com.illumon.iris.downsampling

Class Downsampler

java.lang.Object

com.illumon.iris.downsampling.Downsampler

public class Downsampler
extends Object

A simple utility for downsampling time-series data. This uses a "builder" style as opposed to a collection of overloads due to the large number of options. By default, this runs in "online" mode and uses a ticking time table to update as new sample data arrives in the underlying table. The default this uses upperBin for sampling. This can be overridden by setting timeBinMode. The output is grouped by the specified timestamp and "key columns" and aggregates are specified with the last/first/min/max etc methods. Example of sampling trade data: downsampledTrades = downsample(trades, "Timestamp", "00:05:00", "Sym") .last("Price", "Size") .sum("Volume=Size") .execute() Example of sampling quote data: downsampledQuotes = downsample(quotes, "Timestamp", "00:05:00", "Sym") .last("Bid", "BidSize", "Ask", "AskSize") .maintainState("Bid", "BidSize", "Ask", "AskSize") .execute()

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	Downsampler.Builder A class to supporting building a Downsampler in a fluent manner.
static class	Downsampler.TimeBinMode

Method Summary

Modifier and Type	Method and Description
static Downsampler.Builder	downsample(Database db, Table table, MatchPair timestampColumn, long periodValue, String... keyColumns) Initialize a downsampler builder that will sample the given table at the given time period.
static Downsampler.Builder	downsample(Database db, Table table, MatchPair timestampColumn, String period, Collection<String> keyColumns) Initialize a downsampler builder that will sample the given table at the given time period.
static Downsampler.Builder	downsample(Database db, Table table, MatchPair timestampColumn, String period, String... keyColumns) Initialize a downsampler builder that will sample the given table at the given time period.
static Downsampler.Builder	downsample(Database db, Table table, String timestampColumn, long periodValue, String... keyColumns) Initialize a downsampler builder that will sample the given table at the given time period.
static Downsampler.Builder	downsample(Database db, Table table, String timestampColumn, String period, Collection<String> keyColumns) Initialize a downsampler builder that will sample the given table at the given time period.
static Downsampler.Builder	downsample(Database db, Table table, String timestampColumn, String period, String... keyColumns) Initialize a downsampler builder that will sample the given table at the given time period.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

downsample

public static Downsampler.Builder downsample(Database db,
                                             Table table,
                                             MatchPair timestampColumn,
                                             long periodValue,
                                             String... keyColumns)

Initialize a downsampler builder that will sample the given table at the given time period. The sampling will use time bins based on the given timestamp column and grouped by the given keys.

Parameters:

db - Database that will be used to generate time table

table - Raw data to table

timestampColumn - Column from which to generate time bins

periodValue - Sampling period/frequency in nanoseconds

keyColumns - Columns by which to group the result

Returns:

downsample

public static Downsampler.Builder downsample(Database db,
                                             Table table,
                                             MatchPair timestampColumn,
                                             String period,
                                             String... keyColumns)

Initialize a downsampler builder that will sample the given table at the given time period. The sampling will use time bins based on the given timestamp column and grouped by the given keys.

Parameters:

db - Database that will be used to generate time table

table - Raw data to table

timestampColumn - Column from which to generate time bins

period - Sampling period/frequency in HH:mm:ss format

keyColumns - Columns by which to group the result

Returns:

downsample

public static Downsampler.Builder downsample(Database db,
                                             Table table,
                                             MatchPair timestampColumn,
                                             String period,
                                             Collection<String> keyColumns)

Initialize a downsampler builder that will sample the given table at the given time period. The sampling will use time bins based on the given timestamp column and grouped by the given keys.

Parameters:

db - Database that will be used to generate time table

table - Raw data to table

timestampColumn - Column from which to generate time bins

period - Sampling period/frequency in HH:mm:ss format

keyColumns - Columns by which to group the result

Returns:

downsample

public static Downsampler.Builder downsample(Database db,
                                             Table table,
                                             String timestampColumn,
                                             long periodValue,
                                             String... keyColumns)

Initialize a downsampler builder that will sample the given table at the given time period. The sampling will use time bins based on the given timestamp column and grouped by the given keys.

Parameters:

db - Database that will be used to generate time table

table - Raw data to table

timestampColumn - Column from which to generate time bins

periodValue - Sampling period/frequency in nanoseconds

keyColumns - Columns by which to group the result

Returns:

downsample

public static Downsampler.Builder downsample(Database db,
                                             Table table,
                                             String timestampColumn,
                                             String period,
                                             String... keyColumns)

Initialize a downsampler builder that will sample the given table at the given time period. The sampling will use time bins based on the given timestamp column and grouped by the given keys.

Parameters:

db - Database that will be used to generate time table

table - Raw data to table

timestampColumn - Column from which to generate time bins

period - Sampling period/frequency in HH:mm:ss format

keyColumns - Columns by which to group the result

Returns:

downsample

public static Downsampler.Builder downsample(Database db,
                                             Table table,
                                             String timestampColumn,
                                             String period,
                                             Collection<String> keyColumns)

Initialize a downsampler builder that will sample the given table at the given time period. The sampling will use time bins based on the given timestamp column and grouped by the given keys.

Parameters:

db - Database that will be used to generate time table

table - Raw data to table

timestampColumn - Column from which to generate time bins

period - Sampling period/frequency in HH:mm:ss format

keyColumns - Columns by which to group the result

Returns: