Source Code for "Q for Quants"
Q for Quants
Clone this project and start q with either of the following commands to see q load and analyze either 'trade and sales' or 'best bid and offer' data.
Note that the you must first dissable KDB+'s SSL verification by setting the SSLVERIFYSERVER variable to NO in order to download the files via the https protocol. If you accidentally download empty files, delete them and run the code again.
All six data sets are downloaded, but only one is loaded. Change the file saved in variable f to load a different data set.
Sample queries/reports are also provided below the file termination character \.
Time and Sales Data
bash-3.2$ export SSLVERIFYSERVER=NO
bash-3.2$ q ts.q
KDB+ 3.5 2017.03.15 Copyright (C) 1993-2017 Kx Systems
m32/ 4()core 8192MB nick nicks-macbookpro.local 25.34.72.89 NONEXPIRE
downloading sample time and sales datasets "https://www.cmegroup.com/market-data/datamine-historical-data/files/2012-11-05-corn-fu.. "https://www.cmegroup.com/market-data/datamine-historical-data/files/2012-11-05-crude-o.. "https://www.cmegroup.com/market-data/datamine-historical-data/files/2012-11-05-e-mini-.. "https://www.cmegroup.com/market-data/datamine-historical-data/files/2012-11-05-euro-fx.. "https://www.cmegroup.com/market-data/datamine-historical-data/files/2012-11-05-eurodol.. "https://www.cmegroup.com/market-data/datamine-historical-data/files/2012-11-05-gold-fu.. loading CSV time and sales dataset: 2012-11-05-e-mini-s-p-futures.csv renaming columns generating trade table q)trade expiry seq time tp ts
2012.12 1977 2012.11.04D17:00:00.000000000 1403 1 2012.12 1978 2012.11.04D17:00:00.000000000 1403 1 2012.12 1979 2012.11.04D17:00:00.000000000 1403 2 2012.12 1982 2012.11.04D17:00:00.000000000 1402.75 2 2012.12 1983 2012.11.04D17:00:00.000000000 1402.5 1 2012.12 1990 2012.11.04D17:00:00.000000000 1403 2 2012.12 1993 2012.11.04D17:00:00.000000000 1403 4 2012.12 1996 2012.11.04D17:00:00.000000000 1403 4 2012.12 1997 2012.11.04D17:00:00.000000000 1402.75 27 2012.12 1998 2012.11.04D17:00:00.000000000 1402.75 25 2012.12 1999 2012.11.04D17:00:00.000000000 1402.75 70 2012.12 2000 2012.11.04D17:00:00.000000000 1402.75 2 2012.12 2001 2012.11.04D17:00:00.000000000 1402.75 1 2012.12 2002 2012.11.04D17:00:00.000000000 1402.75 4 2012.12 2003 2012.11.04D17:00:00.000000000 1402.75 20 2012.12 2004 2012.11.04D17:00:00.000000000 1402.75 5 2012.12 2005 2012.11.04D17:00:00.000000000 1402.75 100 2012.12 2006 2012.11.04D17:00:00.000000000 1402.75 1 2012.12 2007 2012.11.04D17:00:00.000000000 1402.75 1 2012.12 2008 2012.11.04D17:00:00.000000000 1402.75 5 ..Best Bid and Offer Data
bash-3.2$ export SSLVERIFYSERVER=NO
bash-3.2$ q bbo.q
KDB+ 3.5 2017.03.15 Copyright (C) 1993-2017 Kx Systems
m32/ 4()core 8192MB nick nicks-macbookpro.local 25.34.72.89 NONEXPIRE
downloading and extracting sample best bid and offer datasets "https://www.cmegroup.com/market-data/datamine-historical-data/files/XCBTCFUT_110110... "unzip -u XCBTCFUT_110110.zip" "https://www.cmegroup.com/market-data/datamine-historical-data/files/XNYMCLFUT_110110.. "unzip -u XNYMCLFUT_110110.zip" "https://www.cmegroup.com/market-data/datamine-historical-data/files/XCMEESFUT_110110.. "unzip -u XCMEESFUT_110110.zip" "https://www.cmegroup.com/market-data/datamine-historical-data/files/XCMEECFUT_110110.. "unzip -u XCMEECFUT_110110.zip" "https://www.cmegroup.com/market-data/datamine-historical-data/files/XCMEEDFUT_110110.. "unzip -u XCMEEDFUT_110110.zip" "https://www.cmegroup.com/market-data/datamine-historical-data/files/XNYMGCFUT_110110.. "unzip -u XNYMGCFUT_110110.zip" loading fixed width bbo meta information nulling unwanted columns loading fixed width bbo data: XCMEESFUT_110110 merging date & time and scaling price column generating trade table generating quote rack joining bid quotes to rack joining ask quotes to rack joining trade and quote tables to generate time and quote table generating open/high/low/close summary q)taq expiry seq time tp ts bs bp ap as
2011.03 230 2011.01.09D17:00:00.000000000 12.6625 752 2011.03 250 2011.01.09D17:00:00.000000000 12.6625 6 100 12.6625 12.665 73 2011.03 270 2011.01.09D17:00:00.000000000 12.665 5 94 12.6625 12.665 73 2011.03 290 2011.01.09D17:00:00.000000000 12.665 6 94 12.6625 12.665 68 2011.03 310 2011.01.09D17:00:00.000000000 12.665 1 94 12.6625 12.665 62 2011.03 330 2011.01.09D17:00:00.000000000 12.665 1 94 12.6625 12.665 61 2011.03 350 2011.01.09D17:00:00.000000000 12.6625 1 94 12.6625 12.665 60 2011.03 370 2011.01.09D17:00:00.000000000 12.665 2 93 12.6625 12.665 60 2011.03 390 2011.01.09D17:00:00.000000000 12.665 5 93 12.6625 12.665 58 2011.03 410 2011.01.09D17:00:00.000000000 12.665 1 93 12.6625 12.665 53 2011.03 430 2011.01.09D17:00:00.000000000 12.665 2 93 12.6625 12.665 52 2011.03 460 2011.01.09D17:00:00.000000000 12.665 7 102 12.6625 12.665 50 2011.03 480 2011.01.09D17:00:00.000000000 12.6625 1 102 12.6625 12.665 43 2011.03 500 2011.01.09D17:00:00.000000000 12.665 1 101 12.6625 12.665 43 2011.03 520 2011.01.09D17:00:00.000000000 12.665 5 101 12.6625 12.665 42 2011.03 540 2011.01.09D17:00:00.000000000 12.665 10 101 12.6625 12.665 37 2011.03 560 2011.01.09D17:00:01.000000000 12.665 2 101 12.6625 12.665 27 2011.03 580 2011.01.09D17:00:01.000000000 12.665 2 101 12.6625 12.665 25 2011.03 600 2011.01.09D17:00:01.000000000 12.665 2 101 12.6625 12.665 23 2011.03 620 2011.01.09D17:00:01.000000000 12.665 2 101 12.6625 12.665 21 .. q)ohlc expiry time | o h l c -------------------------------------| ------------------------------- 2011.03 2011.01.09D17:00:00.000000000| 12.6625 12.6675 12.6525 12.6575 2011.03 2011.01.09D17:01:00.000000000| 12.6575 12.6575 12.6475 12.65 2011.03 2011.01.09D17:02:00.000000000| 12.65 12.6525 12.6475 12.65 2011.03 2011.01.09D17:03:00.000000000| 12.65 12.65 12.645 12.6475 2011.03 2011.01.09D17:04:00.000000000| 12.65 12.6525 12.645 12.65 2011.03 2011.01.09D17:05:00.000000000| 12.65 12.6525 12.65 12.6525 2011.03 2011.01.09D17:06:00.000000000| 12.6525 12.6525 12.65 12.6525 2011.03 2011.01.09D17:07:00.000000000| 12.6525 12.655 12.6525 12.655 2011.03 2011.01.09D17:08:00.000000000| 12.6525 12.655 12.65 12.65 2011.03 2011.01.09D17:09:00.000000000| 12.65 12.6525 12.65 12.6525 2011.03 2011.01.09D17:10:00.000000000| 12.65 12.6525 12.65 12.65 2011.03 2011.01.09D17:11:00.000000000| 12.65 12.6525 12.65 12.6525 2011.03 2011.01.09D17:12:00.000000000| 12.6525 12.6525 12.65 12.65 2011.03 2011.01.09D17:13:00.000000000| 12.6525 12.655 12.65 12.655 2011.03 2011.01.09D17:14:00.000000000| 12.655 12.6575 12.6525 12.655 2011.03 2011.01.09D17:15:00.000000000| 12.6575 12.6575 12.655 12.655 2011.03 2011.01.09D17:16:00.000000000| 12.6525 12.655 12.6525 12.655 2011.03 2011.01.09D17:17:00.000000000| 12.655 12.6575 12.6525 12.655 2011.03 2011.01.09D17:18:00.000000000| 12.655 12.6575 12.655 12.6575 2011.03 2011.01.09D17:19:00.000000000| 12.6575 12.6575 12.655 12.655 ..
