otp.Source.ob_snapshot_flat#

Source.ob_snapshot_flat(running=False, bucket_interval=0, bucket_time='end', bucket_units='seconds', bucket_end_condition=None, end_condition_per_group=False, group_by=None, max_levels=None, book_uncross_method=None, dq_events_that_clear_book=None, show_full_detail=False, max_initialization_days=1, state_key_max_inactivity_sec=None, size_max_fractional_digits=0)[source]#

Returns the snapshot for a specified number of book levels as a single tick with multiple field groups corresponding to book levels.

Parameters

running (bool) –
Aggregation will be calculated as sliding window. running and bucket_interval parameters determines when new buckets are created.
- running = True
  
  aggregation will be calculated in a sliding window.
  - bucket_interval = N (N > 0)
    
    Window size will be N. Output tick wil be generated when tick “enter” window (arrival event) and when “exit” window (exit event)
  - bucket_interval = 0
    
    Left boundary of window will be binded to start time. For each tick aggregation will be calculated in [start_time; tick_t].
- running = False
  
  buckets partition the [query start time, query end time) interval into non-overlapping intervals of size bucket_interval (with the last interval possibly of a smaller size). If bucket_interval is set to 0 a single bucket for the entire interval is created.
Default: False - create totally independent buckets. Number of buckets = (end - start) / bucket_interval’)
bucket_interval (int) – Determines the length of each bucket (units depends on bucket_units).
bucket_time (Literal['start', 'end']) –
Control output timestamp.
- start
  
  the timestamp assigned to the bucket is the start time of the bucket.
- end
  
  the timestamp assigned to the bucket is the end time of the bucket.
bucket_units (Literal['seconds', 'ticks', 'days', 'months', 'flexible']) –
Set bucket interval units.

If set to flexible bucket_end_criteria must be set.
bucket_end_condition (condition) – An expression that is evaluated on every tick. If it evaluates to “True”, then a new bucket is created. This parameter is only used if bucket_units is set to “flexible”
end_condition_per_group (bool) –
Controls application of bucket_end_condition in groups.
- end_condition_per_group = True
  
  bucket_end_condition is applied only to the group defined by group_by
- end_condition_per_group = False
  
  bucket_end_condition applied across all groups
This parameter is only used if bucket_units is set to “flexible”
group_by (list, str or expression) – When specified, each bucket is broken further into additional sub-buckets based on specified field values.
max_levels (int) – Number of order book levels (between 1 and 100_000) that need to be computed. If empty, all levels will be computed.
book_uncross_method (Literal['REMOVE_OLDER_CROSSED_LEVELS']) – When set to “REMOVE_OLDER_CROSSED_LEVELS”, all ask levels that have price lower or equal to the price of a new bid tick get removed from the book, and all bid levels that have price higher or equal to the price of a new ask tick get removed from the book.
dq_events_that_clear_book (List[str]) – A list of names of data quality events arrival of which should clear the order book.
show_full_detail (bool) – When set to “true” and if the state key of the input ticks consists of some fields besides PRICE, output ticks will contain all fields from the input ticks for each price level. When set to “false” only PRICE, UPDATE_TIME, SIZE, LEVEL, and BUY_SELL_FLAG fields will be populated. Note: setting this flag to “true” has no effect on a time series that does not have a state key.
max_initialization_days (int) – This parameter specifies how many days back book event processors should go in order to find the latest full state of the book. The query will not go back resulting number of days if it finds initial book state earlier. When book event processors are used after VIRTUAL_OB EP, this parameter should be set to 0. When set, this parameter takes precedence over the configuration parameter BOOKS.MAX_INITIALIZATION_DAYS.
state_key_max_inactivity_sec (int) – If set, specifies in how many seconds after it was added a given state key should be automatically removed from the book.
size_max_fractional_digits (int) – Specifies maximum number of digits after dot in SIZE, if SIZE can be fractional.

Return type

Source

Examples

>>> data = otp.DataSource(db='SOME_DB', tick_type='PRL', symbols='AA')  
>>> data = data.ob_snapshot_flat(max_levels=1)  
>>> data.to_df() 
Time  BID_PRICE1        BID_UPDATE_TIME1  BID_SIZE1  ASK_PRICE1        ASK_UPDATE_TIME1  ASK_SIZE1
0 2003-12-03         5.0 2003-12-01 00:00:00.004          7         2.0 2003-12-01 00:00:00.003          6