Hi,
I currently trying to build the Top of the book
<https://en.wikipedia.org/wiki/Order_book_(trading)> out of full market
depth and struggling a bit.
I am currently have one measurement called book, with two tags sym and side
(bid or ask):
> show series
key
book,side=A,sym=DE0007236101
book,side=B,sym=DE0007236101
which contains data like:
> select * from book where sym='DE0007236101' and lvl=1 limit 10
name: book
----------
time lvl noOrders price seqNo side
size sym
1412578805000000000 1 1 91.38 499 B 359
DE0007236101
1412578818000000000 1 1 91.64 985 A 119
DE0007236101
1412578821000000000 1 1 91.09 1034 B 119
DE0007236101
1412578831000000000 1 1 91.12 1222 B 187
DE0007236101
1412578843000000000 1 1 91.33 1404 A 64
DE0007236101
1412578857000000000 1 2 91.31 1584 B 144
DE0007236101
1412578871000000000 1 1 91.39 1811 A 18
DE0007236101
1412578892000000000 1 1 91.39 1920 A 119
DE0007236101
1412578900000000000 1 3 91.39 1938 A 516
DE0007236101
1412578901000000000 1 4 91.39 1939 A 601
DE0007236101
Which shows that bid and asks are not arriving at the time time. This means
for any given time T the latest valid bid and ask (for level 1) have to be
joined.
The result I would expect is:
time bidOrders bidPrice bidSize askPrice askSize askOrders sym
1412578805000000000 1 91.38 359 DE0007236101
1412578818000000000 1 91.38 359 91.64 119 1 DE0007236102
1412578821000000000 1 91.09 119 91.64 119 1 DE0007236103
1412578831000000000 1 91.12 187 91.64 119 1 DE0007236104
1412578843000000000 1 91.12 187 91.33 64 1 DE0007236105
1412578857000000000 2 91.31 144 91.33 64 1 DE0007236106
1412578871000000000 2 91.31 144 91.39 18 1 DE0007236107
1412578892000000000 2 91.31 144 91.39 119 1 DE0007236108
1412578900000000000 2 91.31 144 91.39 516 3 DE0007236109
1412578901000000000 2 91.31 144 91.39 601 4 DE0007236110
Unfortunately, I have not been able to formulate this "temporal join" on
the same measurement in any way.
I would appreciate any help input on this...
Thanks,
Marc
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