Applying Corporate Actions

A series of simple examples are provided showing how to retrieve data with applied Corporate Actions.

Original Price History

Market Data is generally retrieved by querying the specified database, table and symbol.

Retrieve Trade History for Symbol

def trades():
    pt = otq.Passthrough().tick_type('TRD')
    graph = otq.Graph(pt)
    return graph

 result = otq.run(trades,
     http_address=rest_url,access_token=access_token,
     output_mode="pandas",
     start=datetime(2024,1,3,9,30,0),
     end = datetime(2024,1,3,9,31,0),
     timezone='America/New_York',
     symbols='US_COMP_SAMPLE::CSCO'  # Specifies the [Database]::[Symbol]
     )

Adjusted Price History

To adjust price history for corporate actions, the CorpActions object can be added to the graph. Adjustments can modify both the Price and Quantity fields of a price history, so the adjust_rule attribute is used to specify if:

• Modifying Price Fields (adjust_rule='PRICE')

• Modifying Quantity Fields (adjust_rule='SIZE')

The fields to just are specified with the fields attribute. Different corporate actions can be applied to the dataset based on additional attributes of the object, such as applying splits with apply_split=True.

The run method must also be modified to include the symbol_date attribute.

Retrieve Corporate Action Adjusted Trade History

def trades_adjusted():
    pt = otq.Passthrough(fields='PRICE,SIZE').tick_type('TRD')
    add_fields = otq.AddFields(fields='ORIG_PRICE=PRICE, ORIG_SIZE=SIZE')
    adjust_price = otq.CorpActions(fields='PRICE',adjust_rule='PRICE',apply_split=True)
    adjust_size = otq.CorpActions(fields='SIZE',adjust_rule='SIZE',apply_split=True)
    graph = otq.Graph(pt >> add_fields >> adjust_price >> adjust_size)
    return graph

query = trades_adjusted()

result = otq.run(query,
    http_address=rest_url,access_token=access_token,
    output_mode="pandas",
    start=datetime(2024,1,10,0,0,0),
    end = datetime(2024,1,17,0,0,0),
    timezone='Europe/London',
    symbols='LSE_SAMPLE::DKE',
    symbol_date = datetime.today()
    )