Where is the source file of an imported module?

from PackageABC.ParentModule import ChildModule

import inspect
print(inspect.getsourcefile(ChildModule))

#which would be in one of these paths
import sys
for p in sys.path:
    print(p)

kdb schema idea for market depth from bid ask streams

select lUnixts:last unixts, vwap:siz wavg price, desc price, siz idesc price, siz by unixts, sym from lp where side=`BID

basically, for each timetamp, sym, there's a list of prices, the corresponding list of size, liquidity provider, etc.

see http://code.kx.com/wiki/Cookbook/ProgrammingIdioms#How_do_I_extract_regular-size_vwap_series.3F for explanation

FD whitepapers:

1. http://code.kx.com/qref/wp/sample_aggregation_engine_for_market_depth.pdf
2. http://code.kx.com/pages/db/DB_Order_Book_a_kdb+_Intra-Day_Storage_and_Access_Methodology.pdf

How to select the row value associated with the max / min of a column?

http://code.kx.com/wiki/Cookbook/ProgrammingIdioms#How_can_I_extract_the_time_of_the_lowest_and_highest_prices.3F

one way to pivot table

trade table:

stock side amount
----------------------
`ibm b 100
`ibm s 200
`appl b 300

-- sql server syntax
select stock, sum(iif(side='b', amount, 0)) as b, sum(iif(side='s', amount, 0)) as s
 from trade
 group by stock;

stock b s
------------------
`ibm 100 200
`aapl 300 0

Column names as parameters to functions

http://code.kx.com/wiki/Cookbook/ProgrammingIdioms#Column_names_as_parameters_to_functions

How many times do u expect to roll a die b4 getting two consecutive sixes?

No, it's not 36!

http://www.wikihow.com/Calculate-an-Expected-Value#Calculating_an_Expected_Number_of_Coin_Flips_for_a_Specific_Result_sub

Conditional Probability - a visualization

No need to remember the formula.  Instead, understand it and u can derive it.

Looking at the diagram above, 

• Omega is the entire probability space.  [rectangle]
• Event A is a subset of Omega with probability of happening P(A). [left circle]
• Event B is a subset of Omega with probability of happening P(B).  [right circle]
• A intersect B is when A and B both happening. [middle ellipsis]

P(B|A) is 

• conditional prob of B given A
• ie knowing that A has happened, it is the chance of B happening

What does it really mean?

1. knowing that A has happened -> the prob space has shrunk from Omega [rectangle] to P(A) [red circle]
2. the chance of B happening left is A intersect B [middle ellipsis]
3. note that we don't look at the rest of P(B) [outside of red circle] anymore, since it's outside of the realm of possibility knowing that A has happened.

Picturing the diagram in your mind, you will figure out that

• Given A has happened, chance of B happening is [middle ellipsis] divided by [red circle]
• ie P(B|A) = P(A intersect B) / P(A)

source:
https://courses.edx.org/courses/course-v1:MITx+6.008.1x+3T2016/courseware/1__Probability_and_Inference/conditioning_on_events/