• kdb+

  sum quantity by symbol, price and timestamps within 1ms

  Posted by wael on May 26, 2025 at 3:43 pm

  I have a table t with columns: symbol, side, price, time, and qty.
  I want to sum the qty by those columns but also group rows where the time values are ≤1ms apart.
  for example

  symbol  side  time                           price  qty  
  --------------------------------------------------------  
  x       1     2019.09.07D00:00:00.127000000   100    15  
  x       1     2019.09.07D00:00:00.128000000   100    10

  becomes

  symbol  side  time                            price  qty  
  --------------------------------------------------------  
  x       1     2019.09.07D00:00:00.128000000   100    25

  How can I achieve this? Thanks.

  wael replied 4 days, 7 hours ago 1 Member · 0 Replies
• 0 Replies

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