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kdb+taq

kdb-taq is a tool for processing and analyzing historical NYSE Daily TAQ (Trade and Quote) data using kdb+/q. This repository contains scripts and utilities to parse, load, and query TAQ datasets efficiently.

Prerequisites

Getting Started

Follow the steps below to set up and process a TAQ file:

1. Download a Sample TAQ File

Obtain TAQ data files from the NYSE FTP link. For example:

wget https://ftp.nyse.com/Historical%20Data%20Samples/DAILY%20TAQ/EQY_US_ALL_TRADE_20240702.gz

These files are ~2GB each so may take significant time to download.

2. Clone the Repository

Clone the kdb-taq repository to your server:

git clone https://github.com/KxSystems/kdb-taq.git
cd kdb-taq

3. Prepare the Data

Create a source directory and move the downloaded TAQ file to this and decompress it:

mkdir SRC
mv /path/to/EQY_US_ALL_TRADE_20240702.gz SRC/
gzip -d SRC/*

4. Process the TAQ Data

Run the tq.q script to process the data. Replace SRC with the full path to the source directory if necessary:

q tq.q -s 8 SRC

The -s option specifies the number of threads (optional).

5. Load the Processed Data

Load the data into the kdb+ environment:

q)\l tq

6. Query the Data

You can now query the loaded data. For example runnning meta to see the table schema and datatypes:

q)meta trade

c                                 | t f a
----------------------------------| -----
date                              | d    
Time                              | n    
Exchange                          | c    
Symbol                            | s   p
SaleCondition                     | s    
TradeVolume                       | i    
TradePrice                        | e    
TradeStopStockIndicator           | b    
TradeCorrectionIndicator          | h    
SequenceNumber                    | i    
TradeId                           | C    
SourceofTrade                     | c    
TradeReportingFacility            | b    
ParticipantTimestamp              | n    
TradeReportingFacilityTRFTimestamp| n    
TradeThroughExemptIndicator       | b

And run aggregations on the data, for example get the number of trades and the max prices for each hour:

q)select numTrade:count i,maxPrice:max TradePrice by Time.hh from trade

hh| numTrade maxPrice
--| -------------------
1 | 14019    15.0399   
2 | 28475    15.04391  
3 | 28535    15.04839  
4 | 194690   7465      
5 | 122619   3880      
6 | 117835   7475      
7 | 281648   7460      
8 | 676191   7458.8    
9 | 7657888  611225.6  
10| 11303243 611071.8  
11| 8726594  610600    
12| 7114388  610980    
13| 7039454  611065    
14| 7512397  611679.9  
15| 16510252 613149.4  
16| 385603   612600.2  
17| 145800   7460      
18| 121943   610668    
19| 96918    610668    
20| 6655     8662.955

Changelog

Detailed update history can be found in CHANGELOG.md.

Best Practices for Integration

You are welcome to download and use this code according to the terms of the licence.

KX recommends you do not link your application to this repository, which would expose your application to various risks:

  • This is not a high-availability hosting service
  • Updates to the repo may break your application
  • Code refactoring might return 404s to your application

Recommendation:

Instead, download code and subject it to the version control and regression testing you use for your application.