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Assuming you are at a decent university, you are better off seeing if you can get this data from Bloomberg or from a university subscription to Compustat.


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As background, Floating point precision is a way of storing numbers such that the precision is relative to the largest digit. For instance, the number $0.00123$ stored in fixed precision needs 6 digits of precision (3 zeros and the 3 non-zero numbers). However, this same number stored as floating point precision $1.23 \cdot 10^{-3}$ needs only 3 ...


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Have a look at Kona which is a FOSS project trying to be compatible. Also Tom Szczesny has done some work on its predecessors namely A. I hope this helps. Also if you are not looking for a perfect substitute you can have a look at other Time Series Databases like InfluexDB, Java Chronicles, OpenTSDB, KairosDB which are all Open Source. There are commercial ...


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I don't like KDB+/q. For KDB+ experts, I am not picking a fight. The following is just my own understanding on KDB+ and TimeSeries Database. You're warmly welcome to correct me if anything wrong in your eyes :). First of all, during my near one year's KDB+/q development experience, I never ever find a paper based benchmark result indicating KDB+/q ...


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I've run into this issue as well. I can't find any official documentation, but the issue arises because the SEC makes up CUSIPs for all of the options on the list. It does this by taking the first 6 digits of the underlying equity (which makes sense, as this represents the issuer, which should be the same for the stock and the option), and then for the 7th ...


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kdb+ seems to be the leader but their programming language is a pain really. Personally I use a HDF5. It is a No-SQL database. It integrates very nicely with python. I have been very happy with it so far.


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An alternative is the TeaFiles file format. It's simple and boasts a high performance but I believe you'll have to reinvent some wheels.


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Recently I found a book on earnings trading but did not have time to read thoroughly. Trading on Corporate Earnings News - John Shon I also had spent some time to see earnings surprise effects and it is a quite interesting but not easy to use topic. There is certainly a jump if the estimates and announced earnings have a large mismatch but the magnitude ...


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For any data that is not strictly tabular and unchanging in schema, you should rule out SQL solutions. Option pricing fits that description in my experience, because high-liquidity stocks, currencies, or bonds, will have a far bigger set of strikes and maturities than lower liquidity instruments. Thus in a relational database you will have to have columns ...


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Lots of people focus on data storage ability and compare KDB with other SQL/query-based databases. Such comparison is like considering "Is a Ferrari good for running a bus route?" KDB+ is capable of manipulating and querying large data set. The performance is fast (in comparison to most RDBMS) due to its column based storage, but it's not her strongest ...


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One of the reasons q/kdb+ is attractive for tick data is that it can process data tick by tick as well as using the SQL-like query language. The only system I've used that can process a tick-feed like q/kdb+ is Esper. It is very difficult to work with because it's an embedded language invoked by an Esper runtime environment within a JVM. There are extra ...



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