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='AAPL')

	Time	VAR_PRICE	STD
0	2024-02-01 10:01:00	0.008904	0.094364
1	2024-02-01 10:02:00	0.007217	0.084955
2	2024-02-01 10:03:00	0.001647	0.040586
3	2024-02-01 10:04:00	0.003179	0.056387
4	2024-02-01 10:05:00	0.006869	0.082880
...	...	...	...
355	2024-02-01 15:56:00	0.000592	0.024340
356	2024-02-01 15:57:00	0.000574	0.023961
357	2024-02-01 15:58:00	0.002291	0.047864
358	2024-02-01 15:59:00	0.000648	0.025451
359	2024-02-01 16:00:00	0.002055	0.045332

360 rows × 3 columns