otp.Source.volume_limit#

Source.volume_limit(max_volume, *, propagate_tick_at_crossed_boundary=False, discard_on_match=False, inplace=False)#

Propagates ticks based on the comparison of their total trading volume (the sum of field SIZE) to the value specified by the parameter max_volume.

Parameters:

max_volume (int or float) – The number with maximum trading volume.
propagate_tick_at_crossed_boundary (bool) – If True, the last tick that crossed the max_volume will be propagated, otherwise not. Default is False.
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.
inplace (bool) – The flag controls whether operation should be applied inplace or not. If inplace=True, then it returns nothing. Otherwise, method returns a new modified object.
self (Source)

Return type:

Source or None

Examples

Filter out ticks after the cumulative volume exceeds 10 000 shares:

>>> data = otp.DataSource(db='US_COMP_SAMPLE', tick_type='TRD', symbols='AAPL')
>>> data = data[['PRICE', 'SIZE', 'EXCHANGE']]
>>> data = data.volume_limit(10_000)
>>> otp.run(data, date=otp.dt(2024, 2, 1), timezone='America/New_York')
                             Time   PRICE  SIZE EXCHANGE
0   2024-02-01 04:00:00.008283417  186.50     6        K
1   2024-02-01 04:00:00.008290927  185.59     1        K
2   2024-02-01 04:00:00.008291153  185.49   107        K
3   2024-02-01 04:00:00.010381671  185.49     1        K
4   2024-02-01 04:00:00.011224206  185.50     2        K
..                            ...     ...   ...      ...
414 2024-02-01 04:20:20.380578855  185.80    50        K
415 2024-02-01 04:20:20.380599543  185.82    10        Q
416 2024-02-01 04:20:20.380601983  185.81     1        Q
417 2024-02-01 04:20:20.380604453  185.80    10        Q
418 2024-02-01 04:20:20.380609048  185.79    10        Q
...

Setting parameter propagate_tick_at_crossed_boundary will also propagate the tick that crossed the volume limit:

>>> data = otp.DataSource(db='US_COMP_SAMPLE', tick_type='TRD', symbols='AAPL')
>>> data = data[['PRICE', 'SIZE', 'EXCHANGE']]
>>> data = data.volume_limit(10_000, propagate_tick_at_crossed_boundary=True)
>>> otp.run(data, date=otp.dt(2024, 2, 1), timezone='America/New_York')
                             Time   PRICE  SIZE EXCHANGE
0   2024-02-01 04:00:00.008283417  186.50     6        K
1   2024-02-01 04:00:00.008290927  185.59     1        K
2   2024-02-01 04:00:00.008291153  185.49   107        K
3   2024-02-01 04:00:00.010381671  185.49     1        K
4   2024-02-01 04:00:00.011224206  185.50     2        K
..                            ...     ...   ...      ...
415 2024-02-01 04:20:20.380599543  185.82    10        Q
416 2024-02-01 04:20:20.380601983  185.81     1        Q
417 2024-02-01 04:20:20.380604453  185.80    10        Q
418 2024-02-01 04:20:20.380609048  185.79    10        Q
419 2024-02-01 04:20:20.380611535  185.79    70        Q
...