Retrieving Tick Data#
import onetick.py as otp
s = otp.dt(2023, 5, 15, 9, 30)
e = otp.dt(2023, 5, 15, 9, 30, 1)
trd = otp.DataSource('NYSE_TAQ', tick_type='TRD')
otp.run(trd, start=s, end=e, symbols=['SPY'], timezone='EST5EDT')
| Time | EXCHANGE | COND | STOP_STOCK | SOURCE | TRF | TTE | TICKER | PRICE | DELETED_TIME | TICK_STATUS | SIZE | CORR | SEQ_NUM | TRADE_ID | PARTICIPANT_TIME | TRF_TIME | OMDSEQ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | 2023-05-15 09:30:00.000178688 | P | T | N | C | 0 | SPY | 412.22 | 1969-12-31 19:00:00 | 0 | 100 | 0 | 39195 | 52983525167153 | 2023-05-15 09:30:00.000150016 | 1969-12-31 19:00:00.000000000 | 0 | |
| 1 | 2023-05-15 09:30:00.000776704 | Z | N | C | 0 | SPY | 412.22 | 1969-12-31 19:00:00 | 0 | 247 | 0 | 39196 | 52983525035355 | 2023-05-15 09:30:00.000450000 | 1969-12-31 19:00:00.000000000 | 1 | ||
| 2 | 2023-05-15 09:30:00.003603456 | T | T | N | C | 0 | SPY | 412.22 | 1969-12-31 19:00:00 | 0 | 100 | 0 | 39212 | 62879133157950 | 2023-05-15 09:30:00.003165122 | 1969-12-31 19:00:00.000000000 | 0 | |
| 3 | 2023-05-15 09:30:00.006352128 | K | I | N | C | 0 | SPY | 412.24 | 1969-12-31 19:00:00 | 0 | 1 | 0 | 39227 | 52983525098301 | 2023-05-15 09:30:00.006091000 | 1969-12-31 19:00:00.000000000 | 0 | |
| 4 | 2023-05-15 09:30:00.007128064 | K | I | N | C | 0 | SPY | 412.24 | 1969-12-31 19:00:00 | 0 | 3 | 0 | 39231 | 52983525098302 | 2023-05-15 09:30:00.006873000 | 1969-12-31 19:00:00.000000000 | 0 | |
| ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... | ... |
| 310 | 2023-05-15 09:30:00.934032640 | T | T | N | C | 0 | SPY | 412.27 | 1969-12-31 19:00:00 | 0 | 160 | 0 | 40517 | 62879133545538 | 2023-05-15 09:30:00.933678033 | 1969-12-31 19:00:00.000000000 | 1 | |
| 311 | 2023-05-15 09:30:00.975609344 | D | I | N | C | T | 0 | SPY | 412.24 | 1969-12-31 19:00:00 | 0 | 2 | 0 | 40543 | 71675240595789 | 2023-05-15 09:30:00.661000000 | 2023-05-15 09:30:00.975241514 | 0 |
| 312 | 2023-05-15 09:30:00.980264448 | D | I | N | C | T | 0 | SPY | 412.27 | 1969-12-31 19:00:00 | 0 | 1 | 0 | 40545 | 71675240596294 | 2023-05-15 09:30:00.553501000 | 2023-05-15 09:30:00.979895700 | 0 |
| 313 | 2023-05-15 09:30:00.985391616 | T | N | C | 0 | SPY | 412.28 | 1969-12-31 19:00:00 | 0 | 100 | 0 | 40547 | 62879133552717 | 2023-05-15 09:30:00.984946104 | 1969-12-31 19:00:00.000000000 | 0 | ||
| 314 | 2023-05-15 09:30:00.985394944 | T | Q | N | C | 0 | SPY | 412.28 | 1969-12-31 19:00:00 | 0 | 100 | 0 | 40549 | 62879133552719 | 2023-05-15 09:30:00.984958312 | 1969-12-31 19:00:00.000000000 | 1 |
315 rows × 18 columns