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  • otp.run
  • otp.run_async
  • Sources
    • otp.CSV
    • otp.DataFile
    • otp.DataSource
    • otp.Empty
    • otp.LoadTicksFromDataFrame
    • otp.ODBC
    • otp.PointInTime
    • otp.Query
    • otp.ReadCache
    • otp.ReadFromDataFrame
    • otp.ReadFromKdb
    • otp.ReadParquet
    • otp.RefData
    • otp.SplitQueryOutputBySymbol
    • otp.SymbologyMapping
    • otp.Symbols
    • otp.Tick
    • otp.Ticks
    • Order book sources
      • otp.ObNumLevels
      • otp.ObSize
      • otp.ObSnapshot
      • otp.ObSnapshotFlat
      • otp.ObSnapshotWide
      • otp.ObSummary
      • otp.ObVwap
    • Snapshot sources
      • otp.FindSnapshotSymbols
      • otp.ReadSnapshot
      • otp.ShowSnapshotList
  • otp.Source
    • otp.Source.Symbol
    • otp.Source.__call__
    • otp.Source.__getitem__
    • otp.Source.__setitem__
    • otp.Source.add_fields
    • otp.Source.add_prefix
    • otp.Source.add_suffix
    • otp.Source.agg
    • otp.Source.apply
    • otp.Source.cache
    • otp.Source.character_present
    • otp.Source.copy
    • otp.Source.corp_actions
    • otp.Source.correct_tick_filter
    • otp.Source.count (jupyter)
    • otp.Source.deepcopy
    • otp.Source.diff
    • otp.Source.distinct
    • otp.Source.drop
    • otp.Source.dropna
    • otp.Source.dump
    • otp.Source.estimate_ts_delay
    • otp.Source.execute
    • otp.Source.exp_tw_average
    • otp.Source.exp_w_average
    • otp.Source.fillna
    • otp.Source.find_value_for_percentile
    • otp.Source.first
    • otp.Source.get_name
    • otp.Source.head (jupyter)
    • otp.Source.high
    • otp.Source.high_time
    • otp.Source.if_else
    • otp.Source.implied_vol
    • otp.Source.insert_at_end
    • otp.Source.insert_data_quality_event
    • otp.Source.insert_tick
    • otp.Source.intercept_data_quality
    • otp.Source.intercept_symbol_errors
    • otp.Source.join_with_collection
    • otp.Source.join_with_query
    • otp.Source.join_with_snapshot
    • otp.Source.last
    • otp.Source.lee_and_ready
    • otp.Source.limit
    • otp.Source.linear_regression
    • otp.Source.logf
    • otp.Source.low
    • otp.Source.low_time
    • otp.Source.meta_fields
    • otp.Source.mkt_activity
    • otp.Source.modify_query_times
    • otp.Source.modify_symbol_name
    • otp.Source.multi_portfolio_price
    • otp.Source.ob_num_levels
    • otp.Source.ob_size
    • otp.Source.ob_snapshot
    • otp.Source.ob_snapshot_flat
    • otp.Source.ob_snapshot_wide
    • otp.Source.ob_summary
    • otp.Source.ob_vwap
    • otp.Source.option_price
    • otp.Source.partition_evenly_into_groups
    • otp.Source.percentile
    • otp.Source.plot (jupyter)
    • otp.Source.pnl_realized
    • otp.Source.point_in_time
    • otp.Source.portfolio_price
    • otp.Source.primary_exch
    • otp.Source.print_otq
    • otp.Source.process_by_group
    • otp.Source.ranking
    • otp.Source.rename
    • otp.Source.render
    • otp.Source.render_otq
    • otp.Source.return_ep
    • otp.Source.save_snapshot
    • otp.Source.schema
    • otp.Source.script
    • otp.Source.set_name
    • otp.Source.show_corrected_ticks
    • otp.Source.show_data_quality
    • otp.Source.show_hidden_ticks
    • otp.Source.show_symbol_errors
    • otp.Source.show_symbol_name_in_db
    • otp.Source.sink
    • otp.Source.skip_bad_tick
    • otp.Source.sort
    • otp.Source.split
    • otp.Source.standardized_moment
    • otp.Source.state_vars
    • otp.Source.switch
    • otp.Source.table
    • otp.Source.tail (jupyter)
    • otp.Source.throw
    • otp.Source.time_filter
    • otp.Source.time_interval_change
    • otp.Source.time_interval_shift
    • otp.Source.to_df
    • otp.Source.to_graph
    • otp.Source.to_otq
    • otp.Source.to_symbol_param
    • otp.Source.transpose
    • otp.Source.update
    • otp.Source.update_timestamp
    • otp.Source.value_present
    • otp.Source.virtual_ob
    • otp.Source.where
    • otp.Source.where_clause
    • otp.Source.write
    • otp.Source.write_parquet
    • otp.Source.write_text
  • otp.Operation
    • otp.Column.__getitem__
    • otp.Operation.apply
    • otp.Operaion.astype
    • otp.Column.cumsum
    • otp.Operation.dtype
    • otp.Operation.expr
    • otp.Operation.fillna
    • otp.Operation.isin
    • otp.Operation.map
    • otp.Operation.round
    • Math operations
      • onetick.py.Operation.__abs__
      • onetick.py.Operation.__add__
      • onetick.py.Operation.__and__
      • onetick.py.Operation.__eq__
      • onetick.py.Operation.__ge__
      • onetick.py.Operation.__gt__
      • onetick.py.Operation.__invert__
      • onetick.py.Operation.__le__
      • onetick.py.Operation.__lt__
      • onetick.py.Operation.__mod__
      • onetick.py.Operation.__mul__
      • onetick.py.Operation.__ne__
      • onetick.py.Operation.__neg__
      • onetick.py.Operation.__or__
      • onetick.py.Operation.__radd__
      • onetick.py.Operation.__rmul__
      • onetick.py.Operation.__round__
      • onetick.py.Operation.__rsub__
      • onetick.py.Operation.__rtruediv__
      • onetick.py.Operation.__sub__
      • onetick.py.Operation.__truediv__
    • Datetime accessor
      • otp.Operation.dt.date
      • otp.Operation.dt.date_trunc
      • otp.Operation.dt.day_name
      • otp.Operation.dt.day_of_month
      • otp.Operation.dt.day_of_week
      • otp.Operation.dt.day_of_year
      • otp.Operation.dt.hour
      • otp.Operation.dt.minute
      • otp.Operation.dt.month
      • otp.Operation.dt.month_name
      • otp.Operation.dt.quarter
      • otp.Operation.dt.second
      • otp.Operation.dt.strftime
      • otp.Operation.dt.week
      • otp.Operation.dt.year
    • Float accessor
      • otp.Operation.float.cmp
      • otp.Operation.float.eq
      • otp.Operation.float.str
    • Decimal accessor
      • otp.Operation.decimal.cmp
      • otp.Operation.decimal.str
    • String accessor
      • otp.Operation.str.concat
      • otp.Operation.str.contains
      • otp.Operation.str.endswith
      • otp.Operation.str.extract
      • otp.Operation.str.find
      • otp.Operation.str.first
      • otp.Operation.str.get
      • otp.Operation.str.ilike
      • otp.Operation.str.insert
      • otp.Operation.str.last
      • otp.Operation.str.len
      • otp.Operation.str.like
      • otp.Operation.str.lower
      • otp.Operation.str.ltrim
      • otp.Operation.str.match
      • otp.Operation.str.regex_replace
      • otp.Operation.str.repeat
      • otp.Operation.str.replace
      • otp.Operation.str.rtrim
      • otp.Operation.str.slice
      • otp.Operation.str.startswith
      • otp.Operation.str.strptime
      • otp.Operation.str.substr
      • otp.Operation.str.to_datetime
      • otp.Operation.str.token
      • otp.Operation.str.trim
      • otp.Operation.str.upper
  • Types
    • otp.byte
    • otp.decimal
    • otp.inf
    • otp.int
    • otp.long
    • otp.msectime
    • otp.nan
    • otp.nsectime
    • otp.short
    • otp.string
    • otp.uint
    • otp.ulong
    • otp.varstring
  • Datetime
    • otp.dt (otp.datetime)
    • otp.date
    • otp.now
    • otp.timedelta
    • Datetime offsets
      • otp.Nano
      • otp.Milli
      • otp.Second
      • otp.Minute
      • otp.Hour
      • otp.Day
      • otp.Week
      • otp.Month
      • otp.Quarter
      • otp.Year
  • State Variables
    • otp.state.dynamic_tick
    • otp.state.tick_deque
    • otp.state.tick_deque_tick
    • otp.state.tick_list
    • otp.state.tick_list_tick
    • otp.state.tick_sequence_tick
    • otp.state.tick_set
    • otp.state.tick_set_tick
    • otp.state.tick_set_unordered
    • otp.state.var
  • Functions
    • otp.coalesce
    • otp.cut
    • otp.format
    • otp.join
    • otp.join_by_time
    • otp.join_with_aggregated_window
    • otp.merge
    • otp.corp_actions
    • otp.qcut
    • otp.functions.save_sources_to_single_file
    • Math functions
      • otp.math.acos
      • otp.math.acot
      • otp.math.asin
      • otp.math.atan
      • otp.math.ceil
      • otp.math.cos
      • otp.math.cot
      • otp.math.div
      • otp.math.exp
      • otp.math.floor
      • otp.math.frand
      • otp.math.gcd
      • otp.math.ln
      • otp.math.log10
      • otp.math.max
      • otp.math.min
      • otp.math.mod
      • otp.math.pi
      • otp.math.pow
      • otp.math.rand
      • otp.math.round
      • otp.math.sign
      • otp.math.sin
      • otp.math.sqrt
      • otp.math.tan
    • Miscellaneous functions
      • otp.misc.bit_and
      • otp.misc.bit_at
      • otp.misc.bit_not
      • otp.misc.bit_or
      • otp.misc.bit_xor
      • otp.misc.get_onetick_version
      • otp.misc.get_symbology_mapping
      • otp.misc.get_username
      • otp.misc.hash_code
    • Cache related functions
      • otp.create_cache
      • otp.delete_cache
      • otp.modify_cache_config
  • Aggregations
    • otp.agg.average
    • otp.agg.correlation
    • otp.agg.count
    • otp.agg.distinct
    • otp.agg.exp_tw_average
    • otp.agg.exp_w_average
    • otp.agg.find_value_for_percentile
    • otp.agg.first
    • otp.agg.first_tick
    • otp.agg.first_time
    • otp.agg.generic
    • otp.agg.high_tick
    • otp.agg.high_time
    • otp.agg.implied_vol
    • otp.agg.last
    • otp.agg.last_tick
    • otp.agg.last_time
    • otp.agg.linear_regression
    • otp.agg.low_tick
    • otp.agg.low_time
    • otp.agg.max
    • otp.agg.mean (alias for otp.agg.average)
    • otp.agg.median
    • otp.agg.min
    • otp.agg.multi_portfolio_price
    • otp.agg.num_distinct
    • otp.agg.ob_num_levels
    • otp.agg.ob_size
    • otp.agg.ob_snapshot
    • otp.agg.ob_snapshot_flat
    • otp.agg.ob_snapshot_wide
    • otp.agg.ob_summary
    • otp.agg.ob_vwap
    • otp.agg.option_price
    • otp.agg.partition_evenly_into_groups
    • otp.agg.percentile
    • otp.agg.portfolio_price
    • otp.agg.ranking
    • otp.agg.return_ep
    • otp.agg.standardized_moment
    • otp.agg.stddev
    • otp.agg.sum
    • otp.agg.tw_average
    • otp.agg.variance
    • otp.agg.vwap
  • Misc
    • otp.__build__
    • otp.__main_one_tick_dir__
    • otp.__version__
    • otp.adaptive
    • otp.by_symbol
    • otp.CallbackBase
    • otp.default_by_type
    • otp.eval
    • otp.expr
    • otp.meta_fields
    • otp.MultiOutputSource
    • otp.OneTickLib
    • otp.param
    • otp.query
    • otp.QueryParameters
    • otp.range
    • otp.raw
    • otp.remote
    • otp.utils.render_otq
    • otp.SqlQuery
    • Symbol Parameters Objects
    • otp.utils.TmpDir
    • otp.utils.TmpFile
  • Session
    • otp.Session
    • otp.TestSession
    • otp.Config
    • otp.Locator
    • otp.ACL
    • otp.DB
    • otp.RefDB
    • otp.RemoteTS
    • otp.LoadBalancing
    • otp.FaultTolerance
  • Data Inspection
    • otp.databases
    • otp.derived_databases
    • otp.inspection.DB
  • OneQuantData™ (OQD)
    • otp.oqd.CorporateActions
    • otp.oqd.DescriptiveFields
    • otp.oqd.OHLCV
    • otp.oqd.SharesOutstanding
  • otp.config
  • otp.perf
  • API reference
  • Sources
  • Order book sources

Order book sources#

Table Of Contents#

  • otp.ObNumLevels
  • otp.ObSize
  • otp.ObSnapshot
  • otp.ObSnapshotFlat
  • otp.ObSnapshotWide
  • otp.ObSummary
  • otp.ObVwap

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