.. _ray-examples: Ray usage examples ================== .. _ray-example-function: Example remote function ::::::::::::::::::::::: .. code-block:: python import ray import onetick.py as otp # Special decorator to run code remotely @ray.remote(max_retries=1) def example_otp_code(): # here goes OTP code you want to run data = otp.DataSource(db='US_COMP_SAMPLE', tick_type='TRD', start=otp.dt(2024, 2, 1), end=otp.dt(2024, 2, 2)) data['VOLUME'] = data['PRICE'] * data['SIZE'] return otp.run(data) # Initialize Ray connection ray.init() # Run your code on Ray and get results back df = ray.get(example_otp_code.remote()) # Shutdown Ray connection ray.shutdown() # Continue using df just as local pandas.DataFrame object print(df.head()) :: Time EXCHANGE COND STOP_STOCK SOURCE TRF TTE TICKER PRICE ... TICK_STATUS SIZE CORR SEQ_NUM TRADE_ID PARTICIPANT_TIME TRF_TIME OMDSEQ VOLUME 0 2024-02-01 00:00:00.048190824 Q @ TI N 0 AAPL 185.12 ... 0 1 0 7036146 132606 2024-02-01 00:00:00.048173690 1970-01-01 01:00:00 0 185.12 1 2024-02-01 00:00:00.048193652 Q @ TI N 0 AAPL 185.15 ... 0 2 0 7036147 132607 2024-02-01 00:00:00.048173690 1970-01-01 01:00:00 1 370.30 2 2024-02-01 00:00:00.048196114 Q @ TI N 0 AAPL 185.15 ... 0 4 0 7036148 132608 2024-02-01 00:00:00.048173690 1970-01-01 01:00:00 2 740.60 3 2024-02-01 00:00:00.048225536 K @ TI N 1 AAPL 185.15 ... 0 20 0 7036149 42210 2024-02-01 00:00:00.048014000 1970-01-01 01:00:00 3 3703.00 4 2024-02-01 00:00:00.048550857 P @ TI N 0 AAPL 185.15 ... 0 2 0 7036150 48700 2024-02-01 00:00:00.048207295 1970-01-01 01:00:00 4 370.30 Example function with arguments ::::::::::::::::::::::::::::::: You may define arguments for remote functions and call it similarly with specific arguments. The only difference is that you must put arguments inside ``function.remote()`` method. .. code-block:: python import ray import onetick.py as otp # Remote function with arguments @ray.remote(max_retries=1) def get_BBO_offset(start, num_orders, offset): # basic setup of onetick.py inside remote function import onetick.py as otp otp.config.default_symbol = 'NQ\H22' # Create order flow. # In practice, it can be take from a CSV file for from a DataFrame. order = otp.Ticks(timezone_for_time='EST5EDT', start=start, end=start + otp.Hour(1), offset = [otp.Milli(x * 500) for x in range(0, num_orders)], ID = [x for x in range (0, num_orders)]) order['ARRIVAL'] = order['Time'] order['SYMBOL'] = 'NQ\H22' q = order.join_with_query( otp.DataSource('CME', tick_type='QTE', back_to_first_tick=600), symbol=(order['SYMBOL']), start_time=order['ARRIVAL'] + otp.Milli(int(offset * 1000)), end_time=order['ARRIVAL'] + otp.Milli(int(offset * 1000)), ) return otp.run(q) # Initialize Ray connection ray.init() # Call remote function with specific arguments df = ray.get(get_BBO_offset.remote(start=otp.dt(2022, 3, 2, 10), num_orders=5, offset=.5)) print(df.head()) # Call it again with other arguments df_other_arguments = ray.get(get_BBO_offset.remote(start=otp.dt(2022, 3, 2, 10), num_orders=10, offset=-2)) print(df_other_arguments.head()) # Shutdown Ray connection ray.shutdown() :: Time ID ARRIVAL SYMBOL BID_PRICE BID_SIZE BID_NUM_ORDERS BID_SIZE_IMPLIED ASK_PRICE ASK_SIZE ASK_NUM_ORDERS ASK_SIZE_IMPLIED OMDSEQ 0 2022-03-02 10:00:00.000 0 2022-03-02 10:00:00.000 NQ\H22 14076.75 3 3 0 14077.75 1 1 0 1 1 2022-03-02 10:00:00.500 1 2022-03-02 10:00:00.500 NQ\H22 14084.00 1 1 0 14084.75 1 1 0 4 2 2022-03-02 10:00:01.000 2 2022-03-02 10:00:01.000 NQ\H22 14083.75 2 2 0 14084.75 1 1 0 4 3 2022-03-02 10:00:01.500 3 2022-03-02 10:00:01.500 NQ\H22 14080.25 4 3 0 14081.25 3 2 0 1 4 2022-03-02 10:00:02.000 4 2022-03-02 10:00:02.000 NQ\H22 14078.25 1 1 0 14079.00 3 3 0 1 Time ID ARRIVAL SYMBOL BID_PRICE BID_SIZE BID_NUM_ORDERS BID_SIZE_IMPLIED ASK_PRICE ASK_SIZE ASK_NUM_ORDERS ASK_SIZE_IMPLIED OMDSEQ 0 2022-03-02 10:00:00.000 0 2022-03-02 10:00:00.000 NQ\H22 14079.25 1 1 0 14080.00 2 2 0 10 1 2022-03-02 10:00:00.500 1 2022-03-02 10:00:00.500 NQ\H22 14079.50 1 1 0 14080.25 1 1 0 7 2 2022-03-02 10:00:01.000 2 2022-03-02 10:00:01.000 NQ\H22 14080.00 1 1 0 14080.75 2 2 0 1 3 2022-03-02 10:00:01.500 3 2022-03-02 10:00:01.500 NQ\H22 14073.25 1 1 0 14074.00 1 1 0 1 4 2022-03-02 10:00:02.000 4 2022-03-02 10:00:02.000 NQ\H22 14075.25 1 1 0 14076.00 1 1 0 4 Limitations ::::::::::: Remote run approach leads to some usage limitations: - You cannot use custom/imported modules inside remote functions - compute all arguments before calling remote function. - Ray instance is isolated from global Internet. - Run only ``onetick.py`` specific code to reduce Ray instance resource (memory, CPU) consumption. - You cannot use file pointers as arguments - call remote functions with file content as argument. .. _apply-remote-context: Using apply() method in remote context -------------------------------------- Technical implementation of :doc:`/api/source/apply` method requires user to use :doc:`/api/misc/remote` decorator with functions and lambda expressions that will be used as arguments to :doc:`/api/source/apply` method. .. code-block:: python import ray import onetick.py as otp @otp.remote def match_condition(row): if row['COND'].str.contains('O'): return 1 if row['COND'].str.contains('6') == True: return 1 if row['COND'].str.contains('9') == True: return 1 else: return 0 @ray.remote(max_retries=1) def quicktest(start, end, symbol): ds_trd = otp.DataSource(db='US_COMP_SAMPLE', tick_type='TRD', start=start, end=end) ds_trd.schema['COND'] = str ds_trd['OC_TRD'] = ds_trd.apply(match_condition) return otp.run(ds_trd, symbol=[symbol]) start = otp.dt(2024, 2, 1, 9, 29) end = otp.dt(2024, 2, 1, 16, 30) symbol = 'AAPL' ray.init() result = ray.get(quicktest.remote(start, end, symbol)) print(result) ray.shutdown()