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Quantitative Finance · Glossaire

Qu'est-ce que « System time, time-travel query » ?

Aussi appelé : system time · time-travel query

Definition 25.6 Research, Data and Risk Platforms · Chapitre 25 — Databases and SQL

The system time of a row version is the interval during which the database held it as current: from the transaction that inserted it to the transaction that superseded it. A time-travel query asks for the rows valid at one time as the database held them at another, by filtering on both intervals.

One corrected trade in the two times: executed on Monday at 12:00, keyed as 700 shares, corrected to 70 on Wednesday at 10:00. Each version is a rectangle, true from Monday in valid time (up) and current for an interval of system time (across). Tuesday’s report as it was reads the point (valid Tuesday 18:00, system Tuesday 18:00) and finds 700; the corrected report reads (Tuesday 18:00, Friday) and finds 70.
Figure 25.3. One corrected trade in the two times: executed on Monday at 12:00, keyed as 700 shares, corrected to 70 on Wednesday at 10:00. Each version is a rectangle, true from Monday in valid time (up) and current for an interval of system time (across). Tuesday’s report as it was reads the point (valid Tuesday 18:00, system Tuesday 18:00) and finds 700; the corrected report reads (Tuesday 18:00, Friday) and finds 70.
Tuesday’s 18:00 positions report, corrected minus as it was reported, for the 48 account and instrument positions that differ: quantity corrections (red) take nine tenths of the trade out of the position, cancellations (black) the whole trade, and late bookings (blue) add one. The other 9 952 positions agree. Data: fig_tradedb.py.
Figure 25.4. Tuesday’s 18:00 positions report, corrected minus as it was reported, for the 48 account and instrument positions that differ: quantity corrections (red) take nine tenths of the trade out of the position, cancellations (black) the whole trade, and late bookings (blue) add one. The other 9 952 positions agree. Data: fig_tradedb.py.
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