Ecosyste.ms: Awesome

An open API service indexing awesome lists of open source software.

Awesome Lists | Featured Topics | Projects

https://github.com/KxSystems/kdb-taq

Latest source files for the kdb+taq package
https://github.com/KxSystems/kdb-taq

kdb kdb-taq nyse nyse-taq q quotes taq

Last synced: 2 months ago
JSON representation

Latest source files for the kdb+taq package

Awesome Lists containing this project

README 

        
# kdb+taq



## Changes to kdb+taq



### 2022.01.06 (`Bid_Price` type fix in tq.q)

changing `Bid_Price` from real to float to avoid `Bid_Price`, `Offer_Price` type inconsistency



### 2020.06.12 (version 3.3 - sync with NYSE daily taq version 3.3)

handle (ignore) additional flags TradedOnMEMX and TradedOnMIAX in master file

https://www.nyse.com/publicdocs/nyse/data/Daily_TAQ_Client_Spec_v3.3.pdf



### 2020.04.15 (version 3.2 - sync with NYSE daily taq version 3.2)

handle (ignore) additional flag TradedOnLTSE in master file

https://www.nyse.com/publicdocs/nyse/data/Daily_TAQ_Client_Spec_v3.2.pdf



### 2018.10.05

small changes to field load types (mostly just wider) - see before/after

versions of nf2, tf2, qf2



### 2017.10.27 (version 3.0 - jump in version number to sync with NYSE daily taq version 3.0b)

support NYSE change to schema as specified in:

https://list.theice.com/t/92262/395348/57007/0/



### 2016.10.18 (version 2.2 - jump in version number to sync with NYSE daily taq specs)

support NYSE change to schema, format and datacentre as specified in:

http://www.nyxdata.com/doc/247075



taq.k reads the new data files, but saves data to the old schema, discarding

nano-second timestamp precision. It is a drop-in replacement for the previous

version for those who don't want to move to the new schema yet.



tq.q reads and exports ALL fields for trade, quote and nbbo



### 2015.07.27 (version 1.12)

Timestamp precision extended from millisecond to microseconds (additional 3 digits ignored for now).

Ignore 3 additional fields participant timestamp, RRN and TRF

http://www.nyxdata.com/nysedata/default.aspx?tabid=993&id=2784



### 2014.04.28 (version 1.11)

Support additional exchange codes (12-15 - ZJKY) in taqmaster



### 2014.01.15 (version 1.10)

Amend taq.k to discard the first line of taqmaster* when it is just lists the record count



### 2013.11.25 (version 1.9)

Amend taq.k and tq.q to recognise and ignore the new quote fields:

- SIP-generated Message Identifier

- National BBO LULD Indicator

tq.q to recognise and ignore the new NBBO fields:

- Limit-Up/Limit-Down Indicator

- Limit-up/Limit-down NBBO Indicator

- SIP-generated Message Identifier

and handle deletion of previous NBBO fields:

- Limit-Up/Limit-Down NBBO (UTP) Indicator

- Limit-Up/Limit-Down NBBO (CQS) Indicator



The format change is scheduled to take effect from 2nd December 2013

see:

http://www.nyxdata.com/nysedata/Default.aspx?tabID=993&id=2194



### 2013.01.22 (version 1.8)

Amended taq.k and tq.q to recognise and ignore the new quote fields:

- Short Sale Restriction (SSR) Indicator

- Limit-Up/Limit-Down BBO (UTP) Indicator

- Limit-Up/Limit-Down BBO (CQS) Indicator

- FINRA ADF MPID Indicator

and tq.q to recognise and ignore the new NBBO fields:

- Limit-Up/Limit-Down NBBO (UTP) Indicator

- Limit-Up/Limit-Down NBBO (CQS) Indicator



The format change is scheduled to take effect from 1st February 2013

see:

http://www.nyxdata.com/nysedata/default.aspx?tabid=993&id=1771

http://www.nyxdata.com/doc/185107



### 2012.07.31 (version 1.7)

Amended taq.k and tq.q to recognise (and ignore) the new Quote field RPI (Retail Interest Indicator)



### 2011.10.07

Added tq.q as example of how to load more fields from the FTP files.

taq.k is unchanged.



### 2011.08.11

Adjust partitioning used with -par to split at a whole symbol – so any particular symbol will only be in one partition.



### 2011.08.07

Enabled to handle >2billion rows in input file. Use in combination with `-par` cmd line option and par.txt



### 2010.08.19

Amend the file detection code to pick up the new file names (as well as the old ones)

when NYSE changes the filenames for the FTP download on September 17th, 2010.



## Hot linking from your application



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



Kx Systems 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



Instead, download code and subject it to the version control and regression testing

you use for your application.