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8 lines
504 B
8 lines
504 B
2 years ago
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tbl = loadTable("dfs://hft_stock_ts", 'KLinePartitioned')
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// calculate the minute return
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// `eachPre` applies the binary function (the 1st arg) to this row and its previous row
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// TODO: m_nDate filter condition should be replaced by groupby
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ret = select code, m_nDate, m_nTime, eachPre(\, m_nClose) - 1.0 as ret from tbl where m_nDate=2015.01.05 context by code limit 10;
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kurto = select code, m_nDate, sqrt(239) * sum(pow(ret, 3)) / pow(sum(pow(ret, 2)), 1.5) as kurtosis from ret where group by code;
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