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wj, wj1

Window join

Syntax: wj[w;c;t;(q;(f0;c0);(f1;c1))]
Syntax: wj1[w;c;t;(q;(f0;c0);(f1;c1))]

Where:

  • t and q are simple tables to be joined (q should be sorted `sym`time with `p# on sym)
  • w is a pair of lists of times/timestamps, begin and end
  • c are the names of the two common columns, syms and times
  • f0, f1 are aggregation functions applied to values in q columns c0,c1 over the intervals

returns for each record in t, a record with additional columns c0 and c1, which are the results of the aggregation functions applied to values over the matching intervals in w.

Typically this might be:

wj[w;`sym`time;trade;(quote;(max;`ask);(min;`bid))]

A quote is understood to be in existence until the next quote.

Interval behaviour

Since V3.0, wj and wj1 are both [] interval, i.e. they consider quotes ≥beginning and ≤end of the interval.

For wj, the prevailing quote on entry to the window is considered valid as quotes are a step function.

wj1 considers quotes on or after entry to the window. If the join is to consider quotes that arrive from the beginning of the interval, use wj1.

Prior to V3.0, wj1 considers only quotes in the window except for the window end (i.e. quotes >= start and < end).

version wj1 wj
3.0 [] prevailing + []
2.7/2.8 [) prevailing + []
q)t:([]sym:3#`ibm;time:10:01:01 10:01:04 10:01:08;price:100 101 105)
q)t
sym time     price
------------------
ibm 10:01:01 100
ibm 10:01:04 101
ibm 10:01:08 105

q)a:101 103 103 104 104 107 108 107 108
q)b:98 99 102 103 103 104 106 106 107
q)q:([]sym:`ibm; time:10:01:01+til 9; ask:a; bid:b)
q)q
sym time     ask bid
--------------------
ibm 10:01:01 101 98
ibm 10:01:02 103 99
ibm 10:01:03 103 102
ibm 10:01:04 104 103
ibm 10:01:05 104 103
ibm 10:01:06 107 104
ibm 10:01:07 108 106
ibm 10:01:08 107 106
ibm 10:01:09 108 107

q)f:`sym`time
q)w:-2 1+\:t.time

q)wj[w;f;t;(q;(max;`ask);(min;`bid))]
sym time     price ask bid
--------------------------
ibm 10:01:01 100   103 98
ibm 10:01:04 101   104 99
ibm 10:01:08 105   108 104

The interval values may be seen as:

q)wj[w;f;t;(q;(::;`ask);(::;`bid))]
sym time     price ask             bid
--------------------------------------------------
ibm 10:01:01 100   101 103         98 99
ibm 10:01:04 101   103 103 104 104 99 102 103 103
ibm 10:01:08 105   107 108 107 108 104 106 106 107

Joining on multiple symbols

Window-joins with multiple symbols should be used only with a `p#sym like schema. (Typical RTD-like `g# gives undefined results.)

Integral windows

Only integral types are supported for the column to do the windowing on – no reals, floats or datetimes.

A generalization of asof-join

Window-join is a generalization of asof-join, and is available from V2.6. Asof-join takes a snapshot of the current state, while window-join aggregates all values of specified columns within intervals. (Since V3.0, wj and wj1 are both implemented with ww.)

Basics: Joins