# Price Improvement

Each example is a self-contained script that can be run against the OneTick Cloud sample databases.

```default
# onetick-py WebAPI configuration for OneTick Cloud
import os
os.environ['OTP_WEBAPI'] = '1'
os.environ['OTP_HTTP_ADDRESS'] = 'https://rest.cloud.onetick.com'
os.environ['OTP_ACCESS_TOKEN_URL'] = 'https://cloud-auth.parent.onetick.com/realms/OMD/protocol/openid-connect/token'
os.environ['OTP_CLIENT_ID'] = '__FILL_IN__'
os.environ['OTP_CLIENT_SECRET'] = '__FILL_IN__'
```

Price Improvement (bps) measures the distance from the far touch (FT) to the order execution VWAP in basis points.<br />
\\\\
Positive values indicate a good execution, negative a poor one.

```text
PRICE_IMPROVEMENT_BPS = DIRECTION * 10000 * (FT - VWAP) / FT
```

`FT` is the arrival far touch by side (*BUY* -> arrival ask, *SELL* -> arrival bid).<br />
\\\\
The prevailing quote at arrival is joined "as of" to the order.

```python
import onetick.py as otp

order = otp.DataSource(db='S_ORDERS_LSE_SAMPLE', tick_type='ORDER')
order = order[['ID', 'SIDE', 'PRICE_FILLED', 'QTY_FILLED']]
order['DIRECTION'] = order.if_else(order['SIDE'] == 'BUY', 1, -1)

qte = otp.DataSource(db='LSE_SAMPLE', tick_type='QTE')
qte = qte[['ASK_PRICE', 'BID_PRICE']]

joined = otp.join_by_time([order, qte])

data = joined.agg({
    'VWAP_PRICE': otp.agg.vwap('PRICE_FILLED', 'QTY_FILLED'),
    'ARRIVAL_ASK_PRICE': otp.agg.first('ASK_PRICE'),
    'ARRIVAL_BID_PRICE': otp.agg.first('BID_PRICE'),
    'SIDE': otp.agg.first('SIDE'),
    'DIRECTION': otp.agg.first('DIRECTION'),
}, group_by=['ID'])

data['FT'] = data.if_else(data['SIDE'] == 'BUY', data['ARRIVAL_ASK_PRICE'], data['ARRIVAL_BID_PRICE'])

data = data.where(data['FT'] != 0)
data['PRICE_IMPROVEMENT_BPS'] = data['DIRECTION'] * 10000 * (data['FT'] - data['VWAP_PRICE']) / data['FT']
data = data[['ID', 'PRICE_IMPROVEMENT_BPS']]

result = otp.run(data,
                 start=otp.dt(2024, 1, 3),
                 end=otp.dt(2024, 1, 4),
                 timezone='Europe/London',
                 symbols='VOD')
result
```

|    | Time       | ID                 | PRICE_IMPROVEMENT_BPS   |
|----|------------|--------------------|-------------------------|
| 0  | 2024-01-04 | 233402424600089290 | 5.681011                |
| 1  | 2024-01-04 | 233402424600163510 | 4.266818                |
| 2  | 2024-01-04 | 233402424600242327 | 4.241482                |
| 3  | 2024-01-04 | 233402424600242348 | 5.658509                |
| 4  | 2024-01-04 | 233402424600242354 | 5.658509                |
| .. | ...        | ...                | ...                     |
| 25 | 2024-01-04 | 233402424601044819 | 1.428980                |
| 26 | 2024-01-04 | 233402424601076779 | 1.431025                |
| 27 | 2024-01-04 | 233402424601108653 | 1.429388                |
| 28 | 2024-01-04 | 233402424601108753 | -0.000000               |
| 29 | 2024-01-04 | 233402424601134016 | 1.431229                |