Takeout success

Takeout success based on capturing the available size in the market for an order at a certain level takeout success flag:

Takeout_Success := SizeFilled >= min(Size, Ask_Size), when Side = 'BUY', and
Takeout_Success := SizeFilled >= min(Size, Bid_Size), otherwise

Calculate takeout success for orders and NYSE_TAQ databases using for the TSLA ticker in onetick.py

import onetick.py as otp

orders = otp.DataSource('ORDERS_DB', tick_type='ORDER')

# add the direction that is equl to 1 for buy orders and -1 for sell orders
orders['DIRECTION'] = 2 * orders['BUY_FLAG'] - 1

quotes = otp.DataSource('NYSE_TAQ', tick_type='QTE')

res = otp.join_by_time([orders, quotes])

# initialize a field where we could put the takeout sucess flag
res['TAKEOUT_SUCCESS'] = 0

res = res.update(
            {'TAKEOUT_SUCCESS': 1},
            where=(res['DIRECTION'] == 1) & (res['QTY_FILLED'] >= res['ASK_SIZE'])
)
res = res.update(
            {'TAKEOUT_SUCCESS': 1},
            where=(res['DIRECTION'] == -1) & (res['QTY_FILLED'] >= res['BID_SIZE'])
)

otp.run(res, date=otp.dt(2022, 3, 2), symbols='TSLA')