otp.agg.vwap#

vwap(price_column, size_column, running=False, all_fields=False, bucket_interval=0, bucket_time='end', bucket_units='seconds', bucket_end_condition=None, end_condition_per_group=False, boundary_tick_bucket='new', group_by=None)#

Returns volume weighted average price

Parameters

price_column (str or Column price column for vwap) –
size_column (str or Column size column for vwap) –
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’)
all_fields (bool) –
- all_fields = True
  
  output ticks include all fields from the input ticks
  - running = True
  an output tick is created only when a tick enters the sliding window
  - running = False
  fields of first tick in bucket will be used
- all_fields = False and running = True
  
  output ticks are created when a tick enters or leaves the sliding window.
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”
boundary_tick_bucket (Literal['new', 'previous']) –
Controls boundary tick ownership.
- previous
  
  A tick on which bucket_end_condition evaluates to “true” belongs to the bucket being closed.
- new
  
  tick belongs to the new bucket.
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.

Examples

>>> data = otp.Ticks(P=[1, 2, 3, 4], S=[10, 20, 30, 40])
>>> data = data.agg({'RESULT': otp.agg.vwap('P','S')})
>>> otp.run(data)
        Time  RESULT
0 2003-12-04     3.0