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kdb Insights Enterprise FSI Accelerator - Release notes

This section details the release notes for the kdb Insights FSI Accelerator Library.

Version 1.0.0

Release Date

2024-04-08

New Features

APIs

The following core API endpoints are included in Release 1.0.0:

  • getTicks provides additional finance specific functionality for data retrieval:

    • Request quote and trade time series for a given period.

    • Time-slice data to query specific intraday periods over a time range. For example, around market close or for particular trading sessions.

    • Apply custom identifiers to symbol IDs to match your own internal identifiers for different securities.

    • Exchange data cancellation and correction support. Apply cancellations and corrections to exchange trade data to see an adjusted time series, or retrieve your time series as it was first published.

    • Exchange data condition-code filters. Use named filters with combinations of exchange data condition code rules to query specific data across exchanges. For example, only data relevant to auctions.

    • Rack and fill missing rows of data with missing values using zeros, last observed value, nulls, or linear interpolation between observations.

    • View matched filter rules on results to classify trades and quotes for further processing downstream, or fine tune and troubleshoot filters.

    • Query on exchange or insert times to view results on source or system times, and publish or receipt ordering.

  • getStats provides quote and trade analytics on top of getTicks adjusted data:

    • Bucketing and binning with custom granularity and sliding window support.

    • Calculations for averages, first, last, min, max, median, cumulative sums, VWAP, and TWAP.

    • Time slicing, racking & filling, custom symbology, cancellation and correction support, and condition code filters as for getTicks.

  • getBars provides pre-calculated aggregated barred data, supported by a customizable analytics pipeline:

    • A customizable pipeline template for FSI Accelerator or custom analytics, which can be run end-of-day to populate the database (intraday bars are queryable via getStats).

    • An API endpoint for querying the pre-aggregated data, with custom granularity supported by the pre-aggregated bars.

    • Time slicing, racking & filling, custom symbology, cancellation and correction support, and condition code filters as for getTicks.

Asset class support

Futures schema overlays are included in this release. Several enhancements have been added to getTicks to support futures use cases:

  • Basic futures curve construction - Contracts are stitched together without any price adjustment.

  • Adjusted futures curve construction - Curves are back-adjusted using the spread between the rolling and next contracts. The rollover dates methodology can be set in one of three ways:

    • By expiry date of the near contract.

    • By a specified number of business days before expiry of the near contract.

    • Determined by the date when open interest between the near and far contract flips.

  • Additional options - For the contract argument if the futures argument is not supplied to getTicks.

  • Foreign Exchange schema overlays and quote snapshots - Price book construction support has been added to getTicks.

    • Ability to construct a VWAP pricing book via getTicks for a given set of layers based on a IOC sweepable price book.

    • Pipeline to ingest FX reference data from a csv in AWS storage to define FX reference data such as spot decimals, forward decimal precision, base currency and counter currency etc. This rounding reference data is integrated with the VWAP price book functionality within getTicks.

    • Ability to construct a Full Amount pricing book via getTicks for a given set of layers based on an FOK full amount price book.

Artifacts

KX Nexus

The KX Nexus repository will be sunsetted in the future. Nexus links on this page are provided as a temporary alternative to the KX Downloads Portal for existing users. The KX Downloads Portal is the preferred repository for all use cases and KX Nexus links will be removed once the KX Nexus repository is decommissioned.

type Location
Accelerator Package https://nexus.kxi-dev.kx.com/#browse/browse:kxi-accelerators:packages%2Ffsi
Futures Tutorial files https://gitlab.com/kxdev/kxinsights/accelerators/fsi/-/blob/main/notebooks/FSI_Futures_Demo.ipynb

Version Dependencies

There are minimum versions of kdb Insights Enterprise and the kxi CLI which are required to use FSI Accelerators that rely on the FSI Accelerator Library.

FSI Library Insights Enterprise kxi CLI
1.0.0 1.9.0 1.9.0

Known issues

  • ID Mapping is not applied to get* API calls. Data will only be returned for underlying symbols, even when IDMapping is set on get* API calls. Requests for ID Mapped symbols will not return any results.
  • When holiday calendars are applied in get* API calls using applyHolidayCalendar, the call will always return an empty result.