FinQL: A Query Language for Big Data in Finance

Algorithmic Finance, Forthcoming

58 Pages Posted: 4 Nov 2015 Last revised: 17 Nov 2015

See all articles by Julian Mulla

Julian Mulla

Illinois Institute of Technology

Ben Van Vliet

Illinois Institute of Technology - Stuart School of Business

Date Written: November 3, 2015

Abstract

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

Mulla, Julian and Van Vliet, Ben, FinQL: A Query Language for Big Data in Finance (November 3, 2015). Algorithmic Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2685769 or http://dx.doi.org/10.2139/ssrn.2685769

Julian Mulla

Illinois Institute of Technology ( email )

Stuart Graduate School of Business
565 W. Adams St.
Chicago, IL 60661
United States

Ben Van Vliet (Contact Author)

Illinois Institute of Technology - Stuart School of Business ( email )

Stuart Graduate School of Business
565 W. Adams St.
Chicago, IL 60661
United States

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