Accessing a Lower Level API

Some of OneTick’s functionality may not be explicitly added to onetick-py but can be access through a lower-level API called onetick.query. See docs/onetick.query.api.python.html in OneTick documentation.

import onetick.py as otp
import onetick.query as otq

trd = otp.DataSource('NYSE_TAQ', tick_type='TRD')

trd.sink(otq.Variance(input_field_name='PRICE', output_field_name='VAR_PRICE', bucket_interval=60))
trd = trd.table(VAR_PRICE=float, strict=False) # need to explicitly add the fields added by the `sink` methods to the schema

trd['std'] = otp.math.sqrt(trd['VAR_PRICE'])

otp.run(trd,  start=otp.dt(2022,9,1,10), end=otp.dt(2022,9,1,16), symbols='AA')

	Time	VAR_PRICE	std
0	2022-09-01 10:01:00	NaN	NaN
1	2022-09-01 10:02:00	NaN	NaN
2	2022-09-01 10:03:00	NaN	NaN
3	2022-09-01 10:04:00	NaN	NaN
4	2022-09-01 10:05:00	NaN	NaN
...	...	...	...
355	2022-09-01 15:56:00	0.000283	0.016808
356	2022-09-01 15:57:00	0.001258	0.035470
357	2022-09-01 15:58:00	0.000520	0.022799
358	2022-09-01 15:59:00	0.000224	0.014981
359	2022-09-01 16:00:00	0.001153	0.033962

360 rows × 3 columns