I think I don't understand your example, then. I don't have a background in finance so I need something simpler.
Can you shorten it to just two A/B points and the output you'd want? I'm not understanding how the 10 original points can be combined to get 10 new points with the same timestamps, but I think a smaller example will help. Also, why is "sym" different in the two outputs? On Tue, Jun 21, 2016 at 10:48 AM, <[email protected]> wrote: > Hi Sean, > > it is organized by time, it is just "composed" of the data from the two > tags 'A' and 'B' which are combined/merged/joined/... based on their time. > Basically, as they had been at any given time T. > The question for me is, if this is doable with InfluxDB at all. Maybe by > not using tags for bid and ask, but own measurements or something. I am > completely open to changes to the data model, since I am currently just > "playing around" with InfluxDB to find out the strengths and weaknesses; > and ultimately if it fits to my use cases. > > But, currently I have the impression that I have to pull all the data > (which is a lot) into some sort of pre-processor for my model to generate > the necessary data. > > > On Tuesday, June 21, 2016 at 5:51:50 PM UTC+2, Sean Beckett wrote: >> >> There are no JOIN commands in InfluxQL. Your output has a timestamp as a >> column but it is not organized by timestamps, it's organized by bidPrice >> and askPrice. InfluxQL only supports queries that output a continuous >> timeline. >> >> On Mon, Jun 20, 2016 at 11:41 PM, <[email protected]> wrote: >> >>> 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 >>> >>> -- >>> Remember to include the InfluxDB version number with all issue reports >>> --- >>> You received this message because you are subscribed to the Google >>> Groups "InfluxDB" group. >>> To unsubscribe from this group and stop receiving emails from it, send >>> an email to [email protected]. >>> To post to this group, send email to [email protected]. >>> Visit this group at https://groups.google.com/group/influxdb. >>> To view this discussion on the web visit >>> https://groups.google.com/d/msgid/influxdb/395d6d3d-3b46-425d-b322-5babd6cc8c3b%40googlegroups.com >>> <https://groups.google.com/d/msgid/influxdb/395d6d3d-3b46-425d-b322-5babd6cc8c3b%40googlegroups.com?utm_medium=email&utm_source=footer> >>> . >>> For more options, visit https://groups.google.com/d/optout. >>> >> >> >> >> -- >> Sean Beckett >> Director of Support and Professional Services >> InfluxDB >> > -- > Remember to include the InfluxDB version number with all issue reports > --- > You received this message because you are subscribed to the Google Groups > "InfluxDB" group. > To unsubscribe from this group and stop receiving emails from it, send an > email to [email protected]. > To post to this group, send email to [email protected]. > Visit this group at https://groups.google.com/group/influxdb. > To view this discussion on the web visit > https://groups.google.com/d/msgid/influxdb/7520883e-ec0a-4e85-b10f-60d6d706984a%40googlegroups.com > <https://groups.google.com/d/msgid/influxdb/7520883e-ec0a-4e85-b10f-60d6d706984a%40googlegroups.com?utm_medium=email&utm_source=footer> > . > > For more options, visit https://groups.google.com/d/optout. > -- Sean Beckett Director of Support and Professional Services InfluxDB -- Remember to include the InfluxDB version number with all issue reports --- You received this message because you are subscribed to the Google Groups "InfluxDB" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at https://groups.google.com/group/influxdb. To view this discussion on the web visit https://groups.google.com/d/msgid/influxdb/CALGqCvN2Ey0N%2BRaRCO1vN8mkJW3OwfxSRjK0b_sGGAzS%2BWBMew%40mail.gmail.com. For more options, visit https://groups.google.com/d/optout.
