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threedom's questions

Martin Hope
threedom
Asked: 2025-03-29 20:51:09 +0800 CST
  • 5

列：

date of transaction
uid is the trader id
sym is the trade id

表格子集：

q) select date, uid, sym from tb

date       uid    sym   
------------------------
2011.08.12 171196 537876
2012.09.08 171196 562161
2012.12.28 171196 570391
2014.04.29 171196 599420
2014.04.29 171196 601520
2014.05.11 171196 602286
2014.06.24 171196 605785
2014.07.19 171196 605686
2011.03.15 160872 524982
2011.07.11 168153 536311
2011.07.25 168153 535616
2011.08.25 30746  537340
2011.01.27 122083 523350
2011.03.05 122083 525676
2011.05.06 122083 531523
2011.01.07 181372 521088
2011.02.07 181372 522780
2011.03.02 181372 523984
2011.03.15 181372 524980
2011.03.21 181372 525448
2011.04.09 181372 529164
2011.04.19 181372 527627
2011.04.28 181372 528302
2011.05.16 181372 530337
2011.06.14 181372 532987

目的

我正在尝试获取每个交易的前 6 次uid交易sym。

uid每个 都有多个sym；对于每个 ，我需要它们之前的 6sym个uid。需要返回所有列，而不仅仅是上面看到的子集。

例如，对于此行：

2011.04.19 181372 527627

它将逐行返回+附加列 - 因此它将返回每个先前日期的每个先前信息，sym并uid在新表中的同一行中匹配 - 因此它是原始表，其中包含包含每行先前数据的附加列。

date       uid    sym     prevdate1    prevuid1   prevsym1  prevdate2   prevuid2  etc.
------------------------------------------------------------------------------------------------------------------------------------------------------------------------
2011.04.19 181372 527627 2011.01.07 181372 521088 2011.03.02 181372 523984 2011.03.15 181372 524980 2011.03.21 181372 525448

如果没有先前的日期或只有 3 个而不是 6 个等等，那么它仍将返回列，但将为空。

我的尝试：

getHHData:{[tb;syms;colnames;numtrades]
dict:exec i by uid from select uid from tb where sym=syms;
tradedate:first exec date from tb where sym=syms;
histdates:?[?[tb;enlist (in;`uid;(raze;(inv;`dict)));(enlist`uid)!enlist`uid;colnames!colnames];();`uid;`date];
histdatesro:raze each value (asc dict),histdates;
ind:til count histdatesro;
preind:{[prevtrades;ind;tradedate;histdatesro]
{[prevtrades;ind;tradedate;histdatesro]
prevtrades+{where y[z] in x}[tradedate;histdatesro;]each ind
}[;ind;tradedate;histdatesro]
}[;ind;tradedate;histdatesro]each neg 1_til numtrades;
uids:exec uid from tb where sym=syms;
histdata:reverse each key asc(value ?[tb;enlist (in;`uid;`uids);`uid;last colnames])!(value dict);
histCols:{[x;data]
{$[x<count y;y[x];0N]}[x] each data}[;histdata] each til numtrades-1;
flip(`sym`uid,`$string[last colnames],/:string 1+til numtrades-1)!(enlist[count[histdata]#syms],enlist[uids],histCols)
}

包装函数：

getHHDataMerged:{[tb;syms;colnames;numtrades]
raze{[tb;sym;colnames;numtrades](lj/){`sym`uid xkey x
}each {[tb;sym;c;numtrades]getHHData[tb;sym;c;numtrades]
}[tb;sym;;numtrades]each colnames
}[tb;;colnames;numtrades]each syms
}

我正在寻找一种更简洁的方法来解决这个问题。

编辑：

q)updCols:{`$string[x],\:string[y]}
q)prevCols:{if[x=0;:`date`uid`sym]; updCols[;x] `prevdate`prevuid`prevsym}
q)7#f/[tb1;1+til 6]
'type
  [0]  7#f/[tb1;1+til 6]
          ^
q)tb1
date       uid    sym   
------------------------
2011.08.12 171196 537876
2012.09.08 171196 562161
2012.12.28 171196 570391
2014.04.29 171196 599420
2014.04.29 171196 601520
2014.05.11 171196 602286
2014.06.24 171196 605785
2014.07.19 171196 605686
2011.03.15 160872 524982
kdb+
Martin Hope
threedom
Asked: 2025-02-27 20:05:45 +0800 CST
  • 5

我在将解析输出转换为功能选择时遇到了问题。我认为你需要将每个输出转换,为enlist

完整问题：

q)dict:exec i by uid from select uid from tb where sym=syms

一：

q)hd:exec date by uid from select date,ht by uid from tb where uid in raze key dict
q)parse"exec date by uid from select date,ht by uid from tb where uid in raze key dict"
?
(?;`tb;,,(in;`uid;(,/;(!:;`dict)));(,`uid)!,`uid;`date`ht!`date`ht)
()
,`uid
,`date

二：

q)ht:key asc(value exec ht by uid from tb where uid in uids)!(value dict)
q)parse"exec ht by uid from tb where uid in uids"
?
`tb
,,(in;`uid;`uids)
,`uid
,`ht
q)

我的尝试：

一（不起作用）：

q)?[(?;`tb;enlist enlist (in;`uid;(,/;(!:;`dict)));(enlist `uid)!enlist `uid;`date`ht!`date`ht);();enlist `uid;enlist `date]
'type
  [0]  ?[(?;`tb;enlist enlist (in;`uid;(,/;(!:;`dict)));(enlist `uid)!enlist `uid;`date`ht!`date`ht);();(enlist`date)!enlist`date]

二（工作）：

q) ?[`tb;enlist(in;`uid;`uids);`uid;(enlist`ht)!enlist`ht]
kdb+