Order Ingest Pipeline

This page provides an explanation of the order ingest pipeline, as well as customization and editing instructions.

A pipeline has been provided with the KX Equities Analytics Accelerator to ingest order data, eqeaorderingest. This pipeline ingests .CSV files of historic data to the Order schema. Files for ingestion should be in .CSV format and the data should conform to the target Order schema.

There is a configurable mapping of file header names to the Order schema column names. The column names and types of the Order schema are outlined below.

Customize the column mapping

The column headers in the ingested csv file are mapped to the Order schema column names as dictated by .eqea.orderColMap, which is defined in the equitiesEa.config.q file. The default mapping is

If the column header names in the ingested .CSV differ from the above, then the names can be changed in the mapping. You can also remove rows from the mapping if the fields do not exist in the ingested .CSV.

The mapping can be adjusted by editing the equitiesEa.config.q file. Refer to the following editing files section.

Customize the pipeline

The eqeaorderingest pipeline can be adapted to meet different requirements. By editing the eqeaorderingest-pipeline-spec.q file various aspects of the pipeline operation can be adjusted:

• The pipeline reads a file from S3 by default. This can be changed to a different reader by editing the .fsi.reader variable. Refer to readers for the available readers.

• The file targeted by the pipeline for ingest is configured by the .fsi.filePath variable. This should be updated to point toward the appropriate file for ingestion.

• The region the file is located in is configured by the .fsi.region variable.

Refer to the following editing files section to edit the file.

Edit files in the KX Equities Analytics Accelerator

In order to edit the equitiesEa.config.q or eqeaorderingest-pipeline-spec.q files, the KX Equities Analytics Accelerator must be unpacked. You can then edit them with a text editor. Then, the package should be pushed and deployed.

Unpack

Refer to the following documentation for general commands to unpack and re-package a package.

Edit

Now you can make the changes required to the equitiesEa.config.q or eqeaorderingest-pipeline-spec.q files.

Once changes have been made and packaged, the updated package must be pushed before being deployed.

Push and deploy

Refer to the following documentation on pushing a package.

Read the instructions to deploy a package.

Order schema, column names and types

Order ingest normalization

There is normalization logic available in the order ingest pipeline to calculate the order complete time and strike time. This is disabled by default, but can be enabled by editing the eqeaorderingest-pipeline-spec.q file. Refer to the steps above to edit the file.

To utilize the normalization logic, the eqeaorderingest-pipeline-spec.q file should be edited to change the value of the .eqea.useTimezoneNormalization variable from false to true, resulting in that part of the file looking like:

// Variable to decide if we want to normalize orders or not
.eqea.useTimezoneNormalization:1b;

// Order normalization configuration settings
if[.eqea.useTimezoneNormalization;
  // ingested Order time zone
  .eqea.orderTz:`$"America/New_York";
  .eqea.orderColMap:`strikeTime`STRIKE_TIME _.eqea.orderColMap;
  ];