onetick-py 1.162.2__py3-none-any.whl

onetick/py/core/_source/source_methods/misc.py

@@ -0,0 +1,1325 @@
+import functools
+import re
+from typing import TYPE_CHECKING, Any, Dict, List, Optional, Tuple, Union
+from onetick.py.backports import Literal
+
+import onetick.py as otp
+from onetick.py import types as ott
+from onetick.py import utils
+from onetick.py.core.column import _Column
+from onetick.py.otq import otq
+from onetick.py.compatibility import (
+    is_ob_virtual_prl_and_show_full_detail_supported,
+    is_per_tick_script_boolean_problem,
+)
+from onetick.py.aggregations._docs import copy_signature
+
+if TYPE_CHECKING:
+    from onetick.py.core.source import Source
+
+
+def inplace_operation(method):
+    """Decorator that adds the `inplace` parameter and logic according to this
+    flag. inplace=True means that method modifies an object, otherwise it copies
+    the object firstly, modifies copy and returns the copy.
+    """
+
+    @functools.wraps(method)
+    def _inner(self, *args, inplace=False, **kwargs):
+        kwargs['inplace'] = inplace
+        if inplace:
+            method(self, *args, **kwargs)
+        else:
+            obj = self.copy()
+            return method(obj, *args, **kwargs)
+
+    return _inner
+
+
+def _columns_names_regex(
+    self: 'Source', objs: Tuple[Union[_Column, str]], drop: bool = False
+) -> Tuple[List[str], bool]:
+    """
+    We can't be sure python Source has consistent columns cache, because sinking complex event processors
+    can change columns unpredictable, so if user will specify regex as a param, we will pass regex
+    as an onetick's param, but pass or delete all matched columns from python Source cache.
+
+    Parameters
+    ----------
+    objs:
+        Tuple of _Columns or string to pass or drop. String can be regex.
+    drop: bool
+        To drop columns from python schema or not.
+
+    Returns
+    -------
+    items_to_passthrough:
+        Items to pass to Passthrough as `field` parameter.
+    regex:
+        Value to pass to Passthrough as `use_regex` parameter.
+    """
+    def is_regex_string(obj):
+        return isinstance(obj, str) and any(c in r"*+?\:[]{}()^$" for c in obj)
+
+    # if any object from the list is a regexp, then all other objects will be treated like regexps too
+    regex = any(is_regex_string(obj) for obj in objs)
+
+    items_to_passthrough = []
+    names_of_columns = []
+    for obj in objs:
+        if not isinstance(obj, (str, _Column)):
+            raise TypeError(f"It is not supported to select or delete item '{obj}' of type '{type(obj)}'")
+        if regex:
+            # if column object or non-regex string is specified in regex mode,
+            # then we assume that the user requested that exact column to be dropped
+            if isinstance(obj, _Column):
+                names_of_columns.append(obj.name)
+                obj = f'^{obj.name}$'
+            elif not is_regex_string(obj):
+                names_of_columns.append(obj)
+                obj = f'^{obj}$'
+            else:
+                names_of_columns.extend(col for col in self.columns() if re.search(obj, col))
+            items_to_passthrough.append(obj)
+        else:
+            name = obj.name if isinstance(obj, _Column) else obj
+            items_to_passthrough.append(name)
+            names_of_columns.append(name)
+
+    # remove duplications and meta_fields
+    names_of_columns: set[str] = set(names_of_columns) - set(self.__class__.meta_fields)  # type: ignore[no-redef]
+    # TODO: we definitely have the same logic of checking columns somewhere else too, need to refactor
+    for item in names_of_columns:
+        if item not in self.__dict__ or not isinstance(self.__dict__[item], _Column):
+            raise AttributeError(f"There is no '{item}' column")
+    if drop:
+        for item in names_of_columns:
+            del self.__dict__[item]
+    return items_to_passthrough, regex
+
+
+@inplace_operation
+def pause(self: 'Source', delay, busy_waiting=False, where=None, inplace=False) -> Optional['Source']:
+    """
+    Pauses processing of each tick for number of milliseconds specified via ``delay`` expression.
+
+    Parameters
+    ----------
+    delay: int or :py:class:`onetick.py.Operation`
+        Integer number or OneTick expression used to calculate the delay.
+        Delay is in milliseconds.
+        Note that number can't be negative.
+    busy_waiting: bool
+        If True then delay is done via busy loop (consuming CPU time).
+    where: :py:class:`onetick.py.Operation`
+        Expression to select ticks for which processing will be paused.
+        By default, all ticks are selected.
+    inplace: bool
+        The flag controls whether operation should be applied inplace or not.
+        If ``inplace=True``, then it returns nothing.
+        Otherwise method returns a new modified object.
+
+    See also
+    --------
+    **PAUSE** OneTick event processor
+
+    Returns
+    -------
+    :class:`Source` or ``None``
+
+    Examples
+    --------
+
+    Pause every tick for 100 milliseconds (0.1 second).
+
+    >>> data = otp.Tick(A=1)
+    >>> data = data.pause(100)
+
+    Set the ``delay`` with expression and use ``where`` parameter to pause conditionally:
+
+    >>> data = otp.Ticks(A=[-1, 1, 2])
+    >>> data = data.pause(data['A'] * 100, where=data['A'] > 0)
+    """
+    if not isinstance(delay, int):
+        delay = str(delay)
+    elif delay < 0:
+        raise ValueError("Parameter 'delay' can't be negative")
+    where = '' if where is None else str(where)
+    self.sink(
+        otq.Pause(
+            delay=delay,
+            busy_waiting=busy_waiting,
+            where=where,
+        )
+    )
+    return self
+
+
+@inplace_operation
+def insert_tick(
+    self: 'Source',
+    fields=None,
+    where=None,
+    preserve_input_ticks=True,
+    num_ticks_to_insert=1,
+    insert_before=True,
+    inplace=False,
+) -> Optional['Source']:
+    """
+    Insert tick.
+
+    Parameters
+    ----------
+    fields: dict of str to :py:class:`onetick.py.Operation`
+        Mapping of field names to some expressions or values.
+        These fields in inserted ticks will be set to corresponding values or results of expressions.
+        If field is presented in input tick, but not set in ``fields`` dict,
+        then the value of the field will be copied from input tick to inserted tick.
+        If parameter ``fields`` is not set at all, then values for inserted ticks' fields
+        will be default values for fields' types from input ticks (0 for integers etc.).
+    where: :py:class:`onetick.py.Operation`
+        Expression to select ticks near which the new ticks will be inserted.
+        By default, all ticks are selected.
+    preserve_input_ticks: bool
+        A switch controlling whether input ticks have to be preserved in output time series or not.
+        While the former case results in fields of input ticks to be present in the output time series
+        together with those defined by the ``fields`` parameter,
+        the latter case results in only defined fields to be present.
+        If a field of the input time series is defined in the ``fields`` parameter,
+        the defined value takes precedence.
+    num_ticks_to_insert: int
+        Number of ticks to insert.
+    insert_before: bool
+        Insert tick before each input tick or after.
+    inplace: bool
+        The flag controls whether operation should be applied inplace or not.
+        If ``inplace=True``, then it returns nothing.
+        Otherwise method returns a new modified object.
+
+    See also
+    --------
+    **INSERT_TICK** OneTick event processor
+
+    Returns
+    -------
+    :class:`Source` or ``None``
+
+    Examples
+    --------
+
+    Insert tick before each tick with default type values.
+
+    >>> data = otp.Tick(A=1)
+    >>> data = data.insert_tick()
+    >>> otp.run(data)
+            Time  A
+    0 2003-12-01  0
+    1 2003-12-01  1
+
+    Insert tick before each tick with field `A` copied from input tick
+    and field `B` set to specified value.
+
+    >>> data = otp.Tick(A=1)
+    >>> data = data.insert_tick(fields={'B': 'b'})
+    >>> otp.run(data)
+            Time  B  A
+    0 2003-12-01  b  1
+    1 2003-12-01     1
+
+    Insert two ticks only after first tick.
+
+    >>> data = otp.Ticks(A=[1, 2, 3])
+    >>> data = data.insert_tick(where=data['A'] == 1,
+    ...                         insert_before=False,
+    ...                         num_ticks_to_insert=2)
+    >>> otp.run(data)
+                         Time  A
+    0 2003-12-01 00:00:00.000  1
+    1 2003-12-01 00:00:00.000  0
+    2 2003-12-01 00:00:00.000  0
+    3 2003-12-01 00:00:00.001  2
+    4 2003-12-01 00:00:00.002  3
+    """
+    if not isinstance(num_ticks_to_insert, int) or num_ticks_to_insert <= 0:
+        raise ValueError("Parameter 'num_ticks_to_insert' must be a positive integer")
+    if not preserve_input_ticks and not fields:
+        raise ValueError("Parameter 'fields' must be set if 'preserve_input_ticks' is False")
+    where = '' if where is None else str(where)
+
+    fields = fields or {}
+    update_schema = {}
+    for field, value in fields.items():
+        dtype = ott.get_object_type(value)
+        if field not in self.schema:
+            update_schema[field] = dtype
+        elif dtype is not self.schema[field]:
+            raise ValueError(f"Incompatible types for field '{field}': {self.schema[field]} --> {dtype}")
+        dtype = ott.type2str(dtype)
+        if isinstance(value, type):
+            value = ott.default_by_type(value)
+        value = ott.value2str(value)
+        fields[field] = (dtype, value)
+    fields = ','.join(
+        f'{field} {dtype}={value}' if value else f'{field} {dtype}' for field, (dtype, value) in fields.items()
+    )
+
+    self.sink(
+        otq.InsertTick(
+            fields=fields,
+            where=where,
+            preserve_input_ticks=preserve_input_ticks,
+            num_ticks_to_insert=num_ticks_to_insert,
+            insert_before=insert_before,
+        )
+    )
+    if preserve_input_ticks:
+        self.table(inplace=True, strict=False, **update_schema)
+    else:
+        self.table(inplace=True, strict=True, **update_schema)
+    return self
+
+
+@inplace_operation
+def transpose(
+    self: 'Source',
+    inplace: bool = False,
+    direction: Literal['rows', 'columns'] = 'rows',
+    n: Optional[int] = None,
+) -> Optional['Source']:
+    """
+    Data transposing.
+    The main idea is joining many ticks into one or splitting one tick to many.
+
+    Parameters
+    ----------
+    inplace: bool, default=False
+        if `True` method will modify current object,
+        otherwise it will return modified copy of the object.
+    direction: 'rows', 'columns', default='rows'
+        - `rows`: join certain input ticks (depending on other parameters) with preceding ones.
+            Fields of each tick will be added to the output tick and their names will be suffixed
+            with **_K** where **K** is the positional number of tick (starting from 1) in reverse order.
+            So fields of current tick will be suffixed with **_1**, fields of previous tick will be
+            suffixed with **_2** and so on.
+        - `columns`: the operation is opposite to `rows`. It splits each input tick to several
+            output ticks. Each input tick must have fields with names suffixed with **_K**
+            where **K** is the positional number of tick (starting from 1) in reverse order.
+    n: Optional[int], default=None
+        must be specified only if ``direction`` is 'rows'.
+        Joins every **n** number of ticks with **n-1** preceding ticks.
+
+    Returns
+    -------
+    If ``inplace`` parameter is `True` method will return `None`,
+    otherwise it will return modified copy of the object.
+
+    See also
+    --------
+    **TRANSPOSE** OneTick event processor
+
+    Examples
+    --------
+    Merging two ticks into one.
+
+    >>> data = otp.Ticks(dict(A=[1, 2],
+    ...                       B=[3, 4]))
+    >>> data = data.transpose(direction='rows', n=2) # OTdirective: skip-snippet:;
+    >>> otp.run(data)
+                         Time             TIMESTAMP_1  A_1  B_1 TIMESTAMP_2  A_2  B_2
+    0 2003-12-01 00:00:00.001 2003-12-01 00:00:00.001    2    4  2003-12-01    1    3
+
+    And splitting them back into two.
+
+    >>> data = data.transpose(direction='columns') # OTdirective: skip-snippet:;
+    >>> otp.run(data)
+                         Time  A  B
+    0 2003-12-01 00:00:00.000  1  3
+    1 2003-12-01 00:00:00.001  2  4
+    """
+
+    direction_map = {'rows': 'ROWS_TO_COLUMNS', 'columns': 'COLUMNS_TO_ROWS'}
+    n: Union[str, int] = '' if n is None else n  # type: ignore[no-redef]
+
+    self.sink(otq.Transpose(direction=direction_map[direction], key_constraint_values=n))
+    # TODO: we should change source's schema after transposing
+    return self
+
+
+def cache(
+    self: 'Source',
+    cache_name: str,
+    delete_if_exists: bool = True,
+    inheritability: bool = True,
+    otq_params: Union[dict, None] = None,
+    time_granularity: int = 0,
+    time_granularity_units: Optional[str] = None,
+    timezone: str = "",
+    time_intervals_to_cache: Optional[List[tuple]] = None,
+    allow_delete_to_everyone: bool = False,
+    allow_update_to_everyone: bool = False,
+    allow_search_to_everyone: bool = True,
+    cache_expiration_interval: int = 0,
+    start: Optional[ott.datetime] = None,
+    end: Optional[ott.datetime] = None,
+    read_mode: str = "automatic",
+    update_cache: bool = True,
+    tick_type: str = "ANY",
+    symbol: Optional[str] = None,
+    db: Optional[str] = None,
+) -> 'Source':
+    """
+    Create cache from query and :py:class:`onetick.py.ReadCache` for created cache.
+
+    Cache will be created only for current session.
+
+    By default, if cache with specified name exists, it will be deleted and recreated.
+    You can change this behaviour via ``delete_if_exists`` parameter.
+
+    Parameters
+    ----------
+    cache_name: str
+        Name of the cache to be deleted.
+    delete_if_exists: bool
+        If set to ``True`` (default), a check will be made to detect the existence of a cache
+        with the specified name. Cache will be deleted and recreated only if it exists.
+        If set to ``False``, if cache exists it won't be deleted and recreated.
+    inheritability: bool
+        Indicates whether results can be obtained by combining time intervals that were cached with intervals
+        freshly computed to obtain results for larger intervals.
+    otq_params: dict
+        OTQ params of the query to be cached.
+    time_granularity: int
+        Value N for seconds/days/months granularity means that start and end time of the query have to be on N
+        second/day/month boundaries relative to start of the day/month/year.
+        This doesn't affect the frequency of data within the cache, just the start and end dates.
+    time_granularity_units: str, None
+        Units used in ``time_granularity`` parameter. Possible values: 'none', 'days', 'months', 'seconds' or None.
+    timezone: str
+        Timezone of the query to be cached.
+    time_intervals_to_cache: List[tuple]
+        List of tuples with start and end times in ``[(<start_time_1>, <end_time_1>), ...]`` format,
+        where ``<start_time>`` and ``<end_time>`` should be one of these:
+
+        * string in ``YYYYMMDDhhmmss[.msec]`` format.
+        * :py:class:`datetime.datetime`
+        * :py:class:`onetick.py.types.datetime`
+
+        If specified only these time intervals can be cached. Ignored if ``inheritability=True``.
+        If you try to make a query outside defined interval, error will be raised.
+    allow_delete_to_everyone: bool
+        When set to ``True`` everyone is allowed to delete the cache.
+    allow_update_to_everyone: bool
+        When set to ``True`` everyone is allowed to update the cache.
+    allow_search_to_everyone: bool
+        When set to ``True`` everyone is allowed to read the cached data.
+    cache_expiration_interval: int
+        If set to a non-zero value determines the periodicity of cache clearing, in seconds.
+        The cache will be cleared every X seconds, triggering new query executions when data is requested.
+    start: :py:class:`otp.datetime <onetick.py.datetime>`
+        Start time for cache query. By default, the start time of the query will be used.
+    end: :py:class:`otp.datetime <onetick.py.datetime>`
+        End time for cache query. By default, the end time of the query will be used.
+    read_mode: str
+        Mode of querying cache. One of these:
+
+        * ``cache_only`` - only cached results are returned and queries are not performed.
+        * ``query_only`` - the query is run irrespective of whether the result is already available in the cache.
+        * ``automatic`` (default) - perform the query if the data is not found in the cache.
+    update_cache: bool
+        If set to ``True``, updates the cached data if ``read_mode=query_only`` or if ``read_mode=automatic`` and
+        the result data not found in the cache. Otherwise, the cache remains unchanged.
+    tick_type: str
+        Tick type.
+    symbol: str, list of str, list of otq.Symbol, :py:class:`onetick.py.Source`, pd.DataFrame, optional
+        ``symbols`` parameter of ``otp.run()``.
+    db: str
+        Database.
+
+    See also
+    --------
+    | :py:func:`onetick.py.create_cache`
+    | :py:class:`onetick.py.ReadCache`
+
+    Examples
+    --------
+    Simple usage
+
+    >>> src = otp.DataSource("COMMON", tick_type="TRD", symbols="AAPL")
+    >>> data = src.cache(
+    ...    cache_name="some_cache",
+    ...    tick_type="TRD", symbol="SYM", db="LOCAL",
+    ... )
+    >>> df = otp.run(data)  # doctest: +SKIP
+    """
+    from onetick.py.cache import create_cache, delete_cache, modify_cache_config
+    from onetick.py.sources import ReadCache
+
+    cache_exists = True
+
+    if delete_if_exists:
+        try:
+            modify_cache_config(cache_name, "TEST_PARAM", "TEST_VALUE")
+        except Exception as exc:
+            if "There is no cache" in str(exc):
+                cache_exists = False
+
+    if cache_exists and delete_if_exists:
+        delete_cache(cache_name)
+        cache_exists = False
+
+    if not cache_exists:
+        create_cache(
+            cache_name=cache_name,
+            query=self,
+            inheritability=inheritability,
+            otq_params=otq_params,
+            time_granularity=time_granularity,
+            time_granularity_units=time_granularity_units,
+            timezone=timezone,
+            time_intervals_to_cache=time_intervals_to_cache,
+            allow_delete_to_everyone=allow_delete_to_everyone,
+            allow_update_to_everyone=allow_update_to_everyone,
+            allow_search_to_everyone=allow_search_to_everyone,
+            cache_expiration_interval=cache_expiration_interval,
+            tick_type=tick_type,
+            symbol=symbol,
+            db=db,
+        )
+
+    return ReadCache(
+        cache_name=cache_name,
+        start=start if start is not None else utils.adaptive,
+        end=end if end is not None else utils.adaptive,
+        read_mode=read_mode,
+        update_cache=update_cache,
+        tick_type=tick_type,
+        symbol=symbol if symbol is not None else utils.adaptive,
+        db=db if db is not None else utils.adaptive_to_default,
+    )
+
+
+@inplace_operation
+def pnl_realized(
+    self: 'Source',
+    computation_method: str = 'fifo',
+    output_field_name: str = 'PNL_REALIZED',
+    size_field: Union[str, _Column] = 'SIZE',
+    price_field: Union[str, _Column] = 'PRICE',
+    buy_sell_flag_field: Union[str, _Column] = 'BUY_SELL_FLAG',
+    inplace=False,
+) -> Optional['Source']:
+    """
+    Computes the realized Profit and Loss (**PNL**) on each tick and is applicable to both scenarios,
+    whether selling after buying or buying after selling.
+
+    Parameters
+    ----------
+    computation_method: str
+        This parameter determines the approach used to calculate the realized Profit and Loss (**PnL**).
+
+        Possible options are:
+
+        * ``fifo`` - Stands for 'First-In-First-Out,' is used to calculate Profit and Loss (**PnL**)
+          based on the principle that the first trading positions bought are the first ones to be sold,
+          or conversely, the first trading positions sold are the first ones to be bought.
+
+    output_field_name: str
+        This parameter defines the name of the output field.
+
+        Default: **PNL_REALIZED**.
+
+    size_field: str, :py:class:`otp.Column <onetick.py.Column>`
+        The name of the field with size, default is **SIZE**.
+    price_field: str, :py:class:`otp.Column <onetick.py.Column>`
+        The name of the field with price, default is **PRICE**.
+    buy_sell_flag_field: str, :py:class:`otp.Column <onetick.py.Column>`
+        The name of the field with buy/sell flag, default is **BUY_SELL_FLAG**.
+
+    See also
+    --------
+    **PNL_REALIZED** OneTick event processor
+
+    Examples
+    --------
+
+    Simple usage
+
+    >>> data = otp.DataSource('SOME_DATABASE', tick_type='TT', symbols='AA')  # doctest: +SKIP
+    >>> data = data.pnl_realized()  # doctest: +SKIP
+    >>> otp.run(data)  # doctest: +SKIP
+                         Time  BUY_SELL_FLAG  PRICE  SIZE  PNL_REALIZED
+    0 2003-12-01 00:00:00.000              0      5    20           0.0
+    1 2003-12-01 00:00:00.001              0      4    30           0.0
+    2 2003-12-01 00:00:00.002              1      3    15         -30.0
+    3 2003-12-01 00:00:00.003              0     10    50           0.0
+    4 2003-12-01 00:00:00.004              1      7    18          49.0
+    5 2003-12-01 00:00:00.005              1      9     6          30.0
+    6 2003-12-01 00:00:00.006              0      8    40           0.0
+    """
+    if computation_method not in ['fifo']:
+        raise ValueError(
+            f"Parameter 'computation_method' has incorrect value: '{computation_method}', "
+            f"should be one of these: 'fifo'."
+        )
+
+    for field in (size_field, price_field, buy_sell_flag_field):
+        if str(field) not in self.schema:
+            raise ValueError(f'Field {field} is not in schema')
+
+    # PNL_REALIZED doesn't support choosing input fields, so we workaround by renaming fields
+    restore_fields = {}
+    added_fields = []
+    for default_field, field in (('SIZE', size_field), ('PRICE', price_field), ('BUY_SELL_FLAG', buy_sell_flag_field)):
+        if field != default_field:
+            if default_field in self.schema:
+                tmp_field_name = f'__TMP__{field}__TMP__'
+                self[tmp_field_name] = self[default_field]
+                restore_fields[default_field] = self[tmp_field_name]
+            self[default_field] = self[field]
+            added_fields.append(default_field)
+
+    if output_field_name in self.schema:
+        raise ValueError(f'Field {output_field_name} is already in schema')
+
+    computation_method = computation_method.upper()
+    self.sink(otq.PnlRealized(computation_method=computation_method, output_field_name=output_field_name))
+    self.schema[output_field_name] = float
+
+    if added_fields:
+        self.drop(added_fields, inplace=True)
+    if restore_fields:
+        # restore fields from temporary fields and delete temporary fields
+        self.add_fields(restore_fields)
+        self.drop(list(restore_fields.values()), inplace=True)
+
+    return self
+
+
+@inplace_operation
+def execute(self: 'Source', *operations, inplace=False) -> Optional['Source']:
+    """
+    Execute operations without returning their values.
+    Some operations in onetick.py can be used to modify the state of some object
+    (tick sequences mostly) and in that case user may not want to save the result of the
+    operation to column.
+
+    Parameters
+    ----------
+    operations : list of :py:class:`~onetick.py.Operation`
+        operations to execute.
+    inplace : bool
+        The flag controls whether operation should be applied inplace or not.
+        If ``inplace=True``, then it returns nothing. Otherwise method returns a new modified
+        object.
+
+    Returns
+    -------
+    :class:`Source` or ``None``
+
+    See Also
+    --------
+    **EXECUTE_EXPRESSIONS** OneTick event processor
+
+    Examples
+    --------
+    >>> data = otp.Tick(A=1)
+    >>> data.state_vars['SET'] = otp.state.tick_set('oldest', 'A')
+    >>> data = data.execute(data.state_vars['SET'].erase(A=1))
+    """
+    if not operations:
+        raise ValueError('At least one operation must be specified in execute() method')
+    op_str = ';'.join(map(str, operations))
+    self.sink(otq.ExecuteExpressions(op_str))
+    return self
+
+
+@inplace_operation
+def fillna(self: 'Source', value=None, columns=None, inplace=False) -> Optional['Source']:
+    """
+    Replace NaN values in floating point type fields with the ``value``.
+
+    Parameters
+    ----------
+    value : float, :py:class:`~onetick.py.Operation`
+        The value to replace NaN.
+        If not specified then the value from the previous tick will be used.
+    columns: list
+        List of strings with column names or :py:class:`~onetick.py.Column` objects.
+        Only the values in specified columns will be replaced.
+        By default the values in all floating point type fields will be replaced.
+    inplace : bool
+        The flag controls whether operation should be applied inplace or not.
+        If ``inplace=True``, then it returns nothing. Otherwise method returns a new modified
+        object.
+
+    Returns
+    -------
+    :class:`Source` or ``None``
+
+    See Also
+    --------
+    :py:meth:`onetick.py.Operation.fillna`
+
+    Examples
+    --------
+
+    By default, the value of the previous tick is used as a value to replace NaN
+    (for the first tick the previous value do not exist, so it will still be NaN):
+
+    >>> data = otp.Ticks({'A': [0, 1, 2, 3], 'B': [otp.nan, 2.2, otp.nan, 3.3]})
+    >>> data = data.fillna()
+    >>> otp.run(data)
+                         Time  A    B
+    0 2003-12-01 00:00:00.000  0  NaN
+    1 2003-12-01 00:00:00.001  1  2.2
+    2 2003-12-01 00:00:00.002  2  2.2
+    3 2003-12-01 00:00:00.003  3  3.3
+
+    The value can also be a constant:
+
+    >>> data = otp.Ticks({'A': [0, 1, 2, 3], 'B': [otp.nan, 2.2, otp.nan, 3.3]})
+    >>> data = data.fillna(777)
+    >>> otp.run(data)
+                         Time  A     B
+    0 2003-12-01 00:00:00.000  0  777.0
+    1 2003-12-01 00:00:00.001  1    2.2
+    2 2003-12-01 00:00:00.002  2  777.0
+    3 2003-12-01 00:00:00.003  3    3.3
+
+    :py:class:`~onetick.py.Operation` objects can also be used as a ``value``:
+
+    >>> data = otp.Ticks({'A': [0, 1, 2, 3], 'B': [otp.nan, 2.2, otp.nan, 3.3]})
+    >>> data = data.fillna(data['A'])
+    >>> otp.run(data)
+                         Time  A     B
+    0 2003-12-01 00:00:00.000  0    0.0
+    1 2003-12-01 00:00:00.001  1    2.2
+    2 2003-12-01 00:00:00.002  2    2.0
+    3 2003-12-01 00:00:00.003  3    3.3
+
+    Parameter ``columns`` can be used to specify the columns where values will be replaced:
+
+    .. testcode::
+       :skipif: is_per_tick_script_boolean_problem()
+
+       data = otp.Ticks({'A': [0, 1, 2, 3], 'B': [otp.nan, 2.2, otp.nan, 3.3], 'C': [otp.nan, 2.2, otp.nan, 3.3]})
+       data = data.fillna(columns=['B'])
+       df = otp.run(data)
+       print(df)
+
+    .. testoutput::
+
+                            Time  A    B    C
+       0 2003-12-01 00:00:00.000  0  NaN  NaN
+       1 2003-12-01 00:00:00.001  1  2.2  2.2
+       2 2003-12-01 00:00:00.002  2  2.2  NaN
+       3 2003-12-01 00:00:00.003  3  3.3  3.3
+    """
+    if columns:
+        for column in columns:
+            if column not in self.schema:
+                raise ValueError(f"Column '{column}' is not in schema")
+            if self.schema[column] is not float:
+                raise TypeError(f"Column '{column}' doesn't have float type")
+        columns = list(map(str, columns))
+    no_columns = columns is None
+
+    if value is not None:
+        if isinstance(value, int):
+            value = float(value)
+        if isinstance(value, otp.Operation) and value.dtype is int:
+            value = value.astype(float)
+        dtype = ott.get_object_type(value)
+        if dtype is not float:
+            raise ValueError(f"The type of parameter 'value' must be float, not {dtype}")
+
+        def fun(tick):
+            for field in otp.tick_descriptor_fields():
+                if (field.get_type() == 'double'
+                        and tick.get_double_value(field.get_name()) == otp.nan
+                        and (no_columns or field.get_name().isin(*columns))):
+                    tick.set_double_value(field.get_name(), value)
+    else:
+        # deque may have already been created by previous call of fillna() method
+        if '__OTP_FILLNA_DEQUE__' not in self.state_vars:
+            self.state_vars['__OTP_FILLNA_DEQUE__'] = otp.state.tick_deque(scope='branch')
+
+        def fun(tick):
+            i = otp.static(0)
+            prev_tick = otp.tick_deque_tick()
+            # first tick doesn't have the previous tick, so skipping it
+            if i > 0:
+                # get the previous tick from the deque
+                tick.state_vars['__OTP_FILLNA_DEQUE__'].get_tick(0, prev_tick)
+                # replace value in all double fields with the value of the previous tick
+                for field in otp.tick_descriptor_fields():
+                    if (field.get_type() == 'double'
+                            and tick.get_double_value(field.get_name()) == otp.nan
+                            and (no_columns or field.get_name().isin(*columns))):
+                        tick.set_double_value(field.get_name(),
+                                              prev_tick.get_double_value(field.get_name()))
+            # clear the deque and add the current tick to it
+            tick.state_vars['__OTP_FILLNA_DEQUE__'].clear()
+            tick.state_vars['__OTP_FILLNA_DEQUE__'].push_back(tick)
+            i = i + 1
+
+    return self.script(fun, inplace=inplace)
+
+
+@inplace_operation
+def mkt_activity(self: 'Source', calendar_name=None, inplace=False) -> Optional['Source']:
+    """
+    Adds a string field named **MKT_ACTIVITY** to each tick in the input tick stream.
+
+    The value of this field is set to the union of session flags that apply for the security at the time of the tick,
+    as specified in the calendar sections of the reference database (see Reference Database Guide).
+
+    Session flags may differ between databases,
+    but the following letters have reserved meaning: L - half day, H - holiday, W - weekend, R - regular.
+
+    The calendar can either be specified explicitly by name
+    (the *CALENDAR* sections of the reference database are assumed to contain a calendar with such a name),
+    or default to the security- or exchange-level calendars for the queried symbol
+    (the *SYMBOL_CALENDAR* or *EXCH_CALENDAR* sections of the reference database).
+
+    The latter case requires a non-zero symbol date to be specified for queried symbols
+    (see parameter ``symbol_date`` in :py:func:`otp.run <onetick.py.run>`).
+
+    Parameters
+    ----------
+    calendar_name : str, :py:class:`~onetick.py.Column`
+        The calendar name to choose for the respective calendar from the *CALENDAR* sections of the reference database.
+        It can be a string constant or the name of the field with per-tick calendar name.
+
+        When this parameter is not specified,
+        default security- or exchange-level calendars configured for the queried database and symbol are used
+        (but symbol date must be specified in this case).
+    inplace : bool
+        The flag controls whether operation should be applied inplace or not.
+        If ``inplace=True``, then it returns nothing. Otherwise method returns a new modified
+        object.
+
+    Note
+    ----
+    When applying :py:meth:`mkt_activity` to aggregated data,
+    please take into account that session flags may change during the aggregation bucket.
+    The field **MKT_ACTIVITY**, in this case, will represent the session flags at the time assigned to the bucket,
+    which may be different from the session flags at some times during the bucket.
+
+    Returns
+    -------
+    :class:`Source` or ``None``
+
+    See Also
+    --------
+    **MKT_ACTIVITY** OneTick event processor
+
+    Examples
+    --------
+
+    By default, security- or exchange-level calendars configured for the queried database and symbol are used
+    (but symbol date must be specified in this case):
+
+    >>> data = otp.DataSource(...)  # doctest: +SKIP
+    >>> data = data.mkt_activity()  # doctest: +SKIP
+    >>> otp.run(data, date=otp.date(2022, 1, 1), symbol_date=otp.date(2022, 1, 1))  # doctest: +SKIP
+
+    Otherwise, parameter ``calendar_name`` must be specified:
+
+    >>> data = otp.DataSource(...)  # doctest: +SKIP
+    >>> data = data.mkt_activity(calendar_name='WNY')  # doctest: +SKIP
+    >>> otp.run(data, date=otp.date(2022, 1, 1))  # doctest: +SKIP
+
+    Parameter ``calendar_name`` can also be specified as a column.
+    In this case calendar name can be different for each tick:
+
+    >>> data = otp.DataSource(...)  # doctest: +SKIP
+    >>> data = data.mkt_activity(calendar_name=data['CALENDAR_NAME'])  # doctest: +SKIP
+    >>> otp.run(data, date=otp.date(2022, 1, 1))  # doctest: +SKIP
+
+    In this example you can see how market activity status is changing during the days.
+    We are getting first and last tick of the group each time the type of market activity is changed.
+    You can see regular trades (R) from 9:30 to 16:00, and a holiday (H) on 2018-02-07.
+
+    >>> data = otp.DataSource('TRAIN_A_PRL_TRD', tick_type='TRD', symbols='MSFT')  # doctest: +SKIP
+    >>> data = data.mkt_activity('FRED')  # doctest: +SKIP
+    >>> data = data[['PRICE', 'SIZE', 'MKT_ACTIVITY']]  # doctest: +SKIP
+    >>> first = data.first(1, bucket_interval=(data['MKT_ACTIVITY'] != data['MKT_ACTIVITY'][-1]))  # doctest: +SKIP
+    >>> last = data.last(1, bucket_interval=(data['MKT_ACTIVITY'] != data['MKT_ACTIVITY'][-1]))  # doctest: +SKIP
+    >>> data = otp.merge([first, last])  # doctest: +SKIP
+    >>> df = otp.run(data,  # doctest: +SKIP
+    ...              start=otp.dt(2018, 2, 1), end=otp.dt(2018, 2, 9),
+    ...              symbol_date=otp.dt(2018, 2, 1), timezone='EST5EDT')
+    >>> df[['Time', 'MKT_ACTIVITY']]  # doctest: +SKIP
+                          Time MKT_ACTIVITY
+    0  2018-02-01 01:31:44.466
+    1  2018-02-01 09:29:59.996
+    2  2018-02-01 09:30:00.225            R
+    3  2018-02-01 15:59:58.857            R
+    4  2018-02-01 16:00:01.858
+    5  2018-02-02 09:29:50.366
+    6  2018-02-02 09:30:01.847            R
+    7  2018-02-02 15:59:59.829            R
+    8  2018-02-02 16:00:01.782
+    9  2018-02-05 09:29:43.084
+    10 2018-02-05 09:30:00.301            R
+    11 2018-02-05 15:59:59.974            R
+    12 2018-02-05 16:00:02.438
+    13 2018-02-06 09:29:27.279
+    14 2018-02-06 09:30:00.045            R
+    15 2018-02-06 15:59:59.903            R
+    16 2018-02-06 16:01:03.524
+    17 2018-02-07 09:29:56.739
+    18 2018-02-07 09:30:00.365            H
+    19 2018-02-07 15:59:59.940            H
+    20 2018-02-07 16:00:00.187
+    21 2018-02-08 09:29:28.446
+    22 2018-02-08 09:30:00.658            F
+    23 2018-02-08 15:59:59.564            F
+    24 2018-02-08 16:00:02.355
+    25 2018-02-08 19:59:57.061
+    """
+    if calendar_name is None:
+        calendar_name = ''
+    if isinstance(calendar_name, str):
+        calendar_field_name = ''
+    elif isinstance(calendar_name, _Column):
+        calendar_field_name = str(calendar_name)
+        calendar_name = ''
+    else:
+        raise ValueError(f"Unsupported type for parameter 'calendar_name': {type(calendar_name)}")
+    self.sink(
+        otq.MktActivity(calendar_name=calendar_name, calendar_field_name=calendar_field_name)
+    )
+    self.schema['MKT_ACTIVITY'] = str
+    return self
+
+
+@inplace_operation
+def book_diff(self: 'Source', include_initial_book: bool = False, inplace=False) -> Optional['Source']:
+    """
+    Performs book diffing for every pair of consecutive ticks, each representing a flat book of a fixed depth.
+
+    This method can be thought to be an operation, opposite to :py:meth:`~onetick.py.Source.ob_snapshot_flat`.
+    Every input tick, different from the previous one, results in a series of output PRL ticks to be propagated,
+    each carrying information about a level deletion, addition or update.
+
+    The input of this method is a time series of flat book ticks,
+    just like the result of :py:meth:`~onetick.py.Source.ob_snapshot_flat`.
+    More precisely, for a fixed depth N of the flat book,
+    input ticks should carry the fields BID_<FIELD_NAME>K and ASK_<FIELD_NAME>K,
+    where 1 <= K <= N and <FIELD_NAME> ranges over a specific set of fields F,
+    among which PRICE and SIZE are mandatory.
+
+    The output of this method is a time series of PRL ticks,
+    carrying information about a level deletion, addition, or update.
+    Each tick carries the fields from the above-mentioned set F,
+    plus BUY_SELL_FLAG, RECORD_TYPE, TICK_STATUS, and DELETED_TIME.
+    BUY_SELL_FLAG carries the side (0 - bid, 1 - ask), the rest are for internal use.
+
+    Parameters
+    ----------
+    include_initial_book : bool
+        This method treats the first tick as an "initial state" of the book.
+        If this parameter is set to True, then this initial tick will also be in the output.
+    inplace : bool
+        The flag controls whether operation should be applied inplace or not.
+        If ``inplace=True``, then it returns nothing. Otherwise method returns a new modified
+        object.
+
+    Note
+    ----
+    Tick descriptor changes are not allowed in this event processor.
+
+    Returns
+    -------
+    :class:`Source` or ``None``
+
+    See Also
+    --------
+    **BOOK_DIFF** OneTick event processor
+
+    Examples
+    --------
+
+    First let's get flat order book snapshot from the database (top level each 12 hours):
+
+    >>> data = otp.DataSource('TRAIN_A_PRL_TRD', tick_type='PRL', symbols='MSFT')  # doctest: +SKIP
+    >>> flat = data.ob_snapshot_flat(max_levels=1, bucket_interval=otp.Hour(12))  # doctest: +SKIP
+    >>> otp.run(flat, date=otp.dt(2018, 2, 1))  # doctest: +SKIP
+                     Time  BID_PRICE1  BID_SIZE1        BID_UPDATE_TIME1  ASK_PRICE1  ASK_SIZE1        ASK_UPDATE_TIME1
+    0 2018-02-01 12:00:00       95.53       1400 2018-02-01 11:59:59.797       95.54        200 2018-02-01 11:59:59.978
+    1 2018-02-02 00:00:00       94.52        100 2018-02-01 19:57:02.502       94.90        250 2018-02-01 18:35:38.543
+
+    Then we can apply ``book_diff`` method to the result to get the PRL ticks again:
+
+    >>> diff = flat.book_diff()  # doctest: +SKIP
+    >>> otp.run(diff, date=otp.dt(2018, 2, 1))  # doctest: +SKIP
+            Time  PRICE  SIZE             UPDATE_TIME  BUY_SELL_FLAG RECORD_TYPE  TICK_STATUS         DELETED_TIME
+    0 2018-02-02  95.53     0 2018-02-01 11:59:59.797              0           R            0  1969-12-31 19:00:00
+    1 2018-02-02  94.52   100 2018-02-01 19:57:02.502              0           R            0  1969-12-31 19:00:00
+    2 2018-02-02  94.90   250 2018-02-01 18:35:38.543              1           R            0  1969-12-31 19:00:00
+    3 2018-02-02  95.54     0 2018-02-01 11:59:59.978              1           R            0  1969-12-31 19:00:00
+
+    By default the first tick in the query range is not included,
+    use parameter ``include_initial_book`` to include it:
+
+    >>> diff = flat.book_diff(include_initial_book=True)  # doctest: +SKIP
+    >>> otp.run(diff, date=otp.dt(2018, 2, 1))  # doctest: +SKIP
+                     Time  PRICE  SIZE             UPDATE_TIME BUY_SELL_FLAG RECORD_TYPE TICK_STATUS        DELETED_TIME
+    0 2018-02-01 12:00:00  95.53  1400 2018-02-01 11:59:59.797             0           R           0 1969-12-31 19:00:00
+    1 2018-02-01 12:00:00  95.54   200 2018-02-01 11:59:59.978             1           R           0 1969-12-31 19:00:00
+    2 2018-02-02 00:00:00  95.53     0 2018-02-01 11:59:59.797             0           R           0 1969-12-31 19:00:00
+    3 2018-02-02 00:00:00  94.52   100 2018-02-01 19:57:02.502             0           R           0 1969-12-31 19:00:00
+    4 2018-02-02 00:00:00  94.90   250 2018-02-01 18:35:38.543             1           R           0 1969-12-31 19:00:00
+    5 2018-02-02 00:00:00  95.54     0 2018-02-01 11:59:59.978             1           R           0 1969-12-31 19:00:00
+    """
+    self.sink(otq.BookDiff(include_initial_book=include_initial_book))
+    return self
+
+
+@inplace_operation
+def limit(self: 'Source', tick_limit: int, inplace=False) -> Optional['Source']:
+    """
+    Propagates ticks until the count limit is reached. Once the limit is reached,
+    hidden ticks will still continue to propagate until the next regular tick appears.
+
+    Parameters
+    ----------
+    tick_limit: int
+        The number of regular ticks to propagate. Must be a non-negative integer or -1, which will mean no limit.
+    inplace : bool
+        The flag controls whether operation should be applied inplace or not.
+        If ``inplace=True``, then it returns nothing. Otherwise method returns a new modified
+        object.
+
+    Returns
+    -------
+    :class:`Source` or ``None``
+
+    See Also
+    --------
+    **LIMIT** OneTick event processor
+
+    Examples
+    --------
+
+    Basic example
+
+    .. testcode::
+       :skipif: not otp.compatibility.is_limit_ep_supported()
+
+       data = otp.Ticks(X=[1, 2, 3, 4, 5, 6])
+       data = data.limit(tick_limit=3)
+       print(otp.run(data))
+
+    .. testoutput::
+
+                            Time  X
+       0 2003-12-01 00:00:00.000  1
+       1 2003-12-01 00:00:00.001  2
+       2 2003-12-01 00:00:00.002  3
+
+    Disable limit
+
+    .. testcode::
+       :skipif: not otp.compatibility.is_limit_ep_supported()
+
+       data = otp.Ticks(X=[1, 2, 3, 4, 5, 6])
+       data = data.limit(tick_limit=-1)
+       print(otp.run(data))
+
+    .. testoutput::
+
+                            Time  X
+       0 2003-12-01 00:00:00.000  1
+       1 2003-12-01 00:00:00.001  2
+       2 2003-12-01 00:00:00.002  3
+       3 2003-12-01 00:00:00.003  4
+       4 2003-12-01 00:00:00.004  5
+       5 2003-12-01 00:00:00.005  6
+    """
+    if not hasattr(otq, 'Limit'):
+        raise RuntimeError('LIMIT EP isn\'t supported by the current OneTick version.')
+
+    if tick_limit < 0 and tick_limit != -1:
+        raise ValueError('Negative values, except -1, not allowed as `tick_limit` in `limit` method.')
+
+    self.sink(otq.Limit(tick_limit=tick_limit))
+    return self
+
+
+def _merge_fields_by_regex(schema: dict, columns_regex: str, match_index: int):
+    new_columns: Dict[str, type] = {}
+    for column, column_type in list(schema.items()):
+        match = re.match(columns_regex, column)
+        if match:
+            new_column = match.group(match_index)
+
+            if new_column in schema:
+                raise KeyError(
+                    f'Can\'t apply `show_full_detail` for column `{column}`: '
+                    f'column `{new_column}` is already in schema.'
+                )
+
+            if new_column in new_columns:
+                if column_type != new_columns[new_column]:
+                    raise TypeError(
+                        f'Can\'t apply `show_full_detail`: '
+                        f'type mismatch for columns with suffix `{new_column}`.'
+                    )
+            else:
+                new_columns[new_column] = column_type
+
+            del schema[column]
+
+    schema.update(**new_columns)
+
+
+@inplace_operation
+def virtual_ob(
+    self: 'Source',
+    quote_source_fields: Optional[List[Union[str, _Column]]] = None,
+    quote_timeout: Optional[float] = None,
+    show_full_detail: bool = False,
+    output_book_format: Literal['ob', 'prl'] = 'ob',
+    inplace=False,
+) -> Optional['Source']:
+    """
+    Creates a series of fake orders from a time series of best bids and asks. The algorithm used is as follows:
+    For a tick with the best bid or ask, create an order tick adding the new best bid or ask and an order
+    withdrawing the old one. Virtual order books can be created for multiple subgroups at once
+    by using the ``quote_source_fields`` parameter to specify a list of string fields to be used for grouping.
+    A separate book will be created for each combination.
+
+    Parameters
+    ----------
+    quote_source_fields: Optional[List[Union[str, Column]]]
+        Specifies a list of string fields for grouping quotes.
+        The virtual order book is then constructed for each subgroup separately and
+        the ``SOURCE`` field is constructed to contain the description of the group.
+    quote_timeout: Optional[float]
+        Specifies the maximum age of a quote that is not stale.
+        A quote that is not replaced after more than ``quote_timeout`` seconds is considered stale,
+        and delete orders will be generated for it.
+
+        A value of ``quote_timeout`` can be fractional (for example, 3.51)
+    show_full_detail: bool
+        If set to ``True``, **virtual_ob** will attempt to include
+        all fields in the input tick when forming the output tick.
+
+        ``ASK_X/BID_X`` fields will combine under paired field ``X``
+        ``ASK_X`` and ``BID_X`` must have the same type.
+
+        If only ``ASK_X`` or ``BID_X`` exist, output will have ``X`` and the missing field
+        will be assumed to have its default value.
+
+        Paired and non-paired fields must not interfere with each other and the fields originally added by this EP
+    output_book_format: 'prl' or 'ob'
+        Supported values are ``prl`` and ``ob``. When set to ``prl``, field ``SIZE`` of output ticks represents
+        current size for the tick's source, price, and side, and the EP propagates ``PRICE`` and ``SOURCE``
+        as the state keys of its output time series.
+
+        When set to ``ob``, field ``SIZE`` of output ticks represents the delta of size for
+        the tick's source, price, and side, and the state key of the output ticks is empty.
+    inplace : bool
+        The flag controls whether operation should be applied inplace or not.
+        If ``inplace=True``, then it returns nothing. Otherwise, method returns a new modified object.
+
+    Returns
+    -------
+    :class:`Source` or ``None``
+
+    See Also
+    --------
+    **VIRTUAL_OB** OneTick event processor
+
+    Examples
+    --------
+
+    Basic example
+
+    >>> data = otp.DataSource(
+    ...     db='US_COMP', symbols='AAPL', tick_type='QTE', date=otp.date(2003, 12, 1)
+    ... )  # doctest: +SKIP
+    >>> data = data[['ASK_PRICE', 'ASK_SIZE', 'BID_PRICE', 'BID_SIZE']]  # doctest: +SKIP
+    >>> data = data.virtual_ob()  # doctest: +SKIP
+    >>> otp.run(data)  # doctest: +SKIP
+                          Time  PRICE        DELETED_TIME  SIZE  BUY_SELL_FLAG  TICK_STATUS SOURCE
+    0  2003-12-01 00:00:00.000  22.28 1969-12-31 19:00:00   500              1            0   AAPL
+    1  2003-12-01 00:00:00.000  21.66 1969-12-31 19:00:00   100              0            0   AAPL
+    2  2003-12-01 00:00:00.001   21.8 1969-12-31 19:00:00   500              1            0   AAPL
+    ...
+
+    Specify columns to group quotes
+
+    >>> data = otp.DataSource(
+    ...     db='US_COMP', symbols='AAPL', tick_type='QTE', date=otp.date(2003, 12, 1)
+    ... )  # doctest: +SKIP
+    >>> data = data[['ASK_PRICE', 'ASK_SIZE', 'BID_PRICE', 'BID_SIZE', 'EXCHANGE']]  # doctest: +SKIP
+    >>> data = data.virtual_ob(['EXCHANGE'])  # doctest: +SKIP
+    >>> otp.run(data)  # doctest: +SKIP
+                          Time  PRICE        DELETED_TIME  SIZE  BUY_SELL_FLAG  TICK_STATUS SOURCE
+    0  2003-12-01 00:00:00.000  22.28 1969-12-31 19:00:00   500              1            0      D
+    1  2003-12-01 00:00:00.000  21.66 1969-12-31 19:00:00   100              0            0      D
+    2  2003-12-01 00:00:00.001   21.8 1969-12-31 19:00:00   500              1            0      P
+    ...
+    """
+    kwargs: Dict[str, Any] = {}
+
+    required_fields = {'BID_PRICE', 'BID_SIZE', 'ASK_PRICE', 'ASK_SIZE'}
+    missing_fields = required_fields - set(self.schema.keys())
+
+    if missing_fields:
+        raise ValueError('Missing fields required by `virtual_ob`: ' + ', '.join(missing_fields))
+
+    if output_book_format not in {'ob', 'prl'}:
+        raise ValueError(
+            f'Incorrect value for `output_book_format` parameter: {output_book_format}. '
+            f'Supported values: \'ob\' or \'prl\''
+        )
+
+    if show_full_detail and output_book_format != 'prl':
+        raise ValueError('`output_book_format` should be set to \'prl\' when `show_full_detail` set to `True`')
+
+    is_pnl_and_show_full_detail_supported = is_ob_virtual_prl_and_show_full_detail_supported()
+
+    if show_full_detail and not is_pnl_and_show_full_detail_supported:
+        raise RuntimeError('`virtual_ob` not supports `show_full_detail` parameter on this OneTick version')
+
+    if output_book_format != 'ob' and not is_pnl_and_show_full_detail_supported:
+        raise RuntimeError('`virtual_ob` not supports `output_book_format` parameter on this OneTick version')
+
+    if is_pnl_and_show_full_detail_supported:
+        kwargs['show_full_detail'] = show_full_detail
+        kwargs['output_book_format'] = output_book_format
+
+    if quote_source_fields is None:
+        quote_source_fields = []
+
+    quote_source_fields_list = list(map(str, quote_source_fields))
+    for column in quote_source_fields_list:
+        if column not in self.schema:
+            raise ValueError(f'Column \'{column}\' passed in `quote_source_fields` parameter is missing in the schema')
+
+    self.sink(
+        otq.VirtualOb(
+            quote_source_fields=','.join(quote_source_fields_list),
+            quote_timeout='' if quote_timeout is None else str(quote_timeout),
+            **kwargs,
+        )
+    )
+
+    schema = {
+        'PRICE': float,
+        'DELETED_TIME': otp.nsectime,
+        'SIZE': float,
+        'BUY_SELL_FLAG': int,
+        'TICK_STATUS': int,
+        'SOURCE': str,
+    }
+
+    if show_full_detail:
+        exclude_fields = list(required_fields) + quote_source_fields_list
+        schema.update({
+            k: v for k, v in self.schema.copy().items()
+            if k not in exclude_fields
+        })
+
+        _merge_fields_by_regex(schema, r'^(ASK|BID)_(.*)$', 2)
+
+    self.schema.set(**schema)
+
+    return self
+
+
+@copy_signature(otp.functions.corp_actions, add_self=True, drop_parameters=['source'])
+def corp_actions(self: 'Source', *args, **kwargs) -> 'Source':
+    """
+    Adjusts values using corporate actions information loaded into OneTick
+    from the reference data file. To use it, location of reference database must
+    be specified via OneTick configuration.
+
+    Parameters
+    ----------
+    adjustment_date : :py:class:`onetick.py.date`, :py:class:`onetick.py.datetime`, int, str, None, optional
+        The date as of which the values are adjusted.
+        All corporate actions of the types specified in the parameters
+        that lie between the tick timestamp and the adjustment date will be applied to each tick.
+
+        This parameter can be either date or datetime .
+        `int` and `str` format can be *YYYYMMDD* or *YYYYMMDDhhmmss*.
+        When parameter is a date, the time is assumed to be 17:00:00 GMT
+        and parameter ``adjustment_date_tz`` is ignored.
+
+        If it is not set, the values are adjusted as of the end date in the query.
+
+        Notice that the ``adjustment date`` is not affected neither by *_SYMBOL_PARAM._PARAM_END_TIME_NANOS*
+        nor by the *apply_times_daily* setting in :py:func:`onetick.py.run`.
+
+    adjustment_date_tz : str, optional
+        Timezone for ``adjustment date``.
+
+        By default global :py:attr:`tz<onetick.py.configuration.Config.tz>` value is used.
+        Local timezone can't be used so in this case parameter is set to GMT.
+        When ``adjustment_date`` is in YYYYMMDD format, this parameter is set to GMT.
+    fields : str, optional
+        A comma-separated list of fields to be adjusted. If this parameter is not set,
+        some default adjustments will take place if appropriately named fields exist in the tick:
+
+        - If the ``adjust_rule`` parameter is set to PRICE, and the PRICE field is present,
+          it will get adjusted. If the fields ASK_PRICE or BID_PRICE are present, they will get adjusted.
+          If fields ASK_VALUE or BID_VALUE are present, they will get adjusted
+
+        - If the ``adjust_rule`` parameter is set to SIZE, and the SIZE field is present,
+          it will get adjusted. If the fields ASK_SIZE or BID_SIZE are present, they will get adjusted.
+          If fields ASK_VALUE or BID_VALUE are present, they will get adjusted.
+
+    adjust_rule : str, optional
+        When set to PRICE, adjustments are applied under the assumption that fields to be adjusted contain prices
+        (adjustment direction is determined appropriately).
+
+        When set to SIZE, adjustments are applied under the assumption that fields contain sizes
+        (adjustment direction is opposite to that when the parameter's value is PRICE).
+
+        By default the value is PRICE.
+    apply_split : bool, optional
+        If True, adjustments for splits are applied.
+    apply_spinoff : bool, optional
+        If True, adjustments for spin-offs are applied.
+    apply_cash_dividend : bool, optional
+        If True, adjustments for cash dividends are applied.
+    apply_stock_dividend : bool, optional
+        If True, adjustments for stock dividends are applied.
+    apply_security_splice : bool, optional
+        If True, adjustments for security splices are applied.
+    apply_others : str, optional
+        A comma-separated list of names of custom adjustment types to apply.
+    apply_all : bool, optional
+        If True, applies all types of adjustments, both built-in and custom.
+
+    Returns
+    -------
+    :py:class:`onetick.py.Source`
+        A new source object with applied adjustments.
+
+    See also
+    --------
+    **CORP_ACTIONS** OneTick event processor
+
+    Examples
+    --------
+    >>> src = otp.DataSource('US_COMP',
+    ...                      tick_type='TRD',
+    ...                      start=otp.dt(2022, 5, 20, 9, 30),
+    ...                      end=otp.dt(2022, 5, 26, 16))
+    >>> df = otp.run(src, symbols='MKD', symbol_date=otp.date(2022, 5, 22))
+    >>> df["PRICE"][0]
+    0.0911
+    >>> src = src.corp_actions(adjustment_date=otp.date(2022, 5, 22),
+    ...                        fields="PRICE")
+    >>> df = otp.run(src, symbols='MKD', symbol_date=otp.date(2022, 5, 22))
+    >>> df["PRICE"][0]
+    1.36649931675
+    """
+    return otp.functions.corp_actions(self, *args, **kwargs)