onetick-py 1.177.0__py3-none-any.whl

onetick/py/aggregations/functions.py

@@ -0,0 +1,2216 @@
+from typing import Union
+
+import onetick.py as otp
+from onetick.py.core.column import _Column
+from .compute import Compute
+from .high_low import Max, Min, HighTick, LowTick, HighTime, LowTime
+from .other import (First, Last, FirstTime, LastTime, Count, Vwap, FirstTick,
+                    LastTick, Distinct, Sum, Average, StdDev, TimeWeightedAvg,
+                    Median, Correlation, OptionPrice, Ranking, Variance,
+                    Percentile, FindValueForPercentile, ExpWAverage, ExpTwAverage,
+                    StandardizedMoment, PortfolioPrice, MultiPortfolioPrice, Return, ImpliedVol,
+                    LinearRegression)
+from .order_book import (ObSnapshot, OB_SNAPSHOT_DOC_PARAMS,
+                         ObSnapshotWide, OB_SNAPSHOT_WIDE_DOC_PARAMS,
+                         ObSnapshotFlat, OB_SNAPSHOT_FLAT_DOC_PARAMS,
+                         ObSummary, OB_SUMMARY_DOC_PARAMS,
+                         ObSize, OB_SIZE_DOC_PARAMS,
+                         ObVwap, OB_VWAP_DOC_PARAMS,
+                         ObNumLevels, OB_NUM_LEVELS_DOC_PARAMS)
+from .generic import Generic
+from ._docs import (_column_doc,
+                    _running_doc,
+                    _all_fields_doc,
+                    _bucket_interval_doc,
+                    _bucket_time_doc,
+                    _bucket_units_doc,
+                    _bucket_end_condition_doc,
+                    _end_condition_per_group_doc,
+                    _boundary_tick_bucket_doc,
+                    _group_by_doc,
+                    _groups_to_display_doc,
+                    _n_doc,
+                    _keep_timestamp_doc,
+                    _time_series_type_doc,
+                    _time_series_type_w_doc,
+                    _selection_doc,
+                    _query_fun_doc,
+                    _bucket_delimiter_doc,
+                    _biased_doc,
+                    _large_ints_doc,
+                    _null_int_val_doc,
+                    _skip_tick_if_doc,
+                    _default_tick_doc,
+                    _decay_doc,
+                    _decay_value_type_doc,
+                    _decay_value_type_hl_doc,
+                    _degree_doc,
+                    _weight_field_name_doc,
+                    _weight_multiplier_field_name_doc,
+                    _portfolio_side_doc,
+                    _weight_type_doc,
+                    _symbols_doc,
+                    _portfolios_query_doc,
+                    _portfolios_query_params_doc,
+                    _portfolio_value_field_name_doc,
+                    _columns_portfolio_doc,
+                    _interest_rate_doc,
+                    _price_field_doc,
+                    _option_price_field_doc,
+                    _method_doc,
+                    _precision_doc,
+                    _value_for_non_converge_doc,
+                    _option_type_field_doc,
+                    _strike_price_field_doc,
+                    _days_in_year_doc,
+                    _days_till_expiration_field_doc,
+                    _expiration_date_field_doc)
+from onetick.py.docs.utils import docstring, param_doc
+
+# This module mostly focused on providing annotations and documentation for end user
+# If you are looking for implementation check return object of each function
+
+
+@docstring(parameters=[_running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc, _bucket_units_doc,
+                       _bucket_end_condition_doc, _end_condition_per_group_doc, _boundary_tick_bucket_doc,
+                       _group_by_doc, _groups_to_display_doc])
+def compute(*args, **kwargs):
+    """
+    Generate object that collects aggregations
+
+    See also
+    --------
+    **COMPUTE** OneTick event processor
+
+    Examples
+    --------
+    >>> data = otp.Ticks(X=[1, 2, 3, 4], offset=[0, 1000, 1500, 3000])
+    >>> c = otp.agg.compute(running=True, bucket_interval=2)
+    >>> c.add('X_MEAN', otp.agg.average("X"))
+    >>> c.add('X_STD', otp.agg.stddev("X"))
+    >>> data = c.apply(data)
+    >>> otp.run(data)
+                         Time  X_MEAN     X_STD
+    0 2003-12-01 00:00:00.000     1.0  0.000000
+    1 2003-12-01 00:00:01.000     1.5  0.500000
+    2 2003-12-01 00:00:01.500     2.0  0.816497
+    3 2003-12-01 00:00:02.000     2.5  0.500000
+    4 2003-12-01 00:00:03.000     3.5  0.500000
+    5 2003-12-01 00:00:03.500     4.0  0.000000
+    6 2003-12-01 00:00:05.000     NaN       NaN
+
+    """
+    return Compute(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc,
+                       _time_series_type_doc, _large_ints_doc,
+                       _null_int_val_doc])
+def max(*args, **kwargs):
+    """
+    Return maximum value of input ``column``
+
+    See also
+    --------
+    **HIGH** OneTick event processor
+
+    Examples
+    --------
+    >>> data = otp.Ticks(X=[1, 2, 3, 4])
+    >>> data = data.agg({'RESULT': otp.agg.max('X')})  # OTdirective: snippet-name: Aggregations.max;
+    >>> otp.run(data)
+            Time  RESULT
+    0 2003-12-04       4
+    """
+    return Max(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc,
+                       _time_series_type_doc, _large_ints_doc,
+                       _null_int_val_doc])
+def min(*args, **kwargs):
+    """
+    Return minimum value of input ``column``
+
+    See also
+    --------
+    **LOW** OneTick event processor
+
+    Examples
+    --------
+
+    >>> data = otp.Ticks(X=[1, 2, 3, 4])
+    >>> data = data.agg({'RESULT': otp.agg.min('X')})     # OTdirective: snippet-name: Aggregations.min;
+    >>> otp.run(data)
+            Time  RESULT
+    0 2003-12-04       1
+    """
+    return Min(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _n_doc, _running_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc,
+                       _keep_timestamp_doc, _selection_doc,
+                       _time_series_type_doc])
+def high_tick(*args, **kwargs):
+    """
+    Select ``n`` ticks with the highest values in the ``column`` field
+
+    See also
+    --------
+    **HIGH_TICK** OneTick event processor
+
+    Examples
+    --------
+    >>> data = otp.Ticks(X=[1, 2, 3, 4], offset=[0, 1000, 1500, 3000])
+    >>> agg = otp.agg.high_tick('X', 2)
+    >>> data = agg.apply(data)
+    >>> otp.run(data)
+                         Time  X
+    0 2003-12-01 00:00:01.500  3
+    1 2003-12-01 00:00:03.000  4
+    """
+    return HighTick(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _n_doc, _running_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc,
+                       _keep_timestamp_doc, _selection_doc,
+                       _time_series_type_doc])
+def low_tick(*args, **kwargs):
+    """
+    Select ``n`` ticks with the lowest values in the ``column`` field
+
+    See also
+    --------
+    **LOW_TICK** OneTick event processor
+
+    Examples
+    --------
+    >>> data = otp.Ticks(X=[1, 2, 3, 4], offset=[0, 1000, 1500, 3000])
+    >>> agg = otp.agg.low_tick('X', 2)
+    >>> data = agg.apply(data)
+    >>> otp.run(data)
+                     Time  X
+    0 2003-12-01 00:00:00  1
+    1 2003-12-01 00:00:01  2
+    """
+    return LowTick(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc,
+                       _selection_doc, _time_series_type_doc])
+def high_time(*args, **kwargs):
+    """
+    Returns timestamp of tick with highest value of input field
+
+    See also
+    --------
+    **HIGH_TIME** OneTick event processor
+
+    Examples
+    --------
+
+    >>> data = otp.Ticks(X=[1, 2, 4, 3], offset=[0, 1000, 1500, 3000])
+    >>> data = data.agg({'RESULT': otp.agg.high_time(['X'])})    # OTdirective: snippet-name: Aggregations.high time;
+    >>> otp.run(data)
+            Time                  RESULT
+    0 2003-12-04 2003-12-01 00:00:01.500
+    """
+    return HighTime(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc,
+                       _selection_doc, _time_series_type_doc])
+def low_time(*args, **kwargs):
+    """
+    Returns timestamp of tick with lowest value of input field
+
+    See also
+    --------
+    **LOW_TIME** OneTick event processor
+
+    Examples
+    --------
+
+    >>> data = otp.Ticks(X=[2, 1, 3, 4], offset=[0, 1000, 1500, 3000])
+    >>> data = data.agg({'RESULT': otp.agg.low_time(['X'])})     # OTdirective: snippet-name: Aggregations.low time;
+    >>> otp.run(data)
+            Time              RESULT
+    0 2003-12-04 2003-12-01 00:00:01
+    """
+    return LowTime(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc,
+                       _large_ints_doc, _null_int_val_doc,
+                       _skip_tick_if_doc, _time_series_type_doc])
+def first(*args, **kwargs):
+    """
+    Return first value of input field
+
+    See also
+    --------
+    **FIRST** OneTick event processor
+
+    Examples
+    --------
+
+    >>> data = otp.Ticks(X=[1, 2, 3, 4])
+    >>> agg = otp.agg.first('X')
+    >>> data = agg.apply(data)
+    >>> otp.run(data)
+            Time  X
+    0 2003-12-04  1
+    """
+    return First(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc,
+                       _large_ints_doc, _null_int_val_doc,
+                       _skip_tick_if_doc, _time_series_type_doc])
+def last(*args, **kwargs):
+    """
+    Return last value of input field
+
+    See also
+    --------
+    **LAST** OneTick event processor
+
+    Examples
+    --------
+    >>> data = otp.Ticks(X=[1, 2, 3, 4])
+    >>> agg = otp.agg.last('X')
+    >>> data = agg.apply(data)
+    >>> otp.run(data)
+            Time  X
+    0 2003-12-04  4
+    """
+    return Last(*args, **kwargs)
+
+
+@docstring(parameters=[_running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc,
+                       _time_series_type_doc])
+def first_time(*args, **kwargs):
+    """
+    Return timestamp of first tick
+
+    See also
+    --------
+    **FIRST_TIME** OneTick event processor
+
+    Examples
+    --------
+
+    >>> data = otp.Ticks(X=[1, 2, 3, 4], offset=[0, 1000, 1500, 3000])
+    >>> data = data.agg({'RESULT': otp.agg.first_time()})   # OTdirective: snippet-name: Aggregations.first time;
+    >>> otp.run(data)
+            Time     RESULT
+    0 2003-12-04 2003-12-01
+    """
+    return FirstTime(*args, **kwargs)
+
+
+@docstring(parameters=[_running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc,
+                       _time_series_type_doc])
+def last_time(*args, **kwargs):
+    """
+    Return timestamp of last tick
+
+    See also
+    --------
+    **LAST_TIME** OneTick event processor
+
+    Examples
+    --------
+    >>> data = otp.Ticks(X=[1, 2, 3, 4], offset=[0, 1000, 1500, 3000])
+    >>> data = data.agg({'RESULT': otp.agg.last_time()})   # OTdirective: snippet-name: Aggregations.last time;
+    >>> otp.run(data)
+            Time              RESULT
+    0 2003-12-04 2003-12-01 00:00:03
+    """
+    return LastTime(*args, **kwargs)
+
+
+@docstring(parameters=[_running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc, _bucket_units_doc,
+                       _bucket_end_condition_doc, _end_condition_per_group_doc, _boundary_tick_bucket_doc,
+                       _group_by_doc, _groups_to_display_doc])
+def count(*args, **kwargs):
+    """
+    Returns number of ticks
+
+    See also
+    --------
+    **NUM_TICKS** OneTick event processor
+
+    Examples
+    --------
+    >>> data = otp.Ticks(X=[1, 2, 3, 4])
+    >>> data = data.agg({'RESULT': otp.agg.count()})   # OTdirective: snippet-name: Aggregations.count;
+    >>> otp.run(data)
+            Time  RESULT
+    0 2003-12-04       4
+    """
+    return Count(*args, **kwargs)
+
+
+_price_doc = param_doc(name='price_column',
+                       str_annotation='str or Column',
+                       desc='price column for vwap',
+                       annotation=Union[str, _Column])
+
+_size_doc = param_doc(name='size_column',
+                      str_annotation='str or Column',
+                      desc='size column for vwap',
+                      annotation=Union[str, _Column])
+
+
+@docstring(parameters=[_price_doc, _size_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc])
+def vwap(*args, **kwargs):
+    """
+    Returns volume weighted average price
+
+    See also
+    --------
+    **VWAP** OneTick event processor
+
+    Examples
+    --------
+    >>> # OTdirective: snippet-name: Aggregations.vwap;
+    >>> data = otp.Ticks(P=[1, 2, 3, 4], S=[10, 20, 30, 40])
+    >>> data = data.agg({'RESULT': otp.agg.vwap('P','S')})
+    >>> otp.run(data)
+            Time  RESULT
+    0 2003-12-04     3.0
+    """
+    return Vwap(*args, **kwargs)
+
+
+@docstring(parameters=[_running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc])
+def correlation(*args, **kwargs):
+    """
+    Returns Pearson correlation coefficient value between two numeric fields.
+
+    Parameters
+    ----------
+    column_name_1: str
+        The name of the field in the input stream whose value is to be used by the aggregation
+    column_name_2: str
+        The name of the field in the input stream whose value is to be used by the aggregation
+
+    See also
+    --------
+    **CORRELATION** OneTick event processor
+
+    Examples
+    --------
+    >>> # OTdirective: snippet-name: Aggregations.correlation;
+    >>> data = otp.Ticks(P=[1, 2, 3, 4], S=[10, 20, 30, 40])
+    >>> data = data.agg({'RESULT': otp.agg.correlation('P','S')})
+    >>> otp.run(data)
+            Time  RESULT
+    0 2003-12-04     1.0
+
+    >>> data = otp.Ticks(P=[1, 2, 3, 4], S=[40, 30, 20, 10])
+    >>> data = otp.agg.correlation('P', 'S').apply(data)
+    >>> otp.run(data)
+            Time  CORRELATION
+    0 2003-12-04         -1.0
+
+    >>> data = otp.Ticks(P=[1, 2, 3, 4], S=[40, 30, 10, 20])
+    >>> data = otp.agg.correlation('P', 'S', bucket_units='ticks', bucket_interval=2).apply(data)
+    >>> otp.run(data)
+                         Time  CORRELATION
+    0 2003-12-01 00:00:00.001         -1.0
+    1 2003-12-01 00:00:00.003          1.0
+    """
+    return Correlation(*args, **kwargs)
+
+
+@docstring(parameters=[_n_doc, _running_doc, _bucket_interval_doc, _bucket_time_doc, _bucket_units_doc,
+                       _bucket_end_condition_doc, _end_condition_per_group_doc, _boundary_tick_bucket_doc,
+                       _group_by_doc, _groups_to_display_doc, _keep_timestamp_doc, _default_tick_doc])
+def first_tick(*args, **kwargs):
+    """
+    Select the first **n** ticks
+
+    See also
+    --------
+    **FIRST_TICK** OneTick event processor
+
+    Examples
+    --------
+    >>> data = otp.Ticks(P=[1, 2, 3, 4], S=[10, 20, 30, 40])
+    >>> agg = otp.agg.first_tick()
+    >>> data = agg.apply(data)
+    >>> otp.run(data)
+            Time  P   S
+    0 2003-12-01  1  10
+    """
+    return FirstTick(*args, **kwargs)
+
+
+@docstring(parameters=[_n_doc, _running_doc, _bucket_interval_doc, _bucket_time_doc, _bucket_units_doc,
+                       _bucket_end_condition_doc, _end_condition_per_group_doc, _boundary_tick_bucket_doc,
+                       _group_by_doc, _groups_to_display_doc, _keep_timestamp_doc, _time_series_type_doc])
+def last_tick(*args, **kwargs):
+    """
+    Select the last ``n`` ticks
+
+    See also
+    --------
+    **LAST_TICK** OneTick event processor
+
+    Examples
+    --------
+    >>> data = otp.Ticks(P=[1, 2, 3, 4], S=[10, 20, 30, 40], offset=[0, 1000, 1500, 3000])
+    >>> agg = otp.agg.last_tick()
+    >>> data = agg.apply(data)
+    >>> otp.run(data)
+                     Time  P   S
+    0 2003-12-01 00:00:03  4  40
+    """
+    return LastTick(*args, **kwargs)
+
+
+@docstring(parameters=[_running_doc, _bucket_interval_doc, _bucket_time_doc, _bucket_units_doc,
+                       _bucket_end_condition_doc, _boundary_tick_bucket_doc, _selection_doc])
+def distinct(*args, **kwargs):
+    """
+    Outputs all distinct values for a specified set of key fields.
+
+    Parameters
+    ----------
+    keys: str or list
+        Specifies a list of tick attributes for which unique values are found. The ticks in the input time series
+        must contain those attributes.
+    key_attrs_only: bool
+        If set to true, output ticks will contain only key fields. Otherwise, output ticks will contain all fields
+        of an input tick in which a given distinct combination of key values was first encountered.
+
+    See also
+    --------
+    **DISTINCT** OneTick event processor
+
+    Examples
+    --------
+    >>> data = otp.Ticks(dict(x=[1, 3, 1, 5, 3]))
+    >>> d = otp.agg.distinct('x')
+    >>> data = d.apply(data)
+    >>> otp.run(data)
+            Time  x
+    0 2003-12-04  1
+    1 2003-12-04  3
+    2 2003-12-04  5
+    """
+    return Distinct(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc])
+def sum(*args, **kwargs):
+    r"""
+    Implement sum aggregation
+
+    See also
+    --------
+    **SUM** OneTick event processor
+
+    Examples
+    --------
+
+    >>> data = otp.Ticks(X=[1, 2, 3, 4])
+    >>> data = data.agg({'RESULT': otp.agg.sum('X')})  # OTdirective: snippet-name: Aggregations.sum;
+    >>> otp.run(data)
+            Time  RESULT
+    0 2003-12-04      10
+
+    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.
+
+    >>> data = otp.DataSource('CME', symbols=r'NQ\H23', tick_type='TRD')  # doctest: +SKIP
+    >>> data = data.agg({'VOLUME': otp.agg.sum('SIZE')},  # doctest: +SKIP
+    ...                 bucket_interval=24*60*60, bucket_units='seconds', bucket_time='start')
+    >>> otp.run(data, start=otp.dt(2023, 3, 11), end=otp.dt(2023, 3, 15), timezone='EST5EDT')  # doctest: +SKIP
+                     Time  VOLUME
+    0 2023-03-11 00:00:00       0
+    1 2023-03-12 00:00:00   66190
+    2 2023-03-13 01:00:00  631750
+    3 2023-03-14 01:00:00  345952
+
+    In such case use **days** bucket unit instead:
+
+    >>> data = otp.DataSource('CME', symbols=r'NQ\H23', tick_type='TRD')  # doctest: +SKIP
+    >>> data = data.agg({'VOLUME': otp.agg.sum('SIZE')},  # doctest: +SKIP
+    ...                 bucket_interval=1, bucket_units='days', bucket_time='start')
+    >>> otp.run(data, start=otp.dt(2023, 3, 11), end=otp.dt(2023, 3, 15), timezone='EST5EDT')  # doctest: +SKIP
+            Time  VOLUME
+    0 2023-03-11       0
+    1 2023-03-12   62940
+    2 2023-03-13  634172
+    3 2023-03-14  346780
+    """
+    return Sum(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc])
+def average(*args, **kwargs):
+    """
+    Implement average aggregation
+
+    See also
+    --------
+    **AVERAGE** OneTick event processor
+
+    Examples
+    --------
+
+    >>> data = otp.Ticks(X=[1, 2, 3, 4])
+    >>> data = data.agg({'RESULT': otp.agg.average('X')})   # OTdirective: snippet-name: Aggregations.average/mean;
+    >>> otp.run(data)
+            Time  RESULT
+    0 2003-12-04     2.5
+    """
+    return Average(*args, **kwargs)
+
+
+def mean(*args, **kwargs):
+    """
+    Implement average aggregation.
+
+    See also
+    --------
+    | :func:`average`
+    | **AVERAGE** OneTick event processor
+
+    Examples
+    --------
+
+    >>> data = otp.Ticks(X=[1, 2, 3, 4])
+    >>> data = data.agg({'RESULT': otp.agg.mean('X')})
+    >>> otp.run(data)
+            Time  RESULT
+    0 2003-12-04     2.5
+    """
+    return average(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc, _biased_doc])
+def stddev(*args, **kwargs):
+    """
+    Implement standard deviation aggregation
+
+    See also
+    --------
+    **STDDEV** OneTick event processor
+
+    Examples
+    --------
+
+    >>> data = otp.Ticks(X=[1, 2, 3, 4])
+    >>> data = data.agg({'RESULT': otp.agg.stddev('X')})    # OTdirective: snippet-name: Aggregations.stddev;
+    >>> otp.run(data)
+            Time    RESULT
+    0 2003-12-04  1.118034
+    """
+    return StdDev(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc, _time_series_type_w_doc])
+def tw_average(*args, **kwargs):
+    """
+    Returns time weighted average of input field
+
+    See also
+    --------
+    **TW_AVERAGE** OneTick event processor
+
+    Examples
+    --------
+    >>> data = otp.Ticks(X=[1, 2, 3, 4], offset=[0, 1000, 1500, 3000])
+    >>> otp.run(data, start=otp.dt(2023, 4, 25), end=otp.dt(2023, 4, 25)+otp.Second(4))
+                        Time	X
+    0	2023-04-25 00:00:00.000	1
+    1	2023-04-25 00:00:01.000	2
+    2	2023-04-25 00:00:01.500	3
+    3	2023-04-25 00:00:03.000	4
+
+    >>> # OTdirective: snippet-name: Aggregations.time weighted average;
+    >>> data = otp.Ticks(X=[1, 2, 3, 4], offset=[0, 1000, 1500, 3000])
+    >>> data = data.agg({'RESULT': otp.agg.tw_average('X')})
+    >>> otp.run(data, start=otp.dt(2023, 4, 25), end=otp.dt(2023, 4, 25)+otp.Second(4))
+            Time  RESULT
+    0 2023-04-25 00:00:04  2.625
+    """
+    return TimeWeightedAvg(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc])
+def median(*args, **kwargs):
+    """
+    Implement median aggregation
+
+    See also
+    --------
+    **MEDIAN** OneTick event processor
+
+    Examples
+    --------
+
+    >>> data = otp.Ticks(X=[1, 2, 3, 3, 4])
+    >>> data = data.agg({'RESULT': otp.agg.median('X')})    # OTdirective: snippet-name: Aggregations.median;
+    >>> otp.run(data)
+            Time  RESULT
+    0 2003-12-04     3.0
+    """
+    return Median(*args, **kwargs)
+
+
+@docstring(parameters=OB_SNAPSHOT_DOC_PARAMS)
+def ob_snapshot(*args, **kwargs):
+    """
+    Returns the order book state at the end of each bucket interval:
+    the price, the size, the side, and the time of the last update for a specified number of order book levels.
+
+    See also
+    --------
+    | :func:`onetick.py.ObSnapshot`
+    | **OB_SNAPSHOT** OneTick event processor
+
+
+    Examples
+    --------
+    >>> data = otp.DataSource(db='SOME_DB', tick_type='PRL', symbols='AA')  # doctest: +SKIP
+    >>> data = otp.agg.ob_snapshot(max_levels=1).apply(data)  # doctest: +SKIP
+    >>> otp.run(data) # doctest: +SKIP
+            Time  PRICE             UPDATE_TIME  SIZE  LEVEL  BUY_SELL_FLAG
+    0 2003-12-04    2.0 2003-12-01 00:00:00.003     6      1              1
+    1 2003-12-04    5.0 2003-12-01 00:00:00.004     7      1              0
+    """
+    return ObSnapshot(*args, **kwargs)
+
+
+@docstring(parameters=OB_SNAPSHOT_WIDE_DOC_PARAMS)
+def ob_snapshot_wide(*args, **kwargs):
+    """
+    Returns a side by side order book state at the end of each interval:
+    the price, the size, and the time of the last update for a specified number of order book levels.
+
+    See also
+    --------
+    | :func:`onetick.py.ObSnapshotWide`
+    | **OB_SNAPSHOT_WIDE** OneTick event processor
+
+    Examples
+    --------
+    >>> data = otp.DataSource(db='SOME_DB', tick_type='PRL', symbols='AA')  # doctest: +SKIP
+    >>> data = otp.agg.ob_snapshot_wide(max_levels=1).apply(data)  # doctest: +SKIP
+    >>> otp.run(data) # doctest: +SKIP
+            Time  BID_PRICE         BID_UPDATE_TIME  BID_SIZE  ASK_PRICE         ASK_UPDATE_TIME  ASK_SIZE  LEVEL
+    0 2003-12-03        5.0 2003-12-01 00:00:00.004         7        2.0 2003-12-01 00:00:00.003         6      1
+    """
+    return ObSnapshotWide(*args, **kwargs)
+
+
+@docstring(parameters=OB_SNAPSHOT_FLAT_DOC_PARAMS)
+def ob_snapshot_flat(*args, **kwargs):
+    """
+    Returns the snapshot for a specified number of book levels as a single tick
+    with multiple field groups corresponding to book levels.
+
+    See also
+    --------
+    | :func:`onetick.py.ObSnapshotFlat`
+    | **OB_SNAPSHOT_FLAT** OneTick event processor
+
+    Examples
+    --------
+    >>> data = otp.DataSource(db='SOME_DB', tick_type='PRL', symbols='AA')  # doctest: +SKIP
+    >>> data = otp.agg.ob_snapshot_flat(max_levels=1).apply(data)  # doctest: +SKIP
+    >>> otp.run(data) # doctest: +SKIP
+            Time  BID_PRICE1        BID_UPDATE_TIME1  BID_SIZE1  ASK_PRICE1        ASK_UPDATE_TIME1  ASK_SIZE1
+    0 2003-12-03         5.0 2003-12-01 00:00:00.004          7         2.0 2003-12-01 00:00:00.003          6
+    """
+    return ObSnapshotFlat(*args, **kwargs)
+
+
+@docstring(parameters=OB_SUMMARY_DOC_PARAMS)
+def ob_summary(*args, **kwargs):
+    """
+    Computes summary statistics, such as:
+    VWAP, best and worst price, total size, and number of levels, for one or both sides of an order book.
+
+    See also
+    --------
+    | :func:`onetick.py.ObSummary`
+    | **OB_SUMMARY** OneTick event processor
+
+
+    Examples
+    --------
+    >>> data = otp.DataSource(db='SOME_DB', tick_type='PRL', symbols='AA')  # doctest: +SKIP
+    >>> data = otp.agg.ob_summary(max_levels=1).apply(data)  # doctest: +SKIP
+    >>> otp.run(data) # doctest: +SKIP
+            Time  BID_PRICE  BID_SIZE  BID_VWAP  BEST_BID_PRICE  WORST_BID_SIZE  NUM_BID_LEVELS  ASK_SIZE\
+              ASK_VWAP  BEST_ASK_PRICE  WORST_ASK_PRICE  NUM_ASK_LEVELS
+    0 2003-12-04        NaN         7       5.0             5.0             NaN               1         6\
+           2.0             2.0              2.0               1
+    """
+    return ObSummary(*args, **kwargs)
+
+
+@docstring(parameters=OB_SIZE_DOC_PARAMS)
+def ob_size(*args, **kwargs):
+    """
+    Returns the total size for a specified number of order book levels at the end of each bucket interval.
+
+    See also
+    --------
+    | :func:`onetick.py.ObSize`
+    | **OB_SIZE** OneTick event processor
+
+    Examples
+    --------
+
+    Basic example
+
+    >>> data = otp.DataSource(db='SOME_DB', tick_type='PRL', symbols='AA')  # doctest: +SKIP
+    >>> data = otp.agg.ob_size(bucket_interval=otp.Second(300), max_levels=10).apply(data)  # doctest: +SKIP
+    >>> otp.run(data) # doctest: +SKIP
+                         Time  ASK_VALUE  BID_VALUE
+    0 2003-12-01 00:05:00.000     194800      47200
+    1 2003-12-01 00:10:00.000     194800      47200
+    2 2003-12-01 00:15:00.000     313400       7700
+    ...
+
+    Selecting side via ``side`` parameter
+
+    >>> data = otp.DataSource(db='SOME_DB', tick_type='PRL', symbols='AA')  # doctest: +SKIP
+    >>> data = otp.agg.ob_size(bucket_interval=otp.Second(300), max_levels=10, size='ASK').apply(data)  # doctest: +SKIP
+    >>> otp.run(data) # doctest: +SKIP
+                         Time   VALUE
+    0 2003-12-01 00:05:00.000  194800
+    1 2003-12-01 00:10:00.000  194800
+    2 2003-12-01 00:15:00.000  313400
+    ...
+    """
+    return ObSize(*args, **kwargs)
+
+
+@docstring(parameters=OB_VWAP_DOC_PARAMS)
+def ob_vwap(*args, **kwargs):
+    """
+    Returns the size-weighted price computed over a specified number of order book levels at the end of each interval.
+
+    See also
+    --------
+    | :func:`onetick.py.ObVwap`
+    | **OB_VWAP** OneTick event processor
+
+    Examples
+    --------
+
+    Basic example
+
+    >>> data = otp.DataSource(db='SOME_DB', tick_type='PRL', symbols='AA')  # doctest: +SKIP
+    >>> data = otp.agg.ob_vwap(bucket_interval=otp.Second(300)).apply(data)  # doctest: +SKIP
+    >>> otp.run(data) # doctest: +SKIP
+                         Time  ASK_VALUE  BID_VALUE
+    0 2003-12-01 00:05:00.000   23.93496   23.80502
+    1 2003-12-01 00:10:00.000   23.93496   23.80502
+    2 2003-12-01 00:15:00.000   24.35387   24.35387
+    ...
+
+    Selecting side via ``side`` parameter
+
+    >>> data = otp.DataSource(db='SOME_DB', tick_type='PRL', symbols='AA')  # doctest: +SKIP
+    >>> data = otp.agg.ob_vwap(bucket_interval=otp.Second(300), size='BID').apply(data)  # doctest: +SKIP
+    >>> otp.run(data) # doctest: +SKIP
+                         Time     VALUE
+    0 2003-12-01 00:05:00.000  23.80502
+    1 2003-12-01 00:10:00.000  23.80502
+    2 2003-12-01 00:15:00.000  24.35387
+    ...
+    """
+    return ObVwap(*args, **kwargs)
+
+
+@docstring(parameters=OB_NUM_LEVELS_DOC_PARAMS)
+def ob_num_levels(*args, **kwargs):
+    """
+    Returns the number of levels in the order book at the end of each bucket.
+
+    Note
+    ----
+    This EP supports only seconds as ``bucket_interval``.
+
+    See also
+    --------
+    | :func:`onetick.py.ObNumLevels`
+    | **OB_NUM_LEVELS** OneTick event processor
+
+    Examples
+    --------
+
+    Basic example
+
+    >>> data = otp.DataSource(db='SOME_DB', tick_type='PRL', symbols='AA')  # doctest: +SKIP
+    >>> data = otp.agg.ob_num_levels(bucket_interval=otp.Second(300)).apply(data)  # doctest: +SKIP
+    >>> otp.run(data) # doctest: +SKIP
+                         Time  ASK_VALUE  BID_VALUE
+    0 2003-12-01 00:05:00.000        243         74
+    1 2003-12-01 00:10:00.000        243         74
+    2 2003-12-01 00:15:00.000        208         45
+    ...
+    """
+    return ObNumLevels(*args, **kwargs)
+
+
+@docstring(parameters=[
+    _query_fun_doc,
+    _bucket_delimiter_doc,
+    _bucket_interval_doc,
+    _bucket_units_doc,
+    _bucket_time_doc,
+    _bucket_end_condition_doc,
+    _running_doc,
+    _group_by_doc,
+    _groups_to_display_doc,
+    _end_condition_per_group_doc,
+    _boundary_tick_bucket_doc,
+])
+def generic(*args, **kwargs):
+    """
+    Generic aggregation.
+    Aggregation logic is provided in ``query_fun`` parameter
+    and this logic is applied for ticks in each bucket.
+    Currently, this aggregation can be used only with ``.apply()`` method.
+
+    Note, that ``query_fun`` should return a :py:class:`~onetick.py.Source` object,
+    assuming that resulted query have only one tick per bucket.
+
+    Also, ``query_fun`` could have additional parameters, which will be passed to ``query_fun``
+    during aggregation. Those parameters should be specified in ``.apply()`` as keyword arguments,
+    ex: ``.apply(src, additional_param=1)``.
+
+    Generic aggregations could be also used in :py:meth:`onetick.py.Source.agg` method.
+    Dict key set for an aggregation in ``aggs`` parameter will be used as prefix
+    for each output column of this aggregation.
+    Also, all tick fields not contained in the Python-level schema in a passed to generic aggregation
+    :class:`Source` object will be removed.
+
+    Note
+    ----
+    Some functions may be not supported in ``query_fun``.
+    For example, :py:func:`~onetick.py.join` and :py:meth:`~onetick.py.Source.rename`.
+
+    See also
+    --------
+    **GENERIC_AGGREGATION** OneTick event processor
+
+    Examples
+    --------
+
+    The simplest case, just copying some other aggregation logic:
+
+    >>> data = otp.Ticks({'A': [1, 2, 3]})
+    >>> def agg_fun(source):
+    ...     return source.agg({'X': otp.agg.count()})
+    >>> data = otp.agg.generic(agg_fun).apply(data)
+    >>> otp.run(data)
+            Time  X
+    0 2003-12-04  3
+
+    Passing parameters to aggregation function:
+
+    >>> data = otp.Ticks({'A': [1, 2, 1]})
+    >>> def count_values(source, value):
+    ...     values = source.where(source['A'] == value)
+    ...     return values.agg({'count': otp.agg.count()})
+    >>> data = otp.agg.generic(count_values).apply(data, value=1)
+    >>> otp.run(data)
+            Time  count
+    0 2003-12-04  2
+
+    Getting first 3 ticks from 5 milliseconds buckets:
+
+    >>> data = otp.Ticks({'A': list(range(10))})
+    >>> def agg_fun(source, n):
+    ...     return source.first(n)
+    >>> data = otp.agg.generic(agg_fun, bucket_interval=0.005).apply(data, n=3)
+    >>> otp.run(data, start=otp.config.default_start_time, end=otp.config.default_start_time + otp.Milli(10))
+                         Time  A
+    0 2003-12-01 00:00:00.005  0
+    1 2003-12-01 00:00:00.005  1
+    2 2003-12-01 00:00:00.005  2
+    3 2003-12-01 00:00:00.010  5
+    4 2003-12-01 00:00:00.010  6
+    5 2003-12-01 00:00:00.010  7
+
+    Using generic aggregation inside :py:meth:`onetick.py.Source.agg` method:
+
+    >>> def agg_fun(source):
+    ...     return source.agg({'SUM': otp.agg.sum('X'), 'AVG': otp.agg.average('X')})
+    ...
+    >>> data = otp.Ticks(X=[1, 2, 3, 4, 5])
+    >>> data = data.agg({'X': otp.agg.generic(agg_fun)})
+    >>> otp.run(data)
+            Time  X.SUM  X.AVG
+    0 2003-12-04     15    3.0
+    """
+
+    return Generic(*args, **kwargs)
+
+
+@docstring(parameters=[_running_doc, _bucket_interval_doc, _bucket_time_doc, _bucket_units_doc,
+                       _bucket_end_condition_doc, _boundary_tick_bucket_doc])
+def option_price(*args, **kwargs):
+    """
+    This aggregation requires several parameters to compute the option price.
+    Those are, OPTION_TYPE, STRIKE_PRICE, EXPIRATION_DATE or DAYS_TILL_EXPIRATION, VOLATILITY, and INTEREST_RATE.
+    Each parameter can be specified, either via a symbol parameter with the same name or via a tick field,
+    by specifying the name of that field as an EP parameter, as follows.
+    Besides, VOLATILITY and INTEREST_RATE can also be specified as parameters. If they are also specified as fields,
+    the parameters value are ignored.
+    In either case, the OPTION_TYPE value must be set to either CALL or PUT (case insensitive).
+    EXPIRATION_DATE is in YYYYMMDD format, a string in case of a symbol parameter and
+    an integer in case of a tick attribute.
+    Additionally, NUMBER_OF_STEPS should be specified in case of Cox-Ross-Rubinstein method.
+
+    Note
+    ----
+    This aggregation is used with ``.apply()``, but latest OneTick builds support also the ``.agg()`` method.
+
+    Parameters
+    ----------
+    volatility: float
+        The historical volatility of the asset’s returns.
+    interest_rate: float
+        The risk-free interest rate.
+    compute_model: str
+        Allowed values are `BS` and `CRR`.
+        Choose between Black–Scholes (`BS`) and Cox-Ross-Rubinstein (`CRR`) models for computing call/put option price.
+        Default: `BS`
+    number_of_steps: int
+        Specifies the number of time steps between the valuation and expiration dates.
+        This is a mandatory parameter for `CRR` model.
+    compute_delta: bool
+        Specifies whether Delta is to be computed or not. This parameter is used only in case of `BS` model.
+        Default: False
+    compute_gamma: bool
+        Specifies whether Gamma is to be computed or not. This parameter is used only in case of `BS` model.
+        Default: False
+    compute_theta: bool
+        Specifies whether Theta is to be computed or not. This parameter is used only in case of `BS` model.
+        Default: False
+    compute_vega: bool
+        Specifies whether Vega is to be computed or not. This parameter is used only in case of `BS` model.
+        Default: False
+    compute_rho: bool
+        Specifies whether Rho is to be computed or not. This parameter is used only in case of `BS` model.
+        Default: False
+    volatility_field_name: str
+        Specifies name of the field, which carries the historical volatility of the asset’s returns.
+        Default: empty
+    interest_rate_field_name: str
+        Specifies name of the field, which carries the risk-free interest rate.
+        Default: empty
+    option_type_field_name: str
+        Specifies name of the field, which carries the option type (either CALL or PUT).
+        Default: empty
+    strike_price_field_name: str
+        Specifies name of the field, which carries the strike price of the option.
+        Default: empty
+    days_in_year: int
+        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.
+        Default: 365
+    days_till_expiration_field_name: str
+        Specifies name of the field, which carries number of days till expiration of the option.
+        Default: empty
+    expiration_date_field_name: str
+        Specifies name of the field, which carries the expiration date of the option, in YYYYMMDD format.
+        Default: empty
+
+    See also
+    --------
+    **OPTION_PRICE** OneTick event processor
+
+    Examples
+    ---------
+    Black–Scholes with parameters passed through symbol params and calculated delta:
+
+    >>> symbol = otp.Tick(SYMBOL_NAME='SYMB')
+    >>> symbol['OPTION_TYPE'] = 'CALL'
+    >>> symbol['STRIKE_PRICE'] = 100.0
+    >>> symbol['DAYS_TILL_EXPIRATION'] = 30
+    >>> symbol['VOLATILITY'] = 0.25
+    >>> symbol['INTEREST_RATE'] = 0.05
+    >>> data = otp.Ticks(PRICE=[100.7, 101.1, 99.5], symbol=symbol)
+    >>> data = otp.agg.option_price(compute_delta=True).apply(data)
+    >>> otp.run(data)['SYMB']
+            Time     VALUE    DELTA
+    0 2003-12-04  2.800999  0.50927
+    >>> data.schema
+    {'VALUE': <class 'float'>, 'DELTA': <class 'float'>}
+
+    Cox-Ross-Rubinstein with parameters passed through fields:
+
+    >>> data = otp.Ticks(
+    ...     PRICE=[100.7, 101.1, 99.5],
+    ...     OPTION_TYPE=['CALL']*3,
+    ...     STRIKE_PRICE=[100.0]*3,
+    ...     DAYS_TILL_EXPIRATION=[30]*3,
+    ...     VOLATILITY=[0.25]*3,
+    ...     INTEREST_RATE=[0.05]*3,
+    ... )
+    >>> data = otp.agg.option_price(
+    ...     compute_model='CRR',
+    ...     number_of_steps=5,
+    ...     option_type_field_name='OPTION_TYPE',
+    ...     strike_price_field_name='STRIKE_PRICE',
+    ...     days_till_expiration_field_name='DAYS_TILL_EXPIRATION',
+    ...     volatility_field_name='VOLATILITY',
+    ...     interest_rate_field_name='INTEREST_RATE',
+    ... ).apply(data)
+    >>> otp.run(data)
+            Time     VALUE
+    0 2003-12-04  2.937537
+
+    Black–Scholes with some parameters passed through parameters:
+
+    >>> data = otp.Ticks(
+    ...     PRICE=[100.7, 101.1, 99.5],
+    ...     OPTION_TYPE=['CALL']*3,
+    ...     STRIKE_PRICE=[100.0]*3,
+    ...     DAYS_TILL_EXPIRATION=[30]*3,
+    ... )
+    >>> data = otp.agg.option_price(
+    ...     option_type_field_name='OPTION_TYPE',
+    ...     strike_price_field_name='STRIKE_PRICE',
+    ...     days_till_expiration_field_name='DAYS_TILL_EXPIRATION',
+    ...     volatility=0.25,
+    ...     interest_rate=0.05,
+    ... ).apply(data)
+    >>> otp.run(data)
+            Time     VALUE
+    0 2003-12-04  2.800999
+
+    To compute values for each tick in a series, set ``bucket_interval=1`` and ``bucket_units='ticks'``
+
+    >>> data = otp.Ticks(
+    ...    PRICE=[110.0, 101.0, 112.0],
+    ...    OPTION_TYPE=["CALL"]*3,
+    ...    STRIKE_PRICE=[110.0]*3,
+    ...    DAYS_TILL_EXPIRATION=[30]*3,
+    ...    VOLATILITY=[0.2]*3,
+    ...    INTEREST_RATE=[0.05]*3
+    ... )
+    >>> data = otp.agg.option_price(
+    ...    option_type_field_name='OPTION_TYPE',
+    ...    strike_price_field_name='STRIKE_PRICE',
+    ...    days_till_expiration_field_name='DAYS_TILL_EXPIRATION',
+    ...    volatility_field_name='VOLATILITY',
+    ...    interest_rate_field_name='INTEREST_RATE',
+    ...    bucket_interval=1,
+    ...    bucket_units='ticks',
+    ... ).apply(data)
+    >>> otp.run(data)
+                           Time 	VALUE
+    0 	2003-12-01 00:00:00.000 	2.742714
+    1 	2003-12-01 00:00:00.001 	0.212927
+    2 	2003-12-01 00:00:00.002 	3.945447
+
+    Usage with the ``.agg()`` method (on the latest OneTick builds).
+
+    .. testcode::
+       :skipif: not otp.compatibility.is_supported_agg_option_price()
+
+       data = otp.Ticks(
+           PRICE=[100.7, 101.1, 99.5],
+           OPTION_TYPE=['CALL']*3,
+           STRIKE_PRICE=[100.0]*3,
+           DAYS_TILL_EXPIRATION=[30]*3,
+       )
+       data = data.agg({
+           'RESULT': otp.agg.option_price(
+               option_type_field_name='OPTION_TYPE',
+               strike_price_field_name='STRIKE_PRICE',
+               days_till_expiration_field_name='DAYS_TILL_EXPIRATION',
+               volatility=0.25,
+               interest_rate=0.05,
+           )
+       })
+       df = otp.run(data)
+       print(df)
+
+    .. testoutput::
+
+               Time    RESULT
+       0 2003-12-04  2.800999
+
+    The following examples show results for different cases of option price calculation.
+    Results are compared with two online calculators:
+    `Drexel University <https://www.math.drexel.edu/~pg/fin/VanillaCalculator.html>`_ (DU) and
+    `Wolfram Alpha <https://www.wolframalpha.com/input?i=black+scholes>`_ (WA).
+
+    Call option, strike price 110.0, underlying price 120.0, volatility 20.0%, interest 5.0%, expiring in 15 days.
+
+    >>> data = {
+    ...     "PRICE": 120.,
+    ...     "OPTION_TYPE": "call",
+    ...     "STRIKE_PRICE": 110.,
+    ...     "DAYS_TILL_EXPIRATION": 15,
+    ...     "VOLATILITY": 0.2,
+    ...     "INTEREST_RATE": 0.05,
+    ... }
+    >>> data = otp.Tick(**data)
+    >>> data = otp.agg.option_price(
+    ...     option_type_field_name='OPTION_TYPE',
+    ...     strike_price_field_name='STRIKE_PRICE',
+    ...     days_till_expiration_field_name='DAYS_TILL_EXPIRATION',
+    ...     volatility_field_name='VOLATILITY',
+    ...     interest_rate_field_name='INTEREST_RATE',
+    ...     compute_delta=True,
+    ...     compute_gamma=True,
+    ...     compute_theta=True,
+    ...     compute_vega=True,
+    ...     compute_rho=True
+    ... ).apply(data)
+    >>> res = otp.run(data).drop("Time", axis=1)
+    >>> for key, val in res.to_dict(orient='list').items():
+    ...     print(f"{key}={val[0]}")
+    VALUE=10.248742578738629
+    DELTA=0.9866897658932824
+    GAMMA=0.007022082258701294
+    THETA=-7.430061156928735
+    VEGA=0.8311067221257422
+    RHO=4.444686136785831
+
+    .. csv-table:: Benchmark comparison
+        :widths: 10, 25, 25, 10
+        :header: Field, OneTick, DU benchmark, WA benchmark
+
+        VALUE, 10.248742578738629, 10.248742577611323400, 10.249
+        DELTA, 0.9866897658932824, 0.986689766547165200, 0.987
+        GAMMA, 0.007022082258701294, 0.007022082258701300, 0.007
+        THETA, -7.430061156928735, -7.430061160908399600, -7.430
+        VEGA, 0.8311067221257422, 0.831106722125743000, 0.831
+        RHO, 4.444686136785831, 4.444686140056785400, 4.445
+
+    Put option, strike price 110.0, underlying price 120.0, volatility 20.0%, interest 5.0%, expiring in 15 days.
+
+    .. testcode::
+       :skipif: not otp.compatibility.is_option_price_theta_value_changed()
+
+       data = {
+           "PRICE": 120.,
+           "OPTION_TYPE": "put",
+           "STRIKE_PRICE": 110.,
+           "DAYS_TILL_EXPIRATION": 15,
+           "VOLATILITY": 0.2,
+           "INTEREST_RATE": 0.05,
+       }
+       data = otp.Tick(**data)
+       data = otp.agg.option_price(
+           option_type_field_name='OPTION_TYPE',
+           strike_price_field_name='STRIKE_PRICE',
+           days_till_expiration_field_name='DAYS_TILL_EXPIRATION',
+           volatility_field_name='VOLATILITY',
+           interest_rate_field_name='INTEREST_RATE',
+           compute_delta=True,
+           compute_gamma=True,
+           compute_theta=True,
+           compute_vega=True,
+           compute_rho=True
+       ).apply(data)
+       res = otp.run(data).drop("Time", axis=1)
+       for key, val in res.to_dict(orient='list').items():
+           print(f"{key}={val[0]:.14f}")
+
+    .. testoutput::
+
+       VALUE=0.02294724243400
+       DELTA=-0.01331023410672
+       GAMMA=0.00702208225870
+       THETA=-1.94135092374397
+       VEGA=0.83110672212574
+       RHO=-0.06658254802357
+
+    .. csv-table:: Benchmark comparison
+        :widths: 10, 25, 25, 10
+        :header: Field, OneTick, DU benchmark, WA benchmark
+
+        VALUE, 0.022947242433995818, 0.022947241306682900, 0.023
+        DELTA, -0.013310234106717611, -0.013310233452834800, -0.013
+        GAMMA, 0.007022082258701294, 0.007022082258701300, 0.007
+        THETA, -1.94135092374397, -1.941350927723632000, -1.941
+        VEGA, 0.8311067221257422, 0.831106722125743000, 0.831
+        RHO, -0.06658254802356636, -0.066582544752611000, -0.067
+
+
+    Put option, strike price 90.0, underlying price 80.0, volatility 30.0%, interest 8.0%, expiring in 20 days.
+
+    .. testcode::
+       :skipif: not otp.compatibility.is_option_price_theta_value_changed()
+
+       data = {
+           "PRICE": 80.,
+           "OPTION_TYPE": "put",
+           "STRIKE_PRICE": 90.,
+           "DAYS_TILL_EXPIRATION": 20,
+           "VOLATILITY": 0.3,
+           "INTEREST_RATE": 0.08,
+       }
+       data = otp.Tick(**data)
+       data = otp.agg.option_price(
+           option_type_field_name='OPTION_TYPE',
+           strike_price_field_name='STRIKE_PRICE',
+           days_till_expiration_field_name='DAYS_TILL_EXPIRATION',
+           volatility_field_name='VOLATILITY',
+           interest_rate_field_name='INTEREST_RATE',
+           compute_delta=True,
+           compute_gamma=True,
+           compute_theta=True,
+           compute_vega=True,
+           compute_rho=True
+       ).apply(data)
+       res = otp.run(data).drop("Time", axis=1)
+       for key, val in res.to_dict(orient='list').items():
+           print(f"{key}={val[0]}")
+
+    .. testoutput::
+
+       VALUE=9.739720671039635
+       DELTA=-0.9429118423759162
+       GAMMA=0.020391626464263516
+       THETA=0.9410250231811439
+       VEGA=2.1453108389800515
+       RHO=-4.666995510197969
+
+    .. csv-table:: Benchmark comparison
+        :widths: 10, 25, 25, 10
+        :header: Field, OneTick, DU benchmark, WA benchmark
+
+        VALUE, 9.739720671039635, 9.739720664487278600, 9.740
+        DELTA, -0.9429118423759162, -0.942911845180447200, -0.943
+        GAMMA, 0.020391626464263516, 0.020391626464263600, 0.020
+        THETA, 0.9410250231811439, 0.941025040605956600, 0.941
+        VEGA, 2.1453108389800515, 2.145310838980050700, 2.145
+        RHO, -4.666995510197969, -4.666995522132770800, -4.667
+
+    Call option, strike price 90.0, underlying price 80.0, volatility 30.0%, interest 8.0%, expiring in 20 days.
+
+    >>> data = {
+    ...     "PRICE": 80.,
+    ...     "OPTION_TYPE": "call",
+    ...     "STRIKE_PRICE": 90.,
+    ...     "DAYS_TILL_EXPIRATION": 20,
+    ...     "VOLATILITY": 0.3,
+    ...     "INTEREST_RATE": 0.08,
+    ... }
+    >>> data = otp.Tick(**data)
+    >>> data = otp.agg.option_price(
+    ...     option_type_field_name='OPTION_TYPE',
+    ...     strike_price_field_name='STRIKE_PRICE',
+    ...     days_till_expiration_field_name='DAYS_TILL_EXPIRATION',
+    ...     volatility_field_name='VOLATILITY',
+    ...     interest_rate_field_name='INTEREST_RATE',
+    ...     compute_delta=True,
+    ...     compute_gamma=True,
+    ...     compute_theta=True,
+    ...     compute_vega=True,
+    ...     compute_rho=True
+    ... ).apply(data)
+    >>> res = otp.run(data).drop("Time", axis=1)
+    >>> for key, val in res.to_dict(orient='list').items():
+    ...     print(f"{key}={val[0]:.13f}")
+    VALUE=0.1333777785229
+    DELTA=0.0570881576241
+    GAMMA=0.0203916264643
+    THETA=-6.2274824082202
+    VEGA=2.1453108389801
+    RHO=0.2429410866523
+
+    .. csv-table:: Benchmark comparison
+        :widths: 10, 25, 25, 10
+        :header: Field, OneTick, DU benchmark, WA benchmark
+
+        VALUE, 0.13337777852292199, 0.133377771970562400, 0.133
+        DELTA, 0.05708815762408384, 0.057088154819552600, 0.057
+        GAMMA, 0.020391626464263516, 0.020391626464263600, 0.020
+        THETA, -6.227482408220195, -6.227482390795381800, -6.227
+        VEGA, 2.1453108389800515, 2.145310838980050700, 2.145
+        RHO, 0.2429410866522622, 0.242941074717460500, 0.243
+
+
+    Call option, strike price 140.0, underlying price 150.0, volatility 60.0%, interest 7.0%, expiring in 10 days.
+
+    >>> data = {
+    ...     "PRICE": 150.,
+    ...     "OPTION_TYPE": "call",
+    ...     "STRIKE_PRICE": 140.,
+    ...     "DAYS_TILL_EXPIRATION": 10,
+    ...     "VOLATILITY": 0.6,
+    ...     "INTEREST_RATE": 0.07,
+    ... }
+    >>> data = otp.Tick(**data)
+    >>> data = otp.agg.option_price(
+    ...     option_type_field_name='OPTION_TYPE',
+    ...     strike_price_field_name='STRIKE_PRICE',
+    ...     days_till_expiration_field_name='DAYS_TILL_EXPIRATION',
+    ...     volatility_field_name='VOLATILITY',
+    ...     interest_rate_field_name='INTEREST_RATE',
+    ...     compute_delta=True,
+    ...     compute_gamma=True,
+    ...     compute_theta=True,
+    ...     compute_vega=True,
+    ...     compute_rho=True
+    ... ).apply(data)
+    >>> res = otp.run(data).drop("Time", axis=1)
+    >>> for key, val in res.to_dict(orient='list').items():
+    ...     print(f"{key}={val[0]:.13f}")
+    VALUE=12.2728332229748
+    DELTA=0.7774682547236
+    GAMMA=0.0200066930955
+    THETA=-88.3314253858302
+    VEGA=7.3997358024512
+    RHO=2.8588330133030
+
+    .. csv-table:: Benchmark comparison
+        :widths: 10, 25, 25, 10
+        :header: Field, OneTick, DU benchmark, WA benchmark
+
+        VALUE, 12.272833222974782, 12.272833124496244700, 12.27
+        DELTA, 0.7774682547235652, 0.777468265655730700, 0.777
+        GAMMA, 0.020006693095516285, 0.020006693095516300, 0.020
+        THETA, -88.33142538583016, -88.331425507511386000, -88.331
+        VEGA, 7.399735802451228, 7.399735802451227600, 7.400
+        RHO, 2.858833013303013, 2.858833060927763500, 2.859
+
+
+    Put option, strike price 140.0, underlying price 150.0, volatility 60.0%, interest 7.0%, expiring in 10 days.
+
+    .. testcode::
+       :skipif: not otp.compatibility.is_option_price_theta_value_changed()
+
+       data = {
+           "PRICE": 150.,
+           "OPTION_TYPE": "put",
+           "STRIKE_PRICE": 140.,
+           "DAYS_TILL_EXPIRATION": 10,
+           "VOLATILITY": 0.6,
+           "INTEREST_RATE": 0.07,
+       }
+       data = otp.Tick(**data)
+       data = otp.agg.option_price(
+           option_type_field_name='OPTION_TYPE',
+           strike_price_field_name='STRIKE_PRICE',
+           days_till_expiration_field_name='DAYS_TILL_EXPIRATION',
+           volatility_field_name='VOLATILITY',
+           interest_rate_field_name='INTEREST_RATE',
+           compute_delta=True,
+           compute_gamma=True,
+           compute_theta=True,
+           compute_vega=True,
+           compute_rho=True).apply(data)
+       res = otp.run(data).drop("Time", axis=1)
+       for key, val in res.to_dict(orient='list').items():
+           print(f"{key}={val[0]:.13f}")
+
+    .. testoutput::
+
+       VALUE=2.0045973669685
+       DELTA=-0.2225317452764
+       GAMMA=0.0200066930955
+       THETA=-78.5502018957506
+       VEGA=7.3997358024512
+       RHO=-0.9694344974913
+
+    .. csv-table:: Benchmark comparison
+        :widths: 10, 25, 25, 10
+        :header: Field, OneTick, DU benchmark, WA benchmark
+
+        VALUE, 2.0045973669685395, 2.004597268490016500, 2.00
+        DELTA, -0.22253174527643482, -0.222531734344269000, -0.223
+        GAMMA, 0.020006693095516285, 0.020006693095516300, 0.020
+        THETA, -78.5502018957506, -78.550202017431814100, -78.550
+        VEGA, 7.399735802451228, 7.399735802451227600, 7.400
+        RHO, -0.9694344974913363, -0.969434449866586000, -0.969
+
+    """
+
+    return OptionPrice(*args, **kwargs)
+
+
+@docstring(parameters=[
+    _bucket_interval_doc,
+    _bucket_units_doc,
+    _bucket_time_doc,
+    _bucket_end_condition_doc,
+    _boundary_tick_bucket_doc,
+    _group_by_doc,
+    _groups_to_display_doc,
+    _end_condition_per_group_doc,
+])
+def ranking(*args, **kwargs):
+    """
+    Ranking **running** aggregation.
+
+    Sorts a series of ticks over a bucket interval
+    using a specified set of tick fields specified in ``rank_by``
+    and adds a new field ``RANKING``
+    with the position of the tick in the sort order
+    or the percentage of ticks with values less than (or equal) to the value of the tick.
+
+    Does not change the order of the ticks.
+
+    See also
+    --------
+    **RANKING** OneTick event processor
+
+    Parameters
+    ----------
+    rank_by: str or list or dict
+        Set of fields to sort by.
+        Can be one field specified by string, list of fields or dictionary with field names
+        as keys and ``asc`` or ``desc`` string literals as values. Latter allows to specify
+        sorting direction. Default direction is ``desc``.
+    show_rank_as: str
+
+        - ``order``: calculate number that represents the position of the tick in the sort order
+        - ``percent_le_values``: calculate the percentage of ticks that have higher or equal value\
+           of the position in the sort order, relative to the tick
+        - ``percent_lt_values``: calculate the percentage of ticks that have higher value\
+           of the position in the sort order, relative to the tick
+        - ``percentile_standard``: calculate Percentile Rank of the tick in the sort order.
+    include_tick: bool, default=False
+        Specifies whether the current tick should be included in calculations
+        if ``show_rank_as`` is ``percent_lt_values`` or ``percentile_standard``.
+
+    Examples
+    --------
+    >>> t = otp.Ticks({'A': [1, 2, 3]})
+    >>> t = t.ranking('A')
+    >>> otp.run(t)
+                         Time  A  RANKING
+    0 2003-12-01 00:00:00.000  1        3
+    1 2003-12-01 00:00:00.001  2        2
+    2 2003-12-01 00:00:00.002  3        1
+
+    >>> t = otp.Ticks({'A': [1, 2, 3]})
+    >>> t = t.ranking({'A': 'asc'})
+    >>> otp.run(t)
+                         Time  A  RANKING
+    0 2003-12-01 00:00:00.000  1        1
+    1 2003-12-01 00:00:00.001  2        2
+    2 2003-12-01 00:00:00.002  3        3
+
+    >>> t = otp.Ticks({'A': [1, 2, 2, 3, 2, 1]})
+    >>> otp.run(t.ranking({'A': 'asc'}, show_rank_as='percent_lt_values', include_tick=True))
+                         Time  A    RANKING
+    0 2003-12-01 00:00:00.000  1  66.666667
+    1 2003-12-01 00:00:00.001  2  16.666667
+    2 2003-12-01 00:00:00.002  2  16.666667
+    3 2003-12-01 00:00:00.003  3   0.000000
+    4 2003-12-01 00:00:00.004  2  16.666667
+    5 2003-12-01 00:00:00.005  1  66.666667
+
+    >>> otp.run(t.ranking({'A': 'asc'}, show_rank_as='percent_lt_values', include_tick=False))
+                         Time  A  RANKING
+    0 2003-12-01 00:00:00.000  1     80.0
+    1 2003-12-01 00:00:00.001  2     20.0
+    2 2003-12-01 00:00:00.002  2     20.0
+    3 2003-12-01 00:00:00.003  3      0.0
+    4 2003-12-01 00:00:00.004  2     20.0
+    5 2003-12-01 00:00:00.005  1     80.0
+    """
+    return Ranking(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc])
+def variance(*args, **kwargs):
+    """
+    Implement variance aggregation
+
+    Parameters
+    ----------
+    biased: bool
+        Switches between biased and unbiased variance calculation.
+
+    See also
+    --------
+    **VARIANCE** OneTick event processor
+
+    Examples
+    --------
+
+    >>> data = otp.Ticks(X=[1, 2, 3, 3, 4])
+    >>> data = data.agg({'RESULT': otp.agg.variance('X', biased=False)})
+    >>> otp.run(data)
+            Time  RESULT
+    0 2003-12-04     1.3
+
+    >>> data = otp.Ticks(X=[1, 2, 3, 3, 4])
+    >>> data = data.agg({'RESULT': otp.agg.variance('X', biased=True)})
+    >>> otp.run(data)
+            Time  RESULT
+    0 2003-12-04     1.04
+    """
+    return Variance(*args, **kwargs)
+
+
+@docstring(parameters=[
+    _running_doc,
+    _bucket_interval_doc,
+    _bucket_units_doc,
+    _bucket_time_doc,
+    _bucket_end_condition_doc,
+    _boundary_tick_bucket_doc,
+    _group_by_doc,
+    _groups_to_display_doc,
+    _end_condition_per_group_doc,
+])
+def percentile(*args, **kwargs):
+    """
+    Percentile **running** aggregation.
+
+    For each bucket, propagates its ``n-1`` ``n-quantiles`` where a comparison between ticks is done
+    using a specified set of tick fields. A new field (``QUANTILE``) with the quantile number is added.
+
+    See also
+    --------
+    **PERCENTILE** OneTick event processor
+
+    Parameters
+    ----------
+    number_of_quantiles: int
+        Specifies the number ``n`` of quantiles. Setting it to 2 will propagate only one tick - the median.
+
+        Default: 2
+    input_field_names: List[Union[Union[str, onetick.py.Column], Tuple[Union[str, onetick.py.Column], str]]]
+        List of numeric field names to run aggregation on.
+        You can use as list elements either string column name, either :py:class:`Columns <onetick.py.Column>`.
+
+        You can change default comparison order (``desc``) for the field,
+        by passing a tuple of column name and comparison order (``desc`` or ``asc``) instead column name.
+    output_field_names: Optional[List[str]]
+        Output columns name in the same order as columns from ``input_field_names``
+
+        ``output_field_names`` and ``input_field_names`` must have the same number of fields.
+
+        If not set, ``output_field_names`` will be equal to ``input_field_names``.
+
+    Examples
+    --------
+    >>> t = otp.Ticks({'A': [1, 2, 3, 4]})
+    >>> t = t.percentile(['A'])
+    >>> otp.run(t)
+            Time  A  QUANTILE
+    0 2003-12-04  2         1
+
+    You can also pass column:
+
+    >>> t = otp.Ticks({'A': [1, 2, 3, 4]})
+    >>> t = t.percentile([t['A']])
+    >>> otp.run(t)
+            Time  A  QUANTILE
+    0 2003-12-04  2         1
+
+    Change number of quantiles:
+
+    >>> t = otp.Ticks({'A': [1, 2, 3, 4]})
+    >>> t = t.percentile(['A'], number_of_quantiles=3)
+    >>> otp.run(t)
+            Time  A  QUANTILE
+    0 2003-12-04  3         1
+    1 2003-12-04  2         2
+
+    Or change default comparison order:
+
+    >>> t = otp.Ticks({'A': [1, 2, 3, 4]})
+    >>> t = t.percentile([('A', 'asc')], number_of_quantiles=3)
+    >>> otp.run(t)
+            Time  A  QUANTILE
+    0 2003-12-04  2         1
+    1 2003-12-04  3         2
+
+    You can also change output column name via ``output_field_names`` parameter:
+
+    >>> t = otp.Ticks({'A': [1, 2, 3, 4]})
+    >>> t = t.percentile(['A'], output_field_names=['B'])
+    >>> otp.run(t)
+            Time  B  QUANTILE
+    0 2003-12-04  2         1
+    """
+    return Percentile(*args, **kwargs)
+
+
+@docstring(parameters=[
+    _running_doc,
+    _bucket_interval_doc,
+    _bucket_units_doc,
+    _bucket_time_doc,
+    _bucket_end_condition_doc,
+    _boundary_tick_bucket_doc,
+    _group_by_doc,
+    _groups_to_display_doc,
+    _end_condition_per_group_doc,
+])
+def find_value_for_percentile(*args, **kwargs):
+    """
+    For each bucket, finds the value which has percentile rank closest to ``percentile`` parameter.
+
+    For more details, see `Percentile rank <https://en.wikipedia.org/wiki/Percentile_rank>`_.
+
+    See also
+    --------
+    **FIND_VALUE_FOR_PERCENTILE** OneTick event processor
+
+    Parameters
+    ----------
+    percentile: int
+        Specifies the percentile number in 0-100% range
+        for which find the value of input field that has percentile rank close to it.
+    show_percentile_as: str
+        * By default (when parameter is not set),
+          the output field contains the value which has percentile rank closest to ``percentile`` parameter.
+        * When set to *interpolated_value*, the output field contains the interpolated value of:
+          The value above and below specified ``percentile``, or one of them if it's biggest or smallest value.
+        * When set to *first_value_with_ge_percentile*, the output field contains
+          the value which has greater or equal than specified ``percentile``.
+
+    Examples
+    --------
+
+    Find interpolated value of 50% percentile rank:
+
+    .. testcode::
+       :skipif: not otp.compatibility.is_find_value_for_percentile_supported()
+
+       t = otp.Ticks({'A': [1, 2, 3, 4]})
+       data = t.find_value_for_percentile('A', 50, 'interpolated_value')
+       df = otp.run(data)
+       print(df)
+
+    .. testoutput::
+
+               Time    A
+       0 2003-12-04  2.5
+
+    Find first value greater or equal to 50% percentile rank:
+
+    .. testcode::
+       :skipif: not otp.compatibility.is_find_value_for_percentile_supported()
+
+       data = t.find_value_for_percentile('A', 50, 'first_value_with_ge_percentile')
+       df = otp.run(data)
+       print(df)
+
+    .. testoutput::
+
+               Time    A
+       0 2003-12-04  3.0
+
+    Use :py:meth:`~onetick.py.Source.agg` method to apply several aggregations at the same time:
+
+    .. testcode::
+       :skipif: not otp.compatibility.is_find_value_for_percentile_supported()
+
+       data = t.agg({
+           'X': otp.agg.find_value_for_percentile('A', 50, 'interpolated_value'),
+           'COUNT': otp.agg.count(),
+       })
+       df = otp.run(data)
+       print(df)
+
+    .. testoutput::
+
+               Time    X  COUNT
+       0 2003-12-04  2.5      4
+    """
+    return FindValueForPercentile(*args, **kwargs)
+
+
+@docstring(parameters=[
+    _decay_doc,
+    _decay_value_type_doc,
+    _running_doc,
+    _bucket_interval_doc,
+    _bucket_units_doc,
+    _bucket_time_doc,
+    _bucket_end_condition_doc,
+    _boundary_tick_bucket_doc,
+    _all_fields_doc,
+    _group_by_doc,
+    _groups_to_display_doc,
+    _end_condition_per_group_doc,
+    _time_series_type_w_doc,
+])
+def exp_w_average(*args, **kwargs):
+    """
+    ``EXP_W_AVERAGE`` aggregation.
+
+    For each bucket, computes the **exponentially weighted average** value of the specified numeric attribute.
+    Weights of data points in a bucket decrease exponentially in the direction from the most recent tick
+    to the most aged one, being equal to ``exp(-Lambda * N)`` for a fixed weight decay value **Lambda**,
+    where **N** ranges over **0, 1, 2, …** as ticks in reverse order of their arrival are treated.
+    Once the weights are known, the average is found using the formula ``sum(weight*value)/sum(weight)``,
+    where the sum is computed across all data points.
+
+    See also
+    --------
+    **EXP_W_AVERAGE** OneTick event processor
+
+    Examples
+    --------
+
+    Basic example
+
+    >>> data = otp.Ticks({'A': [1.0, 2.0, 3.0, 3.0, 4.0]})
+    >>> data = data.exp_w_average('A', decay=2, bucket_interval=2, bucket_units='ticks')
+    >>> otp.run(data)
+                         Time         A
+    0 2003-12-01 00:00:00.001  1.880797
+    1 2003-12-01 00:00:00.003  2.984124
+    2 2003-12-04 00:00:00.000  3.880797
+
+    You can switch to ``half_life_index`` as ``decay_value_type``
+
+    >>> data = otp.Ticks({'A': [1.0, 2.0, 3.0, 3.0, 4.0]})
+    >>> data = data.exp_w_average(
+    ...     'A', decay=2, decay_value_type='half_life_index', bucket_interval=2, bucket_units='ticks',
+    ... )
+    >>> otp.run(data)
+                         Time         A
+    0 2003-12-01 00:00:00.001  1.585786
+    1 2003-12-01 00:00:00.003  2.773459
+    2 2003-12-04 00:00:00.000  3.585786
+    """
+    return ExpWAverage(*args, **kwargs)
+
+
+@docstring(parameters=[
+    _decay_doc,
+    _decay_value_type_hl_doc,
+    _running_doc,
+    _bucket_interval_doc,
+    _bucket_units_doc,
+    _bucket_time_doc,
+    _bucket_end_condition_doc,
+    _boundary_tick_bucket_doc,
+    _all_fields_doc,
+    _group_by_doc,
+    _groups_to_display_doc,
+    _end_condition_per_group_doc,
+])
+def exp_tw_average(*args, **kwargs):
+    """
+    ``EXP_TW_AVERAGE`` aggregation.
+
+    For each bucket, computes the **exponentially time-weighted average** value of a specified numeric field.
+    The weight of each point in the time series is computed relative to the end time of the bucket,
+    so that the value which is in effect during some infinitely small time interval `delta t`
+    has weight **(delta t)*exp(-Lambda*(end_time - t))**,
+    where `Lambda` is a constant, `end_time` represents end time of the bucket,
+    and `t` represents the timestamp of that infinitely small time interval.
+
+    See also
+    --------
+    **EXP_TW_AVERAGE** OneTick event processor
+
+    Examples
+    --------
+
+    Basic example
+
+    >>> data = otp.Ticks({'A': [1.0, 2.0, 3.0, 3.0, 4.0]})
+    >>> data = data.exp_tw_average('A', decay=2, bucket_interval=2, bucket_units='ticks')
+    >>> otp.run(data)
+                         Time         A
+    0 2003-12-01 00:00:00.001  1.000000
+    1 2003-12-01 00:00:00.003  2.500087
+    2 2003-12-04 00:00:00.000  4.000000
+
+    You can switch to ``lambda`` as ``decay_value_type``
+
+    >>> data = otp.Ticks({'A': [1.0, 2.0, 3.0, 3.0, 4.0]})
+    >>> data = data.exp_tw_average(
+    ...     'A', decay=2, decay_value_type='lambda', bucket_interval=2, bucket_units='ticks',
+    ... )
+    >>> otp.run(data)
+                         Time       A
+    0 2003-12-01 00:00:00.001  1.0000
+    1 2003-12-01 00:00:00.003  2.5005
+    2 2003-12-04 00:00:00.000  4.0000
+    """
+    return ExpTwAverage(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc, _degree_doc])
+def standardized_moment(*args, **kwargs):
+    """
+    ``STANDARDIZED_MOMENT`` aggregation.
+
+    Computes the standardized statistical moment of degree **k** of the input ``column``
+    over the specified bucket interval.
+    The standardized moment of degree **k** is defined
+    as the expected value of the expression ``((X - mean) / stddev)^k``.
+
+    See also
+    --------
+    **STANDARDIZED_MOMENT** OneTick event processor
+
+    Examples
+    --------
+
+    Basic example
+
+    .. testcode::
+       :skipif: not otp.compatibility.is_standardized_moment_supported()
+
+       data = otp.Ticks({'A': [1, 2, 4, 4, 4, 6]})
+       data = data.standardized_moment('A', degree=3, bucket_interval=3, bucket_units='ticks')
+       df = otp.run(data)
+       print(df)
+
+    .. testoutput::
+                            Time         A
+       0 2003-12-01 00:00:00.002  0.381802
+       1 2003-12-01 00:00:00.005  0.707107
+    """
+    return StandardizedMoment(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc,
+                       _weight_field_name_doc, _portfolio_side_doc,
+                       _weight_type_doc, _symbols_doc])
+def portfolio_price(*args, **kwargs):
+    """
+    ``PORTFOLIO_PRICE`` aggregation.
+
+    For each bucket, computes weighted portfolio price.
+
+    See also
+    --------
+    **PORTFOLIO_PRICE** OneTick event processor
+
+    Examples
+    --------
+
+    Basic example, by default this EP takes ``PRICE`` column as input
+
+    >>> data = otp.DataSource(
+    ...     'US_COMP', symbol='AAPL', tick_type='TRD',
+    ...     start=otp.dt(2022, 3, 1), end=otp.dt(2022, 3, 2),
+    ... )
+    >>> data = data.portfolio_price()
+    >>> otp.run(data)
+            Time  VALUE  NUM_SYMBOLS
+    0 2022-03-02    1.4            1
+
+    Getting portfolio price for multiple symbols:
+
+    >>> data = otp.DataSource('US_COMP', tick_type='TRD', start=otp.dt(2022, 3, 1), end=otp.dt(2022, 3, 2))
+    >>> data = data.portfolio_price(symbols=['AAPL', 'AAP'])
+    >>> otp.run(data)
+            Time  VALUE  NUM_SYMBOLS
+    0 2022-03-02  46.81            2
+
+    Applying **PORTFOLIO_PRICE** on custom column
+
+    >>> data = otp.Ticks(X=[10.0, 12.5, 11.0, 10.2, 15])
+    >>> data = data.portfolio_price('X')
+    >>> otp.run(data)
+            Time  VALUE  NUM_SYMBOLS
+    0 2003-12-04   15.0            1
+
+    Specifying weights via column 'WEIGHS'
+
+    >>> data = otp.Ticks(PRICE=[10.0, 12.5, 11.0, 10.2, 15], WEIGHTS=[1, 2, -1, 2, 2])
+    >>> data = data.portfolio_price(weight_field_name=data['WEIGHTS'])
+    >>> otp.run(data)
+            Time  VALUE  NUM_SYMBOLS
+    0 2003-12-04   30.0            1
+    """
+    return PortfolioPrice(*args, **kwargs)
+
+
+@docstring(parameters=[_portfolios_query_doc, _columns_portfolio_doc, _running_doc, _bucket_interval_doc,
+                       _bucket_time_doc, _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc,
+                       _weight_field_name_doc,
+                       _weight_multiplier_field_name_doc, _portfolio_side_doc, _weight_type_doc,
+                       _portfolios_query_params_doc, _portfolio_value_field_name_doc, _symbols_doc])
+def multi_portfolio_price(*args, **kwargs):
+    """
+    ``MULTI_PORTFOLIO_PRICE`` aggregation.
+
+    For each bucket, computes weighted portfolio price for multiple portfolios.
+
+    See also
+    --------
+    **MULTI_PORTFOLIO_PRICE** OneTick event processor
+
+    Examples
+    --------
+
+    Basic example, by default this EP takes ``PRICE`` column as input
+
+    >>> data = otp.DataSource(
+    ...     'US_COMP', tick_type='TRD', date=otp.dt(2022, 3, 1)
+    ... )
+    >>> data = data.multi_portfolio_price(
+    ...     portfolios_query='some_query.otq::portfolios_query',
+    ...     symbols=['US_COMP::AAPL', 'US_COMP::MSFT', 'US_COMP::ORCL'],
+    ... )
+    >>> otp.run(data)  # doctest: +SKIP
+            Time  VALUE  NUM_SYMBOLS PORTFOLIO_NAME
+    0 2003-12-01   95.0            3    PORTFOLIO_1
+    1 2003-12-01   47.5            1    PORTFOLIO_2
+    2 2003-12-01   32.5            2    PORTFOLIO_3
+
+    Override ``weight`` returned by ``portfolios_query`` with ``weight_field_name``
+
+    >>> data = otp.DataSource(
+    ...     'US_COMP', tick_type='TRD', date=otp.dt(2022, 3, 1)
+    ... )
+    >>> data['WEIGHT'] = 2
+    >>> data = data.multi_portfolio_price(
+    ...     portfolios_query='some_query.otq::portfolios_query',
+    ...     weight_field_name='WEIGHT',
+    ...     symbols=['US_COMP::AAPL', 'US_COMP::MSFT', 'US_COMP::ORCL'],
+    ... )
+    >>> otp.run(data)  # doctest: +SKIP
+            Time  VALUE  NUM_SYMBOLS PORTFOLIO_NAME
+    0 2003-12-01   38.0            3    PORTFOLIO_1
+    1 2003-12-01   19.0            1    PORTFOLIO_2
+    2 2003-12-01   13.0            2    PORTFOLIO_3
+
+    Pass parameters to the query from ``portfolios_query`` via ``portfolios_query_params``
+
+    >>> data = otp.DataSource(
+    ...     'US_COMP', tick_type='TRD', date=otp.dt(2022, 3, 1)
+    ... )
+    >>> data = data.multi_portfolio_price(
+    ...     portfolios_query='some_query.otq::portfolios_query_with_param',
+    ...     symbols=['US_COMP::AAPL', 'US_COMP::MSFT', 'US_COMP::ORCL'],
+    ...     portfolios_query_params={'PORTFOLIO_1_NAME': 'CUSTOM_NAME'}
+    ... )
+    >>> otp.run(data)  # doctest: +SKIP
+            Time  VALUE  NUM_SYMBOLS PORTFOLIO_NAME
+    0 2003-12-01   95.0            3    CUSTOM_NAME
+    1 2003-12-01   47.5            1    PORTFOLIO_2
+    2 2003-12-01   32.5            2    PORTFOLIO_3
+
+    Use ``otp.Source`` object as ``portfolios_query`` (only for local queries)
+
+    >>> portfolios = otp.Ticks(
+    ...     SYMBOL_NAME=['US_COMP::AAPL', 'US_COMP::MSFT', 'US_COMP::AAPL'],
+    ...     PORTFOLIO_NAME=['PORTFOLIO_1', 'PORTFOLIO_1', 'PORTFOLIO_2'],
+    ...     WEIGHT=[1, 1, 2],
+    ... )
+    >>> data = otp.DataSource(
+    ...     'US_COMP', tick_type='TRD', date=otp.dt(2022, 3, 1)
+    ... )
+    >>> data = data.multi_portfolio_price(
+    ...     portfolios_query=portfolios,
+    ...     symbols=['US_COMP::AAPL', 'US_COMP::MSFT'],
+    ... )
+    >>> otp.run(data)  # doctest: +SKIP
+            Time  VALUE  NUM_SYMBOLS PORTFOLIO_NAME
+    0 2003-12-01   47.5            2    PORTFOLIO_1
+    1 2003-12-01   46.0            1    PORTFOLIO_2
+    """
+    return MultiPortfolioPrice(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc])
+def return_ep(*args, **kwargs):
+    """
+    ``RETURN`` aggregation.
+
+    Computes the ratio between the value of the input field at the end of a bucket interval and the value
+    of this field at the start of a bucket interval.
+    If ``running`` is set to ``True``, then ``RETURN`` is calculated as the ratio between latest tick
+    and the first tick from the start time. Below, the input field is referred to as 'price'.
+
+    ``Return for an interval = ending price for the interval / starting price for the interval``
+
+    where
+
+    * ``ending price for the interval`` is taken from the last tick observed in the stream
+      up to the end of the interval.
+    * ``starting price for the interval`` is taken from the first tick in the interval for the first bucket interval
+      that has any ticks. For all other intervals, it is the price of the first tick with timestamp of the start
+      of interval or, if no such tick is present, the ending price of the previous interval. The ending price
+      for the interval is taken from the last tick observed in the stream up to the end of the interval.
+
+    See also
+    --------
+    **RETURN** OneTick event processor
+
+    Examples
+    --------
+
+    Basic example as :py:class:`~onetick.py.Source` method
+
+    >>> data = otp.DataSource('US_COMP', symbol='AAPL', tick_type='TRD')
+    >>> data = data.return_ep(data['PRICE'], bucket_interval=otp.Minute(10))
+    >>> otp.run(data, date=otp.dt(2022, 3, 1))  # doctest: +SKIP
+                         Time    PRICE
+    0 2022-03-01 00:00:00.000  0.99953
+    1 2022-03-01 00:10:00.000   1.0043
+    2 2022-03-01 00:20:00.000   0.9986
+    3 2022-03-01 00:30:00.000  0.99643
+    4 2022-03-01 00:40:00.000    1.042
+    ...
+
+    Basic example as aggregation
+
+    >>> data = otp.DataSource('US_COMP', symbol='AAPL', tick_type='TRD')
+    >>> data = otp.agg.return_ep(data['PRICE'], bucket_interval=otp.Minute(10)).apply(data)
+    >>> otp.run(data, date=otp.dt(2022, 3, 1))  # doctest: +SKIP
+                         Time    PRICE
+    0 2022-03-01 00:00:00.000  0.99953
+    1 2022-03-01 00:10:00.000   1.0043
+    2 2022-03-01 00:20:00.000   0.9986
+    3 2022-03-01 00:30:00.000  0.99643
+    4 2022-03-01 00:40:00.000    1.042
+    ...
+    """
+    return Return(*args, **kwargs)
+
+
+@docstring(parameters=[_column_doc, _running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc, _group_by_doc, _groups_to_display_doc,
+                       _interest_rate_doc, _price_field_doc, _option_price_field_doc,
+                       _method_doc, _precision_doc, _value_for_non_converge_doc, _option_type_field_doc,
+                       _strike_price_field_doc, _days_in_year_doc, _days_till_expiration_field_doc,
+                       _expiration_date_field_doc,
+                       ])
+def implied_vol(*args, **kwargs):
+    """
+    ``IMPLIED_VOL`` aggregation.
+
+    For each bucket, computes implied volatility value for the last tick in the bucket,
+    based on the Black-Scholes option pricing model.
+
+    This EP requires a time series of ticks, having the ``PRICE`` and ``OPTION_PRICE`` attributes.
+
+    It also requires several parameters to compute the implied volatility.
+    Those are, ``OPTION_TYPE``, ``STRIKE_PRICE``, ``EXPIRATION_DATE`` or ``DAYS_TILL_EXPIRATION`` and ``INTEREST_RATE``.
+    Each parameter can be specified either via a symbol parameter with the same name, or via a tick field,
+    by specifying name of that field as an EP parameter.
+    Besides, ``interest_rate`` can also be specified as aggregation parameter.
+    In either case ``OPTION_TYPE`` must have either ``CALL`` value, or ``PUT``.
+    ``EXPIRATION_DATE`` is in ``YYYYMMDD`` format, a string in case of a symbol parameter and an integer
+    in case of a tick attribute.
+
+    See also
+    --------
+    **IMPLIED_VOL** OneTick event processor
+
+    Examples
+    --------
+
+    Basic example:
+
+    >>> data = otp.DataSource('SOME_DB', symbol='AAA', tick_type='TT')  # doctest: +SKIP
+    >>> data = data.implied_vol(
+    ...     interest_rate=0.05, option_type_field=data['OPTION_TYPE'],
+    ...     strike_price_field=data['STRIKE_PRICE'], days_till_expiration_field=data['DAYS_TILL_EXPIRATION'],
+    ... )  # doctest: +SKIP
+    >>> otp.run(data)  # doctest: +SKIP
+            Time     VALUE
+    0 2003-12-04  0.889491
+
+    Specifying ``interest_rate`` and ``strike_price`` as symbol parameters:
+
+    >>> sym = otp.Ticks({
+    ...     'SYMBOL_NAME': ['TEST'],
+    ...     'INTEREST_RATE': [0.05],
+    ...     'STRIKE_PRICE': [100.0],
+    ... })  # doctest: +SKIP
+    >>> data = otp.DataSource('SOME_DB', symbol='AAA', tick_type='TT')  # doctest: +SKIP
+    >>> data = data.implied_vol(
+    ...     option_type_field=data['OPTION_TYPE'], days_till_expiration_field=data['DAYS_TILL_EXPIRATION'],
+    ... )  # doctest: +SKIP
+    >>> otp.run(data)  # doctest: +SKIP
+            Time     VALUE
+    0 2003-12-04  0.889491
+    """
+    return ImpliedVol(*args, **kwargs)
+
+
+@docstring(parameters=[_running_doc, _all_fields_doc, _bucket_interval_doc, _bucket_time_doc,
+                       _bucket_units_doc, _bucket_end_condition_doc, _end_condition_per_group_doc,
+                       _boundary_tick_bucket_doc,
+                       ])
+def linear_regression(*args, **kwargs):
+    """
+    ``LINEAR_REGRESSION`` aggregation.
+
+    For each bucket, computes the linear regression parameters slope and intercept of specified input fields
+    ``dependent_variable_field_name`` and ``independent_variable_field_name``.
+    Adds computed parameters as `SLOPE` and `INTERCEPT` fields in output time series.
+    The relationship between the dependent variable (``Y``) and the independent variable (``X``) is defined
+    by the formula: Y = SLOPE * X + INTERCEPT, where `SLOPE` and `INTERCEPT` are the calculated output parameters.
+
+    See also
+    --------
+    **LINEAR_REGRESSION** OneTick event processor
+
+    Examples
+    --------
+
+    >>> data = otp.Ticks({'X': [10.0, 9.5, 8.0, 8.5], 'Y': [3.0, 5.0, 4.5, 3.5]})
+    >>> data = data.linear_regression(
+    ...     dependent_variable_field_name=data['Y'],
+    ...     independent_variable_field_name=data['X'],
+    ... )  # doctest: +SKIP
+    >>> otp.run(data)  # doctest: +SKIP
+            Time  SLOPE  INTERCEPT
+    0 2003-12-04   -0.3        6.7
+    """
+    return LinearRegression(*args, **kwargs)