FinQL: A Query Language for Big Data in Finance
Algorithmic Finance, Forthcoming
58 Pages Posted: 4 Nov 2015 Last revised: 17 Nov 2015
Date Written: November 3, 2015
This paper presents the design rationale and specifications for FinQL, a new, domain specific, query language that addresses the complexities of time series data, research idea articulation, and backtesting in finance. The language empowers end users by enabling them to write queries in a syntax similar to the natural language used in the domain. We present the underlying domain model, define the structure and syntax of FinQL, and show how it enables both longitudinal and cross-sectional analysis as well as some automation of the research process. We demonstrate the expressive power of FinQL through examples and extend it to activity-based and range-based series.
Keywords: query language, trading strategy, backtesting
JEL Classification: C63, C87
Suggested Citation: Suggested Citation