CODEWITHSUNDEEP
kdb+
Utsav
Utsav

Reputation: 5918

Replay tplog file by appending messages in the partitioned table in kdb

I'm trying to replay messages from tp log directly to partitioned table on disk by appending messages since I don't have much primary memory compared to tplog size.

TpLog is like below:

q)9 2 sublist get `:/Users/uts/Desktop/repos/ktick/tick/sym2020.05.23
`upd `trade (,0D22:38:00.083960000;,`MSFT.O;,45.15104;,710)              
`upd `quote (,0D22:38:01.082882000;,`VOD.L;,341.2765;,341.3056;,732;,481)

I'm using below 'upsert' method to append these tplog msgs to partitioned table but it is failing with type error on upsert:

quote:([]time:`timespan$();sym:`symbol$();bid:`float$();ask:`float$();bsize:`int$();asize:`int$());
trade:([]time:`timespan$();sym:`symbol$();price:`float$();size:`int$());


`:/Users/uts/db/2020.05.23/quote/ set .Q.en[`:/Users/uts/db;]quote;
`:/Users/uts/db/2020.05.23/trade/ set .Q.en[`:/Users/uts/db;]trade;


upd:{[t;d]
    if[`trade~t;[show raze d;`:/Users/uts/db/2020.05.23/trade/ upsert .Q.en[`:/Users/uts/db;]enlist (cols trade)!raze d]];
    };

-11!`:/Users/uts/Desktop/repos/ktick/tick/sym2020.05.23

Error:

    'type
  [1]  upd:{[t;d]
    if[`trade~t;[show raze d;`:/Users/utsav/db/2020.05.23/trade/ upsert .Q.en[`:/Users/utsav/db;]enlist (cols trade)!raze d]];
                                                                 ^
    }

But if I try to manually append the message to partitioned table, it's working fine:

`:/Users/uts/db/2020.05.23/trade/ upsert .Q.en[`:/Users/uts/db;]enlist (cols trade)!raze (enlist 0D22:39:00.083960000;enlist `MSFT.O;enlist 45.15104; enlist 710)

Not sure why 'upsert' is not working within upd function along with -11!.

Please share(details/links) if there is any better way(most probably there must be) to replay the tplogs directly to disk without using much primary memory.

Upvotes: 0

Views: 206

Answers (1)

terrylynch
terrylynch

Reputation: 13657

I'm not sure if it'll solve your exact problem but a few suggestions:

  1. Your code assumes that every single tickerplant log record is for a single row. This may not be the case, as many tickerplant logs will log multiple rows in a single update. What this means is that your enlist (cols trade)!raze d code wouldn't work (though I would suspect a length error in this case). A more general alternative is to use:
$[0>type first d;enlist cols[trade]!d;flip cols[trade]!d]
  1. You should not try to write to disk for every single upd record from a tickerplant log - it's simply too many disk writes in such a short space of time. It's inefficient and could lead to disk I/O constraints. Better to insert in-memory until the table reaches a certain size and then write in a batch and wipe the table. I would suggest something like:
write:{`:/Users/uts/db/2020.05.23/trade/ upsert .Q.en[`:/Users/uts/db;value x];delete from x};
upd:{[t;d]
    if[`trade~t;t insert d];
    if[10000<count value t;write[t]];
    };

Then your replay would look like:

-11!`:/Users/uts/Desktop/repos/ktick/tick/sym2020.05.23;
if[0<count trade;write[`trade]]; /need to write the leftovers
`sym`time xasc `:/Users/uts/db/2020.05.23/trade/;
@[`:/Users/uts/db/2020.05.23/trade/;`sym;`p#];

Upvotes: 2

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