It appears q/KDB is being using for Time series analysis for HFT. What are some of the advantages of using q/KDB for HFT time series over other regular time series.

Does it provide for multivariate statistical testing etc done normally on time series?

Does it provide easy to use facilities for Statistical Arb and technical analysis?

Are there any free versions of q/KDB to use and learn?


1 Answer 1


KDB is a column oriented database and is optimized for time series. As far as I know there are no libraries available for statistical testing and you pretty much have to write things on your own.

This page has tutorials http://code.kx.com/wiki/Main_Page

You can download the free version from here http://kx.com/software-download.php

The most popular book is below http://code.kx.com/wiki/JB:QforMortals2/contents

  • $\begingroup$ Is there a good reference for kind of analysis done using this? Obviously, tick level data has varying time intervals rendering normal analysis useless. $\endgroup$
    – user12348
    May 7, 2014 at 15:48
  • $\begingroup$ Some of the time series analysis books will have chapters addressing "High Frequency". You may want to start with ACD models $\endgroup$
    – Kumar
    May 7, 2014 at 16:42

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