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IDS Forum

Time Series

Date: Tuesday, 4 March 2014, at 1:05 p.m.

Hi guys, I am exploring the option of using Time Series in my environment where my company, which is a small Stock Exchange, recieves 20-25 million quotes daily. Please see the schemas of the existing table:

create table "informix".t_quote_history

qh_seq serial not null ,

qh_timestamp datetime year to fraction(3),

qh_userid varchar(25),

qh_update_type integer,

qh_id integer not null ,

qh_security integer not null ,

qh_trader integer not null ,

qh_upd_seqnum integer,

qh_montage_rank_seqnum integer,

qh_tstamp datetime year to fraction(3),

qh_currency varchar(3),

qh_bidpricetype varchar(3),

qh_bidprice decimal(11,5),

qh_bidquantity integer,

qh_askpricetype varchar(3),

qh_askprice decimal(11,5),

qh_askquantity integer,

qh_open smallint,

qh_unsolicited smallint,

qh_lockcross smallint,

qh_otcbb smallint,

qh_source_node_cd varchar(4),

qh_nqbsecid integer not null ,

qh_symbol varchar(10),

qh_shortname varchar(25),

qh_trid char(8),

qh_mmid char(5),

qh_inbid_mmid char(5),

qh_inask_mmid char(5),

qh_inside_type integer,

qh_bidtstamp datetime year to fraction(3) not null ,

qh_asktstamp datetime year to fraction(3) not null ,

qh_bid_qap_rt integer

default 0,

qh_ask_qap_rt integer

default 0,

qh_publishtime_ts datetime year to fraction(3)

default current year to fraction(3),

qh_lockcross_occurred_in integer

default 0,

qh_inside_seqnum integer

default 0,

qh_origtime_ts datetime year to fraction(3)
) in t_quote_hist extent size 1000000 next size 50000 lock mode row;

I created the ROW TYPE AND NEW TABLE as below:

create row type 'informix'.quote (
qh_userid VARCHAR(25),
qh_update_type INTEGER,
qh_id INTEGER,
qh_security INTEGER,
qh_trader INTEGER,
qh_upd_seqnum INTEGER,
qh_montage_rank_seqnum INTEGER,
qh_currency VARCHAR(3),
qh_bidpricetype VARCHAR(3),
qh_bidprice DECIMAL(11,5),
qh_bidquantity INTEGER,
qh_askpricetype VARCHAR(3),
qh_askprice DECIMAL(11,5),
qh_askquantity INTEGER,
qh_open SMALLINT,
qh_unsolicited SMALLINT,
qh_lockcross SMALLINT,
qh_otcbb SMALLINT,
qh_source_node_cd VARCHAR(4),
qh_nqbsecid INTEGER,
qh_symbol VARCHAR(10),
qh_shortname VARCHAR(25),
qh_trid CHAR(8),
qh_inbid_mmid CHAR(5),
qh_inask_mmid CHAR(5),
qh_inside_type INTEGER,
qh_bid_qap_rt INTEGER,
qh_ask_qap_rt INTEGER,
qh_publishtime_ts DATETIME YEAR TO FRACTION,
qh_lockcross_occurred_in INTEGER,
qh_inside_seqnum INTEGER,

create raw table 'informix'.quote_history (

qh_mmid CHAR(5),

quote_q timeseries(quote) not null
extent size 160000 next size 160000
lock mode page;

Virtual Table:

EXECUTE PROCEDURE TSCreateVirtualTab('t_quote_history', 'quote_history','origin(2010-11-10 00:00:00.00000),calendar(ts_1min),threshold(10),irregular', 1, 'quote_q');

I tried to load the existing data into this table using a virtual table, but the load is very slow. Please suggest how to use TS in the correct way.


Nitin Mathur

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