Note:order-example do

raw data 有三种格式:

1）Add

属性：

type:char

sequence:int64

ref:int64

exchange:char

ordertype:char

size:int64

symbol:string

price:double

seconds:int64

milliseconds:int64

system:char

qid:string

维度：

[i=0:*,10000,0] 

2）Modify

属性：
type:char

sequence:int64

ref:int64

size:int64

price:double

seconds:int64

milliseconds:int64

symbol:string

exchange:char

system:char

qid:string

ordertype:char

维度：

[i=0:*,10000,0]

3） Delete

属性：

type:char

sequence:int64

ref:int64

seconds:int64

milliseconds:int64

symbol:string

exchange:char

system:char

qid:string

ordertype:char

维度：

[i=0:*,10000,0]

 

./load.sh EQY_US_ALL_ARCA_BOOK_20130404.csv.gz

将三种不同的输入格式，标准化为相同的格式。

并存储入数组flat中。

flat<type:char,sequence:int64,ref:int64,exchange:char,ordertype:char,size:int64,symbol:string,price:double,seconds:int64,milliseconds:int64,system:char,qid:string> [i=0:*,10000,0]

 

数据为：{20906} 'A',1487,12884939599,'B','S',100,'GBOOY',38.8,34641,221,'B','AARCA'

（symbol指的应该是哪只股票）

 

./redim.sh

将记录（也可看作一维数组）转化为2D数组，维度是time和symbol。

step 1：将flat中 symbol取出并去重，symbol存入数组symbols中。

step 2：首先将symbol中<symbol,index>每个symbol对应的index添加到flat中，即symbol_index属性，再在flat中添加两个属性 order_record和ms，计算方法分别如下，再将数组维度设置为symbol_index和ms，属性只取order_record。

step 3：结果存入symbol_time。

symbol_time<order_record:string NULL DEFAULT null> [symbol_index=0:*,5,0,ms=0:86399999,86400000,0]

 

store(
redimension(
apply(
index_lookup(flat as X, symbols as Y, X.symbol, symbol_index),
order_record, type+','+format(ref,'%.0f')+','+format(price,'%f')+','+format(size, '%.0f')+','+symbol +','+ordertype + '|', ms, seconds*1000 + milliseconds),
<order_record: string null> [symbol_index=0:*,5,0, ms=0:86399999, 86400000, 0]
), symbol_time)

 

数据为 ：{0,44904036} 'A,844437820022278,41.060000,100,A,B|'

type(add modify or delete),ref(即id),price(价格),size(volume),symbol(哪只股票),ordertype(type：buy or sell)

 

 

./book.sh

 

 

q="store(redimension(cumulate(symbol_time, orderbook(order_record), ms),<order_record_orderbook:string null> [symbol_index=0:*,100,0,ms=0:86399999,10000000,0]), book)"

 

输出为

{24,17946977}

'22.320,32500, 22.330,32500, 22.340,242500, 22.350,757100, 22.360,628600, 22.370,305200, 22.380,146600, 22.390,12100, 22.400,5000, 22.410,2000 | 22.330, 1500, 22.340, 14000, 22.360, 5000, 22.370, 3000, 22.380, 15500, 22.390, 44500, 22.400, 89500, 22.410, 443000, 22.420, 536500, 22.430, 416000, 22.440, 290500'

 

bp1, bv1, bp2, bv2, bp3, bv3 | ap1, av1, ap2, av2, ap3, av3

 

bp1:bid price 1           买入价

bv1:bid volume 1       投标量   

ap1:ask price 1          询问价(卖出价)

av1:ask volume 1      询问数量(卖出数)

 

bp1 < bp2 < bp3 < ap1 < ap2 < ap3.

数据显示为：

bp1 < bp2 < bp3 ； ap1 < ap2 < ap3.