Ok, let's consider this data: time lvl price side size 1412578805000000000 1 91.38 B 359 1412578818000000000 1 91.64 A 119 1412578821000000000 1 91.09 B 119 There data points T1, T2, T3.
At time T1 there is only one data point available. One bid with a price of 91.38 and a size of 359. Since, no ask price/size is available at T1 there resulting row is: time bidPrice bidSize askPrice askSize 1412578805000000000 91.38 359 at T2 an ask price is coming in. The bid price of T1 is still the latest available bid. There the result should be: 1412578818000000000 91.38 359 91.64 119 Finally, at T3 a new bid is coming in; with the ask from T2 still the latest one. The result should then be: 1412578821000000000 91.09 119 91.64 119 Or as complete table: time bidPrice bidSize askPrice askSize 1412578805000000000 91.38 359 1412578818000000000 91.38 359 91.64 119 1412578821000000000 91.09 119 91.64 119 A good pointer is also this stackoverflow asof-join-for-timeseries-data <http://stackoverflow.com/questions/12322289/kdb-like-asof-join-for-timeseries-data-in-pandas> thread. Hope this helps, Marc On Tuesday, June 21, 2016 at 8:15:45 PM UTC+2, Sean Beckett wrote: > > 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] <javascript:>> 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] <javascript:>. >> To post to this group, send email to [email protected] >> <javascript:>. >> 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/93a03e0c-00bd-46dc-a2c7-0eed39c021a8%40googlegroups.com. For more options, visit https://groups.google.com/d/optout.
