Basic Pair Trading Study Using Linear Regression

linear_regression.q

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+// Alpha and beta functions
+betaF:{dot:{sum x*y};                                      
+      ((n*dot[x;y])-(*/)(sum')(x;y))%                         
+      ((n:count[x])*dot[x;x])-sum[x]xexp 2};
+
+alphaF: {avg[y]-(betaF[x;y]*avg[x])};

streamPair.q

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+// load tables
+tab1: 40000#1_ flip `dateTime`bid`ask`bidVol`askVol!("*FFFF";",") 0: `:C:/q/dash/sample/data/stocks/USA500IDXUSD.csv;
+tab2: 40000#1_ flip `dateTime`bid`ask`bidVol`askVol!("*FFFF";",") 0: `:C:/q/dash/sample/data/stocks/USATECHIDXUSD.csv;
+//tab1: 1_ flip `dateTime`bid`ask`bidVol`askVol`Vol!("DFFFFF";",") 0: `:C:/q/dash/sample/data/stocks/EWA2.csv;
+//tab2: 1_ flip `dateTime`bid`ask`bidVol`askVol`Vol!("DFFFFF";",") 0: `:C:/q/dash/sample/data/stocks/EWC2.csv;
+tab3: flip `dateTime`spread`mean`up`low`operation!("P"$();"F"$();"F"$();"F"$();"F"$();"F"$());
+
+
+// Fix Time
+update dateTime:"P"$@[;19;:;"."] each dateTime from `tab1;
+update dateTime:"P"$@[;19;:;"."] each dateTime from `tab2;
+
+// Take date and log(prices)
+priceX: distinct select distinct dateTime, log bid, log ask from tab1;
+priceY: distinct select distinct dateTime, log bid, log ask from tab2;
+spreads: 200#select from tab3;
+
+// Eliminate nulls and filter data
+update delta:0f^deltas dateTime from `priceX;
+update delta:0f^deltas dateTime from `priceY;
+priceX: 0!1_priceX;
+priceY: 0!1_priceY;
+
+// Create an empty auxiliary table
+tAux: 1_1#priceX;
+profit: 0;
+
+// Alpha and beta functions
+betaF:{dot:{sum x*y};                                      
+      ((n*dot[x;y])-(*/)(sum')(x;y))%                         
+      ((n:count[x])*dot[x;x])-sum[x]xexp 2};
+alphaF: {avg[y]-(betaF[x;y]*avg[x])};
+
+// Calculate alpha y beta and spreads
+px: exec bid from priceX;
+py: exec bid from priceY;
+s1: py - ((px * beta[px;py])-alpha[px;py]);
+spreads: update dateTime: priceX[`dateTime], spread: s1, mean: avg[100#s1] ,up: avg[100#s1]+1.96*dev[100#s1], low: avg[100#s1]-1.96*dev[100#s1] , operation:0 from spreads;
+
+/ load and initialize kdb+tick 
+/ all tables in the top level namespace (.) become publish-able
+\l C:/q/dash/sample/tick/u.q
+.u.init[];
+
+// Read and write on buffer functions
+.ringBuffer.read:{[t;i] $[i<=count t; i#t; i rotate t] }
+.ringBuffer.write:{[t;r;i] @[t;(i mod count value t)+til 1;:;r];}
+
+// Initialize index and empty tables (We will access directly to these objects from dashboards)
+.streamPair.i:-1;
+.streamPair.priceX: 1000#tAux;
+.streamPair.priceY: 1000#tAux;
+.streamPair.spreads: 1000#tab3;
+//.streamPair.spreads: update spread:0 from .streamPair.spreads;
+// Timer function
+timer:{t:.z.p;while[.z.p<t+x&abs x-10*10 xexp 6]} 
+
+.streamPair.genPair:{
+      // We wait some delta
+      d: `float$(priceX[.streamPair.i+:1][`delta]);
+      timer[d];
+      // We take the i element from our tables
+      resX: enlist priceX[.streamPair.i];
+      resY: enlist priceY[.streamPair.i];
+      resSpread: enlist spreads[.streamPair.i];
+      // We update our buffer tables with those values
+      .ringBuffer.write[`.streamPair.priceX;resX;.streamPair.i];
+      .ringBuffer.write[`.streamPair.priceY;resY;.streamPair.i];
+      .ringBuffer.write[`.streamPair.spreads;resSpread;.streamPair.i];
+      resX
+ }
+
+
+// Publish stream updates each milisecond
+.z.ts: {u.pub[`tAux; .streamPair.genPair[]]} 
+
+// Snapshot read from our buffer
+.u.snap:{[t] .ringBuffer.read[.streamPair.priceX;.streamPair.i]} // reqd. by dashboards
+
+\t 16