Participation weighted price (PWP)
==================================

The `PWP` is calculated as the market VWAP of trades starting from the order arrival time up to the trade that reaches the cumulative volume of y/x, where y is the order quantity and x is the participation percentage. Here's how it's done:

.. testcode::

    import onetick.py as otp

    # Define your symbols, orders database, and date
    symbol = 'TSLA'
    orders_db = 'ORDERS_DB'
    trades_db = 'US_COMP_SAMPLE'
    date = otp.dt(2024, 2, 1)

    # Participation ratios
    ratios = [0.01, 0.03, 0.07]

    def pwp_query(volume):
        """ Function to find necessary VWAP based on the qty of the order."""
        # Get trades from the specified trades database
        trades = otp.DataSource(db=trades_db, tick_type='TRD')
        trades = trades.table(**{'PRICE': float, 'SIZE': int})

        # Aggregate trades to get VWAP using running aggregation
        trades = trades.agg({'VWAP': otp.agg.vwap(price_column='PRICE', size_column='SIZE'),
                             'VOLUME': otp.agg.sum('SIZE')},
                            running=True,
                            all_fields=True)

        # Calculate PWP for each ratio
        for ratio in ratios:
            state_name = str(ratio).replace('.', '')
            trades.state_vars[state_name] = otp.state.var(otp.nan, scope='all_outputs')

            trades = trades.update({
                    trades.state_vars[state_name]: trades['VWAP'],
                }, where=(trades['VOLUME'] <= volume / ratio))

        # Get the last trade to save results from state variables
        res = trades.last(keep_timestamp=False)
        to_output = []
        for ratio in ratios:
            pwp_name = 'PWP_' + str(ratio).replace('.', '_')
            state_name = str(ratio).replace('.', '')

            # Put values from state variables into resulting tick
            res[pwp_name] = res.state_vars[state_name]
            to_output.append(pwp_name)

        res = res[to_output]
        return res

    # Load orders data
    orders = otp.DataSource(db=orders_db, tick_type='ORDER', symbol=symbol)

    # Aggregate orders to calculate total executed quantity and arrival time
    orders_agg = orders.agg({'QTY_FILLED': otp.agg.sum('QTY_FILLED'),
                             'ARRIVAL_TIME': otp.agg.first_time()},
                             group_by='ID')

    # Join PWP values to every order using total order executed value (QTY_FILLED)
    # starting from the ARRIVAL_TIME. The logic in `pwp_query` accumulates ticks
    # until it reaches the necessary market volume.
    result = orders_agg.join_with_query(pwp_query,
                                        params={'volume': orders_agg['QTY_FILLED']},
                                        start=orders_agg['ARRIVAL_TIME'])

    # Run the query for the specified date
    df = otp.run(result, date=date)