otp.Source.virtual_ob#

Source.virtual_ob(quote_source_fields=None, quote_timeout=None, show_full_detail=False, output_book_format='ob', inplace=False)#

Creates a series of fake orders from a time series of best bids and asks. The algorithm used is as follows: For a tick with the best bid or ask, create an order tick adding the new best bid or ask and an order withdrawing the old one. Virtual order books can be created for multiple subgroups at once by using the quote_source_fields parameter to specify a list of string fields to be used for grouping. A separate book will be created for each combination.

Parameters

quote_source_fields (Optional[List[Union[str, Column]]]) – Specifies a list of string fields for grouping quotes. The virtual order book is then constructed for each subgroup separately and the SOURCE field is constructed to contain the description of the group.
quote_timeout (Optional[float]) –
Specifies the maximum age of a quote that is not stale. A quote that is not replaced after more than quote_timeout seconds is considered stale, and delete orders will be generated for it.

A value of quote_timeout can be fractional (for example, 3.51)
show_full_detail (bool) –
If set to True, virtual_ob will attempt to include all fields in the input tick when forming the output tick.

ASK_X/BID_X fields will combine under paired field X ASK_X and BID_X must have the same type.

If only ASK_X or BID_X exist, output will have X and the missing field will be assumed to have its default value.

Paired and non-paired fields must not interfere with each other and the fields originally added by this EP
output_book_format ('prl' or 'ob') –
Supported values are prl and ob. When set to prl, field SIZE of output ticks represents current size for the tick’s source, price, and side, and the EP propagates PRICE and SOURCE as the state keys of its output time series.

When set to ob, field SIZE of output ticks represents the delta of size for the tick’s source, price, and side, and the state key of the output ticks is empty.
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

Basic example

>>> data = otp.DataSource(
...     db='NYSE_TAQ', symbols='AAPL', tick_type='QTE', date=otp.date(2003, 12, 1)
... )  
>>> data = data[['ASK_PRICE', 'ASK_SIZE', 'BID_PRICE', 'BID_SIZE']]  
>>> data = data.virtual_ob()  
>>> otp.run(data)  
                      Time  PRICE        DELETED_TIME  SIZE  BUY_SELL_FLAG  TICK_STATUS SOURCE
0  2003-12-01 00:00:00.000  22.28 1969-12-31 19:00:00   500              1            0   AAPL
1  2003-12-01 00:00:00.000  21.66 1969-12-31 19:00:00   100              0            0   AAPL
2  2003-12-01 00:00:00.001   21.8 1969-12-31 19:00:00   500              1            0   AAPL
...

Specify columns to group quotes

>>> data = otp.DataSource(
...     db='NYSE_TAQ', symbols='AAPL', tick_type='QTE', date=otp.date(2003, 12, 1)
... )  
>>> data = data[['ASK_PRICE', 'ASK_SIZE', 'BID_PRICE', 'BID_SIZE', 'EXCHANGE']]  
>>> data = data.virtual_ob(['EXCHANGE'])  
>>> otp.run(data)  
                      Time  PRICE        DELETED_TIME  SIZE  BUY_SELL_FLAG  TICK_STATUS SOURCE
0  2003-12-01 00:00:00.000  22.28 1969-12-31 19:00:00   500              1            0      D
1  2003-12-01 00:00:00.000  21.66 1969-12-31 19:00:00   100              0            0      D
2  2003-12-01 00:00:00.001   21.8 1969-12-31 19:00:00   500              1            0      P
...