Wednesday, July 02, 2008

SPlus, Adhoc Queries, and Coral8 Public Windows

I am reading a Powerpoint presentation by Prof. Eric Zivot on SPlus, and I was intrigued by the ad-hoc query facility that SPlus offers. For example, if you have TAQ tick data loaded into SPlus, you can use the following SPlus query to get the average price of Microsoft over a non-overlapping 5-minute window:

mean.5min = aggregateSeries(msftt.ts[,"Price"], + by="minutes",,FUN=mean)

Coral8 recently implemented queryable "public windows" as a way to do ad-hoc queries. In order to get this feature out the door quickly, Coral8 embedded a version of SQLite into their system. So, you cannot use the Coral8 streaming query language, CCL, to do ad-hoc queries of windows. Instead, you need to use a dialect of SQL-92.

(Coral8 tells me that eventually. you will be able to use CCL for ad-hoc queries)

SPlus looks like it supports a lot of built-in functions for time-series financial data. This is something I would also like to see in Coral8. (I guess there is an opportunity for a little cottage industry to be built around enhancing Coral8 for capital markets firms...)

I wonder if any of the CEP vendors considered SPlus/R as a query language before deciding on Streaming SQL? (I know that JOS has been on the R bandwagon for a while at Barcap. He hasn't blogged too much about it recently though...)

©2008 Marc Adler - All Rights Reserved.
All opinions here are personal, and have no relation to my employer.

1 comment:

Hans said...

Hi Marc, response here.