FinTime --- frequently asked questions

Kaippallimalil J. Jacob
Morgan Stanley Dean Witter & Co., New York (kjacob@acm.org)

Dennis Shasha
Prof, Computer Science Dept Department of Computer Science
Courant Institute of Mathematical Sciences
New York University
Dennis Shasha's home page
(shasha@cs.nyu.edu) FinTime home page

Questions and Answers

• What is the size of the different datatypes?
  - Date
  - Float
  - Long
  - Integer
  - Varchar (256) (what is this?)
  - Time ... what is the resolution (seconds, miliseconds)
  Answer:
  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?
  Answer:
  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 specified. What should I do with the other ones?
  Answer:
  Where unspecified the results can be output in any order.
• What about updates?
  Answer:
  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?
  Answer : 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?
  Answer : 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? Answer : Three tables are fine.

Last updated December, 1999