otp.agg.ob_snapshot#

ob_snapshot(running=False, bucket_interval=0, bucket_time='end', bucket_units='seconds', bucket_end_condition=None, end_condition_per_group=False, group_by=None, side=None, max_levels=None, max_depth_shares=None, max_depth_for_price=None, book_uncross_method=None, dq_events_that_clear_book=None, identify_source=False, show_full_detail=False, show_only_changes=False, book_delimiters=None, max_initialization_days=1, state_key_max_inactivity_sec=None, size_max_fractional_digits=0)#

Returns the order book state at the end of each bucket interval: the price, the size, the side, and the time of the last update for a specified number of order 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.
side (Literal['ASK', 'BID']) – Specifies whether the function is to be applied to sell orders (ASK), buy orders (BID), or both (empty).
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.
max_depth_shares (int) – The total number of shares (i.e., the combined SIZE across top several levels of the book) that determines the number of order book levels that need to be part of the order book computation. If that number of levels exceeds max_levels, only max_levels levels of the book will be computed. The shares in excess of max_depth_shares, from the last included level, are not taken into account.
max_depth_for_price (float) – The multiplier, product of which with the price at the top level of the book determines maximum price distance from the top of the book for the levels that are to be included into the book. In other words, only bids at <top_price>*(1-max_depth_for_price) and above and only asks of <top_price>*(1+`max_depth_for_price`) and less will be returned. If the number of the levels that are to be included into the book, according to this criteria, exceeds max_levels, only max_levels levels of the book will be returned.
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.
identify_source (bool) – When this parameter is set to “true” and the input stream is fed through the VIRTUAL_OB event processor (with the QUOTE_SOURCE_FIELDS parameter specified) and group_by is not set to be “SOURCE” it will separate a tick with the same price from different sources into multiple ticks. The parameter can also be used when merging ticks from multiple feeds. Each feed going into the merge would need an ADD_FIELD EP source value set for the VALUE parameter, where the value would be different for each leg.
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.
show_only_changes (bool) –
When set to true, the output stream carries only changes to the book. The representation is as follows:
- Changed and added levels are represented by themselves.
- Deleted levels are shown with a size and level of zero.
As with other modes, correct detection of update boundaries may require setting the book_delimiters option.
book_delimiters (Literal['D']) – When set to “D” an extra tick is created after each book. Also, an additional column, called DELIMITER, 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 “D.” All other ticks have the DELIMITER set to zero (0).
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.

Examples

>>> data = otp.DataSource(db='SOME_DB', tick_type='PRL', symbols='AA')  
>>> data = otp.agg.ob_snapshot(max_levels=1).apply(data)  
>>> data.to_df() 
        Time  PRICE             UPDATE_TIME  SIZE  LEVEL  BUY_SELL_FLAG
0 2003-12-04    2.0 2003-12-01 00:00:00.003     6      1              1
1 2003-12-04    5.0 2003-12-01 00:00:00.004     7      1              0