Book Depth#

A series of simple examples are provided showing how to retrieve book depth from OneTick Cloud.

Book Depth Events#

Book depth events are retrieved by specifying either the PRL or PRL_FULL table, depending on whether Market by Level (MBL) or Market by Order (MBO) data is available. Typically book depth data is analysed using orderbook processing.

Book Depth Event Retrieval#

def book_depth_events():
    pt = otq.Passthrough().tick_type('PRL_FULL')
    graph = otq.Graph(pt)
    return graph

result = otq.run(book_depth_events(),
    http_address=rest_url,access_token=access_token,
    output_mode="pandas",
    start=datetime(2024,1,3,0,0,0),
    end = datetime(2024,1,3,9,30,0),
    timezone='Europe/London',
    symbols='LSE_SAMPLE::VOD'
    )

Book Depth Event Retrieval Results#
	Time	UPDATE_TYPE	ORDER_ID	ORDER_TYPE	PRICE	SIZE	RECORD_TYPE	DELETED_TIME	OMDSEQ
0	2024-01-03 05:00:07.876				0.0	0	Z	1970-01-01 01:00:00	0
1	2024-01-03 05:00:07.876	A	233244094926020495	L	69.0	600	R	1970-01-01 01:00:00	0
2	2024-01-03 05:00:07.876	A	233244094926209592	L	69.0	5800	R	1970-01-01 01:00:00	1
3	2024-01-03 05:00:07.876	A	232452446553925487	L	67.2	50000	R	1970-01-01 01:00:00	2
4	2024-01-03 05:00:07.876	A	233244094925636785	L	67.0	10000	R	1970-01-01 01:00:00	3
5	2024-01-03 05:00:07.876	A	233244094925636407	L	66.94	7300	R	1970-01-01 01:00:00	4
6	2024-01-03 05:00:07.876	A	233244094925845524	L	66.66	20000	R	1970-01-01 01:00:00	5
7	2024-01-03 05:00:07.876	A	233244094925636400	L	66.34	7360	R	1970-01-01 01:00:00	6
8	2024-01-03 05:00:07.876	A	233244094925636417	L	66.0	3000	R	1970-01-01 01:00:00	7
9	2024-01-03 05:00:07.876	A	233244094925636406	L	65.0	70000	R	1970-01-01 01:00:00	8

Order Book Price Level Updates#

Updates to order books are retrieved by using the ObSnapshot object, specifying is_running_aggr=True and show_only_changes=True, along with defining the table which is either PRL or PRL_FULL , depending on whether Market by Level (MBL) or Market by Order (MBO) data is available. An initial state of the book is returned, following by deltas if show_only_changes=True. Alternatively each new book can be output if show_only_changes=False.

When using the ObSnapshot object, data is returned with each row representing a price level identified with the LEVEL field, and side identified with the BUY_SELL_FLAG field. PRICE and SIZE fields present the current price and remaining size or quantity of the price level.

Alternative representations are available using:

ObSnapshot for each record representing either an order, or a price level and side.

ObSnapshotWide for each record representing a price level with both Bid and Ask.

ObSnapshotFlat for each record represnting every level in the book

The returned results can be further filtered by additionally specifying:

Maximum Number of Price Levels to return through the max_levels attribute

Maximum Depth in Cumulative Size to return through the max_depth_shares attribute

Maximum Depth in % Price Skew from BBO to return through the max_depth_for_price attribute

Order Book Depth Updates Retrieval#

def ob_tick():
    ob = otq.ObSnapshot(is_running_aggr=True,show_only_changes=True).tick_type('PRL_FULL')
    graph = otq.Graph(ob)
    return graph

result = otq.run(ob_tick(),
    http_address=rest_url,access_token=access_token,
    output_mode="pandas",
    start=datetime(2024,1,3,8,0,0),
    end = datetime(2024,1,3,9,0,0),
    timezone='Europe/London',
    symbols='LSE_SAMPLE::VOD'
    )

Order Book Depth Updates Retrieval Results#
	Time	PRICE	UPDATE_TIME	SIZE	LEVEL	BUY_SELL_FLAG
0	2024-01-03 08:00:00	59.3	2024-01-03 07:58:05.142	17048	1	1
1	2024-01-03 08:00:00	66.49	2024-01-03 07:50:48.472	24478	2	1
2	2024-01-03 08:00:00	68.0	2024-01-03 07:50:00.075	6000	3	1
3	2024-01-03 08:00:00	68.45	2024-01-03 07:59:58.750	2642	4	1
4	2024-01-03 08:00:00	68.57	2024-01-03 07:59:59.968	2642	5	1
5	2024-01-03 08:00:00	68.72	2024-01-03 07:59:58.061	2642	6	1
6	2024-01-03 08:00:00	68.95	2024-01-03 07:59:56.514	1743	7	1
7	2024-01-03 08:00:00	69.5	2024-01-03 07:59:58.978	1114	8	1
8	2024-01-03 08:00:00	69.64	2024-01-03 07:59:58.978	477	9	1
9	2024-01-03 08:00:00	69.66	2024-01-03 07:51:00.459	2	10	1

Order Book L3 Depth Updates#

For Level 3 Book depth stored in PRL_FULL tables, book updates can be retrieved at an order by order basis by specifying show_full_detail=True. In this case the ORDER_ID field will also be output in the results.

Order Book Full Depth Updates Retrieval#

def ob_tick():
    ob = otq.ObSnapshot(is_running_aggr=True,show_full_detail=True,show_only_changes=True).tick_type('PRL_FULL')
    graph = otq.Graph(ob)
    return graph

result = otq.run(ob_tick(),
    http_address=rest_url,access_token=access_token,
    output_mode="pandas",
    start=datetime(2024,1,3,8,0,0),
    end = datetime(2024,1,3,9,0,0),
    timezone='Europe/London',
    symbols='LSE_SAMPLE::VOD'
    )

Order Book Full Depth Updates Retrieval Results#
	Time	UPDATE_TYPE	ORDER_ID	ORDER_TYPE	BUY_SELL_FLAG	PRICE	SIZE	RECORD_TYPE	DELETED_TIME	OMDSEQ	LEVEL	UPDATE_TIME
0	2024-01-03 08:00:00	A	233402424600036698	L	1	59.3	90	R	1970-01-01 01:00:00	0	1	2024-01-03 07:50:10.362
1	2024-01-03 08:00:00	M	233402424600037169	L	1	59.3	7807	R	1970-01-01 01:00:00	0	1	2024-01-03 07:50:55.122
2	2024-01-03 08:00:00	A	233402424600038771	L	1	59.3	9151	R	1970-01-01 01:00:00	0	1	2024-01-03 07:58:05.142
3	2024-01-03 08:00:00	A	233402424600037126	L	1	66.49	24478	R	1970-01-01 01:00:00	7	2	2024-01-03 07:50:48.472
4	2024-01-03 08:00:00	A	233402424600035724	L	1	68.0	6000	R	1970-01-01 01:00:00	160	3	2024-01-03 07:50:00.075
5	2024-01-03 08:00:00	A	233402424600039933	L	1	68.45	2642	R	1970-01-01 01:00:00	100	4	2024-01-03 07:59:58.750
6	2024-01-03 08:00:00	A	233402424600040158	L	1	68.57	2642	R	1970-01-01 01:00:00	154	5	2024-01-03 07:59:59.968
7	2024-01-03 08:00:00	A	233402424600039860	L	1	68.72	2642	R	1970-01-01 01:00:00	77	6	2024-01-03 07:59:58.061
8	2024-01-03 08:00:00	A	233402424600039693	L	1	68.95	1743	R	1970-01-01 01:00:00	0	7	2024-01-03 07:59:56.514
9	2024-01-03 08:00:00	A	233402424600039989	L	1	69.5	1114	R	1970-01-01 01:00:00	3	8	2024-01-03 07:59:58.978

Order Book Depth Bars#

Order Book state can be returned at periodic intervals generating book depth bars, by specifying the bucket_interval attribute, whcih represents a time in seconds. Milliseconds are supported by specifying a decimal (e.g. 0.1)

As before, alternative representations are available using:

ObSnapshot for each record representing either an order, or a price level and side.

ObSnapshotWide for each record representing a price level with both Bid and Ask.

ObSnapshotFlat for each record represnting every level in the book

Order Book 1 Minute Bars to 5 Levels of Depth Retrieval#

def ob_bars():
    bars = otq.ObSnapshot(bucket_interval=60,max_levels=5).tick_type('PRL_FULL')
    graph = otq.Graph(bars)
    return graph

result = otq.run(ob_bars(),
    http_address=rest_url,access_token=access_token,
    output_mode="pandas",
    start=datetime(2024,1,3,8,0,0),
    end = datetime(2024,1,3,16,0,0),
    timezone='Europe/London',
    symbols='LSE_SAMPLE::VOD'
    )

Order Book 1 Minute Bars to 5 Levels of Depth Retrieval Results#
Symbol	Timestamp	PRICE	SIZE	SYMBOL_NAME	TICK_TYPE	UPDATE_TIME
	Time	PRICE	UPDATE_TIME	SIZE	LEVEL	BUY_SELL_FLAG
0	2024-01-03 08:01:00	70.45	2024-01-03 08:00:59.243	5657	1	1
1	2024-01-03 08:01:00	70.47	2024-01-03 08:00:59.792	12161	2	1
2	2024-01-03 08:01:00	70.48	2024-01-03 08:00:58.503	108029	3	1
3	2024-01-03 08:01:00	70.49	2024-01-03 08:00:59.262	27858	4	1
4	2024-01-03 08:01:00	70.5	2024-01-03 08:00:59.056	20344	5	1
5	2024-01-03 08:01:00	70.36	2024-01-03 08:00:59.796	247	1	0
6	2024-01-03 08:01:00	70.35	2024-01-03 08:00:59.243	100	2	0
7	2024-01-03 08:01:00	70.34	2024-01-03 08:00:59.792	6657	3	0
8	2024-01-03 08:01:00	70.33	2024-01-03 08:00:59.796	6377	4	0
9	2024-01-03 08:01:00	70.32	2024-01-03 08:00:58.187	6398	5	0

Order Book Wide (Bid & Ask on same row) 1 Minute Bars to 5 Levels of Depth Retrieval#

def ob_bars():
    bars = otq.ObSnapshotWide(bucket_interval=60,max_levels=5).tick_type('PRL_FULL')
    graph = otq.Graph(bars)
    return graph

result = otq.run(ob_bars(),
    http_address=rest_url,access_token=access_token,
    output_mode="pandas",
    start=datetime(2024,1,3,8,0,0),
    end = datetime(2024,1,3,16,0,0),
    timezone='Europe/London',
    symbols='LSE_SAMPLE::HSBA'
    )

Order Book Wide (Bid & Ask on same row) 1 Minute Bars to 5 Levels of Depth Retrieval Results#
	Time	BID_PRICE	BID_UPDATE_TIME	BID_SIZE	ASK_PRICE	ASK_UPDATE_TIME	ASK_SIZE	LEVEL
0	2024-01-03 08:01:00	635.2	2024-01-03 08:00:59.775	1698	635.7	2024-01-03 08:00:59.776	1700	1
1	2024-01-03 08:01:00	635.1	2024-01-03 08:00:59.775	3210	635.8	2024-01-03 08:00:59.782	17859	2
2	2024-01-03 08:01:00	635.0	2024-01-03 08:00:59.739	6306	635.9	2024-01-03 08:00:59.154	2936	3
3	2024-01-03 08:01:00	634.9	2024-01-03 08:00:57.803	3631	636.0	2024-01-03 08:00:59.782	6419	4
4	2024-01-03 08:01:00	634.8	2024-01-03 08:00:55.889	4728	636.1	2024-01-03 08:00:59.761	7335	5
5	2024-01-03 08:02:00	635.6	2024-01-03 08:01:59.903	974	636.0	2024-01-03 08:01:59.286	389	1
6	2024-01-03 08:02:00	635.5	2024-01-03 08:01:59.330	3485	636.1	2024-01-03 08:01:59.893	3986	2
7	2024-01-03 08:02:00	635.4	2024-01-03 08:01:59.285	6735	636.2	2024-01-03 08:01:59.148	1014	3
8	2024-01-03 08:02:00	635.3	2024-01-03 08:01:59.146	4673	636.3	2024-01-03 08:01:59.148	3306	4
9	2024-01-03 08:02:00	635.2	2024-01-03 08:01:59.307	4822	636.4	2024-01-03 08:01:59.200	21442	5

Order Book Flat (All Levels on same row) 1 Minute Bars to 5 Levels of Depth Retrieval#

def ob_bars():
    bars = otq.ObSnapshotFlat(bucket_interval=60,max_levels=5).tick_type('PRL_FULL')
    graph = otq.Graph(bars)
    return graph

result = otq.run(ob_bars(),
    http_address=rest_url,access_token=access_token,
    output_mode="pandas",
    start=datetime(2024,1,3,8,0,0),
    end = datetime(2024,1,3,16,0,0),
    timezone='Europe/London',
    symbols='LSE_SAMPLE::VOD'
    )

Order Book Flat (All Levels on same row) 1 Minute Bars to 5 Levels of Depth Retrieval Results#
	Time	BID_PRICE1	BID_UPDATE_TIME1	BID_SIZE1	ASK_PRICE1	ASK_UPDATE_TIME1	ASK_SIZE1	BID_PRICE2	BID_UPDATE_TIME2	BID_SIZE2	ASK_PRICE2	ASK_UPDATE_TIME2	ASK_SIZE2	BID_PRICE3	BID_UPDATE_TIME3	BID_SIZE3	ASK_PRICE3	ASK_UPDATE_TIME3	ASK_SIZE3	BID_PRICE4	BID_UPDATE_TIME4	BID_SIZE4	ASK_PRICE4	ASK_UPDATE_TIME4	ASK_SIZE4	BID_PRICE5	BID_UPDATE_TIME5	BID_SIZE5	ASK_PRICE5	ASK_UPDATE_TIME5	ASK_SIZE5
0	2024-01-03 08:01:00	70.36	2024-01-03 08:00:59.796	247	70.45	2024-01-03 08:00:59.243	5657	70.35	2024-01-03 08:00:59.243	100	70.47	2024-01-03 08:00:59.792	12161	70.34	2024-01-03 08:00:59.792	6657	70.48	2024-01-03 08:00:58.503	108029	70.33	2024-01-03 08:00:59.796	6377	70.49	2024-01-03 08:00:59.262	27858	70.32	2024-01-03 08:00:58.187	6398	70.5	2024-01-03 08:00:59.056	20344
1	2024-01-03 08:02:00	70.51	2024-01-03 08:01:59.461	100	70.6	2024-01-03 08:01:58.413	2236	70.5	2024-01-03 08:01:59.461	1528	70.61	2024-01-03 08:01:59.013	20872	70.49	2024-01-03 08:01:58.436	1401	70.62	2024-01-03 08:01:59.461	20687	70.48	2024-01-03 08:01:57.911	7556	70.63	2024-01-03 08:01:58.613	27494	70.47	2024-01-03 08:01:57.702	9783	70.64	2024-01-03 08:01:59.013	26717
2	2024-01-03 08:03:00	70.41	2024-01-03 08:02:47.187	6814	70.51	2024-01-03 08:02:47.190	5093	70.4	2024-01-03 08:02:58.047	12411	70.53	2024-01-03 08:02:50.346	4716	70.39	2024-01-03 08:02:53.018	6260	70.54	2024-01-03 08:02:50.395	16566	70.38	2024-01-03 08:02:53.664	15139	70.55	2024-01-03 08:02:46.535	24048	70.37	2024-01-03 08:02:53.228	33771	70.56	2024-01-03 08:02:50.395	29900
3	2024-01-03 08:04:00	70.39	2024-01-03 08:03:57.934	1381	70.49	2024-01-03 08:03:57.933	7154	70.38	2024-01-03 08:03:57.945	7012	70.5	2024-01-03 08:03:58.609	28055	70.37	2024-01-03 08:03:57.925	1529	70.51	2024-01-03 08:03:58.133	28303	70.36	2024-01-03 08:03:59.065	8369	70.52	2024-01-03 08:03:58.233	41389	70.35	2024-01-03 08:03:55.984	8462	70.53	2024-01-03 08:03:57.934	16198
4	2024-01-03 08:05:00	70.43	2024-01-03 08:04:59.431	2682	70.5	2024-01-03 08:04:54.898	4716	70.42	2024-01-03 08:04:54.544	7867	70.51	2024-01-03 08:04:54.306	5427	70.41	2024-01-03 08:04:54.543	6878	70.52	2024-01-03 08:04:59.502	19109	70.4	2024-01-03 08:04:54.638	5581	70.53	2024-01-03 08:04:57.025	28692	70.39	2024-01-03 08:04:55.976	23024	70.54	2024-01-03 08:04:54.870	19374
5	2024-01-03 08:06:00	70.36	2024-01-03 08:05:25.721	2330	70.42	2024-01-03 08:05:54.602	4440	70.34	2024-01-03 08:05:59.668	2385	70.43	2024-01-03 08:05:54.602	5700	70.33	2024-01-03 08:05:53.802	2400	70.45	2024-01-03 08:05:30.008	4144	70.32	2024-01-03 08:05:53.802	6420	70.46	2024-01-03 08:05:52.802	13645	70.31	2024-01-03 08:05:53.802	18988	70.47	2024-01-03 08:05:59.302	22078
6	2024-01-03 08:07:00	70.27	2024-01-03 08:06:43.573	14355	70.34	2024-01-03 08:06:51.495	2450	70.25	2024-01-03 08:06:44.309	4022	70.35	2024-01-03 08:06:59.300	23415	70.23	2024-01-03 08:06:50.346	27028	70.36	2024-01-03 08:06:43.807	29850	70.22	2024-01-03 08:06:59.550	14461	70.37	2024-01-03 08:06:44.409	27319	70.21	2024-01-03 08:06:44.285	27573	70.38	2024-01-03 08:06:52.094	14507
7	2024-01-03 08:08:00	70.34	2024-01-03 08:07:59.564	5400	70.41	2024-01-03 08:07:59.610	4716	70.33	2024-01-03 08:07:59.610	11226	70.42	2024-01-03 08:07:59.610	12311	70.32	2024-01-03 08:07:40.113	11903	70.43	2024-01-03 08:07:43.463	31079	70.31	2024-01-03 08:07:59.563	15814	70.44	2024-01-03 08:07:43.463	14756	70.3	2024-01-03 08:07:50.002	21272	70.45	2024-01-03 08:07:36.074	27306
8	2024-01-03 08:09:00	70.45	2024-01-03 08:08:59.397	100	70.51	2024-01-03 08:08:59.291	6124	70.44	2024-01-03 08:08:59.290	7265	70.52	2024-01-03 08:08:59.291	17069	70.43	2024-01-03 08:08:59.316	16077	70.53	2024-01-03 08:08:58.586	21711	70.42	2024-01-03 08:08:59.397	16407	70.54	2024-01-03 08:08:58.560	16231	70.41	2024-01-03 08:08:58.801	15789	70.55	2024-01-03 08:08:59.252	29697
9	2024-01-03 08:10:00	70.48	2024-01-03 08:09:55.303	4251	70.52	2024-01-03 08:09:55.302	4716	70.47	2024-01-03 08:09:59.798	100	70.53	2024-01-03 08:09:55.903	25407	70.46	2024-01-03 08:09:59.041	16130	70.54	2024-01-03 08:09:55.903	32314	70.45	2024-01-03 08:09:59.801	24564	70.55	2024-01-03 08:09:46.413	35360	70.44	2024-01-03 08:09:30.629	20566	70.57	2024-01-03 08:09:55.903	26962

Book Depth Statistics#

Statistics on book depth can be retrieved by using the ObSummary object, and specifying a book filter

Maximum Number of Price Levels to return through the max_levels attribute

Maximum Depth in Cumulative Size to return through the max_depth_shares attribute

Maximum Depth in % Price Skew from BBO to return through the max_depth_for_price attribute

Book depth statistics return:

BEST_BID_PRICE and BEST_ASK_PRICE

Cumulative BID_SIZE and ASK_SIZE

NUM_ASK_LEVELS and NUM_BID_LEVELS

WORST_BID_PRICE and WORST_ASK_PRICE

BID_VWAP and ASK_VWAP

Book Depth Statistics by minute to trade a quantity of 1000 Retrieval#

def ob_stats():
    ob = otq.ObSummary(bucket_interval=60,max_depth_shares=1000).tick_type('PRL_FULL')
    graph = otq.Graph(ob)
    return graph

result = otq.run(ob_stats(),
    http_address=rest_url,access_token=access_token,
    output_mode="pandas",
    start=datetime(2024,1,3,8,0,0),
    end = datetime(2024,1,3,16,0,0),
    timezone='Europe/London',
    symbols='LSE_SAMPLE::VOD'
    )

Book Depth Statistics by minute to trade a quantity of 1000 Retrieval Results#
	Time	ASK_SIZE	BID_SIZE	ASK_VWAP	BID_VWAP	BEST_ASK_PRICE	BEST_BID_PRICE	WORST_ASK_PRICE	WORST_BID_PRICE	NUM_ASK_LEVELS	NUM_BID_LEVELS
0	2024-01-03 08:01:00	1000.0	1000.0	70.45	70.34593999999994	70.45	70.36	70.45	70.34	1	3
1	2024-01-03 08:02:00	1000.0	1000.0	70.59999999999998	70.501	70.6	70.51	70.6	70.5	1	2
2	2024-01-03 08:03:00	1000.0	1000.0	70.51000000000006	70.41	70.51	70.41	70.51	70.41	1	1
3	2024-01-03 08:04:00	1000.0	1000.0	70.49	70.39	70.49	70.39	70.49	70.39	1	1
4	2024-01-03 08:05:00	1000.0	1000.0	70.5	70.43	70.5	70.43	70.5	70.43	1	1
5	2024-01-03 08:06:00	1000.0	1000.0	70.41999999999997	70.35999999999999	70.42	70.36	70.42	70.36	1	1
6	2024-01-03 08:07:00	1000.0	1000.0	70.34	70.27	70.34	70.27	70.34	70.27	1	1
7	2024-01-03 08:08:00	1000.0	1000.0	70.41	70.34	70.41	70.34	70.41	70.34	1	1
8	2024-01-03 08:09:00	1000.0	1000.0	70.51	70.441	70.51	70.45	70.51	70.44	1	2
9	2024-01-03 08:10:00	1000.0	1000.0	70.52000000000002	70.48000000000003	70.52	70.48	70.52	70.48	1	1