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Rebecca Kelly: kdb Time Series Database

Key Links

Video

Bkdb Time Series Database

Transcript

Intro

Hi everybody, welcome to Data Umbrellas webinar. I'm just gonna go over a brief introduction.

So I'm gonna introduce Data Umbrella of Rebecca Kelly is going to do her talk and then you can ask questions in the Q&A tab or you can ask in the chat and I'll just loop the questions over to the Q&A tab and depending on how the questions come in we can sort of I might interrupt Rebecca if it's a good time to interrupt her but we'll get the questions answered and this webinar is being recorded.

About me I am the founder of Data Umbrella. I'm a statistician by training and a data scientist and I also organize for the New York City chapter of Py ladies and I'm on Twitter @reshamas.

The mission of Data Umbrella is to provide a welcoming education inclusive space for underrepresented persons in data science and we are a volunteer run organization.

Py ladies is a international group of Python ladies and gender minorities and you know it's basically got Python and all all things related to Python check up check out our homepage and follow us on Twitter.

I just want to go over our code of conduct we're dedicated to providing harassment free professional experience for everybody and please keep that in mind any of the chat messages as well.

I took a screenshot of some of the the website for Data Umbrella and it has a lot of resources and those resources include on open source on sources for learning Python and are about accessibility and responsibility and data science and I encourage you to check it out.

So for any upcoming event or data umbrella the best place to find them is on the meetup page so if you just want to become a member that's really the best place. We do also share them on Twitter and LinkedIn and Facebook so depending on the platform the choice that's the if you find out what we're up to via those social media avenues.

And I'm going to turn this over to Rebecca and let Rebecca sort of introduce herself and provide information about her background as well. Great. Thank you, very much.

Well I just take over the screen there okay okay so can everyone see my screen? Here let me just. Oh actually have lost the questions now that I'm in this view. Let me think. Is there a way?

Oh maybe I can pop this out. Okay we'll do that. Can you see this on my screen? Okay okay because I can. I can read the questions and that will be fine. Okay.

Maybe if you can interrupt me if there's any questions just because I don't think I'll be able to see them. Apologies. Okay no problem. Thank you. Thanks appreciate it.

Um so hello everybody I'm Rebecca. I'm very happy to be here talking to you all today about Kdb+. I work in New York myself so I thought there was a lot of people in from from local to me so so that's great. You can you can find me on LinkedIn. After this if you'd like if maybe we can grab a coffee whenever that's socially acceptable again so I'm based in New York and I work as a Technical Evangelist 4kx.

I've worked with the company for I was just actually chatting with this work company for about five years started as a developer and Kdb+ worked my way up to a Solutions Architect left went back to college did a master's in machine learning in the University of Edinburgh in Scotland which was great and then I came back to work in New York as the Technical Evangelist so I've had a bit of a journey kind of in between then with the with the company I worked in a few different places location-wise which was which was fun and I'll actually get into that a little bit when I talk about some more about tech.

So the way I've approached it today. I did obviously you know look around and I saw that the mission statement for Data Umbrella is to provide a welcoming and educational space so really tried to focus on putting as much educational content as I can in into this presentation. So I'm hoping to provide a very good grounding on you know what is Kx as a company. What does the technology look like? Who uses this. What's the user for? And then what does that mean for you?

Before I jump into the demo and the demonstration will do my absolute best to cover as much as I possibly can of this language which is quite quite broad. So hopefully you'll come away with a very good understanding and knowing where to go for more resources.

So Kx is a division of First Derivatives Kx is a software company and are the software that we produced is a high-performance time series database. So we've actually been around for quite a number of years now we started in the finance space. So kind of you know FinTech and really kind of focused on the problem of how to deal with big data.

So when people talk about big data they tend to kind of split it into these the V's so the the four V's there's a volume, velocity, variety and veracity is typically the the kind of primary four that I think IBM force product and if it helps you to think about big data in that way. Then you know the place that we work in would be the the high volume and high velocity space so anywhere where there's huge amounts of data coming at you very very quickly is where we would typically where our technology is most commonly used.

Other Verticals (6:54)

Well we did start in finance and that's not that's not the only place we operate now we've actually been doing a lot of work in other verticals. So some of the ones that we've probably gotten the most traction with would be IOT and manufacturing so I've kind of kept the focus on finance for a lot of this presentation because it being New York certainly for all of the people that I work with in this in this place and this time zone it tends to be a lot of finance related stuff but like I said we are kind of working in these other verticals and it's actually really interesting to see the the difference and the similarity between the datasets.

So if you think about finance in one way in which it will be very different from something like IOT or manufacturing is the the pickiness of the data if that makes sense you know if the markets are busy you get a very busy day you have very very high data volumes. Whereas in IOT or manufacturing you tend not to encounter that same distribution let's say of the data. The way in which they might be very different is that with finance you can get downtime you know there's those times when you're not you know so like on weekends the markets might not be open whereas in IOT or manufacturing it's pretty much 24/7 but they are united in that they have tend to have you know huge volumes of data and very fast velocities. So you're talking about sensor readings every every like millisecond coming off multiple multiple devices and kind of aggregating that together which is not so dissimilar to capturing all of the the data from the markets and trying to action that in the in the finance space.

So just to lay a little bit of the scene the technology so anybody who might already be familiar with a little bit the technology will be may have heard people refer to it as either kdb+, kdb or q so this is my little infographic you'll see I'm quite fond of pictures to tell to to tell stories. It is this and this to me represents how you can think of the software. So Kdb+ is the database layer that's where the data is stored on disk and then q is the interface around it. So that's a turing-complete programming language that you use to actually query and retrieve the data from the database and that's the language that I'll be showing you in the demo in a moment.

Again more effective because pictures tell a thousand words. I'm gonna break down I suppose some of the key features of the language and in a way that I hope will help understand how it might be different to or similar to other languages that people have worked with before. So it's a functional language. That means that you know there's no it's not right compile test you're you're actually working interactively with the data similar to Python in that sense and that you're you know you can start with the problem you can code around this you can work your way through it and it's certainly I spend a lot of my time talking to the developers who actually use the language and this is one of the things that I'm that that they most kind of appreciate about it because you know if you're talking about working with big data and trying to work through a problem it's actually quite beneficial that the the speed of execution is it's short you don't have to go and take a big tea break every time you want to to run some code for example.

It's a columnar base to database so if you're familiar with other databases like MySQL for example those are typically although it's becoming more common but they're columnar base but those are often row based databases. The main difference I suppose is how the data is retrieved so if you're working with a row based database and anytime you want any piece of information in that row you have to pull the entire row back into memory but if you think about big data and how people normally work with or use big data you're not you know it's rare that you would say give me all of the data often you you're you know you're trying to filter is you're trying to work with a subset you're trying to kind of aggregate it to all those things. So it's very common that you would do something like I would like all the data on this day's for the Apple stock for example.

So what they columnar new database that means you can kind of go to so that you know you can go to the particular date that you care about you can go to the you know the the the stock name and you can kind of filter based off of those criteria and then only pull back the rest of the data for the rows where where it's actually met your filter. So it's a much more memory efficient way of trying to work with these bigger data sets.

It's very fast and yeah I like to throw this one and I upgraded my car from the first version because we actually do work with awesome marks marking Red Bull Racing. So if you kind of think about the analogy between the the two cars that's kind of the the performance scale that we're looking at it's concise of a language. So that's what this little target is trying to indicate that doesn't really that sounds kind of like a throwaway comment at first but I suppose the difference is you're not writing pages and pages pages of code to achieve a particular result it's often a case of you might write one or two lines and that means that you know you you spend more time thinking about what it is you're trying to do and when it comes back to you know supporting it or actually maintaining that code you're working with a much smaller kind of code sash which is often quite beneficial for for for these kind of systems.

This is the table. Sometimes people don't know what this is. Tables are first-order data type in the language. So it's a valid statement to say table 1 plus table 2 and that will depending on what you have in your tables work but this is really to emphasize the fact that the language and the software grew up being focused on the problem of data as not just kind of a secondary consideration but as the the primary motivation for the software. So so tables are really front and entered.

This is time and this is this is really about I suppose the fluidity of it and being able to kind of work between different times so you know data is is a difficult and complicated but but things don't tend not to necessarily coincide a lot of the time if we're talking about fine to markets you know like when you get a trade you don't necessarily have a quote for that trade at the exact time of that trade. So you need to do you need to kind of recreate the market context by by by by retrieving the the quote that was present in the market at the time of that trade they've gotta be very common. For example for a lot of the people that use our software they might use it for quality of execution reporting that's a very big one. So they'll they'll they'll need to know you know did was this the best possible trade price that could have been achieved have we done the best that we possibly could do for our for a customer that we're executing on behalf of so there are a number of joins in the in the language that are specific to time that are based around that.

I will show you the As of join when we get to the demo but I suppose to kind of go the more generalized side of things there there is a window join in there that would let you say for every row that you have in one of your tables you can define a specific period of time around each of those records and join that original table with information from another table so for example if you had a sensor reading you could set a window of time maybe you know ten minutes after if maybe five minutes before and seven minutes after whatever you like and retrieve from another table let's say like the temperature that that was present in the room at the time for that for that sensor during that time period. So it's really all about kind of context and time is I think the the ultimate context without without running the risk of sounding far to um introspective but a but that's that's the idea.

Windowing is the you know bread and butter working with big data you know you have so much data you need to oftentimes you know work with it and these in these kind of smaller time periods being able to kind of chop and slice and dice all the data that you're working with. So windowing is important.

This is about aggregation data aggregation data filtering all of those good things again Big Data so you know if you're talking about petabytes of data you're not going to have somebody there looking at it row after row because that's just not feasible. It's not a good spend of anybody's time. So it's all about being able to cut to roll it off into the format that you that you want to see it in the kind of one of the statistics that you care about on the on the subsets of data that you care about and and kind of continue from there.

So this is actually a little bit of an older reference maybe then then people might be familiar with but this is a lambda here and it refers to kind of the original concept of a lambda architecture. So that's being able to take the the data from very first kind of point of ingest to being able to work with it in real time and then finally being able to work with it in its wider historical stage. So that whole kind of idea of being able to to seamlessly deal with the data in whatever format it comes in and that's something that I'll that I'll show to you in the in the demo how as a language it allows the flexibility to to do that to work with the data and kind of whatever format it is you're getting it in. The benefit of this as well is that you know you're not writing three different sets of code if you have a particular function that you want to use with data that you want to apply to the data you don't have to write something special for for if you if you're working in in real time another for in memory another for on disk and maybe another for streaming but that's not something that that you have to to worry about.

This is it looks like a waterfall. It's supposed to be stream. I wanted to highlight the the streaming capabilities because I think for people who already have a good range and breadth of languages as I imagine may well be the case with this with this group of people here it is certainly worth highlighting the the streaming capabilities of the language because I think it's a it's really a place where we excel and where maybe there's not always a great fit with some other languages.

So I've said a few times about how great it is and obviously I would. So this is just to say you don't have to take my word for it and we do participate in benchmarks so to contextualize the benchmarks if you if you recall I was saying that the the that we started in finance so that I suppose as a software we're a little over I think we celebrated our 25 years maybe a few years ago so that whereby we kind of came in to the the market as I suppose high frequency trading and all that stuff was on the rise and the situation that a lot of the financial institutions at the time faced was how do I decide what software to use for this problem that I have and particularly when everyone is going to tell me that their software is the right software to use so stack is a if it's a group an independent body that kind of sat down with all these financial institutions and said well what do you care about we'll define appropriate tests to to to track all of these things and then that will help you be able to decide which you know which which software fits your needs the best. So for us the ones that we tend to really dominate in and where we I suppose see the most use both in our customers as well is in the in-memory compute and mass of data at rest so I've kind of expected. So that so that's that's just to say you don't have to just trust me.

Here's a quick a little bit of a whistle-stop tour of some of our clients partners. I whoops go back. It's running away from me. um I've had the fortunate benefit of working with a few of these so up on the top right hand corner there ASIC that's the Australian Securities and Investment Commission and it was actually one of the first projects I got to work on when I joined the company. It was great. They sent me to Sydney. I loved it. The weather was amazing all the time everyone was lovely but but yeah.

So so that was a project where it was the Australian Securities and Investment Commission who are charged with overseeing the entire market really. So they guess all the market data it's such a great place to be. If you're if you are you know if you're someone like me who just enjoy seeing that full picture and we were working on market surveillance.

So the company chaox we built we brought in a um and built a market surveillance system. So we would take all the data in real time and we were looking for abusive market practices. So there's a number of different the standard kind of alerts that you care about in that space. So whether people are layering insider trading all of those things had to be kind of codified and then um and then applied to the data. So that was great.

I've also gotten to work with the awesome Martin Red Bull racing when that was first kicking off I was involved in the proof-of-concept which was which was very fun. I got to go out and actually see the car in the wind tunnel and work with work with some of the team there and that was that was very very interesting. There is an awful lot that actually goes on. In in in the in the Formula One racing world and a lot more.

I suppose there's not really regulation because it's not a government body regulating them but they kind of group of all the people that work in that space or the different Formula One teams kind of bands together and put a little bit of they set their own regulations on and it's very it's very interesting. Like like for example they have a limit to how much compute time they can run. So so they can gather the information from the wind tunnel but then they're limited with how much time they can spend punching those numbers because they all brought together and decided that this was the good number that they were going to say.

So however many hours um so being able to run things faster obviously meant that they could get more actionable insights and it was just an it was an interesting case that we. I don't know that on paper anyone would really have expected as a good as a you know a potential vertical but now we're very active in the automotive space and then I know a lot of these others from from just my work kind of going around and talking to the different teams that are based here in New York and and just checking in on them and how they're how their systems are running and keeping them up-to-date with all the latest features and all that.

Finance Use Cases (24:19)

So how is it used. I figured. I put together a little word cloud to hopefully kind of highlight some of the ways that these clients are using else. Um so let me see strategy back testing for example would be a very common one for people who are who are using us as a very big historical database so the you know you have petabytes of data you have a new trading strategy but you need to test it before you deploy it so this is that'd be fairly common a lot of analytics around you know a post trade pre-trade quality of execution and just just in general for kind of ad-hoc analysis and and and database to database things.

What about you? (25:07)

So I thought about what you know who all of you are in this audience and what might what might make you interested in learning this software and I suppose the the one thing that I would highlight is that it is so frequently used in the investment banks and we have a lot of big hedge fund clients. So if you're somebody who's looking to try and get more like maneuver into a position where you're at quant or strat or financial analyst this is a great technology to pick up to try and differentiate yourself from maybe maybe other people that are also applying.

It's also like I said I find it particularly useful with streaming data and again in terms of the effort being worthwhile for you rather than just picking up another language where you can write hello world. Here's something that might actually help you be able to address different kinds of problems and yeah it's it's very interval.

We have a whole team called our fusion team who are dedicated to putting together these different adapters so that we play nicely with other technologies. Look the world is a big wide interesting place and there's so much technology and and really it's used the best tools for the job. You know for you know we're not going to rewrite backprop in our software you should keep using probably Python and and and and and you should have our freedom that should be something that you get to decide. So it's really it's really about you know doors open come on in and and the democratization of data really.

And then finally I think time. The most important well in my opinion the most important resource that that I think we have as people is our time and you know you want to make the most of it. So this is this a little infographic I got from Forbes that kind of breaks down what data scientists typically spend their most I'm doing and this three percent all the way around to the end of this nineteen percent so a little over 80 something percent quick math is spent on working with the data getting the data into the format that you wants but so then you can kind of do the quote unquote interesting work of you know building building your model testing algorithms doing whatever it is the kind of the value-added step of your processes. So the faster you can get through that in theory the the more value you can be kind of continuing to produce. So it's a it's certainly something that's I like to you know try and try and speed up as much as possible.

My Pet Peeve (28:11)

This is this is because I have a forum so this is where I normally take the time to talk about it just kind of a little bit what annoys me and mostly it's something that I see a lot and that I think you know whatever software you're using whatever it is you're working with you know they're very kind of good and bad practices and something I see is that people will go to the database it you tend to gathered a lot in these kind of fractured environments.

So in the top panel here what I see sometimes is that there is a database administration team and then there is the data analytics team and they maybe you know I mean they talk to each other they're fine everyone gets along but if you want data to use for your data analytics what happens is you get your extract from the database but that's a database administration team gives to you they put it somewhere on disk and you work with that you work with that extract and that's that's kind of just what you have but as a data scientist I find that very frustrating because I'll you know you like to be able to test against other conditions against other edge cases and in other situations. So like I might have taken all the information for Apple but now I want to check for Microsoft and now I'm caught in that in a two-week request/response situation and it it it annoys me and also from from a database administration perspective this isn't great either because you're you know you're losing as soon as you take the day that out of the database and you put it somewhere else using data governance you know that that audit trail for who access that data is gone.

So my recommendation and though it doesn't have to be our database but you know the best thing you possibly do to really empower people to do the best job they can is to give people that freedom to to work directly with the data and to to be there with it. So I will get off my podium now and just move on.

Python (30:26)

So I'm aware the audience here is is quite familiar with Python so I wanted to particularly highlight the Python interfaces that we have. So we have two and the one that I'm gonna show you in the demo is going to be this one on the left-hand sides that we call embed py so that's where it's kind of what it looks like you'll see I reuse this pictographic technique of putting putting the thing in but but in fact but that's what it is it's a it's a q process that's running that has a Python process in better than to it. So they share the same memory space and it's really very efficient and then py q is the flip side so it's a Python process that's got q embedded in the same memory space. So the difference would be the prompt that you're working with. So with embed py the base language is q and with py q did the said language is py q and that's the main difference.

Questions (31:22)

Rebecca. Yes. This may be a good time to ask this question from. Yeah go for it.(Questions) Would love to know the reason why q was written. Were there some time series data access not supported by SQL. Yeah that's a great question and yeah I think that was effectively it. I think people got tired of trying to figure out how to how to stitch the data back together to get that context so I I'd mentioned the half of join. I'll show it in the demo but the idea is that you can have one table like your tray table and have all of those different times I wish all those trades occurred and you can just say oh give me the quote table as of the time in the tray table now I know there have been that some of these capabilities have been subsequently added to some of these row based ones but but that you know performance wise you know it just wasn't the same if you're trying to make a decision about you know how much credit do you want to extend somewhere that's not something that you really want to to leave waiting for too long you know. These are the kinds of things that can end up hurting you financially that the time horizon of when you can get those answers and as well at the ability to to to chop up the data and bucket it appropriately is is also very kind of fundamental to the language as well and I think that that has been one of the real drivers too but yeah it was it was kind of a two-pronged thing it was being able to provide the kind of common analysis techniques that that that that are native in the language now such as the the bidding the aggregating the the time contextualized joins and then also it's the the speed at which you could perform those operations we're kind of the two driving factors behind it so how can we do these things firstly and secondly how can we do it at a speed at which this will be valuable you know information still because any information has a has a maybe not maybe not may not all information now that I think about it but a lot of information has a has a finite value horizon and certainly in finance that's stuff that can be quite short hopefully that answers the question.

Are there anymore while actually well well we're kind of pause? No that was the only question. Okay okay well hopefully that answers and all continue on yeah.

Machine Learning (34:06)

So python has been in each place that we've particularly focused on because of the huge growth in machine learning and AI. We have a team ourselves in London that are exclusively dedicated to machine learning and AI and how how we as a software can you know provide I suppose the most utilities and guidance and and benefit to to the users of our software in that space like I said we're not planning on rewriting backprop and and really the the most fundamental step I think in in terms of making that available to our customers was you know let's let's get an easy way for people to work with Python and actually you'll see when I get to the demo now I think in a second that I'm going to use the Jupyter notebook can a format that hopefully a lot of people here will be familiar with and this is me.

Live Demo (35:07)

Live Demo hopefully hopefully not everything. Here we go.

So okay. I've got a Jupyter instance running and I actually have the ability to to run q you so there's a q kernel available for Jupyter for those people that are interested in maybe getting this set up after and when I when I go back to the slide I'll talk a little bit more about that but we're available on an Anaconda Anaconda or Anaconda and I call it the comic-con is the conference but yeah we're available via Anaconda and I think actually in the resources that I that I sent on that that I think was linked in the United States is the the link to embed py and it goes through the installation and setup and there's an and yeah hopefully that'll arm help you after this if you want to try reproduce some of this.

So the demo that I'm gonna go through I'm gonna try and give you the biggest whistle software I possibly can of the language. So I'm going to show you, I suppose the basics of it other as kind of a column based language and really being kind of fact oriented it's quite like numpy or an umpire whatever way people want to say it and then you know when it comes to the table querying I suppose again with the kind of Python analogy it's it you know I I actually do a comparison between a query and in pandas versus in in our language we actually have an sql-like syntax that we refer to as q SQL for for that.

I'll show real time so data that like working with data and memory working data on disk and streaming data and then finally the pipe and interoperability. So it's very ambitious but what but hopefully it'll be a good introduction.

So I was saying that it's like numpy it is it's it's very much vector based so in this cell here all I'm doing is creating a vector or an array that I'm calling a and then I'm just adding 10 and you can see that all the operations are are kind of pairwise out of the out of the box in this case I'm taking the the kind of the vector b and the vector a and I'm adding them together and that's just kind of automatically working pairwise so that's that's pretty neat and useful in a lot of ways but moving on actually getting our hands on some data.

I have pre-loaded some simulated trade and quote data. So this is what my quote table looks like. I've got my symbols the time and the standards kind of quote information and similarly I have my my trades. They're a paradigm version because we don't we don't need a lot to kind of go through this. So in terms of how much data I'm working with I've got my 5 million in quotes and 1 million in trades. I also because I'm running this with embed py I've also got that same data in Python so that I can hopefully show a little bit of the the kind of side-by-side direct comparisons. So just to prove they're the same here we go.

The good thing is because we're working in this Jupyter notebook environment we can actually we can run some cells in q and some cells in Python by using these neat little magic commands.

So I'm going to recreate a very common requirement for for financial data which is to create a volume weighted average price referred to as a vwap broken down for each of my different stocks so normally people would kind of create this at the end of the day as an indicator to use for some for some different models. So if I do that in Python you can see it looks like this.

Now obviously, I'm very aware I'm talking to a group of people who are quite Python literate so any suggestions on on refactoring this are very welcome but this was this was my attempt at doing this in in pandas and here is the equivalent in q. So you can see the sql-like syntax. So select the columns we care about broken down by the columns we want to break down by from the table we care about and to show some of the. So these items that are highlighted in green are some of the key words and the language. So they kind of do as you as you would expect. I don't think there's anything here that I thought that people are struggling with but if there's any questions do you just chat wavg is weighted average.

So yeah so it's very easy to kind of get that same breakdown and just to prove that those are the same and a more complicated thing that I didn't even honestly attempt to do in Python but it but if somebody knows this please do send me on the code is a time weighted average price. So this is where we search to kind of again just highlight that area earlier questions that somebody had like why why was through the need for this. This is an example of something that be very common to do that's using time that maybe isn't as easy to do in other languages. So what we're getting or generating here is a time weighted well this is actually a spread but it could be it could be on thing is but its time weighted and it's broken down by and by stock and here's an example of some of the aggregations so this xbar function here is actually performing pocketing so it's breaking out all the times into 30-minute buckets and then this is the the time weighted average spread so so hopefully that helps to kind of highlight or make it clear how kind of time focused the the language in the syntax is but we do have the the standard joints that you'd expect.

So if we do have this kind of reference table like this info is just giving us the full company names we can use a left join and append that information on but more interestingly we have this outer join so let me show you what this looks like, what I'm doing here is I'm joining the trade table with the quote table and I'm doing it where this symbol is match exactly. So if I'm looking at a trade and Apple I only care about quotes and Apple and then my time column is gonna serve as like a soft lookup. So I'll see if I can find an example here in the in the in the like directly in the things okay. So if for example here there was a trade that happened in Apple at 9:30 and then all of these milliseconds later actually that's another thing that we have native to the language that maybe not a lot of other databases support. It's just the granularity of time that we support but yes so it happened at this time and you'll see that this quote information that has been joined on is actually from a quote that occurred just like that one one increment beforehand. So while this was obviously very close in time that could be much much earlier in the day if you're looking at something that's maybe particularly liquid and that's that's kind of the idea behind it being able to kind of bring that context in and say well this was the quote and therefore therefore this this works like that.

So just to show the tables. The benefit of being able to do this kind of analysis. So now that I've made this table tack that has my contextualized trade data I can use that to perform different analysis so like like I said a very common one is around the quality of execution. So I'm gonna go and I'm gonna pull out all the cases where where that price that I traded out wasn't within the better ask. So this is something unusual that really should be justified because you know if if it's outside the better ask it you know there's a very good chance that this wasn't optimal in terms of its execution so that needs to be addressed for the clients. The neat thing about it being a programming language is that you can put code kind of directly into your break downs.

So if you're used to maybe some other languages you know that the break downs often have to be kind of existing columns. So this would be maybe a two-step process you'd have to make the column and then break down then do your break down on the kind of the next line working with a new table but because it's a full programming language you can put kind of whatever you you want in here to kind of get your breakdowns.

So here I'm deciding if it was a valid trade or not by deciding by checking if the price was within that bidder asked from the quotes. So these cases here where it's zero this is a boolean value are telling me that that's not true. So there was 84 cases where trades happens that were outside of the quote in this in this stock. So that is where if I'm the person charged with you know ensuring quality execution that's where I would be starting to to look as my kind of basis. So this was a quick example of the syntax I was working with in-memory data but now we're going to jump to on disk data.

On-disk data (45:32)

So I have much bigger tables on disk now having said that I am just running off of this let me see about this Mac this will tell you yeah so this is what I'm working off in terms of my system spec I'm not connected to anything else in the backend here. It's just my own laptop and I have some some data in a database that I have that I've generated that that's running locally and in fact I've got about 95 million quotes and 19 million trade records. So I can show you what they look like you'll notice that these are schema wise this table is the same as it was in when we were working within a memory with the exception of this new column here which is the date which signifies the date.

So normally in a kind of a stock standard take capture system using the technology people would typically accumulate the data intraday in the in the in memory table and then when it comes to the next day they will they'll basically purge that right that I disc and then start fresh. So just to to add a little bit of architectural context to it but we can do the same things with this data that we have on disk as we did with the in-memory data so we can get a breakdown of of how many this count i is just going to tell us how many records we have for each day you see the syntax isn't really any different and we can actually run let's run a so another thing that people would normally do at the end of the day is you kind of create some summary statistics or you know from the from the trading day that just occurred and it's very common for for candlesticks to just create the they open high the low and the close along with this vwap here so we can just bill that on the fly. So just a reminder again that we're working off of the I think 19 million records or something and it doesn't you can see it doesn't really take an awful lot of time to to work with this which is which is nice so now that we have this data in a daily format this is exactly the kind of data that we might want to feed in to a model if you were trying to to have a look at you know beginning to understand the the market behavior and where things are.

So I can take the actual the series so the the the end of day vwap for each stock and extracted from that table and get us so this is a dictionary so it's a key value pairing of of the the key being the stock and then the value being the the price series for each day from the daily table if I want to just see it for one I can do that so this is what the Apple price series looks like getting again to the statistics of it we can look at how that correlates with Microsoft. We can also I'm missing bit of a line we can check Apple against every one with less code. This is actually this this is kind of our version of a it's one of our versions we have a few different ways to do this but it's what we call an iterator in the language and it's kind of it's our way of doing loops you know you don't really write for loops in the language you you iterate over things so I'm so what we're doing here is we're we're court we're checking the correlation of Apple with each item to the right that's what that's doing which is our price series for each to the different stocks and then finally we can actually go even further and check the.

So this is looking a little funny because of my formatting but this is a this is the table if I see my for a second. Oops. Yeah so there you can see it looking a little bit more like the table but I will I will go back in for free ease of readability now but just a highlight that this is less code than when I want to just do it for for the two individual ones but yet I'm doing more so it's hopefully a little bit of a peek the kind of elegance of the language so to speak.

Hmm if there's no questions or nothing so far I'm gonna jump into streaming and this were. Oh sorry. There is one question. Oh great. Okay. A question from Aditi is q couples with Kdb or can we possibly configure a relational database we already have to work with q. So there are different you might have seen the kind of fusion piece I mean you can use it just as a programming language if that's all you want to use it for for sure we have a number of different drivers so there's like an ODBC driver there might even be like one or two different versions of flash so there's one by Simba there's another ODBC three one there's a JDBC driver. So like if you're trying to work with relational databases yeah you can you can do that you can you can do your extract from those and bring it in to kind of to this space and actually the the working in Jupyter has been quite um quite great for a lot of our of our developers really because the.

So I'm currently got the q kernel running here with embed py which means that I can kind of swap in these different code cells between the two different languages we also have an interface embed or so that's my accent can be a little heavy but that's or for Romeo if we're going to go fanatic with it. So I mean the programming language. So if you have both loaded into your q environment and you're working in Jupyter you actually kind of have this this great kind of polyglot environment where you can have a cell and or and have a cell in Python and then swap back to q and I mean maybe maybe someones worst nightmare but but it's quite it's quite helpful if you're if you kind of like to use a few different things like I said best tool for the job and all that.

A question. So q is a language and Kdb is a database. Is that right? Yeah. I mean people tend to use them kind of interchangeably but but technically yes. So Kdb+ is the is the database kind of so that historical data that I was looking at would be written down in in kind of that format. Okay.

So I'm going to let you go back to the presentation but I just want to add that JupyterCon is coming up. So if you want to submit a CFP on how you use Jupyter for your work feel free to. We can talk about it later. Oh cool. Thank you. Yeah no. I do. I do enjoy it. I think I think I think it's great it's a yep. I'm gonna start in a tangent now so I'll stop but yeah we should chat about it.

Streaming Analytics (52:53)

So yeah finally moving on to streaming. So you we've already looked at this and I had the the five million quote 1 million in trade. So I can do you know the syntax that you saw before but what I'm going to do now is I'm going to subscribe to some data in on the back end and you'll see that this is now changing the number of rows I have in my data is is changing as I get new data in to the system.

So I can still work with that live data even though it's it's streaming and calculate these kind of metrics on the fly. So I think that my total count broken down by each stock from my quote table and you can see that those aren't changing. This is where I normally go into my architect mode and talk a little bit about it good system design.

So there's a very big difference between streaming analytics and kind of these ad hoc api's when it comes to what effect it has on the system. So I'll try clarify. The quote table here that we have is going to be increasing as the day goes on so every time you get a new set of data that's appended on to the end of your code table and that continues to grow. So that means that when you're running this query that's going to take different times to complete depending on what time of the day it is and even though obviously it's a very fast very performant language like you know this doesn't take really any time to do if you have a lot of people working on the same system and I'm wanting to kind of do these queries then you know that can sometimes become non significant and you don't like that if you if you're designing systems you don't like unknowns you don't like not being able to you know have things behave in a very expected way.

So what we do in the kind of Kdb world is we we use streaming analytics. So streaming analytics are really just getting to decide what you want to do with each bit of information you get. So if I get a new a new quote message what I'm going to get I'm going to get a little mini table that will have some amount of quotes so that could be one row or it could be many many rows it depends on kind of the upstream system but I decide what I want to do every time I get that message. So that means that well actually I'll just show you here so I'm gonna make a new streaming function and it's going to happen every time I get a quote message so this here the curly brackets are the is how you write a function in in in kdb /q and then this here is the parameter so I'm saying that this is a function that takes a parameter q and then I'm writing the code for what I wanted to do. So I'm gonna create a new table called qtotal that's going to for every kind of message I get in for the quote table so that'll be a series of rows or one row or whatever I'm going to calculate this so I'm going to get the total count broken down by each stock in just that message so that could be like three Microsoft messages and one Oracle and to IBM that might be what came in in a bundle and I'm going to them add that on. So this is an example of kind of adding two tables really but that I kind of talked about before I'm going to add that on to this qtotal table so that every time I get a new message this is updated so the benefit of doing that just to show those two things are the same now and they will continue to be the same is that this table here that I've created this qtotal table is small it's got you know a finite number of records because it's just based off the stocks I have it's got a pretty well understood execution time you know because I'm it's it's pretty small it's not really going to to hold up anything but yes if everybody wanted to come and retrieve that from my process that's you know this is this is this is going to take take the same amout of time no matter what time of the day they put this in as opposed to the first query which will have you know different different runtimes at the end of day versus the beginning.

So streaming analytics are just very very powerful in that sense and that you can control the system in a very in a very I suppose discrete fashion and it does mean that then you can that this is kind of a whole framework that we use for for leveraging action and responses so if I you know I can have something in here that would check if you know if the stock is Microsoft and if the price is below this then I'd like you to go and make a trade or or or do something else. It's this whole kind of event trigger kind of paradigm that's that but that you can then use which is which is really kind of the powerful thing with with streaming analytics in my opinion and I'm also just going to do something else here I'm gonna I'm gonna add to the tray table a summary that's going to cut keep a running vwap so keeping a running vwap actually kind of tricky because you're you know you've got to constantly be carry carrying forward that waiting and that's that's pretty easy to do in a streaming fashion believe it or not some things are obviously harder than others but but it's it's it's really very powerful to be able to work with things incrementally.

So if you're interested at all in kind of capturing real-time data and maybe driving analytics or decisions off of it you know I it is very fun to play with and it's pretty easy to kind of set up different different connections.

The audience being what it is. I thought I'd also show some Python integration because we because we all like Python here so that's great so I'm gonna build a time series this is a little bit more complicated than the one I did before so rather than getting just the end of day price from my historical trades table for e or my volume way to price over the day for each day I'm getting an even more granular time series I'm going to get the the kind of opening price in 15-minute time buckets for each stock across all the days in my in my database.

So this is built a 15-minute bucketed time series for for each of my stocks and then I can import map Bartlett So this dot p dot import is is is is doing that so I'm just saying dot p dot import whatever the library is I want from from Python and if I. I'll show you what that looks like that just says that it's this module here and then I can use this kind of a syntax to to to to to use it so I'm saying I want to go into plush on the function I care about it is this figure and then this pykw is saying it's a Python keyword and I'm saying that associate the Python keyword of figsize with with this input so I'm kind of meshing the the q the q variables into the in but leveraging the Python library and then I just extract the time series for Adele and I plot my my my figure so that's obviously pretty straightforward the nice thing about this is that I can then use the very q like syntax of of wrapping things up in functions and iterating to to kind of go a little bit further so I start with making my my um my kind of basic plot said I'd the the size and all last and then I wrap all of this into a pipe into into a little function so this is going to take each of my time series and like I said they're at dictionary.

So I'm pulling out the I'm pulling out the price and I'm pulling out the the symbol for for each of my sorry for each of my rows of my of my table and plot them kind of all at once. So that's the this this each year is the is is another iterator in in in in Kdb. So it'll take any function and it will apply it to each of these and this time series here is the the table up above where I've got this sym and the price for each of the different rows that and the those basically get passed through as a kind of a dictionary structure into into this and you can plot them all so that's that's a very quick whistle stop tour of the technology.

I'll flick back to slides now if I can yes and just say that if it's available for a non-commercial use so if you want to use it for your own projects doing whatever it is you would like knock yourselves out if you want to use it for academia absolutely we have the citation page and everything feel free to play around with it and in the resources that that were linked with the talk that you'll see that there are some guides on on doing this installation and for those people who might be interested in knowing more about this or any getting getting more hands-on I understand that with the best will in the world it's not always easy to motivate it's certainly something I struggle with so just to say that we do have free one-day workshops that we run at least once a month in in pretty much at least three major time zones but certainly in America. We have at least one a month in the U.S. time zone so for people that do want to just come along they're free.

The the one-day workshops the Kx introductory workshops are free and so you'd all be very welcome if you'd like to come and get get more hands-on with it in in a one day training.

So that was me. This is a picture of me if anybody wants to stay in touch please do find me I'm on you can you can email me here rebecca@kx if you have any questions about anything today or if you just want to know any more I'd be very happy to talk with you and I hope that you find it you know interesting and even if it's not something you want to pursue hopefully it'll it has helped you know broaden your horizons. So certain so certain bit.

Rebecca would you be able to put the link to the training in the chat. Oh yes I'll do that now. Yeah. That would be great. Yeah. So I might stop my screen share if that's okay because I'm getting a little bit of Inception and where I'll find this little oh I popped out my chat that's my problem. Okay. Okay. That's fine. Alright, yeah. I actually popped out my chat and I don't remember how to get to it. I'm struggling a bit. It's okay you know what I can do. I'm going to upload the video later and so I'll put the link to the training in there so people will be able to get it. Okay.

There is one more question which is are q and Kdb+ open source and how are the requests for feature enhancements handled. They're not open source. No it's actually a very very very small code base and the so it's it's free for non-commercial use so definitely do whatever you like in your own time but yeah it's not an open-source software it's written in C and it's all very very terse I think even I don't know I've seen the glimpse of it before and it did not look like any C code I've ever seen but in terms of feature requests it comes through us here on the evangelism team anytime people say or we'd like to see exploits edge we feedback back in to our core development team and we also have a we have a number of kind of support groups so there's a a support group makes the time very dramatic but there is a Google group for for people that you know are involved with it or want to use it or how many questions in the usage where a lot of our more expert engineers will kind of respond back and there's also we have a number of meetups and stuff so we well in in in different times they would have been a much more frequent and person thing but yeah we have a we have different email groups for for those and a number of different tools and I didn't want to kind of get into too much today but like an IDE tool and a front-end dashboarding tool that are that are also worth checking out. That is it for question.

Thank You

So I want to thank you first of all for turning off your air conditioning to reduce the sound. Thank you so much. No problem. Thank you for joining us tonight and your presentation it was really great. No thank you all for joining and thank you very much for having me I was delighted to come and hope I hope it was helpful.