mskewTopN

mskewTopN(X, S, window, top, [biased=true], [ascending=true], [tiesMethod='latest'])

Please see mTopN for the parameters and windowing logic.

biased (optional) is a Boolean value indicating whether the result is biased. The default value is true, meaning the bias is not corrected.

Within a sliding window of given length (measured by the number of elements), the function stably sorts X by S in the order specified by ascending, then calculates the moving skewness of the first top elements.

Return value: DOUBLE type.

X=1 2 3 10 100 4 3
S = 0.3 0.5 0.1 0.1 0.5 0.2 0.4
mskewTopN(X, S, 6, 4)
// output
[,0,0,1.01,1.13,0.79,1.08]

X = matrix(1..10, 11..20)
S = matrix(2022.01.01 2022.02.03 2022.01.23 NULL 2021.12.29 2022.01.20 2022.01.23 2022.01.22 2022.01.24 2022.01.24, NULL 2022.02.03 2022.01.23 2022.04.06 NULL 2022.02.03 2022.02.03 2022.02.05 2022.02.08 2022.02.03)
mskewTopN(X, S, 6, 4)

// output
col1  col2

0
0       0
0       0
0.4347  0
-0.278  0.4347
-0.4347 0
0       -0.6872
0       0
0       0.4347


symbol = ["A","A","A","B","A","A","B","A","A","B","B","B","A","B","A","B","B","A","B","A"]
time = temporalAdd(2023.07.03T09:30:00.000,[10,20,40,60,70,80,90,140,160,170,180,190,200,210,220,230,250,360,390,400],"ms")
price = [28.11,28.25,28.44,52.31,28.98,28.89,52.22,28.16,28.52,52.62,52.56,52.2,28.01,52.43,28.57,52.42,52.19,28.16,52.84,28.18]
qty = [1900,3300,100,3000,3500,800,3400,4400,3900,4600,2200,2100,2300,4100,400,300,3100,2500,1000,2700]
BSFlag = [1,0,1,1,0,0,1,0,0,0,0,1,0,1,0,0,1,1,1,1]
t = table(time, symbol, price, qty, BSFlag)
select time,symbol,BSFlag,mskewTopN(price, qty, 8, 5) as mskewTop5Price from t context by symbol,BSFlag

Related function: mskew