otp.state.tick_set

tick_set(insertion_policy, key_fields, default_value=None, scope='query', schema=None)

Defines a state tick set.

Parameters

• insertion_policy ('oldest' or 'latest') – ‘oldest’ specifies not to overwrite ticks with the same keys. ‘latest’ makes the last inserted tick overwrite the one with the same keys (if existing).

• key_fields (str, list of str) – The values of the specified fields will be used as keys.

• default_value (eval query) – Evaluated query to initialize tick set from.

• scope (str) – Scope for the state variable. Possible values are: query, branch, cross_symbol, all_inputs, all_outputs

• schema (dict, list) –

  Desired schema for the created tick set. If not passed, schema will be inherited from default_value. if default_value is not passed as well, schema will contain fields of the main Source object.

  If schema is passed as a list, it will select only these fields from the schema of default_value or main Source object.

Return type

onetick.py.core._internal._state_objects.TickSet

Examples

>>> def fsq():
...     return otp.Ticks(B=[1, 1, 2, 2, 3, 3])
>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'B', otp.eval(fsq))
>>> data = data.state_vars['SET'].dump()
>>> otp.run(data)[['B']]
   B
0  1
1  2
2  3

class TickSet(*args, insertion_policy, key_fields, **kwargs)

Represents a tick set. This class should only be created with onetick.py.state.tick_set() function and should be added to the onetick.py.Source.state_vars() dictionary of the onetick.py.Source and can be accessed only via this dictionary.

Examples

>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A')
>>> data = data.state_vars['SET'].dump()

See also

TickSequenceTick

property key_fields

Get key fields for this tick set

dump(when_to_dump='every_tick', **kwargs)

Propagates all ticks from a given tick sequence upon the arrival of input tick. Timestamps of all propagated ticks are equal to the input tick’s TIMESTAMP.

Parameters

• propagate_input_ticks (bool) – Propagate input ticks or not.

• when_to_dump (str) –

  • first_tick - Propagates once before input ticks. There must be at least one input tick.

  • before_tick - Propagates once before input ticks. Content will be propagated even if there are no input ticks.

  • every_tick - Propagates before each input tick.

• delimiter ('tick', 'flag or None) –

  This parameter specifies the policy for adding the delimiter field. The name of the additional field is “DELIMITER” + added_field_name_suffix. Possible options are:

  • None - No additional field is added to propagated ticks.

  • ’tick’ - An extra tick is created after the last tick. Also, an additional column is added to output ticks. The extra tick has values of all fields set to the defaults (0,NaN,””), except the delimiter field, which is set to string “D”. All other ticks have this field’s value set to empty string.

  • ’flag’ - The delimiter field is appended to each output tick. The field’s value is empty for all ticks except the last tick of the tick sequence, which is string “D”.

• added_field_name_suffix (str or None) – The suffix to add to the name of the additional field.

• inplace (bool) – If True current source will be modified else modified copy will be returned

Return type

if inplace is False then returns Source copy.

Examples

>>> def another_query():
...     return otp.Ticks(B=[1, 2, 3])
>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'B', otp.eval(another_query))
>>> data = data.state_vars['SET'].dump()
>>> otp.run(data)[['B']]
   B
0  1
1  2
2  3

update(where=1, value_fields=None, erase_condition=0)

Insert into or delete ticks from tick set. Can be used only on Source directly.

Parameters

• where (Operation) – Selection of input ticks that will be inserted into tick set. By default, all input ticks are selected.

• value_fields (list of str) – List of value fields to be inserted into tick sets. If param is empty, all fields of input tick are inserted. Note that this applies only to non-key fields (key-fields are always included). If new fields are added to tick set, they will have default values according to their type. If some fields are in tick set schema but not added in this method, they will have default values.

• erase_condition (Operation) – Selection of input ticks that will be erased from tick set. If it is set then where parameter is not taken into account.

• inplace (bool) – If True current source will be modified else modified copy will be returned

Return type

if inplace is False then returns Source copy.

Examples

>>> data = otp.Ticks(A=[1, 2, 3], B=[4, 5, 6], C=[7, 8, 9])
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A')
>>> data = data.state_vars['SET'].update(value_fields=['B'])
>>> data = data.state_vars['SET'].update(data['A'] == 2)
>>> data = data.state_vars['SET'].update(erase_condition=data['A'] == 2)

>>> data = data.first().state_vars['SET'].dump(when_to_dump='first_tick')
>>> otp.run(data)
        Time  A  B
0 2003-12-01  1  4
1 2003-12-01  3  6

find(field_name, default_value=None, *key_values, throw=False, **named_keys)

Finds a tick in the specified tick set for the given keys. If field_name is a string, it returns the value of the specified field from the found tick. If a tick with the given keys is not found, the default value is returned. If field_name is TickSequenceTick, the entire tick is returned.

Parameters

• field_name (str, TickSequenceTick) – The field to return the value from or an object for returning an entire tick.

• default_value – The value to be returned if the key is not found. If default_value omitted and the key is not found, default “zero” value for the field type will be returned. If throw is True, the positional argument for default_value counts as the first key_values argument.

• key_values – The same number of arguments as the number of keys in the tick set, in the same order as they were specified when defining the tick set. Values can be specified explicitly or taken from the specified columns. Columns must be specified as source['col'] as opposed to just 'col'. key_values are optional: if not specified (and named_keys are not specified either), the values for the keys are taken from the tick’s columns.

• named_keys – Can be used instead of key_values by specifying the key=value named arguments.

• throw (bool) – Raise an exception if the key is not found. If True, the positional argument for default_value counts as the first key_values argument.

Return type

onetick.py.core.column_operations.base.Operation

Examples

Create a tick set keyed by the values of A. Look up the value of B in the tick set for the value of A in the current tick.

>>> data = otp.Tick(A=1, B=2)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A', otp.eval(otp.Tick(A=1, B=4)))
>>> data['B'] = data.state_vars['SET'].find('B', 999)
>>> otp.run(data)
        Time  A    B
0 2003-12-01  1    4

A key can be specified explicitly (i.e., not taken from the key fields of the current tick).

>>> data = otp.Tick(C=777, B=2)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A', otp.eval(otp.Tick(A=1, B=4)))
>>> data['B'] = data.state_vars['SET'].find('B', 999, 1)
>>> otp.run(data)
        Time   C    B
0 2003-12-01  777   4

A key can be specified explicitly as a key=value pair.

>>> data = otp.Tick(C=777, B=2)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A', otp.eval(otp.Tick(A=1, B=4)))
>>> data['B'] = data.state_vars['SET'].find('B', 999, A=1)
>>> otp.run(data)
        Time   C    B
0 2003-12-01  777   4

Columns can be used as keys.

>>> data = otp.Tick(C=1, B=2)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A', otp.eval(otp.Tick(A=1, B=4)))
>>> data['B'] = data.state_vars['SET'].find('B', 999, data['C'])
>>> otp.run(data)
        Time   C   B
0 2003-12-01   1   4

The default_value is returned if the key is not found.

>>> data = otp.Tick(A=555, B=2)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A', otp.eval(otp.Tick(A=1, B=4)))
>>> data['B'] = data.state_vars['SET'].find('B', 999)
>>> otp.run(data)
        Time  A    B
0 2003-12-01 555  999

Throw an exception if the key is not found (there is no default_value when throw=True):

>>> data = otp.Tick(A=555, B=2)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A', otp.eval(otp.Tick(A=1, B=4)))
>>> data['B'] = data.state_vars['SET'].find('B', throw=True)
>>> otp.run(data) 
Traceback (most recent call last):
Exception: 9: ERROR:

find can be used in otp.Source.script.

>>> def fun(tick):
...     tick['B'] = tick.state_vars['SET'].find('B', 0, 1)
>>> data = otp.Tick(A=1, B=2)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A', otp.eval(otp.Tick(A=1, B=4)))
>>> data = data.script(fun)
>>> otp.run(data)
        Time  A    B
0 2003-12-01  1    4

In otp.Source.script find can be used with TickSetTick. It allows looking up a whole tick, rather than the value of a single field:

>>> def fun(tick):
...     t = otp.tick_set_tick()
...     if tick.state_vars['SET'].find(t, 2):
...         tick['B'] = t['B']
...         tick['C'] = t['C']
...         tick['D'] = t['D']
>>> def another_query():
...     return otp.Ticks(B=[1, 2, 3], C=[4, 5, 6,], D=[7, 8, 9])
>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'B', otp.eval(another_query))
>>> data = data.script(fun)
>>> otp.run(data)
        Time  A  B  C  D
0 2003-12-01  1  2  5  8

find_by_named_keys(field_name, default_value=None, **named_keys)

Alias for find with restricted set of parameters

See also

find

Return type

onetick.py.core.column_operations.base.Operation

find_or_throw(field_name, *key_values)

Alias for find with restricted set of parameters

See also

find

Return type

onetick.py.core.column_operations.base.Operation

erase(*key_values, **named_keys)

Erase tick(s) from tick set with keys or through TickSequenceTick

Parameters

• key_values (list, optional) – List of tick set’s keys values that will be used to find tick. If single TickSequenceTick is used, only it is removed. If two TickSequenceTicks are used, the whole (excluding right boundary) interval between them is removed.

• named_keys (dict, optional) – Dict of tick set’s keys named and values that will be used to find tick.

Returns

• Operation that evaluates to boolean.

• (1 if tick was erased, and 0 if tick was not in tick set).

Return type

onetick.py.core.column_operations.base.Operation

Examples

Can be used in per-tick script:

>>> def fun(tick):
...     tick['B'] = tick.state_vars['SET'].erase(1)
...     tick.state_vars['SET'].erase(A=1)
>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A')
>>> data = data.script(fun)

Can be used in source columns operations:

>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'B', otp.eval(otp.Ticks(B=[1, 2, 3])))
>>> data['C1'] = data.state_vars['SET'].erase(1)
>>> data['C2'] = data.state_vars['SET'].erase(1)

>>> otp.run(data)
        Time  A  C1  C2
0 2003-12-01  1   1   0

>>> data = data.state_vars['SET'].dump()
>>> otp.run(data)
        Time  B
0 2003-12-01  2
1 2003-12-01  3

Can be used with execute() method to do erasing without returning result as Operation:

>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'B', otp.eval(otp.Tick(B=2)))
>>> data = data.execute(data.state_vars['SET'].erase(B=2))

Example with single TickSetTick:

>>> def fun(tick):
...     tick['RES'] = 0
...     for tt in tick.state_vars['set']:
...         if tick.state_vars['set'].erase(tt):
...             tick['RES'] += 1
...     tick['LEN'] = tick.state_vars['set'].get_size()
>>> data = otp.Tick(X=1)
>>> data.state_vars['set'] = otp.state.tick_set('oldest', 'A', otp.eval(otp.Ticks(A=[1, 2, 3])))
>>> data = data.script(fun)
>>> otp.run(data)
        Time  X  RES  LEN
0 2003-12-01  1    3    0

Example with two TickSetTicks:

>>> def fun(tick):
...     t1 = otp.tick_set_tick()
...     t2 = otp.tick_set_tick()
...     if tick.state_vars['set'].find(t1, 2) + tick.state_vars['set'].find(t2, 4) == 2:
...         tick.state_vars['set'].erase(t1, t2)
...     for tt in tick.state_vars['set']:
...         tick['RES'] += tt.get_value('A')
>>> data = otp.Tick(X=1, RES=0)
>>> data.state_vars['set'] = otp.state.tick_set('oldest', 'A', otp.eval(otp.Ticks(A=[1, 2, 3, 4])))
>>> data = data.script(fun)
>>> otp.run(data)
        Time  X  RES
0 2003-12-01  1    5

erase_by_named_keys(**named_keys)

Alias for erase with restricted set of parameters

See also

erase

Return type

Optional[onetick.py.core.column_operations.base.Operation]

clear()

Clear tick set. Can be used in per-tick script and on Source directly.

inplace: bool

If True current source will be modified else modified copy will be returned. Makes sense only if used not in per-tick script.

Returns

• if inplace is False and method is not used in per-tick script

• then returns Source copy.

Examples

Can be used in per-tick script:

>>> def fun(tick):
...     tick.state_vars['SET'].clear()
>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A')
>>> data = data.script(fun)

Can be used in source columns operations:

>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A', otp.eval(otp.Tick(A=1)))
>>> data = data.state_vars['SET'].clear()

>>> data = data.state_vars['SET'].dump()
>>> otp.run(data)
Empty DataFrame
Columns: [A, Time]
Index: []

insert(tick_object=None)

Insert tick into tick set.

Parameters

tick_object – Can be set only in per-tick script. If not set the current tick is inserted into tick set.

Returns

• Operation that evaluates to boolean.

• (1 if tick was inserted, and 0 if tick was already presented in tick set).

Return type

Optional[onetick.py.core.column_operations.base.Operation]

Examples

Can be used in per-tick script:

>>> def fun(tick):
...     tick.state_vars['SET'].insert(tick)
...     tick.state_vars['SET'].insert()
>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A')
>>> data = data.script(fun)

Can be used in source columns operations:

>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A')
>>> data['B'] = data.state_vars['SET'].insert()
>>> data['C'] = data.state_vars['SET'].insert()

>>> otp.run(data)
        Time  A  B  C
0 2003-12-01  1  1  0

>>> data = data.state_vars['SET'].dump()
>>> otp.run(data)
        Time  A
0 2003-12-01  1

Can be used with execute() method to do insertion without returning result as Operation:

>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A')
>>> data = data.execute(data.state_vars['SET'].insert())

Inserting current tick in script by passing it to insert method apply the changes made to tick:

>>> def fun(tick):
...     tick['A'] = 2
...     tick.state_vars['SET'].insert(tick)
>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('latest', 'A')
>>> data = data.script(fun)
>>> data = data.state_vars['SET'].dump()
>>> otp.run(data)
        Time  A
0 2003-12-01  2

If you want to insert current tick without applied changes use input attribute:

>>> def fun(tick):
...     tick['A'] = 2
...     tick.state_vars['SET'].insert(tick.input)
>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('latest', 'A')
>>> data = data.script(fun)
>>> data = data.state_vars['SET'].dump()
>>> otp.run(data)
        Time  A
0 2003-12-01  1

get_size()

Get size of the tick set. Can be used in per-tick script or in Source operations directly.

Return type

Operation that evaluates to float value.

Examples

Can be used in per-tick script:

>>> def fun(tick):
...     tick['B'] = tick.state_vars['SET'].get_size()
>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A')
>>> data = data.script(fun)

Can be used in source columns operations:

>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A')
>>> data['B'] = data.state_vars['SET'].get_size()

>>> otp.run(data)
        Time  A  B
0 2003-12-01  1  0

size()

See also

get_size

Return type

onetick.py.core.column_operations.base.Operation

present(*key_values)

Check if tick with these key values is present in tick set.

Return type

Operation that evaluates to boolean (float value 1 or 0).

Examples

Can be used in per-tick script:

>>> def fun(tick):
...     tick['B'] = tick.state_vars['SET'].present(1)
>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A')
>>> data = data.script(fun)

Can be used in source columns operations:

>>> data = otp.Tick(A=1)
>>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A', otp.eval(otp.Tick(A=1)))
>>> data['B'] = data.state_vars['SET'].present(1)
>>> data['C'] = data.state_vars['SET'].present(2)

>>> otp.run(data)
        Time  A  B  C
0 2003-12-01  1  1  0

modify_from_query(query, symbol=None, start=None, end=None, params=None, action='replace', where=None, output_field_name=None)

Modifies a state variable by assigning it a value that was resulted from a query evaluation.

Parameters

• query (callable, Source) –

  Callable query should return Source. This object will be evaluated by OneTick (not python) for every tick. Note python code will be executed only once, so all python’s conditional expressions will be evaluated only once too.

  If query is a Source object then it will be propagated as a query to OneTick.

  If state var is a primitive (not tick sequence), then query must return only one tick, otherwise exception will be raised.

• symbol (str, Operation, dict, Source, or Tuple[Union[str, Operation], Union[dict, Source]]) –

  Symbol name to use in query. In addition, symbol params can be passed along with symbol name.

  Symbol name can be passed as a string or as an Operation.

  Symbol parameters can be passed as a dictionary. Also, the main Source object, or the object containing a symbol parameter list, can be used as a list of symbol parameters.

  symbol will be interpreted as a symbol name or as symbol parameters, depending on its type. You can pass both as a tuple.

  If symbol name is not passed, then symbol name from the main source is used.

• start (datetime, Operation) – Start time to run the query. By default the start time of the main query is used.

• end (datetime, Operation) – End time to run the query. By default the end time of the main query is used.

• params (dict) – Mapping of the parameters’ names and their values for the query. Columns can be used as a value.

• action (str) – Specifies whether all ticks should be erased before the query results are inserted into the tick set. Possible values are update and replace. For non-tick-sets, you can set the action only to replace; otherwise, an error is thrown.

• where (Operation) – Condition to filter ticks for which the result of the query will be joined.

• output_field_name (str) – Specifies the output field name for state variables of primitive types, in case if the query result contains multiple fields.

Returns

Source with joined ticks from query

Return type

Source

Examples

Update simple state variable from query:

data = otp.Ticks(A=[1, 2, 3])
data.state_vars['VAR'] = 0
data.state_vars['VAR'] = 7
def fun():
    return otp.Tick(X=123, Y=234)
data = data.state_vars['VAR'].modify_from_query(fun,
                                                output_field_name='X',
                                                where=(data['A'] % 2 == 1))
data['X'] = data.state_vars['VAR']
df = otp.run(data)
print(df)

                     Time  A    X
0 2003-12-01 00:00:00.000  1  123
1 2003-12-01 00:00:00.001  2  7
2 2003-12-01 00:00:00.002  3  123

Update tick sequence from query:

data = otp.Tick(A=1)
data.state_vars['VAR'] = otp.state.tick_list()
def fun():
    return otp.Ticks(X=[123, 234])
data = data.state_vars['VAR'].modify_from_query(fun)
data = data.state_vars['VAR'].dump()
df = otp.run(data)
print(df)

                     Time    X
0 2003-12-01 00:00:00.000  123
1 2003-12-01 00:00:00.001  234

Passing parameters to the query:

data = otp.Tick(A=1)
data.state_vars['VAR'] = otp.state.tick_list()
def fun(min_value):
    t = otp.Ticks(X=[123, 234])
    t, _ = t[t['X'] > min_value]
    return t
data = data.state_vars['VAR'].modify_from_query(fun, params={'min_value': 200})
data = data.state_vars['VAR'].dump()
df = otp.run(data)
print(df)

                     Time    X
0 2003-12-01 00:00:00.001  234

See also

MODIFY_STATE_VAR_FROM_QUERY OneTick event processor

property schema: dict

Get schema of the tick sequence.