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Quantitative Finance · Glosarium

Apa itu Dictionary, run-length, delta encoding; bit packing?

Dikenal juga sebagai: dictionary encoding · run-length encoding · delta encoding · bit packing

Definition 3.5 Research, Data and Risk Platforms · Bab 3 — Columnar Formats

Dictionary encoding stores a column’s distinct values once and each value as an index into them. Run-length encoding stores each run of equal consecutive values as the value and the run’s length. Delta encoding stores the first value and then each value’s difference from the previous one, usually as the excess over the smallest difference in a block. Bit packing stores small non-negative integers in the fewest bits that hold the largest of them, with no byte boundaries between values.

column (50 000 rows)plaindictionaryrun-lengthdeltabest
date200 0001315449dictionary
symbol, capture order400 00837 917404 432–dictionary
symbol, sorted by symbol400 00837 917480–run-length
timestamp400 000500 009406 259201 085delta
bid400 00099 097410 505137 947dictionary
bid size200 00037 705208 07287 948dictionary
venue400 00812 549318 436–dictionary
Table 3.1. Bytes of each column of one day of quotes under each of firm.colfile’s encodings, before any compression; strings are stored plain as offsets and bytes, and delta encoding applies to integers only. Data: pl_colfmt.encodings_by_column.
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