Interval Metrics (e.g., VWAP)#
import onetick.py as otp
query = otp.DataSource('NYSE_TAQ', tick_type='TRD')
query = query.agg({'market_vwap': otp.agg.vwap('PRICE', 'SIZE')})
otp.run(
query,
symbols=['SPY'],
start=otp.dt(2023, 5, 15, 9, 30),
end=otp.dt(2023, 5, 15, 9, 30, 1),
timezone='EST5EDT'
)
| Time | market_vwap | |
|---|---|---|
| 0 | 2023-05-15 09:30:01 | 412.212012 |
Computing market VWAP for every order’s arrival/exit interval#
start = otp.dt(2023, 5, 15, 9, 30)
end = otp.dt(2023, 5, 15, 9, 30, 1)
orders = otp.Ticks(arrival=[start, start + otp.Milli(7934)],
exit=[end, end + otp.Milli(9556)],
sym=['SPY', 'QQQ'])
otp.run(orders, start=start, end=start + otp.Day(1))
| Time | arrival | exit | sym | |
|---|---|---|---|---|
| 0 | 2023-05-15 09:30:00.000 | 2023-05-15 09:30:00.000 | 2023-05-15 09:30:01.000 | SPY |
| 1 | 2023-05-15 09:30:00.001 | 2023-05-15 09:30:07.934 | 2023-05-15 09:30:10.556 | QQQ |
def vwap(symbol):
q = otp.DataSource('NYSE_TAQ', tick_type='TRD')
q = q.agg({'market_vwap': otp.agg.vwap('PRICE','SIZE')})
return q
orders = orders.join_with_query(vwap, start=orders['arrival'], end=orders['exit'], symbol=orders['sym'])
otp.run(orders, start=start, end=end + otp.Day(1))
| Time | market_vwap | arrival | exit | sym | |
|---|---|---|---|---|---|
| 0 | 2023-05-15 09:30:00.000 | 412.212012 | 2023-05-15 09:30:00.000 | 2023-05-15 09:30:01.000 | SPY |
| 1 | 2023-05-15 09:30:00.001 | 325.318988 | 2023-05-15 09:30:07.934 | 2023-05-15 09:30:10.556 | QQQ |
A more efficient implementation is also available with symbol parameters.