otp.Source.trd_quote_join#

Source.trd_quote_join(qte, quote_delay=0.0, go_back_to_first_quote=0.0)#

Joins trades with prevailing quotes.

Appends each trade tick with all fields of the prevailing quote tick.

This method expects two sources as its input: source of trades (self) and source of quotes (qte).

Fields in the output ticks are prefixed with the name of the source they came from: fields from trades source are prefixed with TRD., fields from qte source are prefixed with QTE.. Also field QTE.TIMESTAMP with the timestamp of the joined quote is added.

Parameters:

qte (Source) – The source of quotes.
quote_delay (int, float) – The minimum number of seconds that needs to elapse between the trade and the quote before the quote can be considered for a join with the trade.
go_back_to_first_quote (int, float) – Specifies how far back (in seconds) to look for an existing quote when the first trade precedes the first quote.
self (Source)

Return type:

Source

Examples

Add fields of the prevailing quote to each trade:

>>> 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_quote_join(qte)
>>> data = data.limit(5)
>>> otp.run(data, date=otp.dt(2024, 2, 1), timezone='America/New_York')
                           Time  TRD.PRICE  TRD.SIZE                 QTE.TIMESTAMP  QTE.ASK_PRICE  QTE.BID_PRICE
0 2024-02-01 04:00:00.008283417     186.50         6 2024-02-01 04:00:00.007607483         187.02         185.49
1 2024-02-01 04:00:00.008290927     185.59         1 2024-02-01 04:00:00.007607483         187.02         185.49
2 2024-02-01 04:00:00.008291153     185.49       107 2024-02-01 04:00:00.007607483         187.02         185.49
3 2024-02-01 04:00:00.010381671     185.49         1 2024-02-01 04:00:00.010349268         185.80         185.45
4 2024-02-01 04:00:00.011224206     185.50         2 2024-02-01 04:00:00.010686602         185.80         185.45

Use parameter quote_delay to join trades only with the quotes that are at least 1 millisecond older:

>>> 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_quote_join(qte, quote_delay=0.001)
>>> data = data.limit(5)
>>> otp.run(data, date=otp.dt(2024, 2, 1), timezone='America/New_York')
                           Time  TRD.PRICE  TRD.SIZE                 QTE.TIMESTAMP  QTE.ASK_PRICE  QTE.BID_PRICE
0 2024-02-01 04:00:00.008283417     186.50         6 2024-02-01 04:00:00.006738266         187.02         185.45
1 2024-02-01 04:00:00.008290927     185.59         1 2024-02-01 04:00:00.006738266         187.02         185.45
2 2024-02-01 04:00:00.008291153     185.49       107 2024-02-01 04:00:00.006738266         187.02         185.45
3 2024-02-01 04:00:00.010381671     185.49         1 2024-02-01 04:00:00.008713028         185.80         185.45
4 2024-02-01 04:00:00.011224206     185.50         2 2024-02-01 04:00:00.008713028         185.80         185.45