Prevailing quote at the time of a trade#
import onetick.py as otp
trd = otp.DataSource('NYSE_TAQ',
tick_type='TRD')
trd = trd[['PRICE', 'SIZE']]
qte = otp.DataSource('TAQ_NBBO',
tick_type='NBBO',
back_to_first_tick=otp.Minute(10))
qte = qte[['ASK_PRICE', 'BID_PRICE']]
qte['quote_time'] = qte['Time']
enriched_trades = otp.join_by_time([trd, qte])
otp.run(enriched_trades,
symbols=['SPY'],
start=otp.dt(2023, 5, 15, 9, 30),
end=otp.dt(2023, 5, 15, 9, 30, 1),
timezone='EST5EDT')
| Time | PRICE | SIZE | ASK_PRICE | BID_PRICE | quote_time | |
|---|---|---|---|---|---|---|
| 0 | 2023-05-15 09:30:00.000178688 | 412.22 | 100 | 412.25 | 412.22 | 2023-05-15 09:30:00.000174080 |
| 1 | 2023-05-15 09:30:00.000776704 | 412.22 | 247 | 412.24 | 412.21 | 2023-05-15 09:30:00.000715520 |
| 2 | 2023-05-15 09:30:00.003603456 | 412.22 | 100 | 412.24 | 412.22 | 2023-05-15 09:30:00.003562496 |
| 3 | 2023-05-15 09:30:00.006352128 | 412.24 | 1 | 412.25 | 412.22 | 2023-05-15 09:30:00.006343936 |
| 4 | 2023-05-15 09:30:00.007128064 | 412.24 | 3 | 412.25 | 412.22 | 2023-05-15 09:30:00.007110656 |
| ... | ... | ... | ... | ... | ... | ... |
| 310 | 2023-05-15 09:30:00.934032640 | 412.27 | 160 | 412.28 | 412.26 | 2023-05-15 09:30:00.934030080 |
| 311 | 2023-05-15 09:30:00.975609344 | 412.24 | 2 | 412.28 | 412.27 | 2023-05-15 09:30:00.970691840 |
| 312 | 2023-05-15 09:30:00.980264448 | 412.27 | 1 | 412.28 | 412.27 | 2023-05-15 09:30:00.979763456 |
| 313 | 2023-05-15 09:30:00.985391616 | 412.28 | 100 | 412.28 | 412.27 | 2023-05-15 09:30:00.985296640 |
| 314 | 2023-05-15 09:30:00.985394944 | 412.28 | 100 | 412.28 | 412.27 | 2023-05-15 09:30:00.985296640 |
315 rows × 6 columns