otp.merge#

merge(sources, align_schema=True, symbols=None, identify_input_ts=False, presort=adaptive, concurrency=default, batch_size=default, output_type_index=None)[source]#

Merges ticks from the sources into a single output ordered by the timestamp

Parameters

sources (list) – List of sources to merge
align_schema (bool) – If set to True, then table is added right after merge. We recommended to keep True to prevent problems with different tick schemas. Default: True
symbols (str, list of str or functions, Source) – Symbol(s) to run the query for passed as a string, a list of strings, or as a “symbols” query which results include the SYMBOL_NAME column. The start/end times for the symbols query will taken from the run() params. See symbols for more details.
identify_input_ts (bool) – If set to False, the fields SYMBOL_NAME and TICK_TYPE are not appended to the output ticks.
presort (bool) – Add the presort EP in case of bound symbols. Applicable only when symbols is not None. By default, it is set to True if symbols are set and to False otherwise.
concurrency (int) – Specifies number of CPU cores to utilize for the presort By default, the value from otp.config.default_concurrency is used.
batch_size (int) – Specifies the query batch size for the presort. By default, the value from otp.config.default_batch_size is used.
output_type_index (int) – Specifies index of source in sources from which type and properties of output will be taken. Useful when merging sources that inherited from Source. By default, output object type will be Source.

Returns

A time series of ticks.

Return type

Source or same class as sources[output_type_index]

Examples

merge is used to merge different data sources

>>> data1 = otp.Ticks(X=[1, 2], Y=['a', 'd'])
>>> data2 = otp.Ticks(X=[-1, -2], Y=['*', '-'])
>>> data = otp.funcs.merge([data1, data2])
>>> otp.run(data)
                     Time  X  Y
0 2003-12-01 00:00:00.000  1  a
1 2003-12-01 00:00:00.000 -1  *
2 2003-12-01 00:00:00.001  2  d
3 2003-12-01 00:00:00.001 -2  -

Merge series from multiple symbols into one series

>>> data = otp.Ticks(X=[1])
>>> data['SYMBOL_NAME'] = data['_SYMBOL_NAME']
>>> symbols = otp.Ticks(SYMBOL_NAME=['A', 'B'])
>>> data = otp.merge([data], symbols=symbols)
>>> otp.run(data)
        Time  X SYMBOL_NAME
0 2003-12-01  1           A
1 2003-12-01  1           B

Adding symbols param before merge

>>> symbols = otp.Ticks(SYMBOL_NAME=['S1', 'S2'], param=[1, -1])
>>> def func(symbol):
...     pre = otp.Ticks(X=[1])
...     pre["SYMBOL_NAME"] = symbol.name
...     pre["PARAM"] = symbol.param
...     return pre
>>> data = otp.funcs.merge([func], symbols=symbols)
>>> otp.run(data)[['PARAM', 'SYMBOL_NAME']]
   PARAM SYMBOL_NAME
0      1          S1
1     -1          S2