otp.Source.time_filter#

Source.time_filter(discard_on_match=False, start_time=0, end_time=0, day_patterns='', timezone=utils.default, end_time_tick_matches=False, inplace=False)#

Filters ticks by time.

Parameters

discard_on_match (bool, optional) – If True, then ticks that match the filter will be discarded. Otherwise, only ticks that match the filter will be passed.
start_time (str or int or datetime.time, optional) – Start time of the filter, string must be in the format HHMMSSmmm. Default value is 0.
end_time (str or int or datetime.time, optional) – End time of the filter, string must be in the format HHMMSSmmm. To filter ticks for an entire day, this parameter should be set to 240000000. Default value is 0.
day_patterns (list or str) –
Pattern or list of patterns that determines days for which the ticks can be propagated. A tick can be propagated if its date matches one or more of the patterns. Three supported pattern formats are:
1. month.week.weekdays, 0 month means any month, 0 week means any week, 6 week means the last week of the month for a given weekday(s), weekdays are digits for each day, 0 being Sunday.
2. month/day, 0 month means any month.
3. year/month/day, 0 year means any year, 0 month means any month.
timezone (str, optional) – Timezone of the filter. Default value is configuration.config.tz or timezone set in the parameter of onetick.py.run().
end_time_tick_matches (bool, optional) – If True, then the end time is inclusive. Otherwise, the end time is exclusive.
inplace (bool, optional) – 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. Default value is False.

Returns

Returns None if inplace=True.

Return type

Source or None

Examples

>>> data = otp.DataSource(db='NYSE_TAQ', tick_type='TRD', symbols='AAPL')
>>> data = data.time_filter(start_time='000000001', end_time='000000003')
>>> otp.run(data, start=otp.dt(2022, 3, 1), end=otp.dt(2022, 3, 2))
                     Time  PRICE  SIZE
0 2022-03-01 00:00:00.001    1.4    10
1 2022-03-01 00:00:00.002    1.4    50