sampling the ticks by 1 sec

Community Support
1

Hi all,I would like to sample inhomogenous tick time series over 1 sec (forexample). Have someone done this?I have done this in java, but in q it seems quite tricky for me rightnow.Thanks and regards.

2

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Date: Tue, 26 Apr 2011 06:38:30 -0400
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Can you elaborate a little more? What data do you have to work with (schema)=
?

3

are you subscribing a tick series (.u.sub) or collecting data by (1-sec) timer (.z.ts)?

4

I would like to sample FX rate when I subscribed to tick series using .u.sub and as well I would like sampling ticks to different periods from historical data.

My prefered way right now is process all incoming ticks row by row:
1. Have Two tables for raw(unmodified) ticks and for sampled rates
2. Have a sampled period (for example 1sec, 10 secs,30 secs,…)
3. separate all incoming ticks by sym
3.1.keep last sampled record (milliseconds = 000)
3.2.keep previous tick
3.3 get new tick
3.3 calculate sampled period for new tick
3.3.check whether new tick’s sampled period is in current sampled period
3.3.1 If yes : save new tick as last tick and continue from 3.3
3.3.2 If not : check how many sampled periods are between new tick and last sampled period
3.3.3 Fill all missing sampled period with previous tick’s rate and properly modified timestamp (milliseconds = 000)

Thanks and regards,

AB
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