otp.oqd.sources#

class DescriptiveFields(start=utils.adaptive, end=utils.adaptive, symbol=utils.adaptive)#

Bases: onetick.py.core.source.Source

OneQuantData™ source to retrieve a time series of descriptive fields for a symbol. There will only be ticks on days when some field in the descriptive data changes. Output ticks will have fields: OID, END_DATE, COUNTRY, EXCH, NAME, ISSUE_DESC, ISSUE_CLASS, ISSUE_TYPE, ISSUE_STATUS, SIC_CODE, IDSYM, TICKER, CALENDAR.

Note: currently actual fields have 9999 year in END_DATE, but it could not fit the nanosecond timestamp, so it is replaced with 2035-01-01 date.

Examples

>>> src = otp.oqd.sources.DescriptiveFields()  
>>> otp.run(src,  
...         symbols='1000001589',
...         start=otp.dt(2020, 3, 1),
...         end=otp.dt(2023, 3, 2),
...         timezone='GMT').iloc[:6]
        Time         OID    END_DATE COUNTRY  EXCH                NAME                   ISSUE_DESC                 ISSUE_CLASS ISSUE_TYPE ISSUE_STATUS SIC_CODE    IDSYM TICKER CALENDAR
0 2020-03-01  1000001589  2020-03-23     LUX  EL^X  INVESTEC GLOBAL ST   EUROPEAN HIGH YLD BD INC 2                FUND                  NORMAL           B2PT4G9
1 2020-03-23  1000001589  2020-04-01     LUX  EL^X  NINETY ONE LIMITED   EUROPEAN HIGH YLD BD INC 2                FUND                  NORMAL           B2PT4G9
2 2020-04-01  1000001589  2021-01-01     LUX  EL^X  NINETY ONE LUX S.A   EUROPEAN HIGH YLD BD INC 2                FUND                  NORMAL           B2PT4G9
3 2021-01-01  1000001589  2021-06-18     LUX  EL^X  NINETY ONE LUX S.A   EUROPEAN HIGH YLD BD INC 2                FUND                  NORMAL           B2PT4G9
4 2021-06-18  1000001589  2022-01-01     LUX  EL^X  NINETY ONE LUX S.A  GSF GBL HIGH YLD A2 EUR DIS                FUND                  NORMAL           B2PT4G9
5 2022-01-01  1000001589  2022-01-28     LUX  EL^X  NINETY ONE LUX S.A  GSF GBL HIGH YLD A2 EUR DIS                FUND                  NORMAL           B2PT4G9
Parameters
class OHLCV(start='all', end=utils.adaptive, symbol=utils.adaptive)#

Bases: onetick.py.core.source.Source

OneQuantData™ source to retrieve a time series of unadjusted prices for a symbol for one particular pricing exchange of daily OHLCV data. Output ticks have fields: OPEN, HIGH, LOW, CLOSE, VOLUME, CURRENCY, EXCH.

Parameters

exch (str, ‘all’, ‘main’) –

The OneQuantData exchange code for the desired price series. Possible values:

  • ’all’ return data for all exchanges;

  • ’main’ return data main pricing exchange;

  • any other string value will treated as exchange name to filter data.

Default: ‘all’.

Examples

>>> src = otp.oqd.sources.OHLCV(exch="USPRIM")  
>>> otp.run(src,  
...         symbols='BTKR::::GOOGL US',
...         start=otp.dt(2018, 8, 1),
...         end=otp.dt(2018, 8, 2),
...         symbol_date=otp.dt(2018, 8, 1))
                 Time    OID    EXCH CURRENCY     OPEN     HIGH      LOW    CLOSE    VOLUME
0 2018-08-01 00:00:00  74143  USPRIM      USD  1242.73  1245.72  1225.00  1232.99  605680.0
1 2018-08-01 20:00:00  74143  USPRIM      USD  1219.69  1244.25  1218.06  1241.13  596960.0
Parameters
class CorporateActions(start=utils.adaptive, end=utils.adaptive, symbol=utils.adaptive)#

Bases: onetick.py.core.source.Source

OneQuantData™ source EP to retrieve a time series of corporate actions for a symbol.

This source will return all corporate action fields available for a symbol with EX-Dates between the query start time and end time. The timestamp of the series is equal to the EX-Date of the corporate action with a time of 0:00:00 GMT.

Examples

>>> src = otp.oqd.sources.CorporateActions()  
>>> otp.run(src,  
...         symbols='TDEQ::::AAPL',
...         start=otp.dt(2021, 1, 1),
...         end=otp.dt(2021, 8, 6),
...         symbol_date=otp.dt(2021, 2, 18),
...         timezone='GMT')
        Time   OID  ACTION_ID    ACTION_TYPE  ACTION_ADJUST ACTION_CURRENCY  ANN_DATE   EX_DATE  PAY_DATE  REC_DATE                       TERM_NOTE TERM_RECORD_TYPE ACTION_STATUS
0 2021-02-05  9706   16799540  CASH_DIVIDEND          0.205             USD  20210127  20210205  20210211  20210208          CASH:0.205@USD                         NORMAL
1 2021-05-07  9706   17098817  CASH_DIVIDEND          0.220             USD  20210428  20210507  20210513  20210510           CASH:0.22@USD                         NORMAL
2 2021-08-06  9706   17331864  CASH_DIVIDEND          0.220             USD  20210727  20210806  20210812  20210809           CASH:0.22@USD                         NORMAL
Parameters
class SharesOutstanding(start=otp.utils.adaptive, end=otp.utils.adaptive, symbol=otp.utils.adaptive)#

Bases: onetick.py.core.source.Source

Logic is implemented in OQD_SOURCE_SHO EP to retrieve a time series of shares outstanding for a stock.

The source retrieves a time series of shares outstanding for a stock. This source only applies to stocks or securities that have published shares outstanding data.

The series represents total shares outstanding and is not free float adjusted.

Note: currently actual fields have 9999 year in END_DATE, but it could not fit the nanosecond timestamp, so it is replaced with 2035-01-01 date.

Examples

>>> src = otp.oqd.sources.SharesOutstanding()  
>>> otp.run(src,  
...         symbols='TDEQ::::AAPL',
...         start=otp.dt(2021, 1, 1),
...         end=otp.dt(2021, 8, 6),
...         symbol_date=otp.dt(2021, 2, 18),
...         timezone='GMT')
        Time   OID   END_DATE REPORT_MONTH        SHARES
0 2021-01-01  9706 2021-01-06       202009  1.700180e+10
1 2021-01-06  9706 2021-01-29       202009  1.682326e+10
2 2021-01-29  9706 2021-05-03       202012  1.678810e+10
3 2021-05-03  9706 2021-07-30       202103  1.668763e+10
4 2021-07-30  9706 2021-10-29       202106  1.653017e+10
Parameters