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There are some notes on late data in this blog post: https://kx.com/blog/partitioning-data-in-kdb/
It outlines the basics of using lookup tables per partition.
Another option involves taking copies of HDB partitions and upserting the late data to the copy.
Then this new partition with extra data replaces the old one. Coordination is needed to ensure any HDB process reading the data does not error during this process.