otp.Symbols#

class Symbols(db=None, find_params=None, keep_db=False, pattern='%', for_tick_type=None, show_tick_type=False, symbology='', show_original_symbols=False, discard_on_match=None, cep_method=None, poll_frequency=None, symbols_to_return=None, tick_type=utils.adaptive, _tick_type=utils.adaptive, start=utils.adaptive, end=utils.adaptive, date=None, schema=None, **kwargs)#

Bases: onetick.py.core.source.Source

Construct a source that returns ticks with information about symbols in a database. The SYMBOL_NAME field is populated with symbol names. The TICK_TYPE field contains corresponding tick type (enabled by the show_tick_type parameter).

Parameters

db (str) – Name of the database where to search symbols. By default the database used by otp.run will be inherited.
keep_db (bool) – Flag that indicates whether symbols should have a db prefix.
pattern (str) –
Usual and special characters can be used to search for symbols. Special characters are:
- % - any number of any characters (zero too)
- _ - any single character
- \ - used to escape special characters
For example, if you want symbol name starting with NQ, you should write NQ%. If you want symbol name to contain literal % character, you should write NQ\%. \ is a special character too, so it need to be escaped too if you want symbol name to contain literal backslash, e.g. NQ\\M23. Default is %.
for_tick_type (str) – Fetch only symbols belong to this tick type, if specified. Otherwise fetch symbols for all tick types.
show_tick_type (bool) – Add the TICK_TYPE column with the information about tick type
symbology (str) – The destination symbology for a symbol name translation. Translation is performed, if destination symbology is not empty and is different from that of the queried database.
show_original_symbols (bool) – Switches original symbol name propagation as a tick field ORIGINAL_SYMBOL_NAME if symbol name translation is performed (if symbology is set). Note that if this parameter is set to True, database symbols with missing translations are also propagated.
discard_on_match (bool) – If True, then parameter pattern filters out symbols to return from the database.
cep_method (str) –
The method to be used for extracting database symbols in CEP mode. Possible values are:
- use_db: symbols will be extracted from the database with intervals specified by the poll_frequency parameter, and new symbols will be output.
- use_cep_adapter: CEP adapter will be used to retrieve and propagate the symbols with every heartbeat.
- Default: None, the EP will work the same way as for historical queries, i.e. will query the database for symbols once.
poll_frequency (int) – Specifies the time interval in minutes to check the database for new symbols. This parameter can be specified only if cep_method is set to use_db. The minimum value is 1 minute.
symbols_to_return (str) –
Indicates whether all symbols must be returned or only those which are in the query time range. Possible values are:
- all_in_db: All symbols are returned.
- with_tick_in_query_range: Only the symbols which have ticks in the query time range are returned. This option is allowed only when cep_method is set to use_cep_adapter.
_tick_type (str) – Custom tick type for the node of the graph. By default “ANY” tick type will be set.
tick_type (str) –

Attention

This parameter is deprecated, use parameter _tick_type instead. Do not confuse this parameter with for_tick_type. This parameter is used for low-level customization of OneTick graph nodes and is rarely needed.
start (datetime.datetime, otp.datetime) – Custom start time of the query. By default the start time used by otp.run will be inherited.
end (datetime.datetime, otp.datetime) – Custom end time of the query. By default the start time used by otp.run will be inherited.
date (datetime.date) – Alternative way of setting instead of start/end times.

Note

Additional fields that can be added to Symbols will be converted to symbol parameters

Examples

This class can be used to get a list of all symbols in the database:

>>> symbols = otp.Symbols('NYSE_TAQ', date=otp.dt(2022, 3, 1))
>>> otp.run(symbols)
        Time  SYMBOL_NAME
0 2022-03-01          AAP
1 2022-03-01         AAPL

By default database name and time interval will be inherited from otp.run:

>>> data = otp.Symbols()
>>> otp.run(data, symbols='NYSE_TAQ::', date=otp.dt(2022, 3, 1))
        Time  SYMBOL_NAME
0 2022-03-01          AAP
1 2022-03-01         AAPL

Parameter keep_db can be used to show database name in a SYMBOL_NAME field. It is useful when querying symbols for many databases:

>>> data = otp.Symbols(keep_db=True)
>>> data = otp.merge([data], symbols=['SOME_DB::', 'SOME_DB_2::'])
>>> otp.run(data, date=otp.config.default_start_time)  
        Time    SYMBOL_NAME
0 2003-12-01    SOME_DB::S1
1 2003-12-01    SOME_DB::S2
2 2003-12-01  SOME_DB_2::S1
3 2003-12-01  SOME_DB_2::S2

By default symbols for all tick types are returned. You can set parameter show_tick_type to print the tick type for each symbol:

>>> symbols = otp.Symbols('NYSE_TAQ', show_tick_type=True)
>>> otp.run(symbols, date=otp.dt(2022, 3, 1))
        Time SYMBOL_NAME TICK_TYPE
0 2022-03-01         AAP       TRD
1 2022-03-01        AAPL       QTE
2 2022-03-01        AAPL       TRD

Parameter for_tick_type can be used to specify a single tick type for which to return symbols:

>>> symbols = otp.Symbols('NYSE_TAQ', show_tick_type=True, for_tick_type='TRD')
>>> otp.run(symbols, date=otp.dt(2022, 3, 1))
        Time SYMBOL_NAME TICK_TYPE
0 2022-03-01         AAP       TRD
1 2022-03-01        AAPL       TRD

Parameter pattern can be used to specify the pattern to filter symbol names:

>>> symbols = otp.Symbols('NYSE_TAQ', show_tick_type=True, for_tick_type='TRD', pattern='AAP_')
>>> otp.run(symbols, date=otp.dt(2022, 3, 1))
        Time SYMBOL_NAME TICK_TYPE
0 2022-03-01        AAPL       TRD

Parameter discard_on_match can be used to use pattern to filter out symbols instead:

>>> symbols = otp.Symbols('NYSE_TAQ', show_tick_type=True, for_tick_type='TRD',
...                       pattern='AAP_', discard_on_match=True)
>>> otp.run(symbols, date=otp.dt(2022, 3, 1))
        Time SYMBOL_NAME TICK_TYPE
0 2022-03-01         AAP       TRD

otp.Symbols object can be used to specify symbols for the main query:

>>> symbols = otp.Symbols('NYSE_TAQ')
>>> data = otp.DataSource('NYSE_TAQ', tick_type='TRD')
>>> result = otp.run(data, symbols=symbols, date=otp.dt(2022, 3, 1))
>>> result['AAPL']
                     Time  PRICE  SIZE
0 2022-03-01 00:00:00.000    1.3   100
1 2022-03-01 00:00:00.001    1.4    10
2 2022-03-01 00:00:00.002    1.4    50
>>> result['AAP']
                     Time  PRICE
0 2022-03-01 00:00:00.000  45.37
1 2022-03-01 00:00:00.001  45.41

Additional fields of the otp.Symbols can be used in the main query as symbol parameters:

>>> symbols = otp.Symbols('SOME_DB', show_tick_type=True, keep_db=True)
>>> symbols['PARAM'] = symbols['SYMBOL_NAME'] + '__' + symbols['TICK_TYPE']
>>> data = otp.DataSource('SOME_DB')
>>> data['S_PARAM'] = data.Symbol['PARAM', str]
>>> data = otp.merge([data], symbols=symbols)
>>> otp.run(data)
                     Time   X          S_PARAM
0 2003-12-01 00:00:00.000   1  SOME_DB::S1__TT
1 2003-12-01 00:00:00.000  -3  SOME_DB::S2__TT
2 2003-12-01 00:00:00.001   2  SOME_DB::S1__TT
3 2003-12-01 00:00:00.001  -2  SOME_DB::S2__TT
4 2003-12-01 00:00:00.002   3  SOME_DB::S1__TT
5 2003-12-01 00:00:00.002  -1  SOME_DB::S2__TT

Escaping special characters in the pattern

When using patterns with special character, be aware that python strings \ is a special character too and need to be escaped as well:

>>> print('back\\slash')
back\slash

Pattern NQ\\M23 in python should be written as NQ\\\\M23:

>>> print('NQ\\\\M23')
NQ\\M23

Escaping character \ in python can be avoided with raw strings:

>>> print(r'NQ\\M23')
NQ\\M23