{
 "cells": [
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "ad42f7ef",
   "metadata": {},
   "source": [
    "# Data Retrieval"
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "1ceb704d-c4cd-4cc3-965a-b8596bde08d0",
   "metadata": {},
   "source": [
    "OneTick is a time series database meaning that each record has a timestamp and timestamps of consecutive records are non-decreasing. Multiple time series are stored in OneTick. An individual time series is identified by the symbol (aka ticker, financial instrument, security), tick type (i.e., the type of data such as trades or quotes), and the name of the database where the time series is stored."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "id": "fa14e1fa-a1c7-458b-90f5-4741058ea8ac",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "['ACTIV_ALPHA', 'ACTIV_CANADA', 'ACTIV_CSE', 'ACTIV_CSE2', 'ACTIV_CX2']"
      ]
     },
     "execution_count": 2,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "import onetick.py as otp\n",
    "\n",
    "s = otp.dt(2023, 5, 15, 9, 30)\n",
    "e = otp.dt(2023, 5, 15, 9, 30, 1)\n",
    "\n",
    "# we can retrieve the list of databases available\n",
    "dbs = otp.databases()\n",
    "list(dbs)[:5]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "id": "01eb7800-2d4f-43a9-8835-f1062e87bba2",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "[datetime.date(2023, 4, 7),\n",
       " datetime.date(2023, 4, 8),\n",
       " datetime.date(2023, 4, 9),\n",
       " datetime.date(2023, 4, 10),\n",
       " datetime.date(2023, 4, 11)]"
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# the list of dates with data for the db\n",
    "dbs['ACTIV_CANADA'].dates()[-5:]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "id": "90557e70-7808-4df8-9366-92e88a7d1db2",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "datetime.date(2023, 4, 11)"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# or just the last day with data\n",
    "dbs['ACTIV_CANADA'].last_date"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "id": "39d6e0af-f219-4439-841e-5f39b4ecdbf1",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "['DAY', 'QTE', 'STAT', 'TRD']"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# and the list of tick types\n",
    "dbs['ACTIV_CANADA'].tick_types()"
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "b5e390ca-8396-41ba-97c0-afa0a4427ef8",
   "metadata": {},
   "source": [
    "We can now retrieve symbols traded in a given time range. (In many financial markets, there are properties that remain constant throughout the trading day. Examples include the name of a financial instrument and the set of instruments traded)."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "id": "fe30bf21-201c-4ac8-949e-3dc13e8e2e48",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
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       "    }\n",
       "\n",
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       "        text-align: right;\n",
       "    }\n",
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Time</th>\n",
       "      <th>SYMBOL_NAME</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2023-04-11</td>\n",
       "      <td>A.H</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2023-04-11</td>\n",
       "      <td>AAA.P</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2023-04-11</td>\n",
       "      <td>AAAJ.P</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>2023-04-11</td>\n",
       "      <td>AAB</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2023-04-11</td>\n",
       "      <td>AAC.P</td>\n",
       "    </tr>\n",
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       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
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       "    <tr>\n",
       "      <th>5733</th>\n",
       "      <td>2023-04-11</td>\n",
       "      <td>ZYZ.SB.A</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5734</th>\n",
       "      <td>2023-04-11</td>\n",
       "      <td>ZYZ.UN.U</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5735</th>\n",
       "      <td>2023-04-11</td>\n",
       "      <td>ZZE.H</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5736</th>\n",
       "      <td>2023-04-11</td>\n",
       "      <td>ZZZ</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5737</th>\n",
       "      <td>2023-04-11</td>\n",
       "      <td>ZZZD</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>5738 rows × 2 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "           Time SYMBOL_NAME\n",
       "0    2023-04-11         A.H\n",
       "1    2023-04-11       AAA.P\n",
       "2    2023-04-11      AAAJ.P\n",
       "3    2023-04-11         AAB\n",
       "4    2023-04-11       AAC.P\n",
       "...         ...         ...\n",
       "5733 2023-04-11    ZYZ.SB.A\n",
       "5734 2023-04-11    ZYZ.UN.U\n",
       "5735 2023-04-11       ZZE.H\n",
       "5736 2023-04-11         ZZZ\n",
       "5737 2023-04-11        ZZZD\n",
       "\n",
       "[5738 rows x 2 columns]"
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "symbols = otp.Symbols('ACTIV_CANADA')\n",
    "otp.run(symbols, start=otp.dt(2023, 4, 11), end=otp.dt(2023, 4, 12))"
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "c19aa09b-4b03-484b-bcf2-c6350c7929ff",
   "metadata": {},
   "source": [
    "We used the `otp.run` method above, which executed a query that retrieved the list of symbols. \n",
    "\n",
    "The start and end timestamps were specified with `onetick-py`'s datetime class `otp.dt`."
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "63125d3b-b49c-48d7-a173-f4a4816abd80",
   "metadata": {},
   "source": [
    "Now that we have database names, tick types, and symbols, we are ready to query a time series."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "id": "d7614b09-c381-406c-8c7b-3f5baaa4c05e",
   "metadata": {},
   "outputs": [
    {
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       "      <td>0</td>\n",
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       "      <td>1969-12-31 19:00:00.000000000</td>\n",
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       "      <td>2023-05-15 09:30:00.933678033</td>\n",
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       "      <td>2023-05-15 09:30:00.975241514</td>\n",
       "      <td>0</td>\n",
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       "      <td>D</td>\n",
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       "      <td>N</td>\n",
       "      <td>C</td>\n",
       "      <td>T</td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
       "      <td>412.27</td>\n",
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       "      <td>0</td>\n",
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       "      <td>2023-05-15 09:30:00.985391616</td>\n",
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       "      <td>C</td>\n",
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       "      <td>412.28</td>\n",
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       "      <td>0</td>\n",
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       "    <tr>\n",
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       "      <td>2023-05-15 09:30:00.985394944</td>\n",
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       "      <td>C</td>\n",
       "      <td></td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
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       "      <td>2023-05-15 09:30:00.984958312</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>315 rows × 18 columns</p>\n",
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      ],
      "text/plain": [
       "                             Time EXCHANGE  COND STOP_STOCK SOURCE TRF TTE TICKER   PRICE        DELETED_TIME  TICK_STATUS  SIZE  CORR  SEQ_NUM        TRADE_ID              PARTICIPANT_TIME                      TRF_TIME  OMDSEQ\n",
       "0   2023-05-15 09:30:00.000178688        P    T           N      C       0    SPY  412.22 1969-12-31 19:00:00            0   100     0    39195  52983525167153 2023-05-15 09:30:00.000150016 1969-12-31 19:00:00.000000000       0\n",
       "1   2023-05-15 09:30:00.000776704        Z                N      C       0    SPY  412.22 1969-12-31 19:00:00            0   247     0    39196  52983525035355 2023-05-15 09:30:00.000450000 1969-12-31 19:00:00.000000000       1\n",
       "2   2023-05-15 09:30:00.003603456        T    T           N      C       0    SPY  412.22 1969-12-31 19:00:00            0   100     0    39212  62879133157950 2023-05-15 09:30:00.003165122 1969-12-31 19:00:00.000000000       0\n",
       "3   2023-05-15 09:30:00.006352128        K     I          N      C       0    SPY  412.24 1969-12-31 19:00:00            0     1     0    39227  52983525098301 2023-05-15 09:30:00.006091000 1969-12-31 19:00:00.000000000       0\n",
       "4   2023-05-15 09:30:00.007128064        K     I          N      C       0    SPY  412.24 1969-12-31 19:00:00            0     3     0    39231  52983525098302 2023-05-15 09:30:00.006873000 1969-12-31 19:00:00.000000000       0\n",
       "..                            ...      ...   ...        ...    ...  ..  ..    ...     ...                 ...          ...   ...   ...      ...             ...                           ...                           ...     ...\n",
       "310 2023-05-15 09:30:00.934032640        T    T           N      C       0    SPY  412.27 1969-12-31 19:00:00            0   160     0    40517  62879133545538 2023-05-15 09:30:00.933678033 1969-12-31 19:00:00.000000000       1\n",
       "311 2023-05-15 09:30:00.975609344        D     I          N      C   T   0    SPY  412.24 1969-12-31 19:00:00            0     2     0    40543  71675240595789 2023-05-15 09:30:00.661000000 2023-05-15 09:30:00.975241514       0\n",
       "312 2023-05-15 09:30:00.980264448        D     I          N      C   T   0    SPY  412.27 1969-12-31 19:00:00            0     1     0    40545  71675240596294 2023-05-15 09:30:00.553501000 2023-05-15 09:30:00.979895700       0\n",
       "313 2023-05-15 09:30:00.985391616        T                N      C       0    SPY  412.28 1969-12-31 19:00:00            0   100     0    40547  62879133552717 2023-05-15 09:30:00.984946104 1969-12-31 19:00:00.000000000       0\n",
       "314 2023-05-15 09:30:00.985394944        T     Q          N      C       0    SPY  412.28 1969-12-31 19:00:00            0   100     0    40549  62879133552719 2023-05-15 09:30:00.984958312 1969-12-31 19:00:00.000000000       1\n",
       "\n",
       "[315 rows x 18 columns]"
      ]
     },
     "execution_count": 4,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "q = otp.DataSource('NYSE_TAQ', tick_type='TRD')\n",
    "otp.run(q, start=s, end=e, symbols=['SPY'])"
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "d051b530-da39-4075-8bcc-7013c78aca86",
   "metadata": {},
   "source": [
    "Note that we specified the start and end of the time series to retrieve the corresponding interval."
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "c4e0e559-56b7-44f4-958f-15f954c9090c",
   "metadata": {},
   "source": [
    "Let's just keep the columns we're interested in to make it more digestible."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "id": "279f2c52-18fe-41ea-a275-f4f61598dbad",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Time</th>\n",
       "      <th>PRICE</th>\n",
       "      <th>SIZE</th>\n",
       "      <th>COND</th>\n",
       "      <th>EXCHANGE</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
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       "      <td>2023-05-15 09:30:00.000178688</td>\n",
       "      <td>412.22</td>\n",
       "      <td>100</td>\n",
       "      <td>T</td>\n",
       "      <td>P</td>\n",
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       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2023-05-15 09:30:00.000776704</td>\n",
       "      <td>412.22</td>\n",
       "      <td>247</td>\n",
       "      <td></td>\n",
       "      <td>Z</td>\n",
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       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2023-05-15 09:30:00.003603456</td>\n",
       "      <td>412.22</td>\n",
       "      <td>100</td>\n",
       "      <td>T</td>\n",
       "      <td>T</td>\n",
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       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>2023-05-15 09:30:00.006352128</td>\n",
       "      <td>412.24</td>\n",
       "      <td>1</td>\n",
       "      <td>I</td>\n",
       "      <td>K</td>\n",
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       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2023-05-15 09:30:00.007128064</td>\n",
       "      <td>412.24</td>\n",
       "      <td>3</td>\n",
       "      <td>I</td>\n",
       "      <td>K</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
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       "    <tr>\n",
       "      <th>310</th>\n",
       "      <td>2023-05-15 09:30:00.934032640</td>\n",
       "      <td>412.27</td>\n",
       "      <td>160</td>\n",
       "      <td>T</td>\n",
       "      <td>T</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>311</th>\n",
       "      <td>2023-05-15 09:30:00.975609344</td>\n",
       "      <td>412.24</td>\n",
       "      <td>2</td>\n",
       "      <td>I</td>\n",
       "      <td>D</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>312</th>\n",
       "      <td>2023-05-15 09:30:00.980264448</td>\n",
       "      <td>412.27</td>\n",
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       "      <td>I</td>\n",
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       "    <tr>\n",
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       "      <td>2023-05-15 09:30:00.985391616</td>\n",
       "      <td>412.28</td>\n",
       "      <td>100</td>\n",
       "      <td></td>\n",
       "      <td>T</td>\n",
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       "    <tr>\n",
       "      <th>314</th>\n",
       "      <td>2023-05-15 09:30:00.985394944</td>\n",
       "      <td>412.28</td>\n",
       "      <td>100</td>\n",
       "      <td>Q</td>\n",
       "      <td>T</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>315 rows × 5 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                             Time   PRICE  SIZE  COND EXCHANGE\n",
       "0   2023-05-15 09:30:00.000178688  412.22   100    T         P\n",
       "1   2023-05-15 09:30:00.000776704  412.22   247              Z\n",
       "2   2023-05-15 09:30:00.003603456  412.22   100    T         T\n",
       "3   2023-05-15 09:30:00.006352128  412.24     1     I        K\n",
       "4   2023-05-15 09:30:00.007128064  412.24     3     I        K\n",
       "..                            ...     ...   ...   ...      ...\n",
       "310 2023-05-15 09:30:00.934032640  412.27   160    T         T\n",
       "311 2023-05-15 09:30:00.975609344  412.24     2     I        D\n",
       "312 2023-05-15 09:30:00.980264448  412.27     1     I        D\n",
       "313 2023-05-15 09:30:00.985391616  412.28   100              T\n",
       "314 2023-05-15 09:30:00.985394944  412.28   100     Q        T\n",
       "\n",
       "[315 rows x 5 columns]"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "q = otp.DataSource('NYSE_TAQ', tick_type='TRD')\n",
    "q = q[['PRICE', 'SIZE', 'COND', 'EXCHANGE']]\n",
    "otp.run(q, start=s, end=e, symbols=['SPY'])"
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "45b2d6d5-8afa-4149-adeb-2d55393e8b03",
   "metadata": {},
   "source": [
    "We can retrieve multiple time series."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "id": "71da7662-31ce-417e-813d-3d52ea785853",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "{'SPY':                              Time   PRICE  SIZE  COND EXCHANGE\n",
       " 0   2023-05-15 09:30:00.000178688  412.22   100    T         P\n",
       " 1   2023-05-15 09:30:00.000776704  412.22   247              Z\n",
       " 2   2023-05-15 09:30:00.003603456  412.22   100    T         T\n",
       " 3   2023-05-15 09:30:00.006352128  412.24     1     I        K\n",
       " 4   2023-05-15 09:30:00.007128064  412.24     3     I        K\n",
       " ..                            ...     ...   ...   ...      ...\n",
       " 310 2023-05-15 09:30:00.934032640  412.27   160    T         T\n",
       " 311 2023-05-15 09:30:00.975609344  412.24     2     I        D\n",
       " 312 2023-05-15 09:30:00.980264448  412.27     1     I        D\n",
       " 313 2023-05-15 09:30:00.985391616  412.28   100              T\n",
       " 314 2023-05-15 09:30:00.985394944  412.28   100     Q        T\n",
       " \n",
       " [315 rows x 5 columns],\n",
       " 'QQQ':                              Time   PRICE  SIZE  COND EXCHANGE\n",
       " 0   2023-05-15 09:30:00.000234302  325.51   300  @           B\n",
       " 1   2023-05-15 09:30:00.001657060  325.54     2  @  I        Z\n",
       " 2   2023-05-15 09:30:00.001661871  325.54   166  @           Z\n",
       " 3   2023-05-15 09:30:00.001667551  325.54   167  @           Z\n",
       " 4   2023-05-15 09:30:00.001671172  325.54   100  @           Z\n",
       " ..                            ...     ...   ...   ...      ...\n",
       " 378 2023-05-15 09:30:00.973742814  325.52     4  @  I        P\n",
       " 379 2023-05-15 09:30:00.974814807  325.53    50  @  I        Q\n",
       " 380 2023-05-15 09:30:00.975917138  325.51     7  @  I        P\n",
       " 381 2023-05-15 09:30:00.984404972  325.52    65  @F I        Z\n",
       " 382 2023-05-15 09:30:00.999619637  325.50     6  @  I        Q\n",
       " \n",
       " [383 rows x 5 columns]}"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "q = otp.DataSource('NYSE_TAQ', tick_type='TRD')\n",
    "q = q[['PRICE', 'SIZE', 'COND', 'EXCHANGE']]\n",
    "mult = otp.run(q, start=s, end=e, symbols=['SPY', 'QQQ'])\n",
    "mult"
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "99a8b4f5-e362-4c45-b4cb-6b304fc9de59",
   "metadata": {},
   "source": [
    "Each time series is returned as the value of a dict keyed by the corresponding symbol."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "id": "830d1abd-3134-4b68-9912-808ffa5472cf",
   "metadata": {},
   "outputs": [
    {
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       "      <th>382</th>\n",
       "      <td>2023-05-15 09:30:00.999619637</td>\n",
       "      <td>325.50</td>\n",
       "      <td>6</td>\n",
       "      <td>@  I</td>\n",
       "      <td>Q</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>383 rows × 5 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                             Time   PRICE  SIZE  COND EXCHANGE\n",
       "0   2023-05-15 09:30:00.000234302  325.51   300  @           B\n",
       "1   2023-05-15 09:30:00.001657060  325.54     2  @  I        Z\n",
       "2   2023-05-15 09:30:00.001661871  325.54   166  @           Z\n",
       "3   2023-05-15 09:30:00.001667551  325.54   167  @           Z\n",
       "4   2023-05-15 09:30:00.001671172  325.54   100  @           Z\n",
       "..                            ...     ...   ...   ...      ...\n",
       "378 2023-05-15 09:30:00.973742814  325.52     4  @  I        P\n",
       "379 2023-05-15 09:30:00.974814807  325.53    50  @  I        Q\n",
       "380 2023-05-15 09:30:00.975917138  325.51     7  @  I        P\n",
       "381 2023-05-15 09:30:00.984404972  325.52    65  @F I        Z\n",
       "382 2023-05-15 09:30:00.999619637  325.50     6  @  I        Q\n",
       "\n",
       "[383 rows x 5 columns]"
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "mult['QQQ']"
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "3c405829-86e9-4d04-849b-b9be60c279c8",
   "metadata": {},
   "source": [
    "We can also retrieve all of the symbols from the database or all of the symbols matching a pattern."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "id": "d89dc08b-0ead-4b3d-98ae-442ab9901978",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "{'AAA':                            Time  PRICE  SIZE  COND EXCHANGE\n",
       " 0 2023-05-15 09:30:00.227737600  24.55    20     I        P\n",
       " 1 2023-05-15 09:30:00.227740672  24.55    20     Q        P,\n",
       " 'AAAU':                            Time   PRICE  SIZE  COND EXCHANGE\n",
       " 0 2023-05-15 09:30:00.018481664  19.990  7985   O X        Z\n",
       " 1 2023-05-15 09:30:00.033499392  19.990    50   4 I        D\n",
       " 2 2023-05-15 09:30:00.034347520  19.990    61   4 I        D\n",
       " 3 2023-05-15 09:30:00.034804480  19.990   250   4          D\n",
       " 4 2023-05-15 09:30:00.041420288  19.990    77     I        K\n",
       " 5 2023-05-15 09:30:00.042842624  19.990  6000    T         T\n",
       " 6 2023-05-15 09:30:00.184702208  19.990     1     I        D\n",
       " 7 2023-05-15 09:30:00.219001600  19.995     2     I        Z\n",
       " 8 2023-05-15 09:30:00.817365248  19.995     1     I        D}"
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "q = otp.DataSource('NYSE_TAQ', tick_type='TRD')\n",
    "q = q[['PRICE', 'SIZE', 'COND', 'EXCHANGE']]\n",
    "mult = otp.run(q, start=s, end=e, symbols=otp.Symbols('NYSE_TAQ', pattern='AAA%'))\n",
    "mult"
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "409ef584-4ea7-4fcb-8caa-ba64706ba489",
   "metadata": {},
   "source": [
    "We can merge all of the time series by time."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "id": "29e588e6-bf9a-4d4a-9bdd-e40d7a2cf88b",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <td>412.22</td>\n",
       "      <td>100</td>\n",
       "      <td>T</td>\n",
       "      <td>P</td>\n",
       "      <td>SPY</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2023-05-15 09:30:00.000234302</td>\n",
       "      <td>325.51</td>\n",
       "      <td>300</td>\n",
       "      <td>@</td>\n",
       "      <td>B</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2023-05-15 09:30:00.000776704</td>\n",
       "      <td>412.22</td>\n",
       "      <td>247</td>\n",
       "      <td></td>\n",
       "      <td>Z</td>\n",
       "      <td>SPY</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>2023-05-15 09:30:00.001657060</td>\n",
       "      <td>325.54</td>\n",
       "      <td>2</td>\n",
       "      <td>@  I</td>\n",
       "      <td>Z</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2023-05-15 09:30:00.001661871</td>\n",
       "      <td>325.54</td>\n",
       "      <td>166</td>\n",
       "      <td>@</td>\n",
       "      <td>Z</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>693</th>\n",
       "      <td>2023-05-15 09:30:00.980264448</td>\n",
       "      <td>412.27</td>\n",
       "      <td>1</td>\n",
       "      <td>I</td>\n",
       "      <td>D</td>\n",
       "      <td>SPY</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>694</th>\n",
       "      <td>2023-05-15 09:30:00.984404972</td>\n",
       "      <td>325.52</td>\n",
       "      <td>65</td>\n",
       "      <td>@F I</td>\n",
       "      <td>Z</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>695</th>\n",
       "      <td>2023-05-15 09:30:00.985391616</td>\n",
       "      <td>412.28</td>\n",
       "      <td>100</td>\n",
       "      <td></td>\n",
       "      <td>T</td>\n",
       "      <td>SPY</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>696</th>\n",
       "      <td>2023-05-15 09:30:00.985394944</td>\n",
       "      <td>412.28</td>\n",
       "      <td>100</td>\n",
       "      <td>Q</td>\n",
       "      <td>T</td>\n",
       "      <td>SPY</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>697</th>\n",
       "      <td>2023-05-15 09:30:00.999619637</td>\n",
       "      <td>325.50</td>\n",
       "      <td>6</td>\n",
       "      <td>@  I</td>\n",
       "      <td>Q</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>698 rows × 7 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                             Time   PRICE  SIZE  COND EXCHANGE SYMBOL_NAME TICK_TYPE\n",
       "0   2023-05-15 09:30:00.000178688  412.22   100    T         P         SPY       TRD\n",
       "1   2023-05-15 09:30:00.000234302  325.51   300  @           B         QQQ       TRD\n",
       "2   2023-05-15 09:30:00.000776704  412.22   247              Z         SPY       TRD\n",
       "3   2023-05-15 09:30:00.001657060  325.54     2  @  I        Z         QQQ       TRD\n",
       "4   2023-05-15 09:30:00.001661871  325.54   166  @           Z         QQQ       TRD\n",
       "..                            ...     ...   ...   ...      ...         ...       ...\n",
       "693 2023-05-15 09:30:00.980264448  412.27     1     I        D         SPY       TRD\n",
       "694 2023-05-15 09:30:00.984404972  325.52    65  @F I        Z         QQQ       TRD\n",
       "695 2023-05-15 09:30:00.985391616  412.28   100              T         SPY       TRD\n",
       "696 2023-05-15 09:30:00.985394944  412.28   100     Q        T         SPY       TRD\n",
       "697 2023-05-15 09:30:00.999619637  325.50     6  @  I        Q         QQQ       TRD\n",
       "\n",
       "[698 rows x 7 columns]"
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "q = otp.DataSource('NYSE_TAQ', tick_type='TRD')\n",
    "q = q[['PRICE', 'SIZE', 'COND', 'EXCHANGE']]\n",
    "q = otp.merge([q], symbols=['SPY', 'QQQ'], identify_input_ts=True)\n",
    "single = otp.run(q, start=s, end=e)\n",
    "single"
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "e5810875-f2e7-401c-8c84-e0afe53370aa",
   "metadata": {},
   "source": [
    "The time range and symbols can be specified directly on the data source. This way we can have different times ranges for difference sources that we can later merge."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "id": "99cf6179-b095-437c-aaef-6ae2c09a668b",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Time</th>\n",
       "      <th>EXCHANGE</th>\n",
       "      <th>COND</th>\n",
       "      <th>STOP_STOCK</th>\n",
       "      <th>SOURCE</th>\n",
       "      <th>TRF</th>\n",
       "      <th>TTE</th>\n",
       "      <th>TICKER</th>\n",
       "      <th>PRICE</th>\n",
       "      <th>DELETED_TIME</th>\n",
       "      <th>TICK_STATUS</th>\n",
       "      <th>SIZE</th>\n",
       "      <th>CORR</th>\n",
       "      <th>SEQ_NUM</th>\n",
       "      <th>TRADE_ID</th>\n",
       "      <th>PARTICIPANT_TIME</th>\n",
       "      <th>TRF_TIME</th>\n",
       "      <th>OMDSEQ</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2023-05-15 09:30:00.000178688</td>\n",
       "      <td>P</td>\n",
       "      <td>T</td>\n",
       "      <td>N</td>\n",
       "      <td>C</td>\n",
       "      <td></td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
       "      <td>412.22</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
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       "      <td>100</td>\n",
       "      <td>0</td>\n",
       "      <td>39195</td>\n",
       "      <td>52983525167153</td>\n",
       "      <td>2023-05-15 09:30:00.000150016</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2023-05-15 09:30:00.000776704</td>\n",
       "      <td>Z</td>\n",
       "      <td></td>\n",
       "      <td>N</td>\n",
       "      <td>C</td>\n",
       "      <td></td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
       "      <td>412.22</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
       "      <td>247</td>\n",
       "      <td>0</td>\n",
       "      <td>39196</td>\n",
       "      <td>52983525035355</td>\n",
       "      <td>2023-05-15 09:30:00.000450000</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2023-05-15 09:30:00.003603456</td>\n",
       "      <td>T</td>\n",
       "      <td>T</td>\n",
       "      <td>N</td>\n",
       "      <td>C</td>\n",
       "      <td></td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
       "      <td>412.22</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
       "      <td>100</td>\n",
       "      <td>0</td>\n",
       "      <td>39212</td>\n",
       "      <td>62879133157950</td>\n",
       "      <td>2023-05-15 09:30:00.003165122</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>2023-05-15 09:30:00.006352128</td>\n",
       "      <td>K</td>\n",
       "      <td>I</td>\n",
       "      <td>N</td>\n",
       "      <td>C</td>\n",
       "      <td></td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
       "      <td>412.24</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>0</td>\n",
       "      <td>39227</td>\n",
       "      <td>52983525098301</td>\n",
       "      <td>2023-05-15 09:30:00.006091000</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2023-05-15 09:30:00.007128064</td>\n",
       "      <td>K</td>\n",
       "      <td>I</td>\n",
       "      <td>N</td>\n",
       "      <td>C</td>\n",
       "      <td></td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
       "      <td>412.24</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
       "      <td>3</td>\n",
       "      <td>0</td>\n",
       "      <td>39231</td>\n",
       "      <td>52983525098302</td>\n",
       "      <td>2023-05-15 09:30:00.006873000</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>310</th>\n",
       "      <td>2023-05-15 09:30:00.934032640</td>\n",
       "      <td>T</td>\n",
       "      <td>T</td>\n",
       "      <td>N</td>\n",
       "      <td>C</td>\n",
       "      <td></td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
       "      <td>412.27</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
       "      <td>160</td>\n",
       "      <td>0</td>\n",
       "      <td>40517</td>\n",
       "      <td>62879133545538</td>\n",
       "      <td>2023-05-15 09:30:00.933678033</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>311</th>\n",
       "      <td>2023-05-15 09:30:00.975609344</td>\n",
       "      <td>D</td>\n",
       "      <td>I</td>\n",
       "      <td>N</td>\n",
       "      <td>C</td>\n",
       "      <td>T</td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
       "      <td>412.24</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
       "      <td>2</td>\n",
       "      <td>0</td>\n",
       "      <td>40543</td>\n",
       "      <td>71675240595789</td>\n",
       "      <td>2023-05-15 09:30:00.661000000</td>\n",
       "      <td>2023-05-15 09:30:00.975241514</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>312</th>\n",
       "      <td>2023-05-15 09:30:00.980264448</td>\n",
       "      <td>D</td>\n",
       "      <td>I</td>\n",
       "      <td>N</td>\n",
       "      <td>C</td>\n",
       "      <td>T</td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
       "      <td>412.27</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>0</td>\n",
       "      <td>40545</td>\n",
       "      <td>71675240596294</td>\n",
       "      <td>2023-05-15 09:30:00.553501000</td>\n",
       "      <td>2023-05-15 09:30:00.979895700</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>313</th>\n",
       "      <td>2023-05-15 09:30:00.985391616</td>\n",
       "      <td>T</td>\n",
       "      <td></td>\n",
       "      <td>N</td>\n",
       "      <td>C</td>\n",
       "      <td></td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
       "      <td>412.28</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
       "      <td>100</td>\n",
       "      <td>0</td>\n",
       "      <td>40547</td>\n",
       "      <td>62879133552717</td>\n",
       "      <td>2023-05-15 09:30:00.984946104</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>314</th>\n",
       "      <td>2023-05-15 09:30:00.985394944</td>\n",
       "      <td>T</td>\n",
       "      <td>Q</td>\n",
       "      <td>N</td>\n",
       "      <td>C</td>\n",
       "      <td></td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
       "      <td>412.28</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
       "      <td>100</td>\n",
       "      <td>0</td>\n",
       "      <td>40549</td>\n",
       "      <td>62879133552719</td>\n",
       "      <td>2023-05-15 09:30:00.984958312</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>315 rows × 18 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                             Time EXCHANGE  COND STOP_STOCK SOURCE TRF TTE TICKER   PRICE        DELETED_TIME  TICK_STATUS  SIZE  CORR  SEQ_NUM        TRADE_ID              PARTICIPANT_TIME                      TRF_TIME  OMDSEQ\n",
       "0   2023-05-15 09:30:00.000178688        P    T           N      C       0    SPY  412.22 1969-12-31 19:00:00            0   100     0    39195  52983525167153 2023-05-15 09:30:00.000150016 1969-12-31 19:00:00.000000000       0\n",
       "1   2023-05-15 09:30:00.000776704        Z                N      C       0    SPY  412.22 1969-12-31 19:00:00            0   247     0    39196  52983525035355 2023-05-15 09:30:00.000450000 1969-12-31 19:00:00.000000000       1\n",
       "2   2023-05-15 09:30:00.003603456        T    T           N      C       0    SPY  412.22 1969-12-31 19:00:00            0   100     0    39212  62879133157950 2023-05-15 09:30:00.003165122 1969-12-31 19:00:00.000000000       0\n",
       "3   2023-05-15 09:30:00.006352128        K     I          N      C       0    SPY  412.24 1969-12-31 19:00:00            0     1     0    39227  52983525098301 2023-05-15 09:30:00.006091000 1969-12-31 19:00:00.000000000       0\n",
       "4   2023-05-15 09:30:00.007128064        K     I          N      C       0    SPY  412.24 1969-12-31 19:00:00            0     3     0    39231  52983525098302 2023-05-15 09:30:00.006873000 1969-12-31 19:00:00.000000000       0\n",
       "..                            ...      ...   ...        ...    ...  ..  ..    ...     ...                 ...          ...   ...   ...      ...             ...                           ...                           ...     ...\n",
       "310 2023-05-15 09:30:00.934032640        T    T           N      C       0    SPY  412.27 1969-12-31 19:00:00            0   160     0    40517  62879133545538 2023-05-15 09:30:00.933678033 1969-12-31 19:00:00.000000000       1\n",
       "311 2023-05-15 09:30:00.975609344        D     I          N      C   T   0    SPY  412.24 1969-12-31 19:00:00            0     2     0    40543  71675240595789 2023-05-15 09:30:00.661000000 2023-05-15 09:30:00.975241514       0\n",
       "312 2023-05-15 09:30:00.980264448        D     I          N      C   T   0    SPY  412.27 1969-12-31 19:00:00            0     1     0    40545  71675240596294 2023-05-15 09:30:00.553501000 2023-05-15 09:30:00.979895700       0\n",
       "313 2023-05-15 09:30:00.985391616        T                N      C       0    SPY  412.28 1969-12-31 19:00:00            0   100     0    40547  62879133552717 2023-05-15 09:30:00.984946104 1969-12-31 19:00:00.000000000       0\n",
       "314 2023-05-15 09:30:00.985394944        T     Q          N      C       0    SPY  412.28 1969-12-31 19:00:00            0   100     0    40549  62879133552719 2023-05-15 09:30:00.984958312 1969-12-31 19:00:00.000000000       1\n",
       "\n",
       "[315 rows x 18 columns]"
      ]
     },
     "execution_count": 10,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "q = otp.DataSource('NYSE_TAQ', tick_type='TRD', start=s, end=e, symbols=['SPY'])\n",
    "otp.run(q)"
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "c20e354f-3a32-41c6-84dc-68a91cd53686",
   "metadata": {},
   "source": [
    "For example, we can get the data from March 29 for SPY and from April 20 for QQQ."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "id": "180e6b06-06a5-40c5-8ba2-2ba766692ab5",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "<div>\n",
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       "\n",
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       "\n",
       "    .dataframe thead th {\n",
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Time</th>\n",
       "      <th>PRICE</th>\n",
       "      <th>SIZE</th>\n",
       "      <th>SYMBOL_NAME</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2023-03-29 09:30:00.000877568</td>\n",
       "      <td>399.920</td>\n",
       "      <td>400</td>\n",
       "      <td>SPY</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2023-03-29 09:30:00.001151232</td>\n",
       "      <td>399.920</td>\n",
       "      <td>1000</td>\n",
       "      <td>SPY</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2023-03-29 09:30:00.001154304</td>\n",
       "      <td>399.920</td>\n",
       "      <td>1000</td>\n",
       "      <td>SPY</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>2023-03-29 09:30:00.001921280</td>\n",
       "      <td>399.930</td>\n",
       "      <td>657</td>\n",
       "      <td>SPY</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2023-03-29 09:30:00.010831360</td>\n",
       "      <td>399.925</td>\n",
       "      <td>100</td>\n",
       "      <td>SPY</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
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       "      <td>...</td>\n",
       "      <td>...</td>\n",
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       "    <tr>\n",
       "      <th>749</th>\n",
       "      <td>2023-04-20 09:30:00.989278707</td>\n",
       "      <td>315.640</td>\n",
       "      <td>41</td>\n",
       "      <td>QQQ</td>\n",
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       "    <tr>\n",
       "      <th>750</th>\n",
       "      <td>2023-04-20 09:30:00.989278785</td>\n",
       "      <td>315.640</td>\n",
       "      <td>10</td>\n",
       "      <td>QQQ</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>751</th>\n",
       "      <td>2023-04-20 09:30:00.990793766</td>\n",
       "      <td>315.620</td>\n",
       "      <td>100</td>\n",
       "      <td>QQQ</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>752</th>\n",
       "      <td>2023-04-20 09:30:00.990868824</td>\n",
       "      <td>315.610</td>\n",
       "      <td>186</td>\n",
       "      <td>QQQ</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>753</th>\n",
       "      <td>2023-04-20 09:30:00.990872151</td>\n",
       "      <td>315.610</td>\n",
       "      <td>1314</td>\n",
       "      <td>QQQ</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>754 rows × 4 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                             Time    PRICE  SIZE SYMBOL_NAME\n",
       "0   2023-03-29 09:30:00.000877568  399.920   400         SPY\n",
       "1   2023-03-29 09:30:00.001151232  399.920  1000         SPY\n",
       "2   2023-03-29 09:30:00.001154304  399.920  1000         SPY\n",
       "3   2023-03-29 09:30:00.001921280  399.930   657         SPY\n",
       "4   2023-03-29 09:30:00.010831360  399.925   100         SPY\n",
       "..                            ...      ...   ...         ...\n",
       "749 2023-04-20 09:30:00.989278707  315.640    41         QQQ\n",
       "750 2023-04-20 09:30:00.989278785  315.640    10         QQQ\n",
       "751 2023-04-20 09:30:00.990793766  315.620   100         QQQ\n",
       "752 2023-04-20 09:30:00.990868824  315.610   186         QQQ\n",
       "753 2023-04-20 09:30:00.990872151  315.610  1314         QQQ\n",
       "\n",
       "[754 rows x 4 columns]"
      ]
     },
     "execution_count": 15,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "spy = otp.DataSource('NYSE_TAQ', tick_type='TRD', start=otp.dt(2023, 3, 29, 9, 30), end=otp.dt(2023, 3, 29, 9, 30, 1), symbols=['SPY'])\n",
    "qqq = otp.DataSource('NYSE_TAQ', tick_type='TRD', start=otp.dt(2023, 4, 20, 9, 30), end=otp.dt(2023, 4, 20, 9, 30, 1), symbols=['QQQ'])\n",
    "merged = otp.merge([spy, qqq], identify_input_ts=True)\n",
    "merged = merged[['PRICE', 'SIZE', 'SYMBOL_NAME']]\n",
    "otp.run(merged)"
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "826dedb9-515b-4278-a1f4-ed89b7f34acc",
   "metadata": {},
   "source": [
    "We can also specify multiple symbols in the data source in which case they will be merged by time."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "id": "9d78165c-3624-4850-a6a6-21dbb9983c64",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Time</th>\n",
       "      <th>EXCHANGE</th>\n",
       "      <th>COND</th>\n",
       "      <th>STOP_STOCK</th>\n",
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       "      <th>TRF</th>\n",
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       "      <td>2023-05-15 09:30:00.000234302</td>\n",
       "      <td>B</td>\n",
       "      <td>@</td>\n",
       "      <td></td>\n",
       "      <td>N</td>\n",
       "      <td></td>\n",
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       "      <td>325.51</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
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       "      <td>300</td>\n",
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       "      <td>67371</td>\n",
       "      <td>44</td>\n",
       "      <td>2023-05-15 09:30:00.000211220</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>0</td>\n",
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       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2023-05-15 09:30:00.000776704</td>\n",
       "      <td>Z</td>\n",
       "      <td></td>\n",
       "      <td>N</td>\n",
       "      <td>C</td>\n",
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       "      <td>SPY</td>\n",
       "      <td>412.22</td>\n",
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       "      <td>2023-05-15 09:30:00.000450000</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>2023-05-15 09:30:00.001657060</td>\n",
       "      <td>Z</td>\n",
       "      <td>@  I</td>\n",
       "      <td></td>\n",
       "      <td>N</td>\n",
       "      <td></td>\n",
       "      <td>0</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>325.54</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
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       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>0</td>\n",
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       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2023-05-15 09:30:00.001661871</td>\n",
       "      <td>Z</td>\n",
       "      <td>@</td>\n",
       "      <td></td>\n",
       "      <td>N</td>\n",
       "      <td></td>\n",
       "      <td>0</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>325.54</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
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       "      <td>2023-05-15 09:30:00.001437000</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>1</td>\n",
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       "    <tr>\n",
       "      <th>...</th>\n",
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       "      <td>...</td>\n",
       "      <td>...</td>\n",
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       "    <tr>\n",
       "      <th>693</th>\n",
       "      <td>2023-05-15 09:30:00.980264448</td>\n",
       "      <td>D</td>\n",
       "      <td>I</td>\n",
       "      <td>N</td>\n",
       "      <td>C</td>\n",
       "      <td>T</td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
       "      <td>412.27</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
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       "      <td>40545</td>\n",
       "      <td>71675240596294</td>\n",
       "      <td>2023-05-15 09:30:00.553501000</td>\n",
       "      <td>2023-05-15 09:30:00.979895700</td>\n",
       "      <td>0</td>\n",
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       "    <tr>\n",
       "      <th>694</th>\n",
       "      <td>2023-05-15 09:30:00.984404972</td>\n",
       "      <td>Z</td>\n",
       "      <td>@F I</td>\n",
       "      <td></td>\n",
       "      <td>N</td>\n",
       "      <td></td>\n",
       "      <td>1</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>325.52</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
       "      <td>65</td>\n",
       "      <td>0</td>\n",
       "      <td>73144</td>\n",
       "      <td>507</td>\n",
       "      <td>2023-05-15 09:30:00.984206000</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>695</th>\n",
       "      <td>2023-05-15 09:30:00.985391616</td>\n",
       "      <td>T</td>\n",
       "      <td></td>\n",
       "      <td>N</td>\n",
       "      <td>C</td>\n",
       "      <td></td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
       "      <td>412.28</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
       "      <td>100</td>\n",
       "      <td>0</td>\n",
       "      <td>40547</td>\n",
       "      <td>62879133552717</td>\n",
       "      <td>2023-05-15 09:30:00.984946104</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>696</th>\n",
       "      <td>2023-05-15 09:30:00.985394944</td>\n",
       "      <td>T</td>\n",
       "      <td>Q</td>\n",
       "      <td>N</td>\n",
       "      <td>C</td>\n",
       "      <td></td>\n",
       "      <td>0</td>\n",
       "      <td>SPY</td>\n",
       "      <td>412.28</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
       "      <td>100</td>\n",
       "      <td>0</td>\n",
       "      <td>40549</td>\n",
       "      <td>62879133552719</td>\n",
       "      <td>2023-05-15 09:30:00.984958312</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>697</th>\n",
       "      <td>2023-05-15 09:30:00.999619637</td>\n",
       "      <td>Q</td>\n",
       "      <td>@  I</td>\n",
       "      <td></td>\n",
       "      <td>N</td>\n",
       "      <td></td>\n",
       "      <td>0</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>325.50</td>\n",
       "      <td>1969-12-31 19:00:00</td>\n",
       "      <td>0</td>\n",
       "      <td>6</td>\n",
       "      <td>0</td>\n",
       "      <td>73175</td>\n",
       "      <td>1987</td>\n",
       "      <td>2023-05-15 09:30:00.999602699</td>\n",
       "      <td>1969-12-31 19:00:00.000000000</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>698 rows × 18 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                             Time EXCHANGE  COND STOP_STOCK SOURCE TRF TTE TICKER   PRICE        DELETED_TIME  TICK_STATUS  SIZE  CORR  SEQ_NUM        TRADE_ID              PARTICIPANT_TIME                      TRF_TIME  OMDSEQ\n",
       "0   2023-05-15 09:30:00.000178688        P    T           N      C       0    SPY  412.22 1969-12-31 19:00:00            0   100     0    39195  52983525167153 2023-05-15 09:30:00.000150016 1969-12-31 19:00:00.000000000       0\n",
       "1   2023-05-15 09:30:00.000234302        B  @                    N       0    QQQ  325.51 1969-12-31 19:00:00            0   300     0    67371              44 2023-05-15 09:30:00.000211220 1969-12-31 19:00:00.000000000       0\n",
       "2   2023-05-15 09:30:00.000776704        Z                N      C       0    SPY  412.22 1969-12-31 19:00:00            0   247     0    39196  52983525035355 2023-05-15 09:30:00.000450000 1969-12-31 19:00:00.000000000       1\n",
       "3   2023-05-15 09:30:00.001657060        Z  @  I                 N       0    QQQ  325.54 1969-12-31 19:00:00            0     2     0    67373             460 2023-05-15 09:30:00.001437000 1969-12-31 19:00:00.000000000       0\n",
       "4   2023-05-15 09:30:00.001661871        Z  @                    N       0    QQQ  325.54 1969-12-31 19:00:00            0   166     0    67374             461 2023-05-15 09:30:00.001437000 1969-12-31 19:00:00.000000000       1\n",
       "..                            ...      ...   ...        ...    ...  ..  ..    ...     ...                 ...          ...   ...   ...      ...             ...                           ...                           ...     ...\n",
       "693 2023-05-15 09:30:00.980264448        D     I          N      C   T   0    SPY  412.27 1969-12-31 19:00:00            0     1     0    40545  71675240596294 2023-05-15 09:30:00.553501000 2023-05-15 09:30:00.979895700       0\n",
       "694 2023-05-15 09:30:00.984404972        Z  @F I                 N       1    QQQ  325.52 1969-12-31 19:00:00            0    65     0    73144             507 2023-05-15 09:30:00.984206000 1969-12-31 19:00:00.000000000       0\n",
       "695 2023-05-15 09:30:00.985391616        T                N      C       0    SPY  412.28 1969-12-31 19:00:00            0   100     0    40547  62879133552717 2023-05-15 09:30:00.984946104 1969-12-31 19:00:00.000000000       0\n",
       "696 2023-05-15 09:30:00.985394944        T     Q          N      C       0    SPY  412.28 1969-12-31 19:00:00            0   100     0    40549  62879133552719 2023-05-15 09:30:00.984958312 1969-12-31 19:00:00.000000000       1\n",
       "697 2023-05-15 09:30:00.999619637        Q  @  I                 N       0    QQQ  325.50 1969-12-31 19:00:00            0     6     0    73175            1987 2023-05-15 09:30:00.999602699 1969-12-31 19:00:00.000000000       0\n",
       "\n",
       "[698 rows x 18 columns]"
      ]
     },
     "execution_count": 17,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "q = otp.DataSource('NYSE_TAQ', tick_type='TRD', start=s, end=e, symbols=['SPY', 'QQQ'])\n",
    "otp.run(q)"
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "7b7816bf",
   "metadata": {},
   "source": [
    "We can look up  symbols in multiple databases."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "id": "36682b1a",
   "metadata": {},
   "outputs": [
    {
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       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Time</th>\n",
       "      <th>PRICE</th>\n",
       "      <th>SIZE</th>\n",
       "      <th>SYMBOL_NAME</th>\n",
       "      <th>TICK_TYPE</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2023-05-15 09:30:00.000000000</td>\n",
       "      <td>4143.00</td>\n",
       "      <td>4</td>\n",
       "      <td>TDI_FUT::ES_r_tdi</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2023-05-15 09:30:00.000178688</td>\n",
       "      <td>412.22</td>\n",
       "      <td>100</td>\n",
       "      <td>NYSE_TAQ::SPY</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2023-05-15 09:30:00.000776704</td>\n",
       "      <td>412.22</td>\n",
       "      <td>247</td>\n",
       "      <td>NYSE_TAQ::SPY</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>2023-05-15 09:30:00.001000000</td>\n",
       "      <td>4143.00</td>\n",
       "      <td>4</td>\n",
       "      <td>TDI_FUT::ES_r_tdi</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2023-05-15 09:30:00.001000000</td>\n",
       "      <td>4143.25</td>\n",
       "      <td>1</td>\n",
       "      <td>TDI_FUT::ES_r_tdi</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>547</th>\n",
       "      <td>2023-05-15 09:30:00.986000000</td>\n",
       "      <td>4143.75</td>\n",
       "      <td>9</td>\n",
       "      <td>TDI_FUT::ES_r_tdi</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>548</th>\n",
       "      <td>2023-05-15 09:30:00.986000000</td>\n",
       "      <td>4143.75</td>\n",
       "      <td>1</td>\n",
       "      <td>TDI_FUT::ES_r_tdi</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>549</th>\n",
       "      <td>2023-05-15 09:30:00.986000000</td>\n",
       "      <td>4143.75</td>\n",
       "      <td>2</td>\n",
       "      <td>TDI_FUT::ES_r_tdi</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>550</th>\n",
       "      <td>2023-05-15 09:30:00.986000000</td>\n",
       "      <td>4143.75</td>\n",
       "      <td>2</td>\n",
       "      <td>TDI_FUT::ES_r_tdi</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>551</th>\n",
       "      <td>2023-05-15 09:30:00.986000000</td>\n",
       "      <td>4143.75</td>\n",
       "      <td>2</td>\n",
       "      <td>TDI_FUT::ES_r_tdi</td>\n",
       "      <td>TRD</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>552 rows × 5 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "                             Time    PRICE  SIZE        SYMBOL_NAME TICK_TYPE\n",
       "0   2023-05-15 09:30:00.000000000  4143.00     4  TDI_FUT::ES_r_tdi       TRD\n",
       "1   2023-05-15 09:30:00.000178688   412.22   100      NYSE_TAQ::SPY       TRD\n",
       "2   2023-05-15 09:30:00.000776704   412.22   247      NYSE_TAQ::SPY       TRD\n",
       "3   2023-05-15 09:30:00.001000000  4143.00     4  TDI_FUT::ES_r_tdi       TRD\n",
       "4   2023-05-15 09:30:00.001000000  4143.25     1  TDI_FUT::ES_r_tdi       TRD\n",
       "..                            ...      ...   ...                ...       ...\n",
       "547 2023-05-15 09:30:00.986000000  4143.75     9  TDI_FUT::ES_r_tdi       TRD\n",
       "548 2023-05-15 09:30:00.986000000  4143.75     1  TDI_FUT::ES_r_tdi       TRD\n",
       "549 2023-05-15 09:30:00.986000000  4143.75     2  TDI_FUT::ES_r_tdi       TRD\n",
       "550 2023-05-15 09:30:00.986000000  4143.75     2  TDI_FUT::ES_r_tdi       TRD\n",
       "551 2023-05-15 09:30:00.986000000  4143.75     2  TDI_FUT::ES_r_tdi       TRD\n",
       "\n",
       "[552 rows x 5 columns]"
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "q = otp.DataSource(tick_type='TRD')\n",
    "q = q.table(PRICE=float, SIZE=int)\n",
    "q = otp.merge(q, symbols=['NYSE_TAQ::SPY', 'TDI_FUT::ES_r_tdi'], identify_input_ts=True)\n",
    "otp.run(q, start=s, end=e, symbol_date=s)"
   ]
  },
  {
   "attachments": {},
   "cell_type": "markdown",
   "id": "8cf5d654",
   "metadata": {},
   "source": [
    "We can also look up the same symbols in different databases (even if they have different tick types)."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "id": "461969e1",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
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       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Time</th>\n",
       "      <th>BID_PRICE</th>\n",
       "      <th>ASK_PRICE</th>\n",
       "      <th>SYMBOL_NAME</th>\n",
       "      <th>TICK_TYPE</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2023-05-15 09:30:00.000174080</td>\n",
       "      <td>412.21</td>\n",
       "      <td>412.26</td>\n",
       "      <td>SPY</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2023-05-15 09:30:00.000174080</td>\n",
       "      <td>412.22</td>\n",
       "      <td>412.25</td>\n",
       "      <td>SPY</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2023-05-15 09:30:00.000293590</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.55</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>2023-05-15 09:30:00.000293590</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.54</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2023-05-15 09:30:00.000524867</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.57</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>2023-05-15 09:30:00.000524962</td>\n",
       "      <td>325.06</td>\n",
       "      <td>325.57</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>2023-05-15 09:30:00.000524962</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.54</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>2023-05-15 09:30:00.000580467</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.55</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>2023-05-15 09:30:00.000580467</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.54</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>2023-05-15 09:30:00.000595200</td>\n",
       "      <td>412.21</td>\n",
       "      <td>412.24</td>\n",
       "      <td>SPY</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10</th>\n",
       "      <td>2023-05-15 09:30:00.000595200</td>\n",
       "      <td>412.22</td>\n",
       "      <td>412.24</td>\n",
       "      <td>SPY</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11</th>\n",
       "      <td>2023-05-15 09:30:00.000610755</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.54</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>2023-05-15 09:30:00.000610755</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.54</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13</th>\n",
       "      <td>2023-05-15 09:30:00.000640528</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.54</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>2023-05-15 09:30:00.000640528</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.54</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>15</th>\n",
       "      <td>2023-05-15 09:30:00.000715520</td>\n",
       "      <td>412.21</td>\n",
       "      <td>412.25</td>\n",
       "      <td>SPY</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>16</th>\n",
       "      <td>2023-05-15 09:30:00.000715520</td>\n",
       "      <td>412.21</td>\n",
       "      <td>412.24</td>\n",
       "      <td>SPY</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>17</th>\n",
       "      <td>2023-05-15 09:30:00.000730138</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.54</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>18</th>\n",
       "      <td>2023-05-15 09:30:00.000730138</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.54</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>19</th>\n",
       "      <td>2023-05-15 09:30:00.000752301</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.55</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>20</th>\n",
       "      <td>2023-05-15 09:30:00.000752301</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.54</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21</th>\n",
       "      <td>2023-05-15 09:30:00.000790784</td>\n",
       "      <td>412.22</td>\n",
       "      <td>412.25</td>\n",
       "      <td>SPY</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>22</th>\n",
       "      <td>2023-05-15 09:30:00.000790784</td>\n",
       "      <td>412.22</td>\n",
       "      <td>412.24</td>\n",
       "      <td>SPY</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>23</th>\n",
       "      <td>2023-05-15 09:30:00.000845125</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.54</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>24</th>\n",
       "      <td>2023-05-15 09:30:00.000845125</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.54</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>25</th>\n",
       "      <td>2023-05-15 09:30:00.000860928</td>\n",
       "      <td>412.22</td>\n",
       "      <td>412.25</td>\n",
       "      <td>SPY</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>26</th>\n",
       "      <td>2023-05-15 09:30:00.000860928</td>\n",
       "      <td>412.22</td>\n",
       "      <td>412.24</td>\n",
       "      <td>SPY</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>27</th>\n",
       "      <td>2023-05-15 09:30:00.000924837</td>\n",
       "      <td>325.06</td>\n",
       "      <td>325.57</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>28</th>\n",
       "      <td>2023-05-15 09:30:00.000924837</td>\n",
       "      <td>325.51</td>\n",
       "      <td>325.54</td>\n",
       "      <td>QQQ</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>29</th>\n",
       "      <td>2023-05-15 09:30:00.000931072</td>\n",
       "      <td>412.21</td>\n",
       "      <td>412.24</td>\n",
       "      <td>SPY</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>30</th>\n",
       "      <td>2023-05-15 09:30:00.000931072</td>\n",
       "      <td>412.21</td>\n",
       "      <td>412.24</td>\n",
       "      <td>SPY</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>31</th>\n",
       "      <td>2023-05-15 09:30:00.000931072</td>\n",
       "      <td>412.22</td>\n",
       "      <td>412.24</td>\n",
       "      <td>SPY</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>32</th>\n",
       "      <td>2023-05-15 09:30:00.000931072</td>\n",
       "      <td>412.22</td>\n",
       "      <td>412.24</td>\n",
       "      <td>SPY</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>33</th>\n",
       "      <td>2023-05-15 09:30:00.000935936</td>\n",
       "      <td>412.21</td>\n",
       "      <td>412.26</td>\n",
       "      <td>SPY</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>34</th>\n",
       "      <td>2023-05-15 09:30:00.000966144</td>\n",
       "      <td>412.21</td>\n",
       "      <td>412.25</td>\n",
       "      <td>SPY</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>35</th>\n",
       "      <td>2023-05-15 09:30:00.000966144</td>\n",
       "      <td>412.22</td>\n",
       "      <td>412.25</td>\n",
       "      <td>SPY</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>36</th>\n",
       "      <td>2023-05-15 09:30:00.000996096</td>\n",
       "      <td>412.22</td>\n",
       "      <td>412.24</td>\n",
       "      <td>SPY</td>\n",
       "      <td>QTE</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>37</th>\n",
       "      <td>2023-05-15 09:30:00.000996096</td>\n",
       "      <td>412.22</td>\n",
       "      <td>412.24</td>\n",
       "      <td>SPY</td>\n",
       "      <td>NBBO</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                            Time  BID_PRICE  ASK_PRICE SYMBOL_NAME TICK_TYPE\n",
       "0  2023-05-15 09:30:00.000174080     412.21     412.26         SPY       QTE\n",
       "1  2023-05-15 09:30:00.000174080     412.22     412.25         SPY      NBBO\n",
       "2  2023-05-15 09:30:00.000293590     325.51     325.55         QQQ       QTE\n",
       "3  2023-05-15 09:30:00.000293590     325.51     325.54         QQQ      NBBO\n",
       "4  2023-05-15 09:30:00.000524867     325.51     325.57         QQQ       QTE\n",
       "5  2023-05-15 09:30:00.000524962     325.06     325.57         QQQ       QTE\n",
       "6  2023-05-15 09:30:00.000524962     325.51     325.54         QQQ      NBBO\n",
       "7  2023-05-15 09:30:00.000580467     325.51     325.55         QQQ       QTE\n",
       "8  2023-05-15 09:30:00.000580467     325.51     325.54         QQQ      NBBO\n",
       "9  2023-05-15 09:30:00.000595200     412.21     412.24         SPY       QTE\n",
       "10 2023-05-15 09:30:00.000595200     412.22     412.24         SPY      NBBO\n",
       "11 2023-05-15 09:30:00.000610755     325.51     325.54         QQQ       QTE\n",
       "12 2023-05-15 09:30:00.000610755     325.51     325.54         QQQ      NBBO\n",
       "13 2023-05-15 09:30:00.000640528     325.51     325.54         QQQ       QTE\n",
       "14 2023-05-15 09:30:00.000640528     325.51     325.54         QQQ      NBBO\n",
       "15 2023-05-15 09:30:00.000715520     412.21     412.25         SPY       QTE\n",
       "16 2023-05-15 09:30:00.000715520     412.21     412.24         SPY      NBBO\n",
       "17 2023-05-15 09:30:00.000730138     325.51     325.54         QQQ       QTE\n",
       "18 2023-05-15 09:30:00.000730138     325.51     325.54         QQQ      NBBO\n",
       "19 2023-05-15 09:30:00.000752301     325.51     325.55         QQQ       QTE\n",
       "20 2023-05-15 09:30:00.000752301     325.51     325.54         QQQ      NBBO\n",
       "21 2023-05-15 09:30:00.000790784     412.22     412.25         SPY       QTE\n",
       "22 2023-05-15 09:30:00.000790784     412.22     412.24         SPY      NBBO\n",
       "23 2023-05-15 09:30:00.000845125     325.51     325.54         QQQ       QTE\n",
       "24 2023-05-15 09:30:00.000845125     325.51     325.54         QQQ      NBBO\n",
       "25 2023-05-15 09:30:00.000860928     412.22     412.25         SPY       QTE\n",
       "26 2023-05-15 09:30:00.000860928     412.22     412.24         SPY      NBBO\n",
       "27 2023-05-15 09:30:00.000924837     325.06     325.57         QQQ       QTE\n",
       "28 2023-05-15 09:30:00.000924837     325.51     325.54         QQQ      NBBO\n",
       "29 2023-05-15 09:30:00.000931072     412.21     412.24         SPY       QTE\n",
       "30 2023-05-15 09:30:00.000931072     412.21     412.24         SPY       QTE\n",
       "31 2023-05-15 09:30:00.000931072     412.22     412.24         SPY      NBBO\n",
       "32 2023-05-15 09:30:00.000931072     412.22     412.24         SPY      NBBO\n",
       "33 2023-05-15 09:30:00.000935936     412.21     412.26         SPY       QTE\n",
       "34 2023-05-15 09:30:00.000966144     412.21     412.25         SPY       QTE\n",
       "35 2023-05-15 09:30:00.000966144     412.22     412.25         SPY      NBBO\n",
       "36 2023-05-15 09:30:00.000996096     412.22     412.24         SPY       QTE\n",
       "37 2023-05-15 09:30:00.000996096     412.22     412.24         SPY      NBBO"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "qte = otp.DataSource('NYSE_TAQ', tick_type='QTE')\n",
    "qte = qte[['BID_PRICE', 'ASK_PRICE']]\n",
    "nbbo = otp.DataSource('TAQ_NBBO', tick_type='NBBO')\n",
    "nbbo = nbbo[['BID_PRICE', 'ASK_PRICE']]\n",
    "\n",
    "q = otp.merge([qte,nbbo], symbols=['SPY', 'QQQ'], identify_input_ts=True)\n",
    "otp.run(q, start=s, end=s+otp.Milli(1))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "20489bd7",
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
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   "language": "python",
   "name": "python3"
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    "name": "ipython",
    "version": 3
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   "file_extension": ".py",
   "mimetype": "text/x-python",
   "name": "python",
   "nbconvert_exporter": "python",
   "pygments_lexer": "ipython3",
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