TAQ Trade & Quote Chart

Pulse has particularly good support for finance charts. The below image shows a time-series chart displaying:

• Bid/Ask Lines - A two-way price quotation representing the highest price a buyer will pay for a security and the lowest price a seller will take for it.
• Triangles - Representing client trades, the position is the price executed at and the radius is proportional to the quantity of the trade.
• Circles - Represent hedger trades. To maintain an acceptable risk position given client trades.

Example TAQ Table

To generate such a chart, we use specially named columns to control the appearance as shown below. The table must:

• Contain atleast one date or time column.
• Any plainly named columns e.g. Bid/Ask - will by default be rendered as a line.
• Specially named COL_SD_SHAPE COL_SD_SIZE - columns can be used to generate scatter points at that location with a given size.
• For example the column pair BUY_SD_TRIANGLE BUY_SD_SIZE generate the purple triangles that together represent BUY.

Configuration Explained

You can configure the appearance of a column by adding an _SD_FORMATTER at the end of the column name.
For example if a column was call itemPrice, you could name it itemPrice_SD_CIRCLE to show the chart without a line and instead showing circle markers. Additionally you could add a column named: itemPrice_SD_SIZE to set the size of the circle/symbol.

Area	Example	Options	Description
Shape	_SD_CIRCLE	CIRCLE, RECT, ROUNDRECT, TRIANGLE, DIAMOND, PIN, ARROW, NONE	The shape to use for displaying points in the chart.
Shape Size	_SD_SIZE	Number 1-99	The size of the shape to use for displaying points in the chart. You MUST have set an SD_SHAPE first.

Example Queries

// Random walk chart { r:{{ abs ((1664525*x)+1013904223) mod 4294967296}\[y-1;x]}; walk:{ [r;seed;n] prds (100+((r[seed;n]) mod 11)-5)%100}[r;;]; c:{x mod `long$00:05:00.0t}x; st:x-c; cn:100+`long$c%500; t:([] time:.z.d+st+1000*til cn; bid:walk[100;cn]); rnd:{[r;seed;n] (r[seed;n] mod 1000)%1000}[r;;]; t:update ask:bid+0.1*rnd[10;cn] from t; t:update buy_SD_CIRCLE:?[rnd[11;cn]>0.92;bid-rnd[11;cn]*0.03;0n],sell_SD_CIRCLE:?[rnd[15;cn]>0.92;ask+rnd[11;cn]*0.03;0n] from t; t:update buy_SD_SIZE:?[null buy_SD_CIRCLE; 0n; 1+r[14;cn] mod 10],sell_SD_SIZE:?[null sell_SD_CIRCLE; 0n; 1+r[14;cn] mod 10] from t; t:update hedger_buy_SD_TRIANGLE:?[rnd[11;cn]>0.98;bid-rnd[11;cn]*0.01;0n],hedger_sell_SD_TRIANGLE:?[rnd[15;cn]>0.98;ask+rnd[11;cn]*0.01;0n] from t; t:update hedger_buy_SD_SIZE:?[null hedger_buy_SD_TRIANGLE; 0n; 6+r[14;cn] mod 14],hedger_sell_SD_SIZE:?[null hedger_sell_SD_TRIANGLE;0n;6+r[14;cn] mod 14] from t; t:select time,action:0+((0^buy_SD_CIRCLE*buy_SD_SIZE)+(0^hedger_buy_SD_TRIANGLE*hedger_buy_SD_SIZE))- ((0^sell_SD_CIRCLE*sell_SD_SIZE)+(0^hedger_sell_SD_TRIANGLE*hedger_sell_SD_SIZE)) from t; update ulimit:150,dlimit:-150,position:sums action from t}[.z.t]

BabelDB Example Query:

query_data('TIME,BID,ASK,BUY_SD_TRIANGLE,BUY_SD_SIZE,SELL_SD_TRIANGLE,SELL_SD_SIZE,HEDGER_BUY_SD_CIRCLE,HEDGER_BUY_SD_SIZE,HEDGER_SELL_SD_CIRCLE,HEDGER_SELL_SD_SIZE 2024-04-16 09:20:16.170,439.39,441.415,,,,,,,, 2024-04-16 09:20:17.171,437.7425,440.673,,,,,,,, 2024-04-16 09:20:17.175,435.009,435.537,,,,,,,, 2024-04-16 09:20:18.176,431.2073,432.236,410.51,6.6,,,,,, 2024-04-16 09:20:18.180,427.964,431.17,,,,,,, 2024-04-16 09:20:19.182,428.50,431.074,,,,,,,, 2024-04-16 09:20:19.184,429.575,433.14,,,,,,,, 2024-04-16 09:20:20.185,428.503,430.38,,,,,,,, 2024-04-16 09:20:20.187,429.032,430.833,426.22,13.28,,,,,, 2024-04-16 09:20:21.188,432.794,435.99,,,,,,, 2024-04-16 09:20:21.190,437.116,439.39,,,,,,,, 2024-04-16 09:20:22.192,440.941,445.137,,,,,,,, 2024-04-16 09:20:22.196,439.29,440.084,,,,,431.56956776713156,7.96,, 2024-04-16 09:20:23.198,438.194,439.284,,,,,,,, 2024-04-16 09:20:23.200,434.3515,435.40,,,,,,,, 2024-04-16 09:20:24.201,436.52,440.67,,,,,,,, 2024-04-16 09:20:24.203,434.3485,437.43,,,,,,,,')