otp.Source.interpolate#

Source.interpolate(interval, fields, method='linear', *, inplace=False)#

Compute a series of interpolated ticks at regular intervals.

Parameters:

method (str) – When set to linear (default), linear interpolation is performed. When set to step, the last non-null value is taken as the interpolation result.
interval (int) – The interval in seconds to interpolate.
fields (str or list or dict) – A field name or a list of field names to interpolate, same field names are used in the output. If dictionary is passed, it is treated as mapping from input to output field names.
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

10-second linear interpolation of ASK_PRICE and BID_PRICE:

>>> data = otp.DataSource('US_COMP_SAMPLE', tick_type='QTE', symbols='AAPL')
>>> data = data.interpolate(10, ['ASK_PRICE', 'BID_PRICE'])
>>> data = data.limit(100)
>>> otp.run(data, date=otp.dt(2024, 2, 1), timezone='America/New_York')
                  Time   ASK_PRICE   BID_PRICE
0  2024-02-01 03:59:10   30.970272   30.614235
1  2024-02-01 03:59:20   62.177721   61.462920
2  2024-02-01 03:59:30   93.385170   92.311605
3  2024-02-01 03:59:40  124.592619  123.160290
4  2024-02-01 03:59:50  155.800068  154.008975
..                 ...         ...         ...

Use dictionary as fields parameter to specify output field names:

>>> data = otp.DataSource('US_COMP_SAMPLE', tick_type='QTE', symbols='AAPL')
>>> data = data.interpolate(10, {'ASK_PRICE': 'ASK', 'BID_PRICE': 'BID'})
>>> data = data.limit(100)
>>> otp.run(data, date=otp.dt(2024, 2, 1), timezone='America/New_York')
                  Time         ASK         BID
0  2024-02-01 03:59:10   30.970272   30.614235
1  2024-02-01 03:59:20   62.177721   61.462920
2  2024-02-01 03:59:30   93.385170   92.311605
3  2024-02-01 03:59:40  124.592619  123.160290
4  2024-02-01 03:59:50  155.800068  154.008975
..                 ...         ...         ...