otp.Source.primary_exch#

Source.primary_exch(discard_on_match=False)#

Propagates the tick if its exchange is the PRIMARY exchange of the security. The primary exchange information is supplied through the Reference Database. It expects the security level symbol (IBM, not IBM.N) and works by looking for a field called EXCHANGE and filtering out ticks where the field does not match the primary exchange for the security.

Note

This EP may not work correctly with OneTick Cloud databases, due to differences in format of exchange names in RefDB and in tick data.

Parameters

discard_on_match (bool) – When set to True only ticks from non-primary exchange are propagated, otherwise ticks from primary exchange are propagated.
self (Source) –

Return type

Two Source for each of if-else branches

Examples

Get ticks from primary exchange:

>>> src = otp.DataSource('SOME_DB', tick_type='TRD', symbols='AAA', date=otp.date(2003, 12, 1))  
>>> src, _ = src.primary_exch()  
>>> otp.run(src, symbol_date=otp.date(2003, 12, 1))  
                     Time  PRICE  SIZE EXCHANGE
0 2003-12-01 00:00:00.001   26.5   150        B
1 2003-12-01 00:00:00.002   25.7    20        B

Get all ticks, but mark ticks from primary exchange in column T:

>>> src = otp.DataSource('SOME_DB', tick_type='TRD', symbols='AAA', date=otp.date(2003, 12, 1))  
>>> primary, other = src.primary_exch()  
>>> primary['T'] = 1  
>>> other['T'] = 0  
>>> data = otp.merge([primary, other])  
>>> otp.run(src, symbol_date=otp.date(2003, 12, 1))  
                     Time  PRICE  SIZE EXCHANGE  T
0 2003-12-01 00:00:00.000   25.2   100        A  0
1 2003-12-01 00:00:00.001   26.5   150        B  1
2 2003-12-01 00:00:00.002   25.7    20        B  1
3 2003-12-01 00:00:00.003   24.8    40        A  0