otp.agg.ob_num_levels#

ob_num_levels(running=False, bucket_interval=0, side=None, book_uncross_method=None, dq_events_that_clear_book=None, max_initialization_days=1)#

Returns the number of levels in the order book at the end of each bucket.

Parameters

running (bool, default=False) –
Aggregation will be calculated as sliding window. running and bucket_interval parameters determines when new buckets are created.
- running = True
  
  aggregation will be calculated in a sliding window.
  - bucket_interval = N (N > 0)
    
    Window size will be N. Output tick will be generated when tick “enter” window (arrival event) and when “exit” window (exit event)
  - bucket_interval = 0
    
    Left boundary of window will be bound to start time. For each tick aggregation will be calculated in [start_time; tick_t].
- running = False
  
  buckets partition the [query start time, query end time) interval into non-overlapping intervals of size bucket_interval (with the last interval possibly of a smaller size). If bucket_interval is set to 0 a single bucket for the entire interval is created.
  
  Note that in non-running mode OneTick unconditionally divides the whole time interval into specified number of buckets. It means that you will always get this specified number of ticks in the result, even if you have less ticks in the input data.
Default: False
bucket_interval (int or datetime offset object, default=0) –
Determines the length of each bucket in seconds.

Bucket interval can be set via datetime offset objects like otp.Second, otp.Minute, otp.Hour, otp.Day. In this case it will be converted to seconds.
side (Literal['ASK', 'BID'], default=None) – Specifies whether the function is to be applied to sell orders (ASK), buy orders (BID), or both (empty).
book_uncross_method (Literal['REMOVE_OLDER_CROSSED_LEVELS'], default=None) – When set to “REMOVE_OLDER_CROSSED_LEVELS”, all ask levels that have price lower or equal to the price of a new bid tick get removed from the book, and all bid levels that have price higher or equal to the price of a new ask tick get removed from the book.
dq_events_that_clear_book (List[str], default=None) – A list of names of data quality events arrival of which should clear the order book.
max_initialization_days (int, default=1) – This parameter specifies how many days back book event processors should go in order to find the latest full state of the book. The query will not go back resulting number of days if it finds initial book state earlier. When book event processors are used after VIRTUAL_OB EP, this parameter should be set to 0. When set, this parameter takes precedence over the configuration parameter BOOKS.MAX_INITIALIZATION_DAYS.

Note

This EP supports only seconds as bucket_interval.

Examples

Basic example

>>> data = otp.DataSource(db='SOME_DB', tick_type='PRL', symbols='AA')  
>>> data = otp.agg.ob_num_levels(bucket_interval=otp.Second(300)).apply(data)  
>>> otp.run(data) 
                     Time  ASK_VALUE  BID_VALUE
0 2003-12-01 00:05:00.000        243         74
1 2003-12-01 00:10:00.000        243         74
2 2003-12-01 00:15:00.000        208         45
...