Filtering Tickerplant Log Files During Replay

Published

August 24, 2024

I’ve written a new C library, which you can find in my Github KDB repository which does the same kind of thing as -11!, but allows you to provide a set of table names that will limit which messages are evaluated. For example if you had a market-data tickerplant and just wanted the trade messages (and not the more numerous quote messages), then this library could be of help.

The library can be found here, is written in C, takes a second or so to build, and exposes one function to KDB. Usage notes are in the README file.

It’s pretty bare-bones, and can’t instantiate things like functions, projections, unary, binary or ternary operators, etc., but I’ve never seen one of those in a market-data log file. It really wouldn’t take much to update the source to include those as well, though. I suppose the other thing worth saying is that in its current form it expects the table name to be the second argument in the function list:

(`upd;`tablename;(...data...))

HTH!