Question about windows join

Community Support
1

I have an following fill data:

2015.09.2810:10:42.622xxxx

With following w: (10:08:12.622;10:13:12.622)

And also following trade data:

12015.09.2808:17:00.876sym5.42329015

22015.09.2810:09:09.586sym5.3535

32015.09.2810:09:09.586sym5.35106

42015.09.2810:09:09.586sym5.35110

52015.09.2810:09:09.586sym5.3584

62015.09.2810:09:09.606sym5.3597

72015.09.2810:09:09.606sym5.35139

82015.09.2810:09:09.606sym5.3537

If I running this wj:

wj[w;symtime;fill;(trades;(::;price);(::;size))];

Somehow the first trade, with price 5.4232 will be included, will anyone know why? My KDB version is 2.8

Regards,

Carfield

2

Hi Carfield,

wj will take the prevailing trade at the start of the window.  

If don’t want the prevailing values, you should use wj1 instead.

Regards,

Paul