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 timecf
akaclockref
: Synchronize on this timeseriedelta
: Difference between two consecutive valuesforward
: Move one update forward in timegraphsample
: Sample serie to get just enough point for a graphhist
: Compute histogramhistory
: Return list of available dates for specified source and codekeep
: Filter values with conditionkurtosis
: unbiased sample kurtosislabel
: Give a name to a timeserielocalize
: Enforce location of timemap-reduce
: Compute result in parallel using all available ressourcesmap-reduce-arg
: Same as map-reduce but result contains used argumentsmax
: Maximum of several timeseries or valuesmean
: sample arithmetic meanmedian
: sample medianmerge
: Merge several timeseriesmin
: Minimum of several timeseries or valuesnow
: Current Timeone
: Replace values by 1.0perimeter
: Return list of available codes for specified source and dateprune
: Only keep changing values in Timeserierange
: Create a range of inputs to be used by map-reducereverse
: Reverse timeserie timelingrts
: Recursive timeseriesd
: unbiased sample standard deviationsigma
: Summation of valuessign
: Replace values by its sign (-1 0 1)skewness
: unbiased sample skewness (asymmetry)slice
: Cut timeserie or array/list in time or positionsliding
: Transform serie on a sliding windowsubsample
: Synthesize serie by periodsync
: Synchronized timeseriestget
: Picking time in Timeserietime-as-array
: Extract values of timeserie in an arraytime-as-value
: Use times of timeserie as valuestime-truncate
: Truncate times of timeserietimeserie
: Creating Timeserieuniq
: Delete duplicatesvalue-as-array
: Extract values of timeserie in an arrayversion
: LispTick versionvget
: Picking value in Timeserie
Experimental
conv
: Convolutioncovariance
: Convariancedropout
: Dropoutmaxpool
: MaxPoolshape
: Tensor Shapesolve
: Cost function solver aka NN Learning mechanismsvd-s
: Singular Value Decomposition, singular valuessvd-u
: Singular Value Decomposition, U orthonormal basesvd-v
: Singular Value Decomposition, V orthonormal basetensor
: Tensor creationtranspose
: 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