FinTime --- frequently asked questions
Kaippallimalil J. Jacob
Morgan Stanley Dean Witter & Co., New York
Prof, Computer Science Dept
Department of Computer Science
Courant Institute of Mathematical Sciences
New York University
Dennis Shasha's home page
FinTime home page
Questions and Answers
the size of the different datatypes?
- Varchar (256) (what is this?)
- Time ... what is the resolution (seconds, miliseconds)
Date - long enough to represent a fully specified date: (mmddyyyy)
Float - 8 bytes (same as double precision)
long - same as integer
integer - 4 bytes ((2^31)-1 to -2^31)
varchar(256) - variables sized character array with maximum size=256
time - minimum required granularity is millisecs
In the first part you have 9 different benchmarks.
In your operational parameters your are talking about 5 users, who
should pick at random one ... what happens to the other 4 queries?
All users do all queries
but the order
in which they select the queries is based on a random permutation
of the queries.
In the first part only for a few of the 9 queries the output and sorting is
What should I do with the other ones?
Where unspecified the results can be output in any order.
- What about updates?
Updates Between Queries (new, June 6, 1999):
After each query, 200 rows from the
Trades/Quotes table are chosen randomly and uniformly and each price
field is changed to a value chosen randomly and uniformly between
0 and twice its current price.
For the pair-wise coefficients of correlation, the calculations take vectors,
which I take to be arrays of prices. Logistically, does this mean that if I
have a table of securities and associated vectors of prices over a 2 year
period, I would get the coefficient for neighboring Securities and report the
value and the 2 sececurities? So for 10 stocks, I would return 5 rows
consisting of the c.c. for 2 stocks?
No, you'd return coefficients for all possible pairs of stocks
That is (10 choose 2) = 10 * 9 pairs.
For the Russell & S&P index calculations, is the average weighted by volume,
or can I simply take to average of the closing prices?
Yes, it is weighted by volume.
I don't see a way to do the first query all in one, is it intended to be 3
seperate tables, on for each of the weekly, monthly and yealy aggregates?
Three tables are fine.
Last updated December, 1999