https://github.com/mkst/perch
not quite a trading platform, written in q
https://github.com/mkst/perch
Last synced: 5 months ago
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not quite a trading platform, written in q
- Host: GitHub
- URL: https://github.com/mkst/perch
- Owner: mkst
- License: mit
- Created: 2017-08-25T07:56:56.000Z (almost 9 years ago)
- Default Branch: master
- Last Pushed: 2019-06-15T12:43:21.000Z (about 7 years ago)
- Last Synced: 2025-01-23T04:13:16.639Z (over 1 year ago)
- Language: q
- Homepage:
- Size: 70.3 KB
- Stars: 7
- Watchers: 1
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
Awesome Lists containing this project
README
# perch
Not quite a trading _platform_, written in q/kdb+. Very unfinished.
_"...Look on my works, ye mighty, and despair!"_
## TODO
- [x] book builder (convert quotes into books)
- [x] subscribers reconnect on disconnect (basic)
- [ ] pool builder (aggregate books into pools)
- [ ] order manager
- [ ] HTML5 front-end for order manager
- [ ] investigate alternative messaging protocol (e.g. zeromq)
## Tutorial
**Compile shared objects**
$ cd ./code/c/lib/socket/ && make
**Start up logger, rdb, bookbuilder, bitstamp gateway & analytics**
$ ./scripts/bitstamp.sh
**Roll log to HDB (multi-parted)**
$ q32 code/kdb/scripts/roll.q -log /tmp/perch/log/20171124 -hdb /tmp/perch/hdb -cov /tmp/perch/cover -multiparted
**Read data from HDB (multi-parted)**
```
q)\l /tmp/perch/cover
q)select from Coverage
date table sym exch start end num path
--------------------------------------------------------------------------------------------------------------
2017.11.24 BBO BTCUSD BITS 2017.11.24D18:48:56.482520000 2017.11.24D18:50:58.897789000 64 :/tmp/perch/hdb
2017.11.24 BBO BTCEUR BITS 2017.11.24D18:48:56.487848000 2017.11.24D18:50:47.955632000 15 :/tmp/perch/hdb
2017.11.24 BBO EURUSD BITS 2017.11.24D18:48:56.488533000 2017.11.24D18:50:59.809528000 74 :/tmp/perch/hdb
2017.11.24 Book BTCUSD BITS 2017.11.24D18:48:56.482520000 2017.11.24D18:50:58.897789000 106 :/tmp/perch/hdb
2017.11.24 Book BTCEUR BITS 2017.11.24D18:48:56.487848000 2017.11.24D18:50:59.725295000 105 :/tmp/perch/hdb
2017.11.24 Book EURUSD BITS 2017.11.24D18:48:56.488533000 2017.11.24D18:50:59.809528000 110 :/tmp/perch/hdb
2017.11.24 Quote BTCUSD BITS 2017.11.24D18:48:56.481505000 2017.11.24D18:50:58.891458000 21040 :/tmp/perch/hdb
2017.11.24 Quote BTCEUR BITS 2017.11.24D18:48:56.486751000 2017.11.24D18:50:59.717426000 20840 :/tmp/perch/hdb
2017.11.24 Quote EURUSD BITS 2017.11.24D18:48:56.487226000 2017.11.24D18:50:59.805242000 21840 :/tmp/perch/hdb
2017.11.24 Trade BTCUSD BITS 2017.11.24D18:48:56.481811000 2017.11.24D18:50:54.522541000 60 :/tmp/perch/hdb
2017.11.24 Trade BTCEUR BITS 2017.11.24D18:48:56.487072000 2017.11.24D18:50:47.619267000 18 :/tmp/perch/hdb
2017.11.24 Trade EURUSD BITS 2017.11.24D18:48:56.487448000 2017.11.24D18:50:32.060525000 6 :/tmp/perch/hdb
q)extract select from Coverage where date=2017.11.24, table=`Quote, sym=`BTCUSD
date time timeExch sym exch side price qty action snapshot
--------------------------------------------------------------------------------------------------------------------------
2017.11.24 2017.11.24D18:48:56.481505000 2017.11.24D18:48:56.425000000 BTCUSD BITS B 8265 0.2251282 N 1
2017.11.24 2017.11.24D18:48:56.481505000 2017.11.24D18:48:56.425000000 BTCUSD BITS B 8254.59 1.4952 N 1
2017.11.24 2017.11.24D18:48:56.481505000 2017.11.24D18:48:56.425000000 BTCUSD BITS B 8254.57 1.2062 N 1
2017.11.24 2017.11.24D18:48:56.481505000 2017.11.24D18:48:56.425000000 BTCUSD BITS B 8253.74 19.67719 N 1
2017.11.24 2017.11.24D18:48:56.481505000 2017.11.24D18:48:56.425000000 BTCUSD BITS B 8250 1.131913 N 1
2017.11.24 2017.11.24D18:48:56.481505000 2017.11.24D18:48:56.425000000 BTCUSD BITS B 8248 0.1196997 N 1
2017.11.24 2017.11.24D18:48:56.481505000 2017.11.24D18:48:56.425000000 BTCUSD BITS B 8241.11 2.9988 N 1
2017.11.24 2017.11.24D18:48:56.481505000 2017.11.24D18:48:56.425000000 BTCUSD BITS B 8241.09 0.2284482 N 1
2017.11.24 2017.11.24D18:48:56.481505000 2017.11.24D18:48:56.425000000 BTCUSD BITS B 8241.06 13.23785 N 1
..
```
**Roll log to HDB (parted)**
q32 code/kdb/scripts/roll.q -log /tmp/perch/log/20171124 -hdb /tmp/perch/hdb2
**Read data from HDB (parted)**
```
q)\l /tmp/perch/hdb2
q)tables[]
`s#`BBO`Book`Quote`Trade
q)select from Trade where date=last date, sym=`BTCUSD
date sym time timeExch exch side price qty id
-------------------------------------------------------------------------------------------------------------------
2017.11.24 BTCUSD 2017.11.24D18:48:56.481811000 2017.11.24D18:48:30.000000000 BITS X 8270.06 0.1718778 27446276
2017.11.24 BTCUSD 2017.11.24D18:49:10.866386000 2017.11.24D18:49:10.000000000 BITS X 8265 0.1691656 27446306
2017.11.24 BTCUSD 2017.11.24D18:49:23.661188000 2017.11.24D18:49:23.000000000 BITS X 8269.59 0.00090683 27446324
2017.11.24 BTCUSD 2017.11.24D18:49:23.779136000 2017.11.24D18:49:23.000000000 BITS X 8269.6 0.00090692 27446326
2017.11.24 BTCUSD 2017.11.24D18:49:23.846100000 2017.11.24D18:49:23.000000000 BITS X 8269.6 0.00090691 27446328
2017.11.24 BTCUSD 2017.11.24D18:49:23.941200000 2017.11.24D18:49:23.000000000 BITS X 8269.61 0.00078591 27446329
2017.11.24 BTCUSD 2017.11.24D18:49:24.025934000 2017.11.24D18:49:23.000000000 BITS X 8269.62 0.02887223 27446330
..
q)meta Trade
c | t f a
--------| -----
date | d
sym | s p
time | p
timeExch| p
exch | s
side | c
price | f
qty | f
id | j
```
**Example query against HDB**
```
q)vwap:{$[z>last s:sums x;0n;wavg[deltas z&s;y]]}
q)/aj all and pick 10 random trades, calculate vwap mid price
q)10?select date, time, sym, exch, price, qty, mid:vmid, diff:abs(vmid-price) from update vmid:.5*vbid+vask from update vbid:vwap'[bidqty;bidpx;qty], vask:vwap'[askqty;askpx;qty] from aj[`sym`time;select from Trade where date=last date;select from Book where date=last date]
date time sym exch price qty mid diff
-------------------------------------------------------------------------------------------
2017.11.24 2017.11.24D18:50:19.994639000 BTCUSD BITS 8269.41 0.00078594 8262.11 7.299998
2017.11.24 2017.11.24D18:49:54.189139000 BTCUSD BITS 8269.59 0.00066486 8262.205 7.385
2017.11.24 2017.11.24D18:51:24.348548000 BTCUSD BITS 8254.4 0.0164427 8261.945 7.545
2017.11.24 2017.11.24D18:53:39.136744000 BTCEUR BITS 6940.02 0.0021 6943.49 3.47
2017.11.24 2017.11.24D18:50:10.856727000 BTCEUR BITS 6949.98 0.114 6944.998 4.98207
2017.11.24 2017.11.24D18:49:24.025934000 BTCUSD BITS 8269.62 0.02887223 8267.309 2.311235
2017.11.24 2017.11.24D18:50:24.318900000 BTCUSD BITS 8270.04 0.00066528 8270.045 0.005
2017.11.24 2017.11.24D18:50:39.365629000 BTCUSD BITS 8270.01 0.05379207 8270.035 0.02462925
2017.11.24 2017.11.24D18:51:59.204386000 BTCUSD BITS 8253.74 1.687082 8255.707 1.967346
2017.11.24 2017.11.24D18:51:19.464555000 BTCUSD BITS 8255.19 0.4278546 8262.4 7.209989
```