Daily OHLCV (with closing prices)#
This is part of the OQD offering. Available in OneTick Cloud. Can be configured on prem.
We can retrieve daily OHLCV data for specific tickers using various symbologies.
import onetick.py as otp
src = otp.oqd.sources.OHLCV(exch='USCOMP')
otp.run(src, symbols=['BTKR::::AAPL US'], start=otp.dt(2022, 10, 1), end=otp.dt(2022, 10, 7), symbol_date=otp.dt(2022, 10, 1))
| Time | OID | EXCH | CURRENCY | OPEN | HIGH | LOW | CLOSE | VOLUME | |
|---|---|---|---|---|---|---|---|---|---|
| 0 | 2022-10-02 20:00:00 | 9706 | USCOMP | USD | 138.210 | 143.07 | 137.685 | 142.45 | 114311700.0 |
| 1 | 2022-10-03 20:00:00 | 9706 | USCOMP | USD | 145.030 | 146.22 | 144.260 | 146.10 | 87830060.0 |
| 2 | 2022-10-04 20:00:00 | 9706 | USCOMP | USD | 144.075 | 147.38 | 143.010 | 146.40 | 79470970.0 |
| 3 | 2022-10-05 20:00:00 | 9706 | USCOMP | USD | 145.810 | 147.54 | 145.220 | 145.43 | 68402170.0 |
| 4 | 2022-10-06 20:00:00 | 9706 | USCOMP | USD | 142.540 | 143.10 | 139.445 | 140.09 | 85925560.0 |
Examples of other supported symbologies include:
TDEQ::::AAPL
SED::::2046251
FGV::::BBG000B9XRY4
ISN::::US0378331005
TKR::::ALSPW.FRXPAR.
The most efficient way of retrieving data for a large number of symbols is via OneTick’s native OID symbology. We can create a map from the databases’s symbology to the OID using the code below or between any two symbologies using the method described in the Symbologies guide.
oid = otp.Symbols('NYSE_TAQ', symbology='OID', show_original_symbols=True)
oid, _ = oid[oid['SYMBOL_NAME'] != '']
otp.run(oid, start=otp.dt(2022, 10, 1), end=otp.dt(2022, 10, 7))
| Time | SYMBOL_NAME | ORIGINAL_SYMBOL_NAME | |
|---|---|---|---|
| 0 | 2022-10-01 | 3751 | NYSE_TAQ::A |
| 1 | 2022-10-01 | 647321 | NYSE_TAQ::AA |
| 2 | 2022-10-01 | 695581 | NYSE_TAQ::AAA |
| 3 | 2022-10-01 | 673522 | NYSE_TAQ::AAAU |
| 4 | 2022-10-01 | 703090 | NYSE_TAQ::AAC |
| ... | ... | ... | ... |
| 12174 | 2022-10-01 | 273584 | NYSE_TAQ::ZWS |
| 12175 | 2022-10-01 | 704054 | NYSE_TAQ::ZY |
| 12176 | 2022-10-01 | 655470 | NYSE_TAQ::ZYME |
| 12177 | 2022-10-01 | 633589 | NYSE_TAQ::ZYNE |
| 12178 | 2022-10-01 | 208375 | NYSE_TAQ::ZYXI |
12179 rows × 3 columns
We can now query OHLCV using OIDs. The code below retrieves OHLCV for all US equities for 5 days.
ohlcv = otp.oqd.sources.OHLCV(exch='USCOMP')
ohlcv['ticker'] = ohlcv.Symbol.ORIGINAL_SYMBOL_NAME
ohlcv = otp.merge([ohlcv], symbols=oid)
otp.run(ohlcv, start=otp.dt(2022, 10, 1), end=otp.dt(2022, 10, 7))
| Time | OID | EXCH | CURRENCY | OPEN | HIGH | LOW | CLOSE | VOLUME | ticker | |
|---|---|---|---|---|---|---|---|---|---|---|
| 0 | 2022-10-02 20:00:00 | 3751 | USCOMP | USD | 122.730 | 127.300 | 121.6800 | 126.3800 | 1343211.0 | NYSE_TAQ::A |
| 1 | 2022-10-02 20:00:00 | 647321 | USCOMP | USD | 34.350 | 37.940 | 34.0000 | 37.3900 | 9731361.0 | NYSE_TAQ::AA |
| 2 | 2022-10-02 20:00:00 | 695581 | USCOMP | USD | 24.075 | 24.075 | 24.0750 | 24.0750 | 9.0 | NYSE_TAQ::AAA |
| 3 | 2022-10-02 20:00:00 | 673522 | USCOMP | USD | 16.560 | 16.890 | 16.5500 | 16.8750 | 585071.0 | NYSE_TAQ::AAAU |
| 4 | 2022-10-02 20:00:00 | 703090 | USCOMP | USD | 9.930 | 9.940 | 9.9300 | 9.9400 | 294860.0 | NYSE_TAQ::AAC |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 60740 | 2022-10-06 20:00:00 | 273584 | USCOMP | USD | 24.920 | 25.250 | 24.5000 | 24.5800 | 574758.0 | NYSE_TAQ::ZWS |
| 60741 | 2022-10-06 20:00:00 | 704054 | USCOMP | USD | 2.830 | 2.910 | 2.7500 | 2.7800 | 755683.0 | NYSE_TAQ::ZY |
| 60742 | 2022-10-06 20:00:00 | 655470 | USCOMP | USD | 6.060 | 6.170 | 5.7400 | 5.9000 | 1057437.0 | NYSE_TAQ::ZYME |
| 60743 | 2022-10-06 20:00:00 | 633589 | USCOMP | USD | 0.769 | 0.820 | 0.7411 | 0.7411 | 242326.0 | NYSE_TAQ::ZYNE |
| 60744 | 2022-10-06 20:00:00 | 208375 | USCOMP | USD | 9.270 | 9.400 | 8.7500 | 8.8000 | 141339.0 | NYSE_TAQ::ZYXI |
60745 rows × 10 columns