Right way

Right way is set to 1 if the mid price moved in the favorable (unfavorable) direction following the execution of an order.

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)

# Calculate NEXT_MID_PRICE for each quote tick
quotes['NEXT_MID_PRICE'] = (quotes['ASK_PRICE'][+1] + quotes['BID_PRICE'][+1]) / 2

# Calculate current mid price for each quote tick
quotes['MID_PRICE'] = (quotes['ASK_PRICE'] + quotes['BID_PRICE']) / 2

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

# Determine Right_Way for each order
joined_data['Right_Way'] = joined_data.apply(
    lambda tick: 1 if (tick['STATE'] == 'BUY' and tick['NEXT_MID_PRICE'] > tick['MID_PRICE']) or
                    (tick['STATE'] == 'SELL' and tick['NEXT_MID_PRICE'] < tick['MID_PRICE']) else 0
)

# Select relevant fields
orders_with_right_way = joined_data[['ID', 'Right_Way']]

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