lua_pattern

Using Lua to Identify Trading Patterns in a Stock Market

Overview

This example demonstrates how to use a Lua-based Pattern window. The model identifies increases in a stock's price within a specific time interval.

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NOTE: Use this example with SAS Event Stream Processing 2024.03 and later.

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For more information about how to install and use example projects, see Using the Examples.

Source Data

The file stocktrades.csv contains stock trade data.

Workflow

The following figure shows the diagram of the project:

The model is stateless, that is, the index on the Source window has the type pi_EMPTY. Events are not retained in any window, and are transformed or passed through. This prevents the Pattern window from growing infinitely.

sourceWindow_01

Stock trades from the stocktrades.csv file enter the model in this Source window.

Explore the settings for this window:

1. Open the project in SAS Event Stream Processing Studio and select the sourceWindow_01 window.
2. In the right pane, expand State and Event Type. Observe the following settings:
   • The Window state and index field is set to Stateless (pi_EMPTY). This index does not store events.
   • The Accept only “Insert” events check box is selected. If a Source window precedes a Pattern window, the Source window must be specified as insert-only. This causes the Source window to reject any events with an opcode other than Insert, and permits an index type of pi_EMPTY to be used.
3. To examine the window's output schema, on the right toolbar, click . Observe the following fields:
   • ID: This field is the stock trade's ID, which is also selected as the key field.
   • symbol: This field is the stock symbol. A stock symbol is a series of letters that are assigned to a security for trading purposes.
   • currency: This field identifies the stock trade's currency.
   • udate: This field is a date. This field is present in the input data but is not used. This field is included in the output schema for completeness.
   • msecs: This field is a time. This field is present in the input data but is not used. This field is included in the output schema for completeness.
   • price: This field is the stock price.
   • quant: This field is the quantity of stock that is traded.
   • venue: This field is the stock exchange at which the stock is traded.
   • broker: This field is the stock broker.
   • buyer: This field is the buyer of the stock.
   • seller: This field is the seller of the stock.
   • buysellflg: This field is a flag that indicates whether the trade involves buying or selling stock.
   • trade_time: This field is the stock trade's timestamp.
4. Click .

patternWindow_01

Stock trade patterns are matched in this Pattern window.

Pattern windows are insert-only with respect to both their input windows and the output that they produce. As the input and output of a Pattern window are unbounded and insert-only, they are typically stateless windows (that is, windows with index type pi_EMPTY).

The patternWindow_01 window uses Lua code to define the events of interest (EOI) to be matched. The pattern consists of the following events of interest:

• Event 1: Occurrences of the stock symbol GMTC
• Event 2: Re-occurrences of the stock symbol GMTC where the price and quantity of the stock has gone up 50% compared to event 1
• Event 3: Re-occurrences of the stock symbol GMTC where the price and quantity of the stock has gone up 50% compared to event 2

In order for the pattern to be matched, all events of interest must occur within 200 milliseconds of each other.

Explore the settings for this window:

1. In the right pane, expand Patterns.

2. In the table in the Patterns section, select the pattern1 row and click .
   The Edit Pattern window is displayed, which enables you to view the pattern’s properties. The Edit Pattern window is a wizard with four pages.

3. On the Initialize page, observe the following settings:

   • In the Index fields field, the symbol field is selected. This field is part of the sourceWindow_01 window and forms an index generation function. All incoming events are grouped by the specified index. Specifying the symbol field as the index field means that the code on the Lua Code page does not need to specify this field in each Lua function.
   • The trade_time field is specified as the time field. This field is used to derive the time interval that is specified on the Logic Expression page of the wizard. If a time field is not specified, system time is used.

4. Click Next.

5. On the Lua Code page, view the code that specifies the EOI functions and an output function that are required for the pattern:

   Step	Lua Code Section
   The first EOI function, f1, identifies occurrences of the stock symbol GMTC.	function f1(event,context) if (event.symbol=="GMTC") then return true,{p0=event.price,q0=event.quant} end return false end
   The second EOI function, f2, identifies re-occurrences of the stock symbol GMTC where the price and quantity of the stock has gone up 50% compared to events identified by f1.	function f2(event,context) if (context.data.p0<event.price*1.5 and context.data.q0<event.quant*1.5) then return true,{p1=event.price,q1=event.quant} end return false end
   The third EOI function, f3, identifies re-occurrences of the stock symbol GMTC where the price and quantity of the stock has gone up 50% compared to events identified by f2.	function f3(event,context) return context.data.p1<event.price*1.5 and context.data.q1<event.quant*1.5 end
   The output function, called output, assigns unique IDs to returned events and injects them into the event stream. The output function references output fields called ID1, ID2, and ID3, which are specified in the project's output schema.	function output(context)--4 local event = {} event.ID1 = context.events.e1.ID event.ID2 = context.events.e2.ID event.ID3 = context.events.e3.ID return event end

6. Click Next.

7. On the Output and Events page, observe the following settings:

   • The Output function field is set to output. This output function is defined on the Lua Code page.
   • The pattern contains three EOIs. The event e1 is associated with the EOI function f1. The event e2 is associated with the EOI function f2. The event e3 is associated with the EOI function f3.The EOI functions are defined on the Lua Code page.
   • In this example, the Included Fields and Send Events columns are empty.
     • When the Included Fields column is empty, all Lua fields are passed to the event. When you select Lua fields in the Included Fields column, only those fields are passed to the event.
     • Selecting a check box in the Send Events column sends all previously matched events into the Lua function. It can be more efficient to not send all events into the function. The code that is specified in the Lua Code section window can put data into the pattern context. In that case, access to previous events is not needed when you define events.

8. Click Next.

9. On the Logic Expression page, observe that the pattern contains the following logic expression: fby{200 milliseconds}(e1, e2, e3)
   This logic expression specifies that e1 must occur to start a timer. Then e2, followed by e3, must occur within 200 milliseconds of e1. The time is based on the trade_time field, rather than system time, because this field was specified as the pattern's time field on the Initialize page.
   The logic expression does not use the Lua language.

Test the Project and View the Results

If you do not use the Install example button in SAS Event Stream Processing Studio, note that if you use the Publish button to publish events from the stocktrades.csv file into the sourceWindow_01 window, you must specify the following date format: %Y-%m-%d %H:%M:%S. For more information, see Publish Events from a CSV file.

When you test the project, the results for each window appear on separate tabs.

• The sourceWindow_01 tab lists the stock trades that are received from the input file.
• The patternWindow_01 tab lists the matched patterns. After a while, a total of 23 rows appear in this tab.

The following figure shows the results for the patternWindow01 tab:

You might see warnings in the Log pane about the sourceWindow_01 window being throttled. You can ignore these warnings.

Additional Resources

For more information, see SAS Help Center: Using Lua in a Pattern Window.