LISP dedicated to tick data

LispTick is a dialect of LISP with several added powerful types like Time, Duration and Tick Time Serie, a list of pairs (Time, Value). It is implemented in Go, as a result it can be available for any platform Go runs on.

Language Syntax

• Atoms
• Lists
• Arrays
• Creating Functions
• Bindings
• Calling Functions
• Conditionals
• Builtin Functions
• Array Functions
• String Functions
• Time & Date Functions
• Hashmap Functions

Timeseries & Extension

• backward: Move one update backward in time
• cf aka clockref: Synchronize on this timeserie
• delta: Difference between two consecutive values
• forward: Move one update forward in time
• graphsample: Sample serie to get just enough point for a graph
• hist: Compute histogram
• history: Return list of available dates for specified source and code
• keep: Filter values with condition
• kurtosis: unbiased sample kurtosis
• label: Give a name to a timeserie
• localize: Enforce location of time
• map-reduce: Compute result in parallel using all available ressources
• map-reduce-arg: Same as map-reduce but result contains used arguments
• max: Maximum of several timeseries or values
• mean: sample arithmetic mean
• median: sample median
• merge: Merge several timeseries
• min: Minimum of several timeseries or values
• now: Current Time
• one: Replace values by 1.0
• perimeter: Return list of available codes for specified source and date
• prune: Only keep changing values in Timeserie
• range: Create a range of inputs to be used by map-reduce
• reverse: Reverse timeserie timeling
• rts: Recursive timeserie
• sd: unbiased sample standard deviation
• sigma: Summation of values
• sign: Replace values by its sign (-1 0 1)
• skewness: unbiased sample skewness (asymmetry)
• slice: Cut timeserie or array/list in time or position
• sliding: Transform serie on a sliding window
• subsample: Synthesize serie by period
• sync: Synchronized timeseries
• tget: Picking time in Timeserie
• time-as-array: Extract values of timeserie in an array
• time-as-value: Use times of timeserie as values
• time-truncate: Truncate times of timeserie
• timeserie: Creating Timeserie
• uniq: Delete duplicates
• value-as-array: Extract values of timeserie in an array
• version: LispTick version
• vget: Picking value in Timeserie

Experimental

• conv: Convolution
• covariance: Convariance
• dropout: Dropout
• maxpool: MaxPool
• shape: Tensor Shape
• solve: Cost function solver aka NN Learning mechanism
• svd-s: Singular Value Decomposition, singular values
• svd-u: Singular Value Decomposition, U orthonormal base
• svd-v: Singular Value Decomposition, V orthonormal base
• tensor: Tensor creation
• transpose: Tensor transposition

Examples

• Compare returns of two series
• Price vs VWAP (Volume Weighted Average Price)
• Price vs TWAP (Time Weighted Average Price)
• Compute SMA EMA and MACD
• Compute Hayashi Yoshida correlation estimator
• Trade signing (aka trade-typing)
• Finance algorithms applied to hive monitoring
• Meteorology Statistics

Articles

• Using crytpocurrencies and LispTick to evaluate trade signing accuracy