otp.by_symbol#

by_symbol(src, symbol_field, single_invocation=False, db=utils.adaptive_to_default, tick_type=utils.adaptive, start=utils.adaptive, end=utils.adaptive)#

Create a separate data series for each unique value of symbol_field in the output of src. src must specify enough parameters to be run (e.g., symbols, query range). A typical use case is to split a single data series (e.g., from a CSV file) into separate data series by symbol. This method is a source.

Parameters

src (Source) – a query which output is to be split by symbol_field
symbol_field (str) – the name of the field carrying symbol name in the src query
single_invocation (bool, optional) – True means that the src query is run once and the result stored in memory speeding up the execution. False means that the src query is run for every symbol of the query saving memory but slowing down query execution. Default: False
db (str, optional) – Database for running the query. Doesn’t affect the src query. The default value is otp.config['default_db'].
tick_type (str, optional) – Tick type for the query. Doesn’t affect the src query.
start (otp.dt, optional) – By default it is taken from the src start time
end (otp.dt, optional) – By default it is taken from the src end time

Return type

onetick.py.core.source.Source

Examples

>>> executions = otp.CSV( 
...     otp.utils.file(os.path.join(cur_dir, 'data', 'example_events.csv')),
...     converters={"time_number": lambda c: c.apply(otp.nsectime)},
...     timestamp_name="time_number",
...     start=otp.dt(2022, 7, 1),
...     end=otp.dt(2022, 7, 2),
...     order_ticks=True
... )[['stock', 'px']]
>>> csv = otp.by_symbol(executions, 'stock') 
>>> trd = otp.DataSource( 
...     db='NYSE_TAQ',
...     tick_type='TRD',
...     start=otp.dt(2022, 7, 1),
...     end=otp.dt(2022, 7, 2)
... )[['PRICE', 'SIZE']]
>>> data = otp.join_by_time([csv, trd]) 
>>> result = otp.run(data, symbols=executions.distinct(keys='stock')[['stock']], concurrency=8) 
>>> result['THG'] 
                           Time stock      px   PRICE  SIZE
0 2022-07-01 11:37:56.432947200   THG  148.02  146.48     1
>>> result['TFX'] 
                           Time stock      px   PRICE  SIZE
0 2022-07-01 11:39:45.882808576   TFX  255.61  251.97     1
>>> result['BURL'] 
                           Time stock      px   PRICE  SIZE
0 2022-07-01 11:42:35.125718016  BURL  137.53  135.41     2