Exit ask/bid prices for an order

To find the EXIT_ASK_PRICE and EXIT_BID_PRICE for each order in onetick.py, where ‘exit’ means the order was fully executed (STATE='F') or canceled (STATE='C')

import onetick.py as otp

# Define the symbol, orders database, quotes database, and date
symbol = 'TSLA'
orders_db = 'ORDERS_DB'
quotes_db = 'NYSE_TAQ'
date = otp.dt(2022, 3, 2)

# Load orders and quotes data
orders = otp.DataSource(orders_db, tick_type='ORDER', symbol=symbol)
quotes = otp.DataSource(quotes_db, tick_type='QTE', symbol=symbol)

# Filter orders to get only those that are fully executed or cancelled
exit_orders, _ = orders[(orders['STATE'] == 'F') | (orders['STATE'] == 'C')]

# Join exit orders with quotes based on timestamp
exit_orders_with_quotes = otp.join_by_time([exit_orders, quotes])

# Aggregate to get EXIT_ASK_PRICE and EXIT_BID_PRICE for each order ID
exit_orders_with_quotes = exit_orders_with_quotes.agg({
    'EXIT_ASK_PRICE': otp.agg.first('ASK_PRICE'),
    'EXIT_BID_PRICE': otp.agg.first('BID_PRICE')
}, group_by='ID')

# Run the query for the specified date
df = otp.run(exit_orders_with_quotes, date=date)