1.
QuantCon
“Light Up Your Dark Data”
April 2016

2.
What is dark data?
2
SQL
CSV
REST
JSON
SQL
CSV
REST
JSON
SQL
CSV
SQL
CSV

3.
Example Datasets
3
Trade
History
Signal
History
Clearing
Data
Log Files
Ref
Data
Corp
Actions
Market
Data
Models
Firm Generated Vendor Generated

4.
Compounding Challenges
Accumulates
Quickly
Disparate Storage
Different
Vendors
Format Changes
Ad-hoc Usage
Urgent!
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5.
Workflow
Find Data
Ad-Hoc
ETL
Store /
Copy
Analysis
Report
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6.
Sample Environment
6
Oracle MySQL MSSQL KDB ZIPCSV
SQL
Python
DSL
R Matlab
C++ Java
Storage
ETL
Analysis
REST

7.
Independent First Class Citizens
7
Expression
ComputeData

8.
Datashape
8
Structured data description language
http://datashape.pydata.org

9.
Datashape Example
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daily_bars: var * {
date: string,
symbol: string,
open: float64,
high: float64,
low: float64,
close: float64,
volume: int64,
}
Language, compute, and storage independent

10.
Blaze
10
Write expressions independent of storage system
Push computations to the data
Lazy evaluation
Pandas-like API

11.
Blaze
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http://blaze.pydata.org/

12.
Blaze Expressions
12

13.
Flat File Repositories
13
Many directories and files
Dictated structure
Naming convention part of dataset
Requires one off ad-hoc scripts

14.
Vendor - directory structure
/daily/us/nasdaq stocks/
/daily/us/nasdaq stocks/1/
/daily/us/nasdaq stocks/2/
osn.us.txt
ostk.us.txt
…
zyne.us.txt
/daily/us/nyse etfs/
/daily/us/nyse stocks/1/
/daily/us/nyse stocks/2/
Contains ~8400 individual files
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15.
Vendor – file contents
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Date,Open,High,Low,Close,Volume,OpenInt
20151111,18.5,25.9,18,24.5,1584600,0
20151112,24.25,27.12,22.5,25,83000,0
20151113,25.47,26.2,24.55,25.26,67300,0
20151116,25.01,26.19,24.13,25.02,16900,0
20151117,24.46,25.51,24.38,24.62,25900,0
20151118,24.62,26.31,24.06,25,111100,0
20151119,24.85,26,24.71,25.9,113100,0
…
Symbol is not contained within the individual data files
/daily/us/nasdaq stocks/1/aaap.us.txt

16.
Lux
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source: "lux://global-equities/data/daily/us/nasdaq stocks"
extractor: "{}/{Symbol}.{Region}.txt"
Date,Open,High,Low,Close,Volume,OpenInt,Symbol,Region
20151111,18.5,25.9,18,24.5,1584600,0,aaap,us
20151112,24.25,27.12,22.5,25,83000,0,aaap,us
20151113,25.47,26.2,24.55,25.26,67300,0,aaap,us
…
20160322,11.56,11.98,10.8894,11.09,517604,0,zyne,us
20160323,11.3,11.72,9.5,9.75,489743,0,zyne,us
20160324,9.5,10.24,9.22,9.64,188512,0,zyne,us
One dataset with ~5.5 million rows

17.
Lux Benefits
17
Combines individual files
No separate ETL or storage
Names become part of data
Optimized compute

18.
Anaconda Mosaic
18
Interactive exploration
Intuitive interface
Advanced visualizations
Catalog of datasets and expressions
Provenance and Governance

19.
Live Walkthrough
19

20.
Project References
• Anaconda Mosaic -
http://know.continuum.io/Anaconda-Mosaic
• Blaze Ecosystem - http://blaze.pydata.org
• Bokeh - http://bokeh.pydata.org
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