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, force_compatibility_mode=False, **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.

  • force_compatibility_mode (bool) – Force use of old dataframe load method

Examples

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

>>> print(dataframe)  
                 Timestamp  SIDE  PRICE  SIZE
0  2024-01-01 12:00:00.001   BUY  50.05   100
1  2024-01-01 12:00:02.000  SELL  50.05   150
2  2024-01-01 12:00:02.500   BUY  49.95   200
3  2024-01-01 12:00:03.100  SELL  49.98    80
4  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