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 OneTick server documentation for details.

import onetick.py as otp
from onetick.py.otq import otq

trd = otp.DataSource('US_COMP_SAMPLE', 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(2024, 2, 1, 10), end=otp.dt(2024, 2, 1, 16), symbols='AA')
Time VAR_PRICE std
0 2024-02-01 10:01:00 NaN NaN
1 2024-02-01 10:02:00 NaN NaN
2 2024-02-01 10:03:00 NaN NaN
3 2024-02-01 10:04:00 NaN NaN
4 2024-02-01 10:05:00 NaN NaN
... ... ... ...
355 2024-02-01 15:56:00 NaN NaN
356 2024-02-01 15:57:00 NaN NaN
357 2024-02-01 15:58:00 NaN NaN
358 2024-02-01 15:59:00 NaN NaN
359 2024-02-01 16:00:00 NaN NaN

360 rows × 3 columns