getOrderAnalyticSummary API

This page provides details about the getOrderAnalyticSummary API.

The getOrderAnalyticSummary API is used to query the OrderAnalytics table. It is intended to retrieve records from the OrderAnalytics table, applying any filters specified, and calculate summary functions on these records. The summary functions required should be listed in the supplied dictionary of arguments.

 // API arguments dictionary.

    args: (!) . flip (
        (`table;            `OrderAnalytics);
        (`startTS;          2023.07.21D10:00:00);
        (`endTS;            2023.07.21D10:30:00);
        (`summaryFunctions; `orderCount`fillRate)
        );

    opts:()!()
    last gw(`getOrderAnalyticSummary;args;`callback;opts);
    instrumentID orderCount fillRate
    --------------------------------
    CPG LN       1          1
    EA US        10         0.9
    ENB CN       5          1
    HON US       10         0.7
    ICLR US      8          1
    ..

INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
        -d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
        "${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`

    DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getOrderAnalyticSummary" \
        -H "Content-Type: application/json" \
        -H "Accept: application/json" \
        -H "Authorization: Bearer $INSIGHTS_TOKEN" \
        -d "$(jq -n \
            '{
                table            : "OrderAnalytics",
                startTS          : "2023.07.21D10:00:00",
                endTS            : "2023.07.21D10:30:00",
                summaryFunctions : ["orderCount","fillRate"]
            }' | jq -cr .)"`


    echo $DATA | jq -cr '.payload'

When issuing an IPC request, synchronous requests return a tuple where the first element is the response payload and the second is the response data. Refer to the asynchronous requests section for how to use the callback argument to get an asynchronous response.

Read the extended options section for how to use the options like timeouts for your IPC call.

Arguments

Most of the arguments are shared with getTicks and getStats. The argument unique to getOrderAnalyticSummary is summaryFunctions.

Summary functions

List of summary functions to apply to results. Providing a null symbol as this argument or excluding the argument altogether applies all configured summary functions to the results.

Click the code language drop-down list to select between q and REST.

 args: (!) . flip (
        (`table;            `OrderAnalytics);
        (`startTS;          2023.07.21D10:00:00);
        (`endTS;            2023.07.21D10:30:00);
        (`summaryFunctions; `orderCount`fillRate)
        );

    last gw(`getOrderAnalyticSummary;args;`callback;()!());
    instrumentID orderCount fillRate
    --------------------------------
    CPG LN       1          1
    EA US        10         0.9
    ENB CN       5          1
    HON US       10         0.7
    ICLR US      8          1
    ..

INSIGHTS_TOKEN=`curl -s --header "Content-Type: application/x-www-form-urlencoded" \
        -d "grant_type=client_credentials&client_id=$INSIGHTS_CLIENT_ID&client_secret=$INSIGHTS_CLIENT_SECRET" \
        "${INSIGHTS_URL}/auth/realms/insights/protocol/openid-connect/token" | jq -cr ".access_token"`

    DATA=`curl -s -X POST "${INSIGHTS_URL}/servicegateway/fsi/getOrderAnalyticSummary" \
        -H "Content-Type: application/json" \
        -H "Accept: application/json" \
        -H "Authorization: Bearer $INSIGHTS_TOKEN" \
        -d "$(jq -n \
            '{
                table            : "OrderAnalytics",
                startTS          : "2023.07.21D10:00:00",
                endTS            : "2023.07.21D10:30:00",
                summaryFunctions : ["orderCount","fillRate"]
            }' | jq -cr .)"`


    echo $DATA | jq -cr '.payload'

Configuring additional summary functions

The default summary functions available are:

`orderCount;
    `sharesExecuted;
    `fillRate;
    `orderCompletionRate;
    `durationMins;
    `partRate;
    `executionShortfall;
    `executionShortfallStderr;
    `spreadNormalizedExecutionShortfall;
    `startToEndReturn;
    `startToEnd5MinReturn;
    `startToEnd30MinReturn

These are configured in the equitiesEa.api.summary.da.config.q file in the EquitiesEA Accelerator package.

To configure additional summary functions to be available for application using getOrderAnalyticSummary, edit the equitiesEa.api.summary.da.config.q file.

The function definitions for any new summary functions should then be added to the .eqea.api.summary.clauses variable. If a new summary function should be included as a default, the name of the summary function must be added to the .eqeq.api.summary.defaults list variable.

In order to edit the equitiesEa.api.summary.da.config.q file, the 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.api.summary.da.config.q file.

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

Push and deploy

Refer to the upload documentation for details on pushing a package.

Read the deploy instructions on how to deploy an assembly.