otp.Source.estimate_ts_delay#

Source.estimate_ts_delay(other, input_field1_name, input_field2_name, smallest_time_granularity_msec=1, max_ts_delay_msec=1000, bucket_interval=0, bucket_time='end', bucket_units=None, bucket_end_condition=None, end_condition_per_group=False, boundary_tick_bucket='new', group_by=None)#

Given two time series of ticks, computes how much delay the second series has in relation to the first. A negative delay should be interpreted as the first series being delayed instead.

The two series do not necessarily have to be identical with respect to the delay, nor do they have to represent the same quantity (i.e. be of the same magnitude). The only requirement to get meaningful results is that the two series be (linearly) correlated.

Output ticks always have 2 fields:

DELAY_MS, which is the computed delay in milliseconds, and

CORRELATION, which is the Zero-Normalized Cross-Correlation of the two time series after that delay is applied.

Parameters

other (Source) – The other source.
input_field1_name (str) – The name of the compared field from the first source.
input_field2_name (str) – The name of the compared field from the second source.
smallest_time_granularity_msec (int, default=1) – This method works by first sampling the source tick series with a constant rate. This is the sampling interval (1 / rate). As a consequence, any computed delay will be divisible by this value. It is important to carefully choose this parameter, as this method has a computational cost of O(N * log(N)) per bucket, where N = (duration_of_bucket_in_msec + max_ts_delay_msec) / smallest_time_granularity_msec. Default: 1.
max_ts_delay_msec (int, default=1000) – The known upper bound on the delay’s magnitude. The computed delay will never be greater than this value. Default: 1000.
bucket_interval (int or Operation or OnetickParameter or symbol parameter or datetime offset object, default=0) –
Determines the length of each bucket (units depends on bucket_units).

If Operation of bool type is passed, acts as bucket_end_condition.

Bucket interval can be set via datetime offset objects like otp.Second, otp.Minute, otp.Hour, otp.Day, otp.Month. In this case you could omit setting bucket_units parameter.

Bucket interval can also be set with integer OnetickParameter or symbol parameter.
bucket_time (Literal['start', 'end'], default=end) –
Control output timestamp.
- start
  
  the timestamp assigned to the bucket is the start time of the bucket.
- end
  
  the timestamp assigned to the bucket is the end time of the bucket.
bucket_units (Optional[Literal['seconds', 'ticks', 'days', 'months', 'flexible']], default=None) –
Set bucket interval units.

By default, if bucket_units and bucket_end_condition not specified, set to seconds. If bucket_end_condition specified, then bucket_units set to flexible.

If set to flexible then bucket_end_condition must be set.

Note that seconds bucket unit doesn’t take into account daylight-saving time of the timezone, so you may not get expected results when using, for example, 24 * 60 * 60 seconds as bucket interval. In such case use days bucket unit instead. See example in onetick.py.agg.sum().
bucket_end_condition (condition, default=None) –
An expression that is evaluated on every tick. If it evaluates to “True”, then a new bucket is created. This parameter is only used if bucket_units is set to “flexible”.

Also can be set via bucket_interval parameter by passing Operation object.
end_condition_per_group (bool, default=False) –
Controls application of bucket_end_condition in groups.
- end_condition_per_group = True
  
  bucket_end_condition is applied only to the group defined by group_by
- end_condition_per_group = False
  
  bucket_end_condition applied across all groups
This parameter is only used if bucket_units is set to “flexible”.

When set to True, applies to all bucketing conditions. Useful, for example, if you need to specify group_by, and you want to group items first, and create buckets after that.
boundary_tick_bucket (Literal['new', 'previous'], default=new) –
Controls boundary tick ownership.
- previous
  
  A tick on which bucket_end_condition evaluates to “true” belongs to the bucket being closed.
- new
  
  tick belongs to the new bucket.
This parameter is only used if bucket_units is set to “flexible”
group_by (list, str or expression, default=None) – When specified, each bucket is broken further into additional sub-buckets based on specified field values. If Operation is used then GROUP_{i} column is added. Where i is index in group_by list. For example, if Operation is the only element in group_by list then GROUP_0 field will be added.

Return type

Source

Examples

Calculating delay between the same sources will result in DELAY_MSEC equal to 0.0 and CORRELATION equal to 1.0: (Note that correlation method may return NaN values for smaller buckets):

import os
trd = otp.CSV(os.path.join(csv_path, 'trd.csv'))
other = trd.deepcopy()
data = trd.estimate_ts_delay(other, 'PRICE', 'PRICE', bucket_interval=10, bucket_time='start')
df = otp.run(data, start=otp.dt(2003, 12, 1, 9), end=otp.dt(2003, 12, 1, 10))
print(df)

                   Time  DELAY_MSEC  CORRELATION
 2003-12-01 09:00:00         0.0          1.0
 2003-12-01 09:00:10         0.0          1.0
 2003-12-01 09:00:20         0.0          1.0
 2003-12-01 09:00:30         0.0          1.0
 2003-12-01 09:00:40         0.0          1.0
..                  ...         ...          ...
2003-12-01 09:59:10         0.0          1.0
2003-12-01 09:59:20         0.0          1.0
2003-12-01 09:59:30         NaN          NaN
2003-12-01 09:59:40         0.0          1.0
2003-12-01 09:59:50         0.0          1.0

[360 rows x 3 columns]

Try changing timestamps of other time-series to see how delay values are changed:

import os
trd = otp.CSV(os.path.join(csv_path, 'trd.csv'))
other = trd.deepcopy()
other['TIMESTAMP'] += otp.Milli(5)
data = trd.estimate_ts_delay(other, 'PRICE', 'PRICE', bucket_interval=10, bucket_time='start')
df = otp.run(data, start=otp.dt(2003, 12, 1, 9), end=otp.dt(2003, 12, 1, 10))
print(df)

                   Time  DELAY_MSEC  CORRELATION
 2003-12-01 09:00:00        -5.0          1.0
 2003-12-01 09:00:10        -5.0          1.0
 2003-12-01 09:00:20        -5.0          1.0
 2003-12-01 09:00:30        -5.0          1.0
 2003-12-01 09:00:40        -5.0          1.0
..                  ...         ...          ...
2003-12-01 09:59:10        -5.0          1.0
2003-12-01 09:59:20        -5.0          1.0
2003-12-01 09:59:30         NaN          NaN
2003-12-01 09:59:40        -5.0          1.0
2003-12-01 09:59:50        -5.0          1.0

[360 rows x 3 columns]

Try filtering out some ticks from other time-series to see how delay and correlation values are changed:

import os
trd = otp.CSV(os.path.join(csv_path, 'trd.csv'))
other = trd.deepcopy()
other = other[::2]
data = trd.estimate_ts_delay(other, 'PRICE', 'PRICE', bucket_interval=10, bucket_time='start')
df = otp.run(data, start=otp.dt(2003, 12, 1, 9), end=otp.dt(2003, 12, 1, 10))
print(df)

                   Time  DELAY_MSEC  CORRELATION
 2003-12-01 09:00:00         0.0     1.000000
 2003-12-01 09:00:10         0.0     1.000000
 2003-12-01 09:00:20         0.0     1.000000
 2003-12-01 09:00:30         0.0     0.999115
 2003-12-01 09:00:40     -1000.0     0.706111
..                  ...         ...          ...
2003-12-01 09:59:10         0.0     0.983786
2003-12-01 09:59:20         0.0     1.000000
2003-12-01 09:59:30         NaN          NaN
2003-12-01 09:59:40      -306.0     0.680049
2003-12-01 09:59:50         0.0     0.752731

[360 rows x 3 columns]