using a specified dictionary of arguments.
The gw variable below is defined as an IPC connection to the Service Gateway. For example `:insights-qe-gateway:5050 would connect to the query environment gateway within an insights namespace.
Gateway URL
The gw variable below is defined as an IPC connection to the Service Gateway. For example `:insights-qe-gateway:5050 would connect to the query environment gateway within an insights namespace.
// API arguments dictionary.
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00)
);
opts:()!()
last gw(`getTicks;args;`callback;opts);
eventTimestamp instrumentID exchTime price volume conditions normalisedCondition tickDirection tradedExchange sequenceNumber accVol tickCount executionID srcSys
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
2023.07.21D00:00:00.000000000 AMD 113.66 43895 "" 1297 ""
2023.07.21D00:05:00.000000000 AMD 112.48 77130 "" 1298 ""
2023.07.21D00:10:00.000000000 AMD 113.72 9567 "" 1299 ""
2023.07.21D00:15:00.000000000 AMD 111.55 39436 "" 1300 ""
2023.07.21D00:20:00.000000000 AMD 118.87 3135 "" 1301 ""
..
Gateway URL
The $INSIGHTS_URL, $INSIGHTS_CLIENT_ID, $INSIGHTS_CLIENT_SECRET variables should point at your kdb Insights install.
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.22D00:00:00"
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
When issuing an IPC request, synchronous requests return a tuple where the first element is the response payload and the second is the response data. See the asynchronous requests section for how to use the callback argument to get an asynchronous response. See the extended options section for how to use the options like timeouts for your IPC call.
Arguments
| name | required | type | default | example | description |
|---|---|---|---|---|---|
| table | yes | symbol | N/A | `Trade | Name of table to retrieve data from. |
| startTS | yes | timestamp | -0Wp | .z.p-1D | Inclusive start time of period of interest. It is recommended that this field is always used to limit scope of data in the response and to maximize query efficiency. |
| endTS | yes | timestamp | 0Wp | .z.p | Exclusive end time of period of interest. It is recommended that this field is always used to limit scope of data in the response and to maximize query efficiency. |
| columns | no | symbol[] | ` | `instrumentID`price | Specify columns to return. |
| idList | no | symbol[] | ` | `A`B`C | List of identifiers to select. |
| idCol | no | symbol | configurable | `instrumentID | The identifier column to apply idList to |
| filter | no | list | () | ("<";`price;111) | See filter section for more info. |
| fill | no | symbol | () | `forward | Will fill the outbound result after aggregation. Using any fill will "rack" the data, giving rows for windows that did not happen. Options are `null`zero`forward`linear`linearStep |
| temporality | no | symbol | `continuous | `slice | Sets the range of data in view for each day within the query. Support two types of temporality: `continuous (default) which takes a continuous range of the data, and `slice which returns data within the startTS and endTS dates that is between the times defined in the slice argument. |
| slice | no | symbol | () | (0D12:00:00;0D13:00:00) | Sets the time range to grab between each date in the startTS and endTS range when using a temporality of slice. |
| sortCols | no | symbol[] | () | (`desc;`instrumentID) | Columns to sort (ascending) result data on. |
| applyCanCor | no | boolean | 0b | 1b | Apply cancellations and corrections data to table. |
| inputTZ | no | symbol | UTC | `America/New_York | Timezone of startTS and endTS. |
| outputTZ | no | symbol | UTC | `America/New_York | Timezone of output timestamp columns. |
| idMapping | no | boolean | 0b | 1b | Apply identifier mapping |
| filterRule | no | symbol | () | `myFilter | Name of the configured filter to apply to conditions column |
| timeCol | no | symbol | () | `exchTime | Use a time column that is not the default parition column. |
| orderbook | no | symbol | () | `plotOrderbookSnapshots | Orderbook specific functionality. More info in the Orderbook section of this doc |
columns
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00);
(`columns; `instrumentID`price`volume)
)
last gw(`getTicks;args;`callback;()!())
eventTimestamp instrumentID price volume
--------------------------------------------------------
2023.07.21D00:00:00.000000000 AMD 113.66 43895
2023.07.21D00:05:00.000000000 AMD 112.48 77130
2023.07.21D00:10:00.000000000 AMD 113.72 9567
2023.07.21D00:15:00.000000000 AMD 111.55 39436
2023.07.21D00:20:00.000000000 AMD 118.87 3135
..
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.22D00:00:00",
columns : ["instrumentID","price","volume"]
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
idList
List of identifiers to select.
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00);
(`columns; `instrumentID`price`volume);
(`idList; `AMD)
)
last gw(`getTicks;args;`callback;()!())
eventTimestamp instrumentID price volume
--------------------------------------------------------
2023.07.21D00:00:00.000000000 AMD 113.66 43895
2023.07.21D00:05:00.000000000 AMD 112.48 77130
2023.07.21D00:10:00.000000000 AMD 113.72 9567
2023.07.21D00:15:00.000000000 AMD 111.55 39436
2023.07.21D00:20:00.000000000 AMD 118.87 3135
..
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.22D00:00:00",
columns : ["instrumentID","price","volume"],
idList : "AMD"
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
idCol
By specifying a different idCol, the idList applies to a different column
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00);
(`columns; `tradedExchange`instrumentID`price`volume);
(`idList; `LSE);
(`idCol; `tradedExchange`)
)
last gw(`getTicks;args;`callback;()!())
eventTimestamp tradedExchange instrumentID price volume
-----------------------------------------------------------------------
2023.07.21D00:00:00.000000000 LSE AMD 113.66 43895
2023.07.21D00:05:00.000000000 LSE AMD 112.48 77130
2023.07.21D00:07:00.000000000 LSE VOD 174.72 2512
2023.07.21D00:10:00.000000000 LSE AMD 111.55 39436
2023.07.21D00:11:00.000000000 LSE VOD 174.87 6132
..
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.22D00:00:00",
columns : ["tradedExhange","instrumentID","price","volume"],
idList : "LSE",
idCol : "tradedExchange"
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
filter
The filter argument is used for applying custom filtering to the query. The filters are applied in the order they are defined when selecting from the table. Filters can be specified as symbols, strings or a combination of both.
| function | parameters | example |
|---|---|---|
| in | Filters data that is not in the list of possible alternatives | ("in";"sym";("AAPL";"MSFT") keeps symbols that are either AAPL or MSFT |
| within | Keeps numeric data that is within the bounds of a range using inclusive limits. | ("within";"price";(100;200)) keeps prices that are greater than or equal to 100 but less than or equal to 200 |
| < | Keeps numeric data that is less than a threshold | ("<";"price";100) keeps data that is less than 100 |
| > | Keeps numeric data that is greater than a threshold | (">";"price";100) keeps data that is greater than 100 |
| <= | Keeps numeric data that is less than or equal to a threshold | ("<=";"price";100) keeps data that is less than or equal to 100 |
| >= | Keeps numeric data that is greater than or equal to a threshold | (">=";"price";100) keeps data that is greater than or equal to 100 |
| = | Keeps data equal to another value | ("=";"sym";"AAPL") keeps only AAPL data |
| <> | Keeps data that is not equal to a value | ("<>";"sym";"AAPL") keeps all data that is not AAPL |
| like | Filters string data that matches a simple expression | ("like";"sym";"A*") matches any symbols that start with an A |
Some examples using filter are shown below;
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00);
(`columns; `instrumentID`price`volume);
(`filter; ("<";`price;111))
)
last gw(`getTicks;args;`callback;()!())
eventTimestamp instrumentID price volume
--------------------------------------------------------
2023.07.21D02:45:00.000000000 AMD 110.94 51852
2023.07.21D03:10:00.000000000 AMD 110.54 43580
2023.07.21D03:35:00.000000000 AMD 110.45 44657
2023.07.21D03:55:00.000000000 AMD 110.66 60049
2023.07.21D04:05:00.000000000 AMD 110.19 25382
..
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.22D00:00:00",
columns : ["instrumentID","price","volume"],
filter : ["<","price","111"]
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
And using within;
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00);
(`columns; `instrumentID`price`volume);
(`filter; (`$"within";`price;(114;115)))
)
last gw(`getTicks;args;`callback;()!())
eventTimestamp instrumentID price volume
--------------------------------------------------------
2023.07.21D01:50:00.000000000 AMD 114.8 56236
2023.07.21D01:55:00.000000000 AMD 114.68 30011
2023.07.21D02:00:00.000000000 AMD 114.94 73717
2023.07.21D02:25:00.000000000 AMD 114.38 95394
2023.07.21D03:40:00.000000000 AMD 114.23 93447
..
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.22D00:00:00",
columns : ["instrumentID","price","volume"],
filter : ["within","price",["114","115"]]
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
Alernative Filter Syntax
Filters can also be specified in a string format using the following syntax:
| Operator | Description | Example |
|---|---|---|
= |
equal | instrumentID=BP.Bproduct=Option |
<> |
not equal | eventType<>cancelled |
* |
column value wildcard | instrumentID=BP.* |
\| |
or | traderID=traderID1\|traderID2product=Forward\|Future\|Optionbroker<>bkrA\|brkB |
; |
and | assetClass=EQ;product=Future\|SharesourceData=ABC*;sourceData<>ABCD |
> |
greater than | price>0 |
< |
less than | quantity<100000 |
>= |
greater than | price>=0 |
<= |
less than | quantity<=100000 |
[blank column value] |
null | traderID<>;side<> |
| Name | Column Filter Key | Condition | Column Filter Value |
|---|---|---|---|
| Example | assetClass | = |
EQ |
| Description | Filter shall be on column "assetClass". | Column shall contain values equal (=) to the specified values. | Data shall be filtered on where assetClass is equal to "EQ". It will filter out rows where this condition is not true |
Some examples using filter in the string format are shown below;
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00);
(`columns; `instrumentID`price`volume);
(`filter; "price<111")
)
last gw(`getTicks;args;`callback;()!())
eventTimestamp instrumentID price volume
--------------------------------------------------------
2023.07.21D02:45:00.000000000 AMD 110.94 51852
2023.07.21D03:10:00.000000000 AMD 110.54 43580
2023.07.21D03:35:00.000000000 AMD 110.45 44657
2023.07.21D03:55:00.000000000 AMD 110.66 60049
2023.07.21D04:05:00.000000000 AMD 110.19 25382
..
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.22D00:00:00",
columns : ["instrumentID","price","volume"],
filter : "price<111"
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
Can replicate within functionality using >= and <=;
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00);
(`columns; `instrumentID`price`volume);
(`filter; "price>=114;price<=115")
)
last gw(`getTicks;args;`callback;()!())
eventTimestamp instrumentID price volume
--------------------------------------------------------
2023.07.21D01:50:00.000000000 AMD 114.8 56236
2023.07.21D01:55:00.000000000 AMD 114.68 30011
2023.07.21D02:00:00.000000000 AMD 114.94 73717
2023.07.21D02:25:00.000000000 AMD 114.38 95394
2023.07.21D03:40:00.000000000 AMD 114.23 93447
..
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.22D00:00:00",
columns : ["instrumentID","price","volume"],
filter : "price>=114;price<=115"
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
fill
The fill parameter can be used to specify how the to handle null values. It takes a single symbol which can be one of `null`zero`forward`linear`linearStep.
- null - Replace empty values with nulls.
- zero - Replace null values with a 0 value of the appropriate type.
- forward - Replace null values with the previous non-null value.
- linear - Linear interpolation according to time column of table.
- linearStep - Linear interpolation according to row index.
The below example highlights the difference between how linear and linearStep fills work.
| time | price | linear | linearStep |
|---|---|---|---|
| 0 | 0 | 0 | 0 |
| 5 | 2.5 | 3.33 | |
| 10 | 5 | 6.66 | |
| 20 | 10 | 10 | 10 |
Example call using zero;
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00);
(`columns; `instrumentID`price`volume`accVol);
(`fill; `zero)
)
last gw(`getTicks;args;`callback;()!())
eventTimestamp instrumentID price volume accVol
---------------------------------------------------------------
2023.07.21D00:00:00.000000000 AMD 113.66 43895 0
2023.07.21D00:05:00.000000000 AMD 112.48 77130 0
2023.07.21D00:10:00.000000000 AMD 113.72 9567 0
2023.07.21D00:15:00.000000000 AMD 111.55 39436 0
2023.07.21D00:20:00.000000000 AMD 118.87 3135 0
..
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.22D00:00:00",
columns : ["instrumentID","price","volume","accVol"],
fill : "zero"
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
temporality/slice
There are two types of temporality currently supported, and each determines the way the startTS and endTS arguments are interpreted. The default value is continuous and when specified getTicks return a continuous chunk of data between the specified startTS and endTS arguments.
When a slice temporality is specified, the API returns data between the values specified in the slice argument, for each date within the startTS and endTS timestamp.
For example, if you request data between 02:00 and 04:00 for a three day period using a time slice, then the following data would be returned:
| time | day 1 | day 2 | day3 |
|---|---|---|---|
| 00:00:00 | 1.10 | 2.20 | 3.30 |
| 01:00:00 | 1.11 | 2.21 | 3.31 |
| 02:00:00 | 1.12 | 2.22 | 3.32 |
| 03:00:00 | 1.13 | 2.23 | 3.33 |
| 04:00:00 | 1.14 | 2.24 | 3.34 |
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00);
(`columns; `instrumentID`price`volume);
(`temporality; `slice);
(`slice; (0D12:00:00;0D13:00:00))
)
last gw(`getTicks;args;`callback;()!())
eventTimestamp instrumentID price volume
--------------------------------------------------------
2023.07.21D12:00:00.000000000 AMD 115.46 18847
2023.07.21D12:00:00.000000001 AMD 114.39 75208
2023.07.21D12:00:00.000000002 AMD 119.67 22109
2023.07.21D12:05:00.000000000 AMD 117.62 46386
2023.07.21D12:10:00.000000000 AMD 118.12 40625
..
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.22D00:00:00",
columns : ["instrumentID","price","volume"],
temporality : "slice",
slice : ["0D12:00:00","0D13:00:00"]
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
sortCols
Specifies the columns to sort before returning the response. You can specify either ascending (asc) or descending (desc) order.
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00);
(`columns; `instrumentID`price`volume);
(`sortCols; (`desc;`price))
)
last gw(`getTicks;args;`callback;()!())
eventTimestamp instrumentID price volume
--------------------------------------------------------
2023.07.21D09:35:00.000000000 AMD 119.99 77410
2023.07.21D09:35:00.000000000 AMD 119.99 77410
2023.07.21D08:10:00.000000000 AMD 119.98 35635
2023.07.21D08:10:00.000000000 AMD 119.98 35635
2023.07.21D12:59:59.999999998 AMD 119.96 46373
..
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.22D00:00:00",
columns : ["instrumentID","price","volume"],
sortCols : ["desc","price"]
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
applyCanCor
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00);
(`columns; `instrumentID`price`volume);
(`applyCanCor; 1b)
)
last gw(`getTicks;args;`callback;()!())
eventTimestamp instrumentID price volume
--------------------------------------------------------
2023.07.21D00:00:00.000000000 AMD 117.42 26845
2023.07.21D00:05:00.000000000 AMD 114.42 63689
2023.07.21D00:10:00.000000000 AMD 110.43 34964
2023.07.21D00:15:00.000000000 AMD 111.55 39436
2023.07.21D00:20:00.000000000 AMD 118.87 3135
..
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.2D00:00:00",
columns : ["instrumentID","price","volume"],
applyCanCor : "1b"
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
inputTZ/outputTZ
Timezone of input (startTS and endTS) and the output.
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00);
(`columns; `instrumentID`price`volume);
(`inputTZ; `$"America/New_York");
(`outputTZ; `$"America/New_York")
)
last gw(`getTicks;args;`callback;()!())
eventTimestamp instrumentID price volume
--------------------------------------------------------
2023.07.21D00:00:00.000000000 AMD 115.22 65481
2023.07.21D00:05:00.000000000 AMD 110.19 25382
2023.07.21D00:10:00.000000000 AMD 111.51 64714
2023.07.21D00:15:00.000000000 AMD 115.71 60447
2023.07.21D00:20:00.000000000 AMD 110.72 24078
..
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.22D00:00:00",
columns : ["instrumentID","price","volume"],
inputTZ : "AmericaNew_York",
outputTZ : "AmericaNew_York"
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
Note
When using an inputTZ timezone that observes daylight savings time, the system cannot robustly handle attempts to select data specifically within the non-existant or repeated local hour.
For example, on the night in March in New York where the clock skips forward from 1:59 to 03:00, attempting to select a data bucket that begins or ends within those time values may result in unexpected data returning. Our tests confirm that a work-around is using a startTS/endTS value that wholely surrounds the problematic local time range, that is a range at least as wide as startTS=01:59 to endTS=03:00.
Similarly for example, on the night in November in New York where the clock repeats an hour going from 1:59 back to 01:00, attempting to select a data bucket that begins or ends within those time values may result in unexpected data returning. Our tests confirm that a work-around is using a startTS/endTS value that wholely surrounds the problematic local time range, that is a range at least as wide as startTS=00:59 to endTS=02:00.
filterRule
If filter rules are configured, then the argument can be used to filter data based upon condition codes. This enables repeatable filters without extremely complex `filter` arguments.
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00);
(`columns; `instrumentID`price`volume`condition);
(`idList; `AMD);
(`filterRule; `myFilter)
)
last gw(`getTicks;args;`callback;()!())
eventTimestamp instrumentID price volume condition
-------------------------------------------------------------------
2023.07.21D00:00:00.000000000 AMD 113.66 43895 "A||N||"
2023.07.21D00:05:00.000000000 AMD 112.48 77130 "A||||"
2023.07.21D00:20:00.000000000 AMD 118.87 3135 "A||||"
..
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.22D00:00:00",
columns : ["instrumentID","price","volume"],
idList : "AMD",
filterRule : "myFilter"
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
idMapping
If an IDMap is configured, then the idMapping parameter can be used to query by custom symbology.
In the example below, the IDMap has been configured to map a to AMD
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.07.21D00:00:00);
(`endTS; 2023.07.22D00:00:00);
(`columns; `instrumentID`price`volume`condition);
(`idList; `a);
(`idMapping; 1b)
)
last gw(`getTicks;args;`callback;()!())
eventTimestamp instrumentID price volume
--------------------------------------------------------
2023.07.21D00:00:00.000000000 AMD 113.66 43895
2023.07.21D00:05:00.000000000 AMD 112.48 77130
2023.07.21D00:10:00.000000000 AMD 113.72 9567
2023.07.21D00:15:00.000000000 AMD 111.55 39436
2023.07.21D00:20:00.000000000 AMD 118.87 3135
..
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.07.21D00:00:00",
endTS : "2023.07.22D00:00:00",
columns : ["instrumentID","price","volume"],
idList : "a",
idMapping : "1b"
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
timeCol
Use a time column that is not the default partition column.
non partition column time query performance
Note that more partitions may need to be scanned to satisfy the query, so a time buffer is added either side of the window provided. This can be configured (or turned off) to improve performance of alternative timeCol queries, see timeCol time windowing
args: (!) . flip (
(`table; `Trade);
(`startTS; 2023.08.15D00:00:00);
(`endTS; 2023.08.16D00:00:00);
(`idList; `A);
(`columns; `exchTime`price`volume);
(`timeCol; `exchTime)
)
eventTimestamp exchTime price volume
---------------------------------------------------------------------------
2023.08.19D00:00:00.000000000 2023.08.15D00:00:00.000000000 10.29076 1500
2023.08.19D03:00:00.000000000 2023.08.15D03:00:00.000000000 10.42448 1000
2023.08.19D06:00:00.000000000 2023.08.15D06:00:00.000000000 10.20321 1700
2023.08.19D09:00:00.000000000 2023.08.15D09:00:00.000000000 10.01974 1100
2023.08.19D12:00:00.000000000 2023.08.15D12:00:00.000000000 10.01221 1000
2023.08.19D15:00:00.000000000 2023.08.15D15:00:00.000000000 10.27259 1400
2023.08.19D18:00:00.000000000 2023.08.15D18:00:00.000000000 10.60147 1400
2023.08.19D21:00:00.000000000 2023.08.15D21:00:00.000000000 10.59386 1700
INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
-d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
"${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`
DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getTicks" \
-H "Content-Type: application/json" \
-H "Accept: application/json" \
-H "Authorization: Bearer $INSIGHTS_TOKEN" \
-d "$(jq -n \
'{
table : "Trade",
startTS : "2023.08.15D00:00:00",
endTS : "2023.08.16D00:00:00",
idList : "A",
columns : ["exchTime","price","volume"],
timeCol : "exchTime"
}' | jq -cr .)"`
echo $DATA | jq -cr '.payload'
[{"eventTimestamp":"2023-08-19T00:00:00.000000000","exchTime":"2023-08-15T00:00:00.000000000","price":10.29076,"volume":1500},
Orderbook
The `orderbook argument in getTicks is used for orderbook-specific logic.
Currently the only accepted input is `plotOrderbookSnapshots
This is used primarily for to more easily OrderbookSnapshot data in a dashboard, etc.
Behaviour:
- Filters the OrderbookSnapshots table for the max row within the specified time range.
- Using that snapshotd data, the following values are calculated:
- Calculate values:
- bestAsk = min askPrice
- bestBid = max bidPrice
- maxSize = max (bidSize;askSize)
- spread = bestAsk - bestBid
- midPoint = (bestBid + bestAsk) / 2
args: (!) . flip (
(`table; `OrderbookSnapshots);
(`startTS; 2024.01.17D12:30:00);
(`endTS; 2024.01.17D12:40:00);
(`idList; `$"F:TFM\\G24");
(`orderbook; `plotOrderbookSnapshots)
);