I have a function quotes[ticker;startDate;endDate], and a function indexConstituents[index;startDate;endDate] that yield the below:
daterange: 2017.12.05,2017.12.06;
quotes'[AAPL;daterange]
date time sym price
2017.12.05 09:45 AAPL 101.20
2017.12.06 09:45 AAPL 102.30
quotes'[GOOG;daterange]
date time sym price
2017.12.05 10:00 GOOG 800.50
quotes'[BBRY;daterange]
date time sym price
2017.12.06 11:15 BBRY 02.10
and
indexConstituents'[DJIA;daterange]
date sym shares divisor
2017.12.05 AAPL 20 2
2017.12.05 GOOG 5 1
2017.12.06 AAPL 10 1.5
2017.12.06 BBRY 100 1
I need a way to run the indexConstituents function as normal to yield a list of constituents over a set of days (as in the second table above), then fetch the data from table 1 for each constituent. Finally, I need to join the data from both tables to yield the below:
data:
date time sym price shares divisor
2017.12.05 09:45 AAPL 101.20 20 2
2017.12.06 09:45 AAPL 101.30 10 1.5
2017.12.05 10:00 GOOG 800.50 5 1
2017.12.06 11:15 BBRY 02.10 200 1
Code for the first two tables:
([] date:2017.12.05,2017.12.06; time:09:45,09:45; sym:`AAPL,`AAPL; price:101.20,102.30)
([] date:2017.12.05,2017.12.05,2017.12.06,2017.12.06; sym:`AAPL,`GOOG,`AAPL,`BBRY; shares:20f,5f,10f,100f; divisor:2f,1f,1.5f,1f)
I think the best approach is to assign the resultant table from indexConstituents'[DJIA;daterange] to a variable, so that we can then pull out the sym column and apply distinct to it.
You can then use that list of syms as your first argument to the quotes.
Finally join the two resultant tables together.
idx:indexConstituents'[DJIA;daterange];
q:quotes\:/:[distinct idx`sym;daterange];
q lj 2!idx
Hope this helps!