Notional spread (quoted spread)

To calculate the notional spread for every client’s order in onetick.py, you first need to determine the Arrival_Ask_Price and Arrival_Bid_Price for each order at its arrival time, then calculate the notional spread using the formula:

Notional_Spread := Order_Executed_Qty * (Arrival_Ask_Price - Arrival_Bid_Price)

Example of code in onetick.py:

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 for new (arrival) orders
arrival_orders, other_orders = orders[(orders['STATE'] == 'N')]

# Join arrival orders with quotes based on timestamp
arrival_orders_with_quotes = otp.join_by_time([arrival_orders, quotes])

# merge all ticks back with goal to apply aggregation properly then
# especially to calculate 'QTY_FILLED' correctly
merged_orders = arrival_orders_with_quotes + other_orders

# Aggregate to get total executed quantity (QTY_FILLED) for each order
# and carry forward arrival ask and bid prices
orders_agg = merged_orders.agg({
    'EXEC_QTY': otp.agg.sum('QTY_FILLED'),
    'ARRIVAL_ASK_PRICE': otp.agg.first('ASK_PRICE'),
    'ARRIVAL_BID_PRICE': otp.agg.first('BID_PRICE')
}, group_by='ID')

# Calculate the notional spread for each order
orders_agg['NOTIONAL_SPREAD'] = orders_agg['EXEC_QTY'] * (orders_agg['ARRIVAL_ASK_PRICE'] - orders_agg['ARRIVAL_BID_PRICE'])

# Select relevant fields
orders_with_notional_spread = orders_agg[['ID', 'NOTIONAL_SPREAD']]

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