As Of (Prevailing)#

Time Window Match#

Data can be retrieved by specifying start and end times to the specified time window.

Retrieve Records at specified Timestamp#

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

query = at_trade()

result = otq.run(query,
    http_address=rest_url,access_token=access_token,
    output_mode="pandas",
    start=datetime(2024,1,3,9,31,0),
    end = datetime(2024,1,3,9,32,0),
    timezone='America/New_York',
    symbols='US_COMP_SAMPLE::CSCO'
    )

Retrieve Records within specified Time Window#
	Time	PRICE	SIZE	EXCHANGE	COND	PARTICIPANT_TIME	TRF_TIME	SOURCE	TRF	TTE	TICKER	SEQ_NUM	TRADE_ID	DELETED_TIME	OMDSEQ
0	2024-01-03 09:31:03.089024823	50.16	1	D	@ I	2024-01-03 09:31:03.087872000	2024-01-03 09:31:03.088991986	N	Q	0	CSCO	220506	1005	1969-12-31 19:00:00	0
1	2024-01-03 09:31:04.039361452	50.1501	210	D	@	2024-01-03 09:31:04.037865000	2024-01-03 09:31:04.039020746	N	N	0	CSCO	220747	44	1969-12-31 19:00:00	0
2	2024-01-03 09:31:04.062783595	50.15	100	Q	@F	2024-01-03 09:31:04.062767563	1969-12-31 19:00:00.000000000	N		1	CSCO	220756	811	1969-12-31 19:00:00	0
3	2024-01-03 09:31:04.062785486	50.15	100	Q	@F	2024-01-03 09:31:04.062767563	1969-12-31 19:00:00.000000000	N		1	CSCO	220757	812	1969-12-31 19:00:00	1
4	2024-01-03 09:31:04.062794245	50.15	100	Q	@F	2024-01-03 09:31:04.062777010	1969-12-31 19:00:00.000000000	N		1	CSCO	220758	813	1969-12-31 19:00:00	2
5	2024-01-03 09:31:04.062795879	50.15	1	Q	@F I	2024-01-03 09:31:04.062777010	1969-12-31 19:00:00.000000000	N		1	CSCO	220759	814	1969-12-31 19:00:00	3
6	2024-01-03 09:31:04.062797669	50.15	100	Q	@F	2024-01-03 09:31:04.062777010	1969-12-31 19:00:00.000000000	N		1	CSCO	220760	815	1969-12-31 19:00:00	4
7	2024-01-03 09:31:04.063084832	50.15	199	K	@F	2024-01-03 09:31:04.062893000	1969-12-31 19:00:00.000000000	N		1	CSCO	220761	209	1969-12-31 19:00:00	0
8	2024-01-03 09:31:04.063111506	50.15	100	U	@	2024-01-03 09:31:04.062892258	1969-12-31 19:00:00.000000000	N		0	CSCO	220762	156	1969-12-31 19:00:00	1
9	2024-01-03 09:31:04.063111609	50.15	100	U	@	2024-01-03 09:31:04.062892258	1969-12-31 19:00:00.000000000	N		0	CSCO	220763	157	1969-12-31 19:00:00	2

Most Recent / Prevailing Value#

To return the most recent / prevailing value as of the specified time (e.g. snapshot time), set the start and end to the same timestamp, and update the Passthrough node to include:

go_back_to_first_tick - The maximum time in seconds to look back and search for prevailing prices

back_tick_if_none_at_start_time - Set to True to enable the lookback.

The lookback stops on the first match, so althrough the maximum period of time may be large typically the lookback may be only a few seconds.

Retrieve the most recent trade as of the specified Timestamp#

def prevailing_trade():
    pt = otq.Passthrough(go_back_to_first_tick=86400,back_tick_if_none_at_start_time=True).tick_type('TRD')
    graph = otq.Graph(pt)
    return graph

result = otq.run(prevailing_trade(),
    http_address=rest_url,access_token=access_token,
    output_mode="pandas",
    start=datetime(2024,1,3,9,31,0),
    end = datetime(2024,1,3,9,31,0),
    timezone='America/New_York',
    symbols='US_COMP_SAMPLE::CSCO'
    )

Retrieve the most recent trade as of the specified Timestamp results#
	Time	PRICE	SIZE	EXCHANGE	COND	PARTICIPANT_TIME	TRF_TIME	STOP_STOCK	SOURCE	TRF	TTE	TICKER	CORR	SEQ_NUM	TRADE_ID	DELETED_TIME	TICK_STATUS	OMDSEQ
0	2024-01-03 09:31:00	50.16	10	U	@ I	2024-01-03 09:30:59.206796705	1969-12-31 19:00:00		N		0	CSCO	0	218800	155	1969-12-31 19:00:00	0	0

As Of Join#

To retrieve trades joined to prevailing quotes an asof join is specified using the join_by_time class, specifying the trades branch as the leading source, with leading_sources. Each branch must be named with the node_name attribute. The graph is then defined with both inputs being passed to the join_by_time node.

As of Join, Joining Trades to Prevailing Quotes#

def trades_with_quotes():
    trd_in= otq.Passthrough(fields='PRICE,SIZE').tick_type('TRD').node_name('trd')
    qte_in= otq.Passthrough(fields='BID_PRICE,ASK_PRICE').tick_type('QTE').node_name('qte')
    jbt = otq.JoinByTime(leading_sources='trd',add_source_prefix=False)
    trd_in >> jbt
    qte_in >> jbt
    graph = otq.Graph(jbt)
    return graph

result = otq.run(trades_with_quotes(),
    http_address=rest_url,access_token=access_token,
    output_mode="pandas",
    start=datetime(2024,1,3,9,30,0),
    end = datetime(2024,1,3,10,30,0),
    timezone='America/New_York',
    symbols='US_COMP_SAMPLE::CSCO'

As of Join, Joining Trades to Prevailing Quotes results#
	Time	trd.TIMESTAMP	PRICE	SIZE	qte.TIMESTAMP	BID_PRICE	ASK_PRICE
0	2024-01-03 09:30:00.065443591	2024-01-03 09:30:00.065443591	50.02	2	2024-01-03 09:30:00.059591977	49.5	50.18
1	2024-01-03 09:30:00.111130049	2024-01-03 09:30:00.111130049	50.16	3	2024-01-03 09:30:00.088783491	49.98	50.19
2	2024-01-03 09:30:00.127459523	2024-01-03 09:30:00.127459523	50.17	100	2024-01-03 09:30:00.088783491	49.98	50.19
3	2024-01-03 09:30:00.128498068	2024-01-03 09:30:00.128498068	50.17	5	2024-01-03 09:30:00.128494915	50.0	50.17
4	2024-01-03 09:30:00.135190071	2024-01-03 09:30:00.135190071	50.13	46	2024-01-03 09:30:00.128494915	50.0	50.17
5	2024-01-03 09:30:00.232554141	2024-01-03 09:30:00.232554141	50.13	117	2024-01-03 09:30:00.128494915	50.0	50.17
6	2024-01-03 09:30:00.232556132	2024-01-03 09:30:00.232556132	50.05	83	2024-01-03 09:30:00.128494915	50.0	50.17
7	2024-01-03 09:30:00.280877749	2024-01-03 09:30:00.280877749	50.002	200	2024-01-03 09:30:00.128494915	50.0	50.17
8	2024-01-03 09:30:00.321495830	2024-01-03 09:30:00.321495830	50.002	9	2024-01-03 09:30:00.128494915	50.0	50.17
9	2024-01-03 09:30:00.372805563	2024-01-03 09:30:00.372805563	50.085	1	2024-01-03 09:30:00.327674861	50.0	50.17