otp.FindSnapshotSymbols#

class FindSnapshotSymbols(snapshot_name='VALUE', snapshot_storage='memory', pattern='%', symbology=None, show_original_symbols=False, discard_on_match=False, database=utils.adaptive, **kwargs)#

Bases: onetick.py.core.source.Source

Takes snapshot’s name and storage type and produces a union of all symbols in the snapshot. It also optionally translates the symbols into a user-specified symbology and propagates those that match a specified name pattern as a tick with a single field: SYMBOL_NAME.

If symbol name translation is performed, symbol names in native snapshot can optionally be propagated as another tick field: ORIGINAL_SYMBOL_NAME, in which case symbols with missing translations are also propagated. Symbol name translation is performed as of the query symbol date and requires the reference database to be configured.

The name of the database to query is extracted from the input symbol. For example, if an input symbol is TAQ::, the symbols from the TAQ database will be returned.

The pattern parameter can contain the special characters % (matches any number of characters) and _ (matches any character). For example, the pattern I_M% returns any symbol beginning with I and has M as its third letter.

If the discard_on_match parameter is set to True, the names that do not match the pattern will be propagated.

The timestamps of the ticks created by FindSnapshotSymbols are set to the start time of the query.

Parameters

snapshot_name (str) –
The name that was specified in onetick.py.Source.save_snapshot() as a snapshot_name during saving.

Default: VALUE
snapshot_storage ('memory' or 'memory_mapped_file') –
This parameter specifies the place of storage of the snapshot. Possible options are:
- memory - the snapshot is stored in the dynamic (heap) memory of the process that ran (or is still running) the onetick.py.Source.save_snapshot() for the snapshot.
- memory_mapped_file - the snapshot is stored in a memory mapped file. For each symbol to get the location of the snapshot in the file system, ReadSnapshot looks at the SAVE_SNAPSHOT_DIR parameter value in the locator section for the database of the symbol.
Default: memory
pattern (str) –
The pattern for symbol selection. It can contain special characters % (matches any number of characters) and _ (matches any character). To avoid this special interpretation of characters % and _, the \ character must be added in front of them. Note that if symbol name translation is required, translated rather than original symbol names are checked to match the name pattern.

Default: %
symbology (Optional[str]) – The destination symbology for a symbol name translation, the latter being performed, if destination symbology is not empty and is different from that of the queried database.
show_original_symbols (bool) –
Switches original symbol name propagation as a tick field after symbol name translation is performed. Note that if this parameter is set to true, database symbols with missing translations are also propagated.

Default: False
discard_on_match (bool) –
When set to true only ticks that did not match the filter are propagated, otherwise ticks that satisfy the filter condition are propagated.

Default: False
database (str, optional) –
Database to use for snapshots search query.

It’s required to fill either this parameter or explicitly specify the symbols parameter of otp.run.

Examples

Find symbols for snapshot some_snapshot in database S1:

>>> src = otp.FindSnapshotSymbols(snapshot_name='some_snapshot', database='S1')
>>> otp.run(src)  
        Time SYMBOL_NAME
0 2003-12-01    S1::AAPL
1 2003-12-01    S1::AAAA
2 2003-12-01    S1::MSFT

Use pattern parameter to filter symbol names:

>>> src = otp.FindSnapshotSymbols(snapshot_name='some_snapshot', database='S1', pattern='A%')
>>> otp.run(src)  
        Time SYMBOL_NAME
0 2003-12-01    S1::AAPL
1 2003-12-01    S1::AAAA

Select symbol names not matched by pattern:

>>> src = otp.FindSnapshotSymbols(
...     snapshot_name='some_snapshot', database='S1', pattern='A%', discard_on_match=True,
... )
>>> otp.run(src)  
        Time SYMBOL_NAME
0 2003-12-01    S1::MSFT