otp.Source.trd_vs_mid#

Source.trd_vs_mid(qte, relationship_to_mid='ge', *, discard_on_match=False)#

Propagates trade ticks based on the comparison of their price to the prevailing mid-quote at the time.

Mid-quote is calculated as (ASK_PRICE + BID_PRICE) / 2.

This method expects two sources as its input: source of trades (self) and source of quotes (qte). Ticks of trades source should have the PRICE field, ticks of qte source should have the ASK_PRICE and BID_PRICE fields.

Parameters:

qte (Source) – The source of quotes.
relationship_to_mid (str) –
Relationship to check between the price of the trade and the prevailing mid-quote. Supported values:
- lt (less),
- le (less or equal),
- eq (equal),
- ne (not equal),
- ge (greater or equal),
- gt (greater).
Default: ge.
discard_on_match (bool) – If this parameter is False (default), only ticks that match the filter will be propagated. Otherwise ticks that match the filter will be discarded.
self (Source)

Return type:

Source

Examples

Propagate only the trades with price greater or equal to the prevailing mid-quote:

>>> trd = otp.DataSource('US_COMP_SAMPLE', tick_type='TRD', symbols='AAPL')
>>> trd = trd[['PRICE', 'SIZE']]
>>> qte = otp.DataSource('US_COMP_SAMPLE', tick_type='QTE', symbols='AAPL')
>>> qte = qte[['ASK_PRICE', 'BID_PRICE']]
>>> data = trd.trd_vs_mid(qte)
>>> data = data.limit(5)
>>> otp.run(data, date=otp.dt(2024, 2, 1), timezone='America/New_York')
                           Time   PRICE  SIZE
0 2024-02-01 04:00:00.008283417  186.50     6
1 2024-02-01 04:00:00.012928231  185.68    11
2 2024-02-01 04:00:00.012930606  185.68    10
3 2024-02-01 04:00:00.012947024  185.68    23
4 2024-02-01 04:00:00.012987210  185.72     5

Propagate only the trades with price below the prevailing mid-quote:

>>> trd = otp.DataSource('US_COMP_SAMPLE', tick_type='TRD', symbols='AAPL')
>>> trd = trd[['PRICE', 'SIZE']]
>>> qte = otp.DataSource('US_COMP_SAMPLE', tick_type='QTE', symbols='AAPL')
>>> qte = qte[['ASK_PRICE', 'BID_PRICE']]
>>> data = trd.trd_vs_mid(qte, 'lt')
>>> data = data.limit(5)
>>> otp.run(data, date=otp.dt(2024, 2, 1), timezone='America/New_York')
                           Time   PRICE  SIZE
0 2024-02-01 04:00:00.008290927  185.59     1
1 2024-02-01 04:00:00.008291153  185.49   107
2 2024-02-01 04:00:00.010381671  185.49     1
3 2024-02-01 04:00:00.011224206  185.50     2
4 2024-02-01 04:00:00.011671193  185.50     1