onetick-py 1.162.2__py3-none-any.whl

onetick/py/aggregations/_docs.py

@@ -0,0 +1,912 @@
+from typing import List, Dict, Union, Optional, Callable, TYPE_CHECKING
+from onetick.py.backports import Literal
+
+from functools import wraps
+from inspect import Signature, Parameter
+from onetick.py.core.column import Column
+from onetick.py.core.column_operations.base import Operation, OnetickParameter
+from onetick.py.core._source._symbol_param import _SymbolParamColumn
+from onetick.py.types import OTPBaseTimeOffset
+
+if TYPE_CHECKING:
+    from onetick.py.core.source import Source  # hack for annotations
+
+from onetick.py.docs.docstring_parser import Docstring
+from onetick.py.docs.utils import param_doc
+from onetick.py.aggregations.high_low import HighTick, LowTick
+
+
+_column_doc = param_doc(
+    name='column',
+    str_annotation='str or Column or Operation',
+    desc='''
+    String with the name of the column to be aggregated or :py:class:`~onetick.py.Column` object.
+    :py:class:`~onetick.py.Operation` object can also be used -- in this case
+    the results of this operation for each tick are aggregated
+    (see example in :ref:`common aggregation examples <aggregations_funcs>`).
+    ''',
+    annotation=Union[str, Column, Operation]
+)
+
+_running_doc = param_doc(
+    name='running',
+    desc='''
+    Aggregation will be calculated as sliding window.
+    ``running`` and ``bucket_interval`` parameters determines when new buckets are created.
+
+    * ``running`` = True
+
+      aggregation will be calculated in a sliding window.
+
+      * ``bucket_interval`` = N (N > 0)
+
+        Window size will be N. Output tick will be generated when tick "enter" window (**arrival event**) and
+        when "exit" window (**exit event**)
+
+      * ``bucket_interval`` = 0
+
+        Left boundary of window will be bound to start time. For each tick aggregation will be calculated in
+        [start_time; tick_t].
+
+    * ``running`` = False
+
+      buckets partition the [query start time, query end time) interval into non-overlapping intervals
+      of size ``bucket_interval`` (with the last interval possibly of a smaller size).
+      If ``bucket_interval`` is set to **0** a single bucket for the entire interval is created.
+
+      Note that in non-running mode OneTick unconditionally divides the whole time interval
+      into specified number of buckets.
+      It means that you will always get this specified number of ticks in the result,
+      even if you have less ticks in the input data.
+
+    Default: False
+    ''',
+    default=False,
+    annotation=bool
+)
+
+_all_fields_doc = param_doc(
+    name='all_fields',
+    desc="""
+    * ``all_fields`` = True
+
+      output ticks include all fields from the input ticks
+
+      * ``running`` = True
+
+      an output tick is created only when a tick enters the sliding window
+
+      * ``running`` = False
+
+      fields of first tick in bucket will be used
+
+    * ``all_fields`` = False and ``running`` = True
+
+      output ticks are created when a tick enters or leaves the sliding window.
+
+    * ``all_fields`` = "when_ticks_exit_window" and ``running`` = True
+
+      output ticks are generated only for exit events, but all attributes from the exiting tick are copied over
+      to the output tick and the aggregation is added as another attribute.
+    """,
+    default=False,
+    annotation=Union[bool, str]
+)
+_all_fields_with_policy_doc = param_doc(
+    name='all_fields',
+    desc="""
+    - If ``all_fields`` False - output tick will have only aggregation fields.
+
+    - If ``all_fields`` False and ``running`` True - output ticks are created when a tick enters or leaves the
+      sliding window.
+
+    - If ``all_fields`` True - an output tick is generated only for arrival events,
+      but all attributes from the input tick causing an arrival event are copied over to the output tick
+      and the aggregation is added as another attribute.
+
+    - If ``all_fields`` set to "first", "last", "high", or "low" - explicitly set tick selection policy for all
+      fields values. For "high" and "low" "PRICE" field will be selected as an input.
+      Otherwise, you will get the runtime error.
+      If ``all_fields`` is set to one of these values, ``running`` can't be `True`.
+
+    - If ``all_fields`` is aggregation ``HighTick`` or ``LowTick`` - set tick selection policy for all fields values to
+      "high" or "low" accordingly. But instead of "PRICE" the field selected as input will be set as aggregation's
+      first parameter.
+    """,
+    default=False,
+    annotation=Union[Literal[True, False, "first", "last", "high", "low"], HighTick, LowTick]
+)
+_bucket_interval_doc = param_doc(
+    name='bucket_interval',
+    desc="""
+    Determines the length of each bucket (units depends on ``bucket_units``).
+
+    If :py:class:`~onetick.py.Operation` of bool type is passed, acts as ``bucket_end_condition``.
+
+    Bucket interval can also be set as a *float* value
+    if ``bucket_units`` is set to *seconds*.
+    Note that values less than 0.001 (1 millisecond) are not supported.
+
+    Bucket interval can be set via some of the :ref:`datetime offset objects <datetime_offsets>`:
+    :py:func:`otp.Milli <onetick.py.Milli>`, :py:func:`otp.Second <onetick.py.Second>`,
+    :py:func:`otp.Minute <onetick.py.Minute>`, :py:func:`otp.Hour <onetick.py.Hour>`,
+    :py:func:`otp.Day <onetick.py.Day>`, :py:func:`otp.Month <onetick.py.Month>`.
+    In this case you could omit setting ``bucket_units`` parameter.
+
+    Bucket interval can also be set with integer :py:class:`~onetick.py.core.column_operations.base.OnetickParameter`
+    or :py:meth:`symbol parameter <onetick.py.core._source.symbol.SymbolType.__getitem__>`.
+    """,
+    default=0,
+    annotation=Union[int, float, Operation, OnetickParameter, _SymbolParamColumn, OTPBaseTimeOffset],
+    str_annotation=('int or float or :py:class:`~onetick.py.Operation`'
+                    ' or :py:class:`~onetick.py.core.column_operations.base.OnetickParameter`'
+                    ' or :py:meth:`symbol parameter <onetick.py.core._source.symbol.SymbolType.__getitem__>`'
+                    ' or :ref:`datetime offset object <datetime_offsets>`'),
+)
+_bucket_time_doc = param_doc(
+    name='bucket_time',
+    desc="""
+    Control output timestamp.
+
+    * **start**
+
+      the timestamp  assigned to the bucket is the start time of the bucket.
+
+    * **end**
+
+      the timestamp assigned to the bucket is the end time of the bucket.
+    """,
+    default="end",
+    annotation=Literal["start", "end"]
+)
+_bucket_units_doc_kwargs = dict(
+    name='bucket_units',
+    desc="""
+    Set bucket interval units.
+
+    By default, if ``bucket_units`` and ``bucket_end_condition`` not specified, set to **seconds**.
+    If ``bucket_end_condition`` specified, then ``bucket_units`` set to **flexible**.
+
+    If set to **flexible** then ``bucket_end_condition`` must be set.
+
+    Note that **seconds** bucket unit doesn't take into account daylight-saving time of the timezone,
+    so you may not get expected results when using, for example, 24 * 60 * 60 seconds as bucket interval.
+    In such case use **days** bucket unit instead.
+    See example in :py:func:`onetick.py.agg.sum`.
+    """,
+    default=None,
+    annotation=Optional[Literal["seconds", "ticks", "days", "months", "flexible"]]
+)
+_bucket_units_doc = param_doc(**_bucket_units_doc_kwargs)
+_bucket_units_ob_doc = param_doc(**{
+    **_bucket_units_doc_kwargs,
+    # OB eps do not support 'ticks' bucket units
+    'annotation': Optional[Literal["seconds", "days", "months", "flexible"]]
+})
+
+_bucket_end_condition_doc = param_doc(
+    name='bucket_end_condition',
+    str_annotation='condition',
+    desc='''
+    An expression that is evaluated on every tick. If it evaluates to "True", then a new bucket is created.
+    This parameter is only used if ``bucket_units`` is set to "flexible".
+
+    Also can be set via ``bucket_interval`` parameter by passing :py:class:`~onetick.py.Operation` object.
+    ''',
+    annotation=Optional[Operation],
+    default=None
+)
+_end_condition_per_group_doc = param_doc(
+    name='end_condition_per_group',
+    desc='''
+    Controls application of ``bucket_end_condition`` in groups.
+
+    * ``end_condition_per_group`` = True
+
+      ``bucket_end_condition`` is applied only to the group defined by ``group_by``
+
+    * ``end_condition_per_group`` = False
+
+      ``bucket_end_condition`` applied across all groups
+
+    This parameter is only used if ``bucket_units`` is set to "flexible".
+
+    When set to True, applies to all bucketing conditions. Useful, for example, if you need to specify ``group_by``,
+    and you want to group items first, and create buckets after that.
+    ''',
+    annotation=bool,
+    default=False
+)
+_boundary_tick_bucket_doc = param_doc(
+    name='boundary_tick_bucket',
+    desc='''
+    Controls boundary tick ownership.
+
+    * **previous**
+
+      A tick on which ``bucket_end_condition`` evaluates to "true" belongs to the bucket being closed.
+
+    * **new**
+
+      tick belongs to the new bucket.
+
+    This parameter is only used if ``bucket_units`` is set to "flexible"
+    ''',
+    annotation=Literal["new", "previous"],
+    default="new"
+)
+_group_by_doc = param_doc(
+    name='group_by',
+    str_annotation='list, str or expression',
+    desc='''
+    When specified, each bucket is broken further into additional sub-buckets based on specified field values.
+    If :py:class:`~onetick.py.Operation` is used then GROUP_{i} column is added. Where i is index in group_by list.
+    For example, if Operation is the only element in ``group_by`` list then GROUP_0 field will be added.
+    ''',
+    annotation=Optional[Union[List, str, Operation]],
+    default=None
+)
+_groups_to_display_doc = param_doc(
+    name='groups_to_display',
+    desc='''
+    Specifies for which sub-buckets (groups) ticks should be shown for each bucket interval.
+    By default **all** groups are shown at the end of each bucket interval.
+    If this parameter is set to **event_in_last_bucket**, only the groups that received at least one tick
+    within a given bucket interval are shown.
+    ''',
+    annotation=Literal["all", "previous"],
+    default="all",
+)
+_biased_doc = param_doc(
+    name='biased',
+    annotation=bool,
+    desc='''
+    Switches between biased and unbiased standard deviation calculation.
+    ''',
+    default=True
+)
+_n_doc = param_doc(
+    name='n',
+    default=1,
+    desc='''
+    Number of ticks to output''',
+    annotation=int
+)
+_keep_timestamp_doc = param_doc(
+    name='keep_timestamp',
+    desc="""
+    If True, timestamps of the output ticks are the same as timestamps of the original ticks.
+    Otherwise, timestamps of the output ticks are determined by bucket_time, and original timestamps
+    are put in the TICK_TIME field.
+    """,
+    annotation=bool,
+    default=True
+)
+_time_series_type_common = dict(
+    name='time_series_type',
+    desc='''
+    Controls initial value for each bucket
+
+    * **event_ts**
+
+      only ticks from current bucket used for calculations
+
+    * **state_ts**
+
+      * if there is a tick in bucket with timestamp = bucket start
+
+        only ticks in bucket used for calculation max value
+      * else
+
+        latest tick from previous bucket included in current bucket
+    ''',
+    annotation=Literal["event_ts", "state_ts"],
+)
+_time_series_type_doc = param_doc(
+    default="event_ts",
+    **_time_series_type_common,
+)
+_time_series_type_w_doc = param_doc(
+    default="state_ts",
+    **_time_series_type_common,
+)
+_selection_doc = param_doc(
+    name='selection',
+    desc='''
+    Controls the selection of the respective beginning or trailing part of ticks.
+    ''',
+    annotation=Literal["first", "last"],
+    default="first"
+)
+_side_doc = param_doc(
+    name='side',
+    desc="""
+    Specifies whether the function is to be applied to sell orders (ASK), buy orders (BID), or both (empty).
+    """,
+    annotation=Literal['ASK', 'BID'],
+    default=None,
+)
+_max_levels_doc = param_doc(
+    name='max_levels',
+    desc="""
+    Number of order book levels (between 1 and 100_000) that need to be computed.
+    If empty, all levels will be computed.
+    """,
+    annotation=int,
+    default=None,
+)
+_min_levels_doc = param_doc(
+    name='min_levels',
+    desc="""
+    Minimum number of order book levels, if so many levels are available in the book,
+    that need to be included into the computation when either ``max_depth_shares`` or/and ``max_depth_for_price``
+    are specified
+    """,
+    annotation=int,
+    default=None,
+)
+_max_depth_shares_doc = param_doc(
+    name='max_depth_shares',
+    desc="""
+    The total number of shares (i.e., the combined SIZE across top several levels of the book)
+    that determines the number of order book levels that need to be part of the order book computation.
+    If that number of levels exceeds `max_levels`, only `max_levels` levels of the book will be computed.
+    The shares in excess of `max_depth_shares`, from the last included level, are not taken into account.
+    """,
+    annotation=int,
+    default=None,
+)
+_max_depth_for_price_doc = param_doc(
+    name='max_depth_for_price',
+    desc="""
+    The multiplier, product of which with the price at the top level of the book determines maximum price distance
+    from the top of the book for the levels that are to be included into the book.
+    In other words, only bids at <top_price>*(1-`max_depth_for_price`) and above
+    and only asks of <top_price>*(1+`max_depth_for_price`) and less will be returned.
+    If the number of the levels that are to be included into the book, according to this criteria,
+    exceeds `max_levels`, only `max_levels` levels of the book will be returned.
+    """,
+    annotation=float,
+    default=None,
+)
+_min_levels_doc = param_doc(
+    name='min_levels',
+    desc="""
+    Minimum number of order book levels, if so many levels are available in the book, that need to be included
+    into the computation when either `max_depth_shares` or/and `max_depth_for_price` are specified.
+    """,
+    annotation=int,
+    default=None,
+)
+_max_initialization_days_doc = param_doc(
+    name='max_initialization_days',
+    desc="""
+    This parameter specifies how many days back book event processors should go in order to find
+    the latest full state of the book.
+    The query will not go back resulting number of days if it finds initial book state earlier.
+    When book event processors are used after VIRTUAL_OB EP, this parameter should be set to 0.
+    When set, this parameter takes precedence over the configuration parameter BOOKS.MAX_INITIALIZATION_DAYS.
+    """,
+    annotation=int,
+    default=1,
+)
+_book_uncross_method_doc = param_doc(
+    name='book_uncross_method',
+    desc="""
+    When set to "REMOVE_OLDER_CROSSED_LEVELS", all ask levels that have price lower or equal to
+    the price of a new bid tick get removed from the book, and all bid levels that have price higher or equal
+    to the price of a new ask tick get removed from the book.
+    """,
+    annotation=Literal['REMOVE_OLDER_CROSSED_LEVELS'],
+    default=None,
+)
+_dq_events_that_clear_book_doc = param_doc(
+    name='dq_events_that_clear_book',
+    desc="""
+    A list of names of data quality events arrival of which should clear the order book.
+    """,
+    annotation=List[str],
+    default=None,
+)
+_best_ask_price_field_doc = param_doc(
+    name='best_ask_price_field',
+    desc="""
+    If specified, this parameter represents the name of the field value of which represents the lowest ask price
+    starting from which the book ask size is to be computed.
+    This value would also be used as the top price, relative to which ``max_depth_for_price`` would be computed.
+    """,
+    annotation=Union[str, Column],
+    default=None,
+)
+_best_bid_price_field_doc = param_doc(
+    name='best_bid_price_field',
+    desc="""
+    If specified, this parameter represents the name of the field value of which represents the highest bid price
+    starting from which the book bid size is to be computed.
+    This value would also be used as the top price, relative to which ``max_depth_for_price`` would be computed.
+    """,
+    annotation=Union[str, Column],
+    default=None,
+)
+_bucket_interval_ob_num_levels_doc = param_doc(
+    name='bucket_interval',
+    desc="""
+    Determines the length of each bucket in seconds.
+
+    Bucket interval can be set via :ref:`datetime offset objects <datetime_offsets>`
+    like :py:func:`otp.Second <onetick.py.Second>`, :py:func:`otp.Minute <onetick.py.Minute>`,
+    :py:func:`otp.Hour <onetick.py.Hour>`, :py:func:`otp.Day <onetick.py.Day>`.
+    In this case it will be converted to seconds.
+    """,
+    default=0,
+    annotation=Union[int, OTPBaseTimeOffset],
+    str_annotation='int or :ref:`datetime offset object <datetime_offsets>`',
+)
+_identify_source_doc = param_doc(
+    name='identify_source',
+    desc="""
+    When this parameter is set to "true" and the input stream is fed through the VIRTUAL_OB event processor
+    (with the QUOTE_SOURCE_FIELDS parameter specified) and `group_by` is not set to be "SOURCE"
+    it will separate a tick with the same price from different sources into multiple ticks.
+    The parameter can also be used when merging ticks from multiple feeds.
+    Each feed going into the merge would need an ADD_FIELD EP source value set for the VALUE parameter,
+    where the value would be different for each leg.
+    """,
+    annotation=bool,
+    default=False,
+)
+_show_full_detail_doc = param_doc(
+    name='show_full_detail',
+    desc="""
+    When set to "true" and if the state key of the input ticks consists of some fields besides PRICE,
+    output ticks will contain all fields from the input ticks for each price level.
+    When set to "false" only PRICE, UPDATE_TIME, SIZE, LEVEL, and BUY_SELL_FLAG fields will be populated.
+    Note: setting this flag to "true" has no effect on a time series that does not have a state key.
+    """,
+    annotation=bool,
+    default=False,
+)
+_show_only_changes_doc = param_doc(
+    name='show_only_changes',
+    desc="""
+    When set to true, the output stream carries only changes to the book. The representation is as follows:
+      * Changed and added levels are represented by themselves.
+      * Deleted levels are shown with a size and level of zero.
+
+    As with other modes, correct detection of update boundaries may require setting the `book_delimiters` option.
+    """,
+    annotation=bool,
+    default=False,
+)
+_book_delimiters_doc = param_doc(
+    name='book_delimiters',
+    desc="""
+    When set to "D" an extra tick is created after each book.
+    Also, an additional column, called DELIMITER, is added to output ticks.
+    The extra tick has values of all fields set to the defaults (0,NaN,""),
+    except the delimiter field, which is set to "D."
+    All other ticks have the DELIMITER set to zero (0).
+    """,
+    annotation=Literal['D'],
+    default=None,
+)
+_state_key_max_inactivity_sec_doc = param_doc(
+    name='state_key_max_inactivity_sec',
+    desc="""
+    If set, specifies in how many seconds after it was added
+    a given state key should be automatically removed from the book.
+    """,
+    annotation=int,
+    default=None,
+)
+_size_max_fractional_digits_doc = param_doc(
+    name='size_max_fractional_digits',
+    desc="""
+    Specifies maximum number of digits after dot in SIZE, if SIZE can be fractional.
+    """,
+    annotation=int,
+    default=0,
+)
+_query_fun_doc = param_doc(
+    name='query_fun',
+    desc="""
+    Function that takes :class:`~onetick.py.Source` as a parameter,
+    applies some aggregation logic to it
+    and returns :class:`~onetick.py.Source` as a result.
+    Note that currently only methods that support dynamic symbol change
+    could be used in the provided function.
+    For example, :meth:`~onetick.py.Source.rename` can't be used.
+    If you try to use such methods here, you will get an error during runtime.
+    """,
+    annotation=Callable,
+)
+_bucket_delimiter_doc = param_doc(
+    name='bucket_delimiter',
+    desc="""
+    When set to ``True`` an extra tick is created after each bucket.
+    Also, an additional column, called DELIMITER, is added to output ticks.
+    The extra tick has values of all fields set to the defaults (0,NaN,""),
+    except the delimiter field, which is set to "D"
+    All other ticks have the DELIMITER set to string zero "0".
+    """,
+    annotation=bool,
+    default=False,
+)
+_large_ints_doc = param_doc(
+    name='large_ints',
+    desc="""
+    This parameter should be set
+    if the input field of this aggregation may contain integer values that consist of 15 digits or more.
+
+    Such large integer values cannot be represented by the double type without precision errors
+    and thus require special handling.
+
+    If set to **True** , the input field is expected to be a 64-bit integer number.
+    The output field will also have 64-bit integer type.
+    When no tick belongs to a given time bucket, the output value is set to a minimum of 64-bit integer.
+
+    When this parameter set to :py:class:`onetick.py.adaptive`, the aggregation behaves the same way
+    as when this parameter is set to True when the input field is a 64-bit integer type,
+    and the same way as when this parameter is set to **False** when the input field is not a 64-bit integer type.
+    """,
+    annotation=bool,
+    str_annotation="bool or :py:class:`onetick.py.adaptive`",
+    default=False,
+)
+_null_int_val_doc = param_doc(
+    name='null_int_val',
+    desc="""
+    The value of this parameter is considered to be the equivalent of ``NaN``
+    when ``large_ints`` is set to ``True`` or
+    when ``large_ints`` is set to :py:class:`onetick.py.adaptive` and the input field is a 64-bit integer type.
+    """,
+    annotation=int,
+    default=0,
+)
+_skip_tick_if_doc = param_doc(
+    name='skip_tick_if',
+    desc="""
+    If value of the input field is equal to the value in this parameter,
+    this tick is ignored in the aggregation computation.
+
+    This parameter is currently only supported for numeric fields.
+    """,
+    annotation=Optional[int],
+    default=None,
+)
+_default_tick_doc = param_doc(
+    name='default_tick',
+    desc="""
+    Mapping of input stream field names to some values.
+    When set, exactly one tick with specified default values will be created for each empty bucket.
+    If default value is specified as ``None``, then fields are initialized to the corresponding "zero" values:
+    0 for integer types, NaN for doubles, empty string for string types, etc.
+    """,
+    annotation=Optional[dict],
+    default=None,
+)
+_decay_doc = param_doc(
+    name='decay',
+    desc="""
+    Weight decay. If **decay_value_type** is set to ``lambda``,
+    **decay** provides the value of the **Lambda** variable in the aforementioned formula.
+    Otherwise, if **decay_value_type** is set to ``half_life_index``, **decay** specifies the necessary number
+    of consecutive ticks, the first one of which would have twice less the weight of the last one.
+    The **Lambda** value is then calculated using this number.
+    """,
+    annotation=float,
+)
+_decay_value_type_common = dict(
+    name='decay_value_type',
+    desc="""
+    The decay value can specified either directly or indirectly, controlled respectively by
+    **lambda** and **half_life_index** values of this parameter.
+    """,
+    annotation=Literal['lambda', 'half_life_index'],
+)
+_decay_value_type_doc = param_doc(
+    default='lambda',
+    **_decay_value_type_common,
+)
+_decay_value_type_hl_doc = param_doc(
+    default='half_life_index',
+    **_decay_value_type_common,
+)
+_degree_doc = param_doc(
+    name='degree',
+    annotation=int,
+    desc='''
+    The order (degree) of the standardized moment to compute, denoted as k in the description above.
+    ''',
+    default=3,
+)
+_weight_field_name_doc = param_doc(
+    name='weight_field_name',
+    str_annotation='Optional, str or Column',
+    annotation=Optional[Union[str, Column]],
+    desc='''
+    The name of the field that contains the current value of weight for a member of the portfolio
+    that contributed the tick.
+
+    You can also specify weight through the value of symbol parameter ``WEIGHT``.
+
+    If ``weight_field_name`` is specified, all ticks should have the field pointed by this parameter and the value
+    of this field is used as the weight.
+
+    If weights are not specified in any of these ways, and you are running a single-stage query,
+    the weights take the default value ``1``.
+    ''',
+    default='',
+)
+_weight_multiplier_field_name_doc = param_doc(
+    name='weight_multiplier_field_name',
+    desc="""
+    Name of the field, value from which is used for multiplying portfolio value result.
+    """,
+    annotation=str,
+    default='',
+)
+_portfolio_side_doc = param_doc(
+    name='side',
+    desc="""
+    When set to **long**, the price of the portfolio is computed only for the input time series with ``weight > 0``.
+
+    When set to **short**, the price of the portfolio is computed only for the input time series with ``weight < 0``.
+
+    When set to **both**, the price of the portfolio is computed for all input time series.
+    """,
+    annotation=Literal['long', 'short', 'both'],
+    default='both',
+)
+_weight_type_doc = param_doc(
+    name='weight_type',
+    desc="""
+    When set to ``absolute``, the portfolio price is computed as the sum of ``input_field_value*weight``
+    across all members of the portfolio.
+
+    When set to ``relative``, the portfolio price is computed as the sum of
+    ``input_field_value*weight/sum_of_all_weights`` across all members of the portfolio.
+    """,
+    annotation=Literal['absolute', 'relative'],
+    default='absolute',
+)
+_portfolios_query_doc = param_doc(
+    name='portfolios_query',
+    desc="""
+    A mandatory parameter that the specifies server-side `.otq` file that is expected to return
+    mandatory columns ``PORTFOLIO_NAME`` and ``SYMBOL_NAME``,
+    as well as an optional columns ``WEIGHT``, ``FX_SYMBOL_NAME`` and ``FX_MULTIPLY``.
+
+    For a local OneTick server you can pass `otp.Source` objects.
+    """,
+    str_annotation='str, :class:`Source`',
+)
+_portfolios_query_params_doc = param_doc(
+    name='portfolios_query_params',
+    desc="""
+    An optional parameter that specifies parameters of the query specified in `portfolios_query`.
+    """,
+    annotation=Union[str, Dict[str, str]],
+    default='',
+)
+_portfolio_value_field_name_doc = param_doc(
+    name='portfolio_value_field_name',
+    desc="""
+    List of the names (string with comma-separated list or ``list`` of strings/``Columns``) of the output fields
+    which contain computed values of the portfolio.
+
+    The number of the field names must match the number of the field names listed in the `columns` parameter.
+    """,
+    annotation=Union[str, List[Union[str, Column]]],
+    default='VALUE',
+)
+_columns_portfolio_doc = param_doc(
+    name='columns',
+    str_annotation='str or list of Column or str',
+    desc='''
+    A list of the names of the input fields for which portfolio value is computed.
+
+    Could be set as a comma-separated list of the names or ``list`` of name strings/``Columns`` objects.
+    ''',
+    annotation=Union[str, List[Union[str, Column]]],
+    default='PRICE',
+)
+_symbols_doc = param_doc(
+    name='symbols',
+    desc="""
+    Symbol(s) from which data should be taken.
+    """,
+    str_annotation=('str, list of str, :class:`Source`, :class:`query`, :py:func:`eval query <onetick.py.eval>`, '
+                    ':py:class:`onetick.query.GraphQuery`.'),
+    default=None,
+)
+_interest_rate_doc = param_doc(
+    name='interest_rate',
+    desc='''
+    The risk-free interest rate.
+
+    Could be set via a tick field, by specifying name of that field as string or
+    passing :py:class:`~onetick.py.Column` object.
+    ''',
+    annotation=Optional[Union[int, float, str, Column]],
+    default=None,
+)
+_price_field_doc = param_doc(
+    name='price_field',
+    desc='''
+    The name of the field carrying the price value.
+    ''',
+    annotation=Union[str, Column],
+    default='PRICE',
+)
+_option_price_field_doc = param_doc(
+    name='option_price_field',
+    desc='''
+    The name of the field carrying the option price value.
+    ''',
+    annotation=Union[str, Column],
+    default='OPTION_PRICE',
+)
+_method_doc = param_doc(
+    name='method',
+    desc='''
+    Allowed values are ``newton``, ``newton_with_fallback`` and ``bisections``.
+
+    Choose between ``newton`` and ``bisections`` for finding successively better approximations
+    to the implied volatility value.
+
+    Choose ``newton_with_fallback`` to automatically fall back to ``bisections`` method
+    when ``newton`` fails to converge.
+    ''',
+    annotation=str,
+    default='newton',
+)
+_precision_doc = param_doc(
+    name='precision',
+    desc='''
+    Precision of the implied volatility value.
+    ''',
+    annotation=float,
+    default='1.0e-5',
+)
+_value_for_non_converge_doc = param_doc(
+    name='value_for_non_converge',
+    desc='''
+    Allowed values are ``nan_val`` and ``closest_found_val``, where ``closest_found_val`` stands
+    for the volatility value for which the difference between calculated option price and input option price is minimal.
+
+    Choose between ``nan_val`` and ``closest_found_val`` as implied volatility value,
+    when the root-finding method does not converge within the specified precision.
+    ''',
+    annotation=str,
+    default='nan_val',
+)
+_option_type_field_doc = param_doc(
+    name='option_type_field',
+    desc='''
+    Specifies name of the field, which carries the option type (either **CALL** or **PUT**).
+    ''',
+    annotation=Union[str, Column],
+    default='',
+)
+_strike_price_field_doc = param_doc(
+    name='strike_price_field',
+    desc='''
+    Specifies name of the field, which carries the strike price of the option.
+    ''',
+    annotation=Union[str, Column],
+    default='',
+)
+_days_in_year_doc = param_doc(
+    name='days_in_year',
+    desc='''
+    Specifies number of days in a year (say, 365 or 252 (business days, etc.).
+    Used with ``days_till_expiration`` parameter to compute the fractional years till expiration.
+    ''',
+    annotation=int,
+    default=365,
+)
+_days_till_expiration_field_doc = param_doc(
+    name='days_till_expiration_field',
+    desc='''
+    Specifies name of the field, which carries number of days till expiration of the option.
+    ''',
+    annotation=Union[str, Column],
+    default='',
+)
+_expiration_date_field_doc = param_doc(
+    name='expiration_date_field',
+    desc='''
+    Specifies name of the field, which carries the expiration date of the option, in **YYYYMMDD** format.
+    ''',
+    annotation=Union[str, Column],
+    default='',
+)
+
+
+class DocMetaclass(type):
+    def __new__(mcs, name, bases, attrs, parameters: Optional[list] = None):
+        cls = super().__new__(mcs, name, bases, attrs)
+        doc = None
+        if '__init__' in attrs and cls.__init__.__doc__:    # type: ignore
+            doc = cls.__init__.__doc__  # type: ignore
+        elif '__doc__' in attrs:
+            doc = attrs['__doc__']
+        if doc and parameters:
+            doc = Docstring(doc)
+            for param in parameters:
+                doc['Parameters'] = param
+            cls.__init__.__doc__ = doc.build()  # type: ignore
+
+        return cls
+
+
+def copy_method(obj, mimic=True, drop_examples=False):
+
+    """
+    Decorator to copy aggregation function as method
+
+    We assume that this decorator will be used only with aggregations.
+
+    Updates (same way as for dict) `obj` docstring with decorated function docstring
+    Updates decorated function signature: [self] + `obj` signature
+    if mimic is True - won't execute decorated function, will execute `obj` and apply self instead
+    if mimic is False - will execute decorated function as is
+
+    Parameters
+    ----------
+    obj:
+        donor aggregation function
+    mimic: bool, default=True
+        flag to execute decorated function or not
+    drop_examples: bool
+        Can be used to drop examples from ``obj`` docstring.
+    """
+
+    doc = obj.__doc__ or ''
+    params = [Parameter(name='self',
+                        kind=Parameter.POSITIONAL_OR_KEYWORD)] + list(Signature.from_callable(obj).parameters.values())
+    doc = Docstring(doc)
+    if drop_examples and 'Examples' in doc.docstring:
+        doc.docstring.pop('Examples')
+
+    def _decorator(fun):
+        @wraps(fun)
+        def _inner(self, *args, **kwargs):
+            if mimic:
+                agg = obj(*args, **kwargs)
+                return agg.apply(self)
+            else:
+                return fun(self, *args, **kwargs)
+        fun_doc = fun.__doc__ or ''
+        fun_doc = Docstring(fun_doc)
+        doc.update(fun_doc)
+        _inner.__signature__ = Signature(parameters=params, return_annotation='Source')
+        _inner.__doc__ = doc.build()
+        return _inner
+    return _decorator
+
+
+def copy_signature(obj, add_self=False, drop_parameters=[], return_annotation='Source'):
+    """
+    Decorator that copies signature of the callable ``obj`` to the decorated function.
+    """
+    drop_parameters = drop_parameters or []
+    obj_parameters = list(
+        param for param_name, param in Signature.from_callable(obj).parameters.items()
+        if param_name not in drop_parameters
+    )
+    params = []
+    if add_self:
+        params.append(
+            Parameter(name='self', kind=Parameter.POSITIONAL_ONLY)
+        )
+    params.extend(obj_parameters)
+
+    def _decorator(fun):
+        @wraps(fun)
+        def _inner(*args, **kwargs):
+            return fun(*args, **kwargs)
+        _inner.__signature__ = Signature(parameters=params, return_annotation=return_annotation)
+        return _inner
+    return _decorator