Bug fixes for alias&join. Add test in presentation.

tests/best_profit.a

@@ -0,0 +1,41 @@
+-- please run datagen.get_stock_data() to generate data/stock.csv first
+
+-- create table ticks(ID varchar(10), timestamp int, tradeDate date, price int);
+
+-- LOAD DATA INFILE "data/stock.csv"
+-- INTO TABLE ticks
+-- FIELDS TERMINATED BY ","
+
+-- SELECT max(price-mins(price))
+-- FROM   ticks    ASSUMING ASC timestamp
+-- WHERE  ID="S"
+--     AND  tradeDate='2003-01-10'
+
+-- create table base(ID varchar(10), name varchar(10));
+
+-- LOAD DATA INFILE "data/base.csv"
+-- INTO TABLE base
+-- FIELDS TERMINATED BY ","
+
+-- SELECT last(price)
+-- FROM    ticks t, base b
+--     ASSUMING ASC name, ASC timestamp
+-- WHERE   t.ID=b.ID
+--         AND name="x"
+
+create table TradedStocks(ID varchar(15), SeqNo int, TradeDate date, TimeStamp time, Type varchar(5));
+create table HistoricQuotes(ID varchar(15), TradeDate date, HighPrice real, LowPrice real, ClosePrice real, OpenPrice real, volume bigint);
+
+LOAD DATA INFILE "data/tick-price-file.csv"
+INTO TABLE TradedStocks
+FIELDS TERMINATED BY "|"
+LOAD DATA INFILE "data/hist-price-file.csv"
+INTO TABLE HistoricQuotes
+FIELDS TERMINATED BY "|"
+
+
+SELECT ts.ID, avgs(10, hq.ClosePrice)
+FROM   TradedStocks AS ts NATURAL JOIN
+       HistoricQuotes AS hq
+              ASSUMING ASC hq.TradeDate
+GROUP BY ts.ID

tests/datagen_jose/README

@@ -0,0 +1,26 @@
+There are 2 programs included in this package:
+1. histgen - generation program for historical data
+2. tickgen - generation program for tick data
+
+histgen takes 2 parameters 
+	a) Scale-factor: Number of securities for which data is to be generated
+	b) Depth of history: The number of days for which data is to be generated
+and genertes 2 files
+	a) hist-base-file: contains all the static data
+	b) hist-price-file: contains the pricing info
+	c) hist-split-file: contains the split info
+
+tickgen also takes 2 parameters
+	a) Scale-factor: Number of securities for which data is to be generated
+	b) Ticks per day: A measure of the activity on a per security basis. e.g 100 would mean
+	                  that each security ticks about 100 time in a trading day
+and generates 2 files
+	a) tick-base-file
+	b) tick-price-file
+
+run the programs without args to see the parameters required.
+
+------------------
+Make of programs:
+
+run the make program. It requires the C++ compiler (CC) to be in your path.

tests/datagen_jose/RandGen.H

@@ -0,0 +1,61 @@
+// cmvc_id = %Z% %W% %I% %E% %U%
+
+#ifndef RandGenHEADER
+#define RandGenHEADER
+
+///////////////////////////////////////////////////////////////////////////////
+//
+// Copyright (c) 1997 Morgan Stanley & Co. Incorporated, All Rights Reserved
+//
+// Unpublished copyright.  All rights reserved.  This material contains
+// proprietary information that shall be used or copied only within Morgan
+// Stanley, except with written permission of Morgan Stanley.
+//
+// Module Name   : RandGen.H
+// Version       : %Z% %W% %I% %E% %U%
+// Project       : DataGen
+// Description   : Random Number generator
+//
+///////////////////////////////////////////////////////////////////////////////
+
+#include <stdlib.h>
+#include <iostream>
+#include <sys/time.h>
+using namespace std;
+
+class RandNumGen
+{
+public:
+  RandNumGen(void)
+    {
+      struct timeval tv;
+      gettimeofday(&tv,0 );
+      srand(tv.tv_sec + tv.tv_usec);
+    }
+  
+  RandNumGen(unsigned long seed_)
+    {
+      srand(seed_);
+    }
+  
+  ~RandNumGen(){}
+
+  inline unsigned long operator() (void);
+  inline int operator() (int min_, int max_);
+};
+
+// Implementation of inline functions
+
+inline unsigned long RandNumGen::operator() (void)
+{
+  return rand();
+}
+
+inline int  RandNumGen::operator() (int min_, int  max_)
+{
+  unsigned long t = (*this)();
+  int r = max_ - min_;
+  return (min_ + t % r);
+}
+#endif
+

tests/datagen_jose/Time.C

@@ -0,0 +1,71 @@
+// cmvc_id = %Z% %W% %I% %E% %U%
+
+#ifndef TimeIMPLEMENTATION
+#define TimeIMPLEMENTATION
+
+///////////////////////////////////////////////////////////////////////////////
+//
+// Copyright (c) 1997 Morgan Stanley & Co. Incorporated, All Rights Reserved
+//
+// Unpublished copyright.  All rights reserved.  This material contains
+// proprietary information that shall be used or copied only within Morgan
+// Stanley, except with written permission of Morgan Stanley.
+//
+// Module Name   : Time.C
+// Version       : %Z% %W% %I% %E% %U%
+// Project       : 
+// Description   : 
+//
+///////////////////////////////////////////////////////////////////////////////
+#include <stdio.h>
+#include "Time.H"
+
+Time::Time(char *startTime_)
+{
+  sscanf(startTime_,"%d:%d:%d", &_hrs, &_mins, &_secs);
+  cout << "Hrs: " << _hrs << ",Mins: " << _mins << ",Secs: " << _secs << endl;
+}
+
+Time::~Time()
+{}
+
+Time &Time::operator++ (int)
+{
+  _secs++;
+  adjust();
+  return *this;
+}
+
+void Time::adjust(void)
+{
+  if (_secs >= 60) 
+   {
+     _mins += _secs/60;
+     _secs = _secs%60;
+   }
+
+  if (_mins >= 60) 
+   {
+     _hrs += _mins/60;
+     _mins = _mins%60;
+   }
+  if (_hrs >= 24) _hrs = _hrs = _hrs%24;
+}
+
+ostream &operator<< (ostream &os_, Time &that_)
+{
+  if (that_.hrs() < 10) os_ << "0";
+  os_ << that_.hrs();
+  os_ << ":" ;
+
+  if (that_.mins() < 10) os_ << "0";
+  os_ << that_.mins();
+  os_ << ":" ;
+
+  if (that_.secs() < 10) os_ << "0";
+  os_ << that_.secs();
+  return os_;
+}
+
+
+#endif

tests/datagen_jose/Time.H

@@ -0,0 +1,43 @@
+// cmvc_id = %Z% %W% %I% %E% %U%
+
+#ifndef TimeHEADER
+#define TimeHEADER
+
+///////////////////////////////////////////////////////////////////////////////
+//
+// Copyright (c) 1997 Morgan Stanley & Co. Incorporated, All Rights Reserved
+//
+// Unpublished copyright.  All rights reserved.  This material contains
+// proprietary information that shall be used or copied only within Morgan
+// Stanley, except with written permission of Morgan Stanley.
+//
+// Module Name   : Time.H
+// Version       : %Z% %W% %I% %E% %U%
+// Project       : 
+// Description   : 
+//
+///////////////////////////////////////////////////////////////////////////////
+#include <iostream>
+
+using namespace std;
+
+class Time 
+{
+public:
+  Time(char *startTime_);
+  ~Time();
+  
+  Time &operator++(int);
+  void adjust(void);
+
+  int hrs(void) { return _hrs; }
+  int mins(void) { return _mins; }
+  int secs(void) { return _secs; }
+
+friend ostream &operator<< (ostream &os_, Time &that_);
+
+private:
+  int _hrs, _mins, _secs;
+};
+#endif
+

tests/datagen_jose/cal.C

@@ -0,0 +1,79 @@
+#include <sys/types.h>
+#include <time.h>
+#include <iostream>
+
+#include "cal.H"
+using namespace std;
+
+Calendar::Calendar(void)
+{
+  time_t clk = time(0);
+  struct tm *now = localtime(&clk);
+  _currdate = asJulianNumber(now->tm_mon+1, now->tm_mday, now->tm_year+1900);
+}
+
+Calendar::~Calendar()
+{}
+
+// year_ in yyyy format
+unsigned int Calendar::asJulianNumber(int month_,int day_,int year_)
+{
+  unsigned long c,ya;
+  
+  if (month_>2) month_-=3;
+  else { month_+=9; year_--; } 
+  c=year_/100;
+  ya=year_-100*c;
+  return ((146097*c)>>2)+((1461*ya)>>2)+(153*month_+2)/5+day_+1721119;
+} 
+
+void Calendar::split(int& month_,int& day_,int& year_)
+{
+  unsigned long d;
+  unsigned long j=_currdate-1721119;
+  year_=(int) (((j<<2)-1)/146097);
+  j=(j<<2)-1-146097*year_;
+  d=(j>>2);
+  j=((d<<2)+3)/1461;
+  d=(d<<2)+3-1461*j;
+  d=(d+4)>>2;
+  month_=(int)(5*d-3)/153;
+  d=5*d-3-153*month_;
+  day_=(int)((d+5)/5);
+  year_=(int)(100*year_+j);
+  if (month_<10) month_+=3;
+  else { month_-=9; year_++; } 
+} 
+
+int Calendar::dayInWeek(void)
+{ 
+  return ((((_currdate+1)%7)+6)%7)+1; 
+}
+
+Calendar &Calendar::nextWeekday(void)
+{
+  (*this) += 1;
+  while (!isWeekday()) (*this)+= 1;
+  return *this;
+}
+
+int Calendar::isWeekday(void)
+{
+  return (dayInWeek()<6)?1:0;
+}
+
+Calendar &Calendar::operator+= (int incr_)
+{
+  _currdate += incr_;
+  return *this;
+}
+
+ostream &operator<< (ostream &os_, Calendar &that_)
+{
+  int mo, day, year;
+  that_.split(mo,day,year);
+  os_ << year << "-" << mo << "-" << day;
+  // the below is a pain for monetdb
+  //os_ << mo << "/" << day << "/" << year;
+  return os_;
+}

tests/datagen_jose/cal.H

@@ -0,0 +1,26 @@
+#ifndef _CAL_H_
+#define _CAL_H_
+
+#include <iostream>
+using namespace std;
+
+class Calendar
+{
+public:
+  Calendar(void);
+  ~Calendar();
+
+  unsigned int asJulianNumber(int month_, int day_, int year_);
+  int isWeekday(void);
+  Calendar &operator+= (int incr_);
+
+friend ostream &operator<< (ostream &os_,Calendar &that_);
+
+  int dayInWeek(void);
+  Calendar &nextWeekday(void);
+  void split(int &mo_, int &day_, int &year_);  
+private:
+  unsigned int _currdate;
+};
+#endif
+

tests/datagen_jose/cal.cpp

@@ -0,0 +1,76 @@
+#include <sys/types.h>
+#include <time.h>
+#include <iostream>
+
+#include "cal.H"
+
+Calendar::Calendar(void)
+{
+  time_t clk = time(0);
+  struct tm *now = localtime(&clk);
+  _currdate = asJulianNumber(now->tm_mon+1, now->tm_mday, now->tm_year+1900);
+}
+
+Calendar::~Calendar()
+{}
+
+// year_ in yyyy format
+unsigned int Calendar::asJulianNumber(int month_,int day_,int year_)
+{
+  unsigned long c,ya;
+  
+  if (month_>2) month_-=3;
+  else { month_+=9; year_--; } 
+  c=year_/100;
+  ya=year_-100*c;
+  return ((146097*c)>>2)+((1461*ya)>>2)+(153*month_+2)/5+day_+1721119;
+} 
+
+void Calendar::split(int& month_,int& day_,int& year_)
+{
+  unsigned long d;
+  unsigned long j=_currdate-1721119;
+  year_=(int) (((j<<2)-1)/146097);
+  j=(j<<2)-1-146097*year_;
+  d=(j>>2);
+  j=((d<<2)+3)/1461;
+  d=(d<<2)+3-1461*j;
+  d=(d+4)>>2;
+  month_=(int)(5*d-3)/153;
+  d=5*d-3-153*month_;
+  day_=(int)((d+5)/5);
+  year_=(int)(100*year_+j);
+  if (month_<10) month_+=3;
+  else { month_-=9; year_++; } 
+} 
+
+int Calendar::dayInWeek(void)
+{ 
+  return ((((_currdate+1)%7)+6)%7)+1; 
+}
+
+Calendar &Calendar::nextWeekday(void)
+{
+  (*this) += 1;
+  while (!isWeekday()) (*this)+= 1;
+  return *this;
+}
+
+int Calendar::isWeekday(void)
+{
+  return (dayInWeek()<6)?1:0;
+}
+
+Calendar &Calendar::operator+= (int incr_)
+{
+  _currdate += incr_;
+  return *this;
+}
+
+ostream &operator<< (ostream &os_, Calendar &that_)
+{
+  int mo, day, year;
+  that_.split(mo,day,year);
+  os_ << mo << "/" << day << "/" << year;
+  return os_;
+}

tests/datagen_jose/gen.C

@@ -0,0 +1,58 @@
+// cmvc_id = %Z% %W% %I% %E% %U%
+
+#ifndef genIMPLEMENTATION
+#define genIMPLEMENTATION
+
+#include <iostream.h>
+#include "RandGen.H"
+
+int num[6];
+int nelems=0;
+
+int member(int a_)
+{
+  for (int i=0; i<nelems; i++) 
+   {
+     if (num[i] == a_) return 1;
+   }
+  return 0;
+}
+
+int gen(int flag_)
+{
+  RandNumGen rg;
+  if (flag_ == 0) 
+   {
+     for (int i=0;i<6;i++) num[i] = 0;
+     nelems=0;
+     return 0;
+   }
+
+  int rn;
+  while (1) 
+   {
+     rn = rg(1,52);
+     if (member(rn) == 0) break;
+   }
+
+  num[nelems++] = rn;
+  return rn;
+}
+
+int main(int ac, char *av[])
+{
+  if (ac < 2) 
+   {
+     cerr << "Usage: " << av[0] << " <number>" << endl;
+     return 1;
+   }
+  
+  int k = atoi(av[1]);
+  for(int i=0; i<k; i++)
+   {
+     gen(0);     
+     for (int j=0;j<6;j++) cout << gen(1) << " ";
+     cout << endl;
+   }
+}
+#endif

tests/datagen_jose/histgen.C

@@ -0,0 +1,198 @@
+// cmvc_id = %Z% %W% %I% %E% %U%
+
+#ifndef histgenIMPLEMENTATION
+#define histgenIMPLEMENTATION
+
+#include <stdlib.h>
+#include <stdio.h>
+#include <unistd.h>
+#include <iostream>
+#include <fstream>
+#include <sys/time.h>
+
+#include "RandGen.H"
+#include "cal.H"
+using namespace std;
+inline int max(int a, int b) 
+{
+  return (a>b)?a:b;
+}
+
+inline int min(int a, int b) 
+{
+  return (a<b)?a:b;
+}
+
+int main(int ac, char *av[])
+{
+  RandNumGen rg;
+  int i, j, d, k;
+  ofstream basefile("../../data/hist-base-file.csv");
+  ofstream pricefile("../../data/hist-price-file.csv");
+  ofstream splitfile("../../data/hist-split-file.csv");
+  ofstream dividendfile("../../data/hist-dividend-file.csv");
+
+  if (!basefile) 
+   {
+     cerr << "Cannot open base-file" << endl;
+     return 1;
+   }
+
+  if (!pricefile) 
+   {
+     cerr << "Cannot open price-file" << endl;
+     return 1;
+   }
+
+  if (!splitfile)
+   {
+     cerr << "Cannot open split-file" << endl;
+     return 1;
+   }
+   
+   if (!dividendfile)
+    {
+      cerr << "Cannot open dividend-file" << endl;
+      return 1;
+    }
+   
+   
+  
+  if (ac < 2) 
+   {
+     cerr << "Usage: " << av[0] << " <scale - no of elements> [depth - in days. Default = 4000days]" << endl;
+     return 1;
+   }
+
+  int scale=0, ndays = 4000;
+  if (ac >= 2) scale = atoi(av[1]);
+  if (ac >= 3) ndays = atoi(av[2]);
+
+  // Generation of base info
+  int nex = 5;
+  char *ex[] = { "NY", "O", "AM", "LN", "TK"};
+
+  int nsic = 10;
+  char *sic[] = { "COMPUTERS", "CHEMICALS", "FINANCIAL", "INDUSTRIAL", "PHARMACEUTICALS",
+                       "MEDICAL", "BANKING", "SOFTWARE", "ENTERTAINMENT", "CONSTRUCTION" };
+  
+  char *cu[] = { "USD", "DEM", "JPY", "FFR", "GBP"};
+  int ncu = 5;
+  
+  char *spr[] = { "AAA", "AA", "A", "BBB", "BB", "B", "CCC", "CC", "C"};
+  int nspr = 9;
+  
+
+  unsigned int rnum;
+  char id[100];
+  char descr[256];
+  // the below is a pain with monetdb, changing to better date format
+  //char *crdate = "3/11/1999";
+  char *crdate = "1999-11-03";
+  
+  basefile << "Id|Ex|Descr|SIC|SPR|Cu|CreateDate" << endl;
+  for (i=0; i<scale; i++) 
+   {
+     sprintf(id,"Security_%d", i);
+     sprintf(descr, "'Financial security number: %d'", i);
+     
+     basefile << id;
+     basefile << "|" << ex[rg(0,nex)];
+     basefile << "|" << descr;
+     basefile << "|" << sic[rg(0,nsic)];
+     basefile << "|" << spr[rg(0,nspr)];
+     basefile << "|" << cu[rg(0, ncu)];
+     basefile << "|" << crdate;
+     basefile << endl;
+   }
+
+  basefile.close();
+
+  
+  // generation of price info
+  double *minop = new double[scale];
+  for (i=0; i<scale; i++) minop[i] = 0.0;
+
+  double *op = new double[scale];
+  for (i=0; i<scale; i++) op[i] = 0.0;
+  
+  unsigned long *vs = new unsigned long[scale];
+  for (i=0; i<scale; i++) vs[i] = 0;
+
+  double cp, hp, lp;
+  Calendar cal;
+  
+  pricefile << "Id|TradeDate|HighPrice|LowPrice|ClosePrice|OpenPrice|Volume" << endl;
+  splitfile << "Id|SplitDate|EntryDate|SplitFactor" << endl;
+  dividendfile << "Id|XdivDate|DivAmt|AnnounceDate" << endl;
+  
+  for (d=0;d<ndays; d++)
+   {
+     cal.nextWeekday();
+     for (k=0;k<scale;k++)
+      {
+        sprintf(id,"Security_%d", k);
+
+        if (op[k]==0.0) op[k] = rg(0,100);
+        if (minop[k]==0.0) minop[k] = op[k];
+        
+        if (vs[k]==0) vs[k] = rg();
+        else vs[k] = vs[k]*(100.0+rg(-10,+10))/100.0;
+
+        int skew = rg(0,+2);
+        double f = (100.0 + rg(-2,3+skew))/100.0;
+        cp = op[k] * f;
+        hp = max(op[k], cp) * (100.0+rg(0,+10))/100.0;
+        lp = min(op[k], cp) * (100.0-rg(0,+10))/100.0;
+
+        pricefile << id;
+        pricefile << "|" << cal;
+        pricefile << "|" << hp;
+        pricefile << "|" << lp;
+        pricefile << "|" << cp;
+        pricefile << "|" << op[k];
+        pricefile << "|" << vs[k];
+        pricefile << endl;
+        
+        op[k] = cp;
+
+
+        // check splits
+        if (op[k] > 2.0*minop[k]) 
+         {
+           int splitfactor = rg(1,4);
+           op[k] /= (double)splitfactor;
+           vs[k] *= splitfactor;
+           
+           splitfile << id;
+           splitfile << "|" << cal;
+           splitfile << "|" << cal;
+           splitfile << "|" << splitfactor;
+           splitfile << endl;
+         }
+         
+         // check dividends
+         if (op[k] > minop[k]) 
+          {
+            // dividend as a fraction of current closing price
+            double dividend = (rg(1, 100) / 100.0) * cp;
+           
+            dividendfile << id;
+            dividendfile << "|" << cal;
+            dividendfile << "|" << dividend;
+            // assumes announced and disbursed same day, 
+            // queries can be trivially modified to do away with this assumption
+            dividendfile << "|" << cal; 
+            dividendfile << endl;
+          }
+      }
+      
+      
+   }
+  splitfile.close();
+  pricefile.close();
+  dividendfile.close();
+}
+
+
+#endif

tests/datagen_jose/makefile

@@ -0,0 +1,20 @@
+.PHONY: clean
+
+all: histgen tickgen
+
+clean:
+	rm -rf *.o histgen tickgen
+	
+%.o: %.C
+	g++-12 -Ofast -march=native -g -c $<
+
+tickgen: cal.o Time.o tickgen.o
+	g++-12 -lstdc++ -Ofast -march=native -flto -o tickgen cal.o Time.o tickgen.o
+
+histgen: cal.o histgen.o 
+	g++-12 -lstdc++ -Ofast -flto -march=native -o histgen cal.o histgen.o
+
+timetest: Time.o timetest.o
+	g++-12 -lstdc++ -g -o timetest Time.o timetest.o
+
+

tests/datagen_jose/tickgen.C

@@ -0,0 +1,197 @@
+// cmvc_id = %Z% %W% %I% %E% %U%
+
+#ifndef histgenIMPLEMENTATION
+#define histgenIMPLEMENTATION
+
+#include <stdlib.h>
+#include <stdio.h>
+#include <unistd.h>
+#include <iostream>
+#include <fstream>
+#include <sys/time.h>
+
+#include "RandGen.H"
+#include "cal.H"
+#include "Time.H"
+
+using namespace std;
+
+inline int max(int a, int b) 
+{
+  return (a>b)?a:b;
+}
+
+inline int min(int a, int b) 
+{
+  return (a<b)?a:b;
+}
+
+int main(int ac, char *av[])
+{
+  RandNumGen rg;
+  int i, j, d, k;
+  ofstream basefile("../../data/tick-base-file.csv");
+  ofstream pricefile("../../data/tick-price-file.csv");
+  
+
+  if (!basefile) 
+   {
+     cerr << "Cannot open base-file" << endl;
+     return 1;
+   }
+
+  if (!pricefile) 
+   {
+     cerr << "Cannot open price-file" << endl;
+     return 1;
+   }
+
+  if (ac < 2) 
+   {
+     cerr << "Usage: " << av[0] << " <n -scale> [t -ticks per day.Default=100] [d - no of days.Default=90]" << endl;
+     return 1;
+   }
+  
+  int n=0,t=100,days=90;
+  
+  if (ac >= 2) n = atoi(av[1]);
+  if (ac >= 3) t = atoi(av[2]);
+  if (ac >= 4) days = atoi(av[3]);
+     
+
+  int tps = (n*t)/28800; // ticks per second
+  tps++;
+  cout << "Ticks per second: " << tps << endl;
+
+  // Generation of base info
+  int nex = 5;
+  char *ex[] = { "NY", "O", "AM", "LN", "TK"};
+
+  int nsic = 10;
+  char *sic[] = { "COMPUTERS", "CHEMICALS", "FINANCIAL", "INDUSTRIAL", "PHARMACEUTICALS",
+                       "MEDICAL", "BANKING", "SOFTWARE", "ENTERTAINMENT", "CONSTRUCTION" };
+  
+  char *cu[] = { "USD", "DEM", "JPY", "FFR", "GBP"};
+  int ncu = 5;
+  
+  char *spr[] = { "AAA", "AA", "A", "BBB", "BB", "B", "CCC", "CC", "C"};
+  int nspr = 9;
+  
+
+  unsigned int rnum;
+  char id[100];
+  char descr[256];
+  char *crdate = "3/11/1999";
+
+  basefile << "Id | Ex | Descr | SIC | Cu" << endl;
+  
+  for (i=0; i<n; i++) 
+   {
+     sprintf(id,"Security_%d", i);
+     sprintf(descr, "'Financial security number: %d'", i);
+     
+     basefile << id;
+     basefile << " | " << ex[rg(0,nex)];
+     basefile << " | " << descr;
+     basefile << " | " << sic[rg(0,nsic)];
+     basefile << " | " << cu[rg(0, ncu)];
+     basefile << endl;
+   }
+  basefile.close();
+
+  
+  // generation of price info
+  double tick=1.0/32.0;
+  
+  // 1. gen the starting price of each security
+  double *bp = new double[n];
+  int *seq = new int[n];
+  
+  for (i=0;i<n;i++)
+   {
+     bp[i] = rg(0,100);
+     seq[i] = 0;
+   }
+  
+  Calendar cal;
+  Time tm("9:00:00");
+  cal.nextWeekday();
+  
+  pricefile << "Id | SeqNo | TradeDate | TimeStamp | Type" << endl;
+  
+  for (k=0;k<days; k++)
+   {
+     // for each second of the business day - 8*60*60
+     for(i=0;i<28800;i++) 
+      {
+        // generate the required ticks
+        for(j=0;j<tps;j++) 
+         {
+           //1. select a security
+           int sec = rg(0,n);
+           sprintf(id, "Security_%d", sec);
+           
+           //2.  select  if it is a trade, ask, bid
+           int tqb = rg(0,4);
+           switch (tqb) 
+            {
+            case 0: // trade
+            {
+              double tp = bp[sec];
+              int ts = rg(1,100) * 100;
+              pricefile << id;
+              pricefile << "|" << ++seq[sec];
+              pricefile << "|" << cal;
+              pricefile << "|" << tm;
+              pricefile << "|T" << endl;
+              break;
+            }
+            case 1: // ask
+            {
+              double ap = rg(0,4)*tick+bp[sec];
+              int as = rg(1,100) * 100;
+              pricefile << id;
+              pricefile << "|" << ++seq[sec];
+              pricefile << "|" << cal;
+              pricefile << "|" << tm;
+              pricefile << "|Q" << endl;
+              break;
+            }
+            case 2: // bid
+            {
+              int dir = (rg(3,10) > 5)? +1:-1;
+              bp[sec] = (dir*rg(0,3)*tick)+bp[sec];
+              int bs = rg(1,100) * 100;
+              pricefile << id;
+              pricefile << "|" << ++seq[sec];
+              pricefile << "|" << cal;
+              pricefile << "|" << tm;
+              pricefile << "|Q" << endl;
+              break;
+            }
+            case 3: // cancel/correct as a trade
+            {
+              if (rg(0,100)  < 5) break;
+              double tp = bp[sec];
+              int ts = rg(1,100) * 100;
+              pricefile << id;
+              pricefile << "|" << ++seq[sec];
+              pricefile << "|" << cal;
+              pricefile << "|" << tm;
+              pricefile << "|CT" << endl;
+              break;
+            }
+            default:
+              break;
+            }
+         }
+        // Go to the next second
+        tm++;
+      }         
+     cal.nextWeekday();
+   }
+  pricefile.close();
+}
+
+
+#endif

tests/stock.a

@@ -30,3 +30,4 @@ SELECT price, timestamp FROM stocks where price - timestamp > 1 and not (price*t
 SELECT max(price-mins(price))
 FROM stocks
    ASSUMING DESC timestamp
+