Volatility

To calculate the volatility of a financial instrument using onetick.py, you’ll need to retrieve trade data (typically with the ‘TRD’ tick type) from the NYSE_TAQ database and then apply your defined function to calculate the volatility. The volatility is computed as the standard deviation of the trade prices divided by their average, multiplied by 100 (to get a percentage).

import onetick.py as otp

# Define your symbol and the database
symbol = 'TSLA'
database = 'NYSE_TAQ'
date = otp.dt(2023, 3, 2)

# Load trades data from NYSE_TAQ database
trades = otp.DataSource(database, tick_type='TRD', symbol=symbol)

def add_volatility(md: otp.Source):
    md = md.agg({
        'STDDEV': otp.agg.stddev('PRICE'),
        'AVERAGE': otp.agg.average('PRICE'),
    })
    md['VOLATILITY'] = md['STDDEV'] / md['AVERAGE'] * 100
    return md

# Apply the volatility function
volatility_data = add_volatility(trades)

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