otp.ReadFromDataFrame#

class ReadFromDataFrame(dataframe=None, timestamp_column=utils.adaptive, symbol_name_field=None, symbol=utils.adaptive, db=utils.adaptive_to_default, tick_type=utils.adaptive, start=utils.adaptive, end=utils.adaptive, query_parameters=None, **kwargs)#

Bases:

Load pandas.DataFrame as data source

Parameters:

dataframe (pandas.DataFrame) – Pandas DataFrame to load.
timestamp_column (str, optional) –
Column containing time info.

If parameter not set and DataFrame has one of columns TIME or Timestamp (case-insensitive), it will be automatically used as timestamp_column. To disable this, set timestamp_column=None.

Timestamp column dtype should be either datetime related or string.
symbol_name_field (str, optional) – Column containing symbol name.
symbol (str) –
Symbol(s) from which data should be taken.

If both symbol_name_field and symbol are omitted otp.config.default_symbol value will be used.
db (str) – Custom database name for the node of the graph.
tick_type (str) – Tick type. Default: ANY.
start (otp.datetime) – Custom start time of the query.
end (otp.datetime) – Custom end time of the query.
query_parameters (otp.QueryParameters) – Additional query properties to be set in the resulting .otq file. They will be used if they are not overridden by other parameters or in otp.run.

Examples

Let’s assume that we have the following pandas dataframe:

>>> print(dataframe)  
                 Timestamp  SIDE  PRICE  SIZE
2024-01-01 12:00:00.001   BUY  50.05   100
2024-01-01 12:00:02.000  SELL  50.05   150
2024-01-01 12:00:02.500   BUY  49.95   200
2024-01-01 12:00:03.100  SELL  49.98    80
2024-01-01 12:00:03.250   BUY  50.02   250

Simple dataframe loading, timestamp column will be automatically detected and converted to datetime:

>>> src = otp.ReadFromDataFrame(dataframe, symbol='AAPL')  
>>> otp.run(src, date=otp.date(2024, 1, 1))  
                     Time  SIDE  PRICE  SIZE SYMBOL_NAME
0 2024-01-01 12:00:00.001   BUY  50.05   100        AAPL
1 2024-01-01 12:00:02.000  SELL  50.05   150        AAPL
2 2024-01-01 12:00:02.500   BUY  49.95   200        AAPL
3 2024-01-01 12:00:03.100  SELL  49.98    80        AAPL
4 2024-01-01 12:00:03.250   BUY  50.02   250        AAPL

Setting custom timestamp_column. For example, if we have DATA_TIMES column, instead of Timestamps

>>> src = otp.ReadFromDataFrame(dataframe, symbol='AAPL', timestamp_column='DATA_TIMES')  
>>> otp.run(src, date=otp.date(2024, 1, 1))  
                     Time  SIDE  PRICE  SIZE SYMBOL_NAME
0 2024-01-01 12:00:00.001   BUY  50.05   100        AAPL
1 2024-01-01 12:00:02.000  SELL  50.05   150        AAPL
2 2024-01-01 12:00:02.500   BUY  49.95   200        AAPL
3 2024-01-01 12:00:03.100  SELL  49.98    80        AAPL
4 2024-01-01 12:00:03.250   BUY  50.02   250        AAPL

You can load data even without time data. Time column will be set as query end time.

>>> src = otp.ReadFromDataFrame(dataframe, symbol='AAPL')  
>>> otp.run(src, date=otp.date(2024, 1, 1))  
        Time  SIDE  PRICE  SIZE SYMBOL_NAME
0 2024-01-02   BUY  50.05   100        AAPL
1 2024-01-02  SELL  50.05   150        AAPL
2 2024-01-02   BUY  49.95   200        AAPL
3 2024-01-02  SELL  49.98    80        AAPL
4 2024-01-02   BUY  50.02   250        AAPL

Same effect will be if you don’t set timestamp_column and disable automatic timestamp detection:

>>> src = otp.ReadFromDataFrame(dataframe, symbol='AAPL', timestamp_column=None)  
>>> otp.run(src, date=otp.date(2024, 1, 1))  
        Time                Timestamp  SIDE  PRICE  SIZE SYMBOL_NAME
0 2024-01-02  2024-01-01 12:00:00.001   BUY  50.05   100        AAPL
1 2024-01-02  2024-01-01 12:00:02.000  SELL  50.05   150        AAPL
2 2024-01-02  2024-01-01 12:00:02.500   BUY  49.95   200        AAPL
3 2024-01-02  2024-01-01 12:00:03.100  SELL  49.98    80        AAPL
4 2024-01-02  2024-01-01 12:00:03.250   BUY  50.02   250        AAPL

Setting symbol_name_field for setting symbol name from dataframe. In this example, let’s say, that we have column SYMBOL with symbol names.

>>> src = otp.ReadFromDataFrame(dataframe, symbol_name_field='SYMBOL')  
>>> otp.run(src, date=otp.date(2024, 1, 1))  
                     Time  SIDE  PRICE  SIZE SYMBOL
0 2024-01-01 12:00:00.001   BUY  50.05   100   AAPL
1 2024-01-01 12:00:02.000  SELL  50.05   150   AAPL
2 2024-01-01 12:00:02.500   BUY  49.95   200   AAPL
3 2024-01-01 12:00:03.100  SELL  49.98    80   AAPL
4 2024-01-01 12:00:03.250   BUY  50.02   250   AAPL