I'm trying to pivot some trade data in KDB/q. Although my data are only slightly different from the working example on the website (see the general pivot function: http://code.kx.com/q/cookbook/pivoting-tables/), I can't get the function to work, even after several hours of trying (I'm very new to KDB).
Put simply, I'm trying to go from this table:
q)5# trades_agg
date sym time exchange buysell| shares
--------------------------------------| ------
2009.01.05 aaca 09:30 BATS B | 484
2009.01.05 aaca 09:30 BATS S | 434
2009.01.05 aaca 09:30 NASDAQ B | 235
2009.01.05 aaca 09:30 NASDAQ S | 429
2009.01.05 aaca 09:30 NYSE B | 309
to this one:
date sym time | BATSsharesB BATSsharesS NASDAQsharesB ...
----------------------| -----------------------------------------------
2009.01.05 aaca 09:30 | 484 434 235 ...
... | ...
I'll provide a working example to illustrate things:
// Create data
qpd:5*2*4*"i"$16:00-09:30
date:raze(100*qpd)#'2009.01.05+til 5
sym:(raze/)5#enlist qpd#'100?`4
sym:(neg count sym)?sym
time:"t"$raze 500#enlist 09:30:00+15*til qpd
time+:(count time)?1000
exchange:raze 500#enlist raze(qpd div 3)#enlist`NYSE`NASDAQ`BATS
buysell:raze 500#enlist raze(qpd div 2)#enlist`B`S
shares:(500*qpd)?100
trades:([]date;sym;time;exchange;buysell;shares)
//I then aggregate the data into equal sized buckets
trades_agg: select sum shares by date, sym, time: 15 xbar time.minute, exchange, buysell from trades
// pivot function from the code.kx.com website
piv:{[t;k;p;v;f;g]
v:(),v;
G:group flip k!(t:.Q.v t)k;
F:group flip p!t p;
count[k]!g[k;P;C]xcols 0!key[G]!flip(C:f[v]P:flip value flip key F)!raze
{[i;j;k;x;y]
a:count[x]#x 0N;
a[y]:x y;
b:count[x]#0b;
b[y]:1b;
c:a i;
c[k]:first'[a[j]@'where'[b j]];
c}[I[;0];I J;J:where 1<>count'[I:value G]]/:\:[t v;value F]}
I subsequently apply this pivot function to the example with the functions f and g set to their default (::) values but I get an error message:
piv[`trades_agg;`date`sym`time;`exchange`buysell;`shares;(::);(::)]
Even when I use the suggested f and g functions it doesn't work:
f:{[v;P]`$raze each string raze P[;0],'/:v,/:\:P[;1]}
g:{[k;P;c]k,(raze/)flip flip each 5 cut'10 cut raze reverse 10 cut asc c}
I don't get why this is not working correctly since it is so close to the example on the website.
This is a self-contained version that's easier to use:
tt:1000#0!trades_agg
piv:{[t;k;p;v]
/ controls new columns names
f:{[v;P]`${raze " " sv x} each string raze P[;0],'/:v,/:\:P[;1]};
v:(),v; k:(),k; p:(),p; / make sure args are lists
G:group flip k!(t:.Q.v t)k;
F:group flip p!t p;
key[G]!flip(C:f[v]P:flip value flip key F)!raze
{[i;j;k;x;y]
a:count[x]#x 0N;
a[y]:x y;
b:count[x]#0b;
b[y]:1b;
c:a i;
c[k]:first'[a[j]@'where'[b j]];
c}[I[;0];I J;J:where 1<>count'[I:value G]]/:\:[t v;value F]};
q)piv[`tt;`date`sym`time;`exchange`buysell;enlist `shares]
date sym time | BATS shares B BATS shares S NASDAQ shares B NASDAQ sha..
---------------------| ------------------------------------------------------..
2009.01.05 adkk 09:30| 577 359 499 452 ..
2009.01.05 adkk 09:45| 882 501 339 467 ..
2009.01.05 adkk 10:00| 620 513 411 128 ..
2009.01.05 adkk 10:15| 501 544 272 544 ..
2009.01.05 adkk 10:30| 291 594 363 331 ..
2009.01.05 adkk 10:45| 867 500 498 536 ..
2009.01.05 adkk 11:00| 624 632 694 493 ..
2009.01.05 adkk 11:15| 99 704 600 299 ..
2009.01.05 adkk 11:30| 269 394 280 392 ..
2009.01.05 adkk 11:45| 635 744 758 597 ..
2009.01.05 adkk 12:00| 562 354 498 405 ..
2009.01.05 adkk 12:15| 416 437 303 492 ..
2009.01.05 adkk 12:30| 447 699 370 302 ..
2009.01.05 adkk 12:45| 336 647 512 245 ..
2009.01.05 adkk 13:00| 692 457 497 553 ..
9 years later I have created a UI that allows you to pivot without code, it pushes down the piv function to kdb: https://www.timestored.com/pulse/help/table-pivot