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aj, aj0, ajf, ajf0

As-of join

Syntax: aj[c1…cn;t1;t2]
Syntax: aj0[c1…cn;t1;t2]
Syntax: ajf[c1…cn;t1;t2]
Syntax: ajf0[c1…cn;t1;t2]

Where

  • t1 is a table
  • t2 is a simple table
  • c1…cn is a symbol list of column names, common to t1 and t2, and of matching type
  • column cn is of a sortable type (typically time)

returns a table with records from the left-join of t1 and t2. In the join, the last value (most recent time) is taken. For each record in t1, the result has one record with the items in t1, and

  • if there are matching records in t2, the items of the last (in row order) matching record are appended to those of t1;
  • otherwise the remaining columns are null.
q)t:([]time:10:01:01 10:01:03 10:01:04;sym:`msft`ibm`ge;qty:100 200 150)
q)t
time       sym  qty
-----------------
10:01:01 msft 100
10:01:03 ibm  200
10:01:04 ge   150

q)q:([]time:10:01:00 10:01:00 10:01:00 10:01:02;sym:`ibm`msft`msft`ibm;px:100 99 101 98)
q)q
time     sym  px 
-----------------
10:01:00 ibm  100
10:01:00 msft 99 
10:01:00 msft 101
10:01:02 ibm  98 

q)aj[`sym`time;t;q]
time       sym  qty px
---------------------
10:01:01 msft 100 101
10:01:03 ibm  200 98
10:01:04 ge   150

aj, aj0

aj and aj0 return different times in their results:

join time in result
aj boundary time from t1
aj0 actual time from t2

ajf, ajf0

Since V3.6 2018.05.18 ajf and ajf0 behave as V2.8 aj and aj0, i.e. they fill from LHS if RHS is null. e.g.

q)t0:([]time:2#00:00:01;sym:`a`b;p:1 1;n:`r`s)
q)t1:([]time:2#00:00:01;sym:`a`b;p:0 1)
q)t2:([]time:2#00:00:00;sym:`a`b;p:1 0N;n:`r`s)
q)t0~ajf[`sym`time;t1;t2]
1b

Performance

Order of search columns

Ensure the first argument to aj, the columns to search on, is in the correct order, e.g. `sym`time. Otherwise you’ll suffer a severe performance hit.

If the resulting time value is to be from the quote (actual time) instead of the (boundary time) from trade, use aj0 instead of aj.

aj should run at a million or two trade records per second; whether the tables are mapped or not is irrelevant. However, for speed:

medium t2[c1] t2[c2…] example
memory g# sorted within c1 quote has `g#sym and time sorted within sym
disk p# sorted within c1 quote has `p#sym and time sorted within sym

Departure from this incurs a severe performance penalty.

Note that, on disk, the g# attribute does not help.

Virtual partition column

Select the virtual partition column only if you need it. It is fabricated on demand, which can be slow for large partitions.

select from t2

In memory, there is no need to select from t2. Irrespective of the number of records, use, e.g.:

aj[`sym`time;select … from trade where …;quote]

instead of

aj[`sym`time;select … from trade where …;
             select … from quote where …]

In contrast, on disk you must map in your splay or day-at-a-time partitioned database:

Splay:

aj[`sym`time;select … from trade where …;select … from quote]

Partitioned:

aj[`sym`time;select … from trade where …;
             select … from quote where date = …]

Further where constraints

If further where constraints are used, the columns will be copied instead of mapped into memory, slowing down the join.

If you are using a database where an individual day’s data is spread over multiple partitions the on-disk p# will be lost when retrieving data with a constraint such as …date=2011.08.05. In this case you will have to reduce the number of quotes retrieved by applying further constraints – or by re-applying the attribute.

asof
Basics: Joins