onetick-py 1.180.0__tar.gz → 1.181.0__tar.gz

{onetick_py-1.180.0/src/onetick_py.egg-info → onetick_py-1.181.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: onetick-py
-Version: 1.180.0
+Version: 1.181.0
 Summary: Python package that allows you to work with OneTick
 Author-email: solutions <solutions@onetick.com>
 License-Expression: MIT

{onetick_py-1.180.0 → onetick_py-1.181.0}/src/onetick/py/_version.py

@@ -1,2 +1,2 @@
 # This file was generated automatically. DO NOT CHANGE.
-VERSION = '1.180.0'
+VERSION = '1.181.0'

{onetick_py-1.180.0 → onetick_py-1.181.0}/src/onetick/py/core/_source/source_methods/joins.py

@@ -544,6 +544,8 @@ def join_with_query(
     default_fields_for_outer_join=None,
     symbol_time=None,
     concurrency=None,
+    batch_size=None,
+    shared_thread_count=None,
     process_query_async: bool = True,
     **kwargs,
 ) -> 'Source':
@@ -621,7 +623,12 @@ def join_with_query(
     symbol_time : :py:class:`otp.datetime <onetick.py.datetime>`, :py:class:`otp.Operation <onetick.py.Operation>`
         Time that will be used by Onetick to map the symbol with which ``query`` is executed to the reference data.
         This parameter is only necessary if the query is expected to perform symbology conversions.
-    concurrency : int
+    concurrency: int
+        Specifies concurrency for the joined ``query`` execution.
+        Default is 1 (no concurrency).
+    batch_size: int
+        Specifies batch size for the joined ``query`` execution. Default is 0.
+    shared_thread_count: int
         Specifies number of threads for asynchronous processing of ``query`` per unbound symbol list.
         By default, the number of threads is 1.
     process_query_async: bool
@@ -904,11 +911,23 @@ def join_with_query(
     columns.update(self._get_columns_with_prefix(sub_source, prefix))
     columns.update(self.columns(skip_meta_fields=True))
 
+    otq_properties = {}
+    if concurrency is not None:
+        if not isinstance(concurrency, int) or concurrency <= 0:
+            raise ValueError(f"Parameter 'concurrency' should be a positive integer, got {concurrency}")
+        otq_properties['concurrency'] = concurrency
+
+    if batch_size is not None:
+        if not isinstance(batch_size, int) or batch_size < 0:
+            raise ValueError(f"Parameter 'batch_size' should be a non-negative integer, got {batch_size}")
+        otq_properties['batch_size'] = batch_size
+
     res = self.copy(columns=columns)
 
     res._merge_tmp_otq(sub_source)
     query_name = sub_source._store_in_tmp_otq(
-        res._tmp_otq, symbols='_NON_EXISTING_SYMBOL_', operation_suffix="join_with_query"
+        res._tmp_otq, symbols='_NON_EXISTING_SYMBOL_', operation_suffix="join_with_query",
+        **otq_properties,
     )  # TODO: combine with _convert_symbol_to_string
     # ------------------------------------ #
 
@@ -928,10 +947,10 @@ def join_with_query(
         default_fields_for_outer_join=default_fields_for_outer_join_str,
         process_query_asynchronously=process_query_async,
     )
-    if concurrency is not None:
-        if not isinstance(concurrency, int) or concurrency <= 0:
-            raise ValueError('Wrong value of concurrency parameter passed! concurrency should be a positive integer')
-        join_params['shared_thread_count'] = concurrency
+    if shared_thread_count is not None:
+        if not isinstance(shared_thread_count, int) or shared_thread_count <= 0:
+            raise ValueError("Parameter 'shared_thread_count' should be a positive integer")
+        join_params['shared_thread_count'] = shared_thread_count
 
     start_time = kwargs.get('start_time', start)
     end_time = kwargs.get('end_time', end)

{onetick_py-1.180.0 → onetick_py-1.181.0}/src/onetick/py/core/_source/tmp_otq.py

@@ -63,6 +63,14 @@ class TmpOtq:
     def __init__(self):
         self.queries = {}
 
+    def __check_params(self, params):
+        supported_query_parameters = ('running_query_flag', 'symbol_date', 'concurrency', 'batch_size')
+        for param in params:
+            if param not in supported_query_parameters:
+                raise ValueError(
+                    f"Query parameter '{param}' is not one of the supported parameters: {supported_query_parameters}"
+                )
+
     def add_query(self, query, suffix="", name=None, params=None):
         """
         Adds query with a unique generated name to the storage.
@@ -89,6 +97,7 @@ class TmpOtq:
             raise ValueError(f"There is already a query with name '{name}' in {self.__class__.__name__} storage")
         if params is None:
             params = {}
+        self.__check_params(params)
         self.queries[name] = (query, params)
         return name
 
@@ -119,7 +128,9 @@ class TmpOtq:
     def save_to_file(self, query=None, query_name="main_query", file_path=None, file_suffix="",
                      start=None, end=None, start_time_expression=None, end_time_expression=None, timezone=None,
                      running_query_flag=None,
-                     symbol_date=None):
+                     symbol_date=None,
+                     concurrency=None,
+                     batch_size=None):
         """
         Saves all queries from the query dict and one more query (if passed);
         returns absolute path to passed query in file (if passed) or path of resulted file
@@ -146,9 +157,17 @@ class TmpOtq:
             end time expression for the resulting .otq file
         timezone: str
             timezone for the resulting .otq file
+        running_query_flag:
+            Will be applied only to the query specified in the ``query`` parameter.
         symbol_date: :py:class:`otp.datetime <onetick.py.datetime>` or :py:class:`datetime.datetime` or int
             Symbol date for the query or integer in the YYYYMMDD format.
             Will be applied only to the query specified in the ``query`` parameter.
+        concurrency: int
+            Concurrency set for the query.
+            Will be applied only to the query specified in the ``query`` parameter.
+        batch_size: int
+            Batch size set for the query.
+            Will be applied only to the query specified in the ``query`` parameter.
 
         Returns
         -------
@@ -178,6 +197,10 @@ class TmpOtq:
                 query_params['running_query_flag'] = running_query_flag
             if symbol_date is not None:
                 query_params['symbol_date'] = symbol_date
+            if concurrency is not None:
+                query_params['concurrency'] = concurrency
+            if batch_size is not None:
+                query_params['batch_size'] = batch_size
             queries_dict[query_name] = (query, query_params)
 
         # defining file-wise start/end times and time expressions
@@ -217,6 +240,11 @@ class TmpOtq:
                 if stored_symbol_date is not None:
                     stored_symbol_date = int(utils.symbol_date_to_str(stored_symbol_date))
                     stored_query.set_symbol_date(stored_symbol_date)
+            if stored_query_params.get('concurrency') is not None:
+                stored_query.set_max_concurrency(stored_query_params['concurrency'])
+            if stored_query_params.get('batch_size') is not None:
+                stored_query.set_batch_size(stored_query_params['batch_size'])
+
             query_list.append(stored_query)
 
         _ = otli.OneTickLib()

{onetick_py-1.180.0 → onetick_py-1.181.0}/src/onetick/py/core/source.py

@@ -526,7 +526,8 @@ class Source:
                                          symbol_date=symbol_date)
 
     def _store_in_tmp_otq(self, tmp_otq, operation_suffix="tmp_query", symbols=None, start=None, end=None,
-                          raw=None, add_passthrough=True, name=None, timezone=None, symbol_date=None):
+                          raw=None, add_passthrough=True, name=None, timezone=None, symbol_date=None,
+                          concurrency=None, batch_size=None):
         """
         Adds this source to the tmp_otq storage
 
@@ -573,7 +574,13 @@ class Source:
             else:
                 graph.time_interval_properties().set_timezone(timezone)
 
-        params = {'symbol_date': symbol_date} if symbol_date is not None else {}
+        params = {}
+        if symbol_date is not None:
+            params['symbol_date'] = symbol_date
+        if concurrency is not None:
+            params['concurrency'] = concurrency
+        if batch_size is not None:
+            params['batch_size'] = batch_size
         suffix = self._name_suffix(suffix=operation_suffix, separator='__', remove_invalid_symbols=True)
         return tmp_otq.add_query(graph, suffix=suffix, name=name, params=params)
 

{onetick_py-1.180.0 → onetick_py-1.181.0}/src/onetick/py/sources/symbols.py

@@ -17,9 +17,9 @@ from .common import update_node_tick_type
 
 class Symbols(Source):
     """
-    Construct a source that returns ticks with information about symbols in a database.
-    The SYMBOL_NAME field is populated with symbol names. The TICK_TYPE field contains
-    corresponding tick type (enabled by the ``show_tick_type`` parameter).
+    Construct a source that returns symbol names from the database.
+
+    The **SYMBOL_NAME** field will contain symbol names.
 
     Parameters
     ----------
@@ -42,7 +42,7 @@ class Symbols(Source):
         If you want symbol name to contain literal ``%`` character, you should write ``NQ\\%``.
         ``\\`` is a special character too, so it need to be escaped too
         if you want symbol name to contain literal backslash, e.g. ``NQ\\\\M23``.
-        Default is ``%``.
+        Default is ``%`` (any symbol name).
 
     for_tick_type: str
         Fetch only symbols belong to this tick type, if specified.
@@ -54,10 +54,14 @@ class Symbols(Source):
         Translation is performed, if destination symbology is not empty
         and is different from that of the queried database.
     show_original_symbols: bool
-        Switches original symbol name propagation as a tick field ORIGINAL_SYMBOL_NAME
-        if symbol name translation is performed (if `symbology` is set).
-        Note that if this parameter is set to True,
-        database symbols with missing translations are also propagated.
+        Switches original symbol name propagation as a tick field **ORIGINAL_SYMBOL_NAME**
+        if symbol name translation is performed (if parameter ``symbology`` is set).
+
+        .. note::
+
+          If this parameter is set to True, database symbols with missing translations are also propagated.
+          In this case **ORIGINAL_SYMBOL_NAME** will be presented, but **SYMBOL_NAME** field will be empty.
+
     discard_on_match: bool
         If True, then parameter ``pattern`` filters out symbols to return from the database.
     cep_method: str
@@ -115,95 +119,152 @@ class Symbols(Source):
 
     This class can be used to get a list of all symbols in the database:
 
-    >>> symbols = otp.Symbols('US_COMP', date=otp.dt(2022, 3, 1))
-    >>> otp.run(symbols)
-            Time  SYMBOL_NAME
-    0 2022-03-01          AAP
-    1 2022-03-01         AAPL
+    >>> data = otp.Symbols('US_COMP_SAMPLE', date=otp.dt(2024, 2, 1))  # doctest: +SKIP
+    >>> otp.run(data)                                                  # doctest: +SKIP
+              Time  SYMBOL_NAME
+    0   2024-02-01            A
+    1   2024-02-01          AAL
+    2   2024-02-01         AAPL
+    3   2024-02-01         ABBV
+    4   2024-02-01         ABNB
+    ..         ...          ...
+    496 2024-02-01          XYL
+    497 2024-02-01          YUM
+    498 2024-02-01          ZBH
+    499 2024-02-01         ZBRA
+    500 2024-02-01          ZTS
 
     By default database name and time interval will be inherited from :py:func:`otp.run <onetick.py.run>`:
 
-    >>> data = otp.Symbols()
-    >>> otp.run(data, symbols='US_COMP::', date=otp.dt(2022, 3, 1))
-            Time  SYMBOL_NAME
-    0 2022-03-01          AAP
-    1 2022-03-01         AAPL
+    >>> data = otp.Symbols()                                                # doctest: +SKIP
+    >>> otp.run(data, symbols='US_COMP_SAMPLE::', date=otp.dt(2024, 2, 1))  # doctest: +SKIP
+              Time  SYMBOL_NAME
+    0   2024-02-01            A
+    1   2024-02-01          AAL
+    2   2024-02-01         AAPL
+    ..         ...          ...
 
-    Parameter ``keep_db`` can be used to show database name in a SYMBOL_NAME field.
+    Parameter ``keep_db`` can be used to show database name in the output.
     It is useful when querying symbols for many databases:
 
-    >>> data = otp.Symbols(keep_db=True)
-    >>> data = otp.merge([data], symbols=['SOME_DB::', 'SOME_DB_2::'])
-    >>> otp.run(data, date=otp.config.default_start_time)  # doctest: +ELLIPSIS
-            Time    SYMBOL_NAME
-    0 2003-12-01    SOME_DB::S1
-    1 2003-12-01    SOME_DB::S2
-    2 2003-12-01  SOME_DB_2::S1
-    3 2003-12-01  SOME_DB_2::S2
+    >>> data = otp.Symbols(keep_db=True)                                        # doctest: +SKIP
+    >>> data = data.first(2)                                                    # doctest: +SKIP
+    >>> data = otp.merge([data], symbols=['US_COMP_SAMPLE::', 'CME_SAMPLE::'])  # doctest: +SKIP
+    >>> otp.run(data, date=otp.dt(2024, 2, 1))                                  # doctest: +SKIP
+            Time          SYMBOL_NAME
+    0 2024-02-01    US_COMP_SAMPLE::A
+    1 2024-02-01  US_COMP_SAMPLE::AAL
+    2 2024-02-01  CME_SAMPLE::CL\\F25
+    3 2024-02-01  CME_SAMPLE::CL\\F26
+    ..       ...                  ...
 
     By default symbols for all tick types are returned.
     You can set parameter ``show_tick_type`` to print the tick type for each symbol:
 
-    >>> symbols = otp.Symbols('US_COMP', show_tick_type=True)
-    >>> otp.run(symbols, date=otp.dt(2022, 3, 1))
-            Time SYMBOL_NAME TICK_TYPE
-    0 2022-03-01         AAP       TRD
-    1 2022-03-01        AAPL       QTE
-    2 2022-03-01        AAPL       TRD
+    >>> data = otp.Symbols('US_COMP_SAMPLE', show_tick_type=True)  # doctest: +SKIP
+    >>> otp.run(data, date=otp.dt(2024, 2, 1))                     # doctest: +SKIP
+               Time  SYMBOL_NAME  TICK_TYPE
+    0    2024-02-01            A        DAY
+    1    2024-02-01            A       LULD
+    2    2024-02-01            A       NBBO
+    3    2024-02-01            A        QTE
+    4    2024-02-01            A       STAT
+    ..          ...          ...        ...
 
     Parameter ``for_tick_type`` can be used to specify a single tick type for which to return symbols:
 
-    >>> symbols = otp.Symbols('US_COMP', show_tick_type=True, for_tick_type='TRD')
-    >>> otp.run(symbols, date=otp.dt(2022, 3, 1))
-            Time SYMBOL_NAME TICK_TYPE
-    0 2022-03-01         AAP       TRD
-    1 2022-03-01        AAPL       TRD
+    >>> data = otp.Symbols('US_COMP_SAMPLE', show_tick_type=True, for_tick_type='TRD')  # doctest: +SKIP
+    >>> otp.run(data, date=otp.dt(2024, 2, 1))                                          # doctest: +SKIP
+              Time  SYMBOL_NAME  TICK_TYPE
+    0   2024-02-01            A        TRD
+    1   2024-02-01          AAL        TRD
+    2   2024-02-01         AAPL        TRD
+    3   2024-02-01         ABBV        TRD
+    4   2024-02-01         ABNB        TRD
+    ..         ...          ...        ...
 
     Parameter ``pattern`` can be used to specify the pattern to filter symbol names:
 
-    >>> symbols = otp.Symbols('US_COMP', show_tick_type=True, for_tick_type='TRD', pattern='AAP_')
-    >>> otp.run(symbols, date=otp.dt(2022, 3, 1))
+    >>> data = otp.Symbols('US_COMP_SAMPLE', show_tick_type=True, for_tick_type='TRD',
+    ...                    pattern='AAP_')      # doctest: +SKIP
+    >>> otp.run(data, date=otp.dt(2024, 2, 1))  # doctest: +SKIP
             Time SYMBOL_NAME TICK_TYPE
-    0 2022-03-01        AAPL       TRD
+    0 2024-02-01        AAPL       TRD
 
     Parameter ``discard_on_match`` can be used to use ``pattern`` to filter out symbols instead:
 
-    >>> symbols = otp.Symbols('US_COMP', show_tick_type=True, for_tick_type='TRD',
-    ...                       pattern='AAP_', discard_on_match=True)
-    >>> otp.run(symbols, date=otp.dt(2022, 3, 1))
-            Time SYMBOL_NAME TICK_TYPE
-    0 2022-03-01         AAP       TRD
+    >>> data = otp.Symbols('US_COMP_SAMPLE', show_tick_type=True, for_tick_type='TRD',
+    ...                    pattern='AAP_', discard_on_match=True)  # doctest: +SKIP
+    >>> otp.run(data, date=otp.dt(2024, 2, 1))                     # doctest: +SKIP
+              Time  SYMBOL_NAME  TICK_TYPE
+    0   2024-02-01            A        TRD
+    1   2024-02-01          AAL        TRD
+    2   2024-02-01         ABBV        TRD
+    3   2024-02-01         ABNB        TRD
+    4   2024-02-01          ABT        TRD
+    ..         ...          ...        ...
 
     ``otp.Symbols`` object can be used to specify symbols for the main query:
 
-    >>> symbols = otp.Symbols('US_COMP')
-    >>> data = otp.DataSource('US_COMP', tick_type='TRD')
-    >>> result = otp.run(data, symbols=symbols, date=otp.dt(2022, 3, 1))
-    >>> result['AAPL']
-                         Time  PRICE  SIZE
-    0 2022-03-01 00:00:00.000    1.3   100
-    1 2022-03-01 00:00:00.001    1.4    10
-    2 2022-03-01 00:00:00.002    1.4    50
-    >>> result['AAP']
-                         Time  PRICE
-    0 2022-03-01 00:00:00.000  45.37
-    1 2022-03-01 00:00:00.001  45.41
+    >>> symbols = otp.Symbols('US_COMP_SAMPLE')                           # doctest: +SKIP
+    >>> symbols = symbols.first(3)                                        # doctest: +SKIP
+    >>> data = otp.DataSource('US_COMP_SAMPLE', tick_type='TRD')          # doctest: +SKIP
+    >>> result = otp.run(data, symbols=symbols, date=otp.dt(2024, 2, 1))  # doctest: +SKIP
+    >>> result['AAPL'][['Time', 'PRICE', 'SIZE']]                         # doctest: +SKIP
+                                    Time   PRICE  SIZE
+    0      2024-02-01 04:00:00.008283417  186.50     6
+    1      2024-02-01 04:00:00.008290927  185.59     1
+    2      2024-02-01 04:00:00.008291153  185.49   107
+    3      2024-02-01 04:00:00.010381671  185.49     1
+    4      2024-02-01 04:00:00.011224206  185.50     2
+    ..                               ...     ...   ...
+
+    >>> result['AAL'][['Time', 'PRICE', 'SIZE']]                          # doctest: +SKIP
+                                    Time  PRICE  SIZE
+    0      2024-02-01 04:00:00.097381367  14.33     1
+    1      2024-02-01 04:00:00.138908789  14.37     1
+    2      2024-02-01 04:00:00.726613365  14.36    10
+    3      2024-02-01 04:00:02.195702506  14.36    73
+    4      2024-02-01 04:01:55.268302813  14.39     1
+    ..                               ...    ...   ...
 
     Additional fields of the ``otp.Symbols`` can be used in the main query as symbol parameters:
 
-    >>> symbols = otp.Symbols('SOME_DB', show_tick_type=True, keep_db=True)
-    >>> symbols['PARAM'] = symbols['SYMBOL_NAME'] + '__' + symbols['TICK_TYPE']
-    >>> data = otp.DataSource('SOME_DB')
-    >>> data['S_PARAM'] = data.Symbol['PARAM', str]
-    >>> data = otp.merge([data], symbols=symbols)
-    >>> otp.run(data)
-                         Time   X          S_PARAM
-    0 2003-12-01 00:00:00.000   1  SOME_DB::S1__TT
-    1 2003-12-01 00:00:00.000  -3  SOME_DB::S2__TT
-    2 2003-12-01 00:00:00.001   2  SOME_DB::S1__TT
-    3 2003-12-01 00:00:00.001  -2  SOME_DB::S2__TT
-    4 2003-12-01 00:00:00.002   3  SOME_DB::S1__TT
-    5 2003-12-01 00:00:00.002  -1  SOME_DB::S2__TT
+    >>> symbols = otp.Symbols('US_COMP_SAMPLE', show_tick_type=True, for_tick_type='TRD')  # doctest: +SKIP
+    >>> symbols['PARAM'] = symbols['SYMBOL_NAME'] + '__' + symbols['TICK_TYPE']            # doctest: +SKIP
+    >>> data = otp.DataSource('US_COMP_SAMPLE', tick_type='TRD')                           # doctest: +SKIP
+    >>> data = data.first(1)                                                               # doctest: +SKIP
+    >>> data['S_PARAM'] = data.Symbol['PARAM', str]                                        # doctest: +SKIP
+    >>> data = otp.merge([data], symbols=symbols)                                          # doctest: +SKIP
+    >>> data = data[['PRICE', 'SIZE', 'S_PARAM']]                                          # doctest: +SKIP
+    >>> otp.run(data, date=otp.dt(2024, 2, 1))                                             # doctest: +SKIP
+                                 Time    PRICE  SIZE    S_PARAM
+    0   2024-02-01 04:00:00.001974784  193.800     4   HSY__TRD
+    1   2024-02-01 04:00:00.003547904   57.810    18   OXY__TRD
+    2   2024-02-01 04:00:00.006354688   42.810    30   DVN__TRD
+    3   2024-02-01 04:00:00.007310080  165.890     9   WMT__TRD
+    4   2024-02-01 04:00:00.007833957   43.170    22  INTC__TRD
+    ..                            ...      ...   ...        ...
+
+    Use parameter ``symbology`` to specify different symbology to translate to.
+    You can also use parameter ``show_original_symbols`` to print original symbols.
+    Note that some symbols may not have a translation in target symbology, so their names will be empty:
+
+    >>> data = otp.Symbols('US_COMP', for_tick_type='TRD',
+    ...                    symbology='FGV', show_original_symbols=True)                     # doctest: +SKIP
+    >>> otp.run(data, start=otp.dt(2023, 5, 15, 9, 30), end=otp.dt(2023, 5, 15, 9, 30, 1))  # doctest: +SKIP
+                         Time   SYMBOL_NAME  ORIGINAL_SYMBOL_NAME
+    0     2023-05-15 09:30:00  BBG000C2V3D6            US_COMP::A
+    1     2023-05-15 09:30:00  BBG00B3T3HD3           US_COMP::AA
+    2     2023-05-15 09:30:00  BBG01B0JRCS6          US_COMP::AAA
+    3     2023-05-15 09:30:00  BBG00LPXX872         US_COMP::AAAU
+    4     2023-05-15 09:30:00  BBG00YZC2Z91          US_COMP::AAC
+    ...                   ...           ...                   ...
+    10946 2023-05-15 09:30:00                      US_COMP::ZXIET
+    10947 2023-05-15 09:30:00                      US_COMP::ZXZZT
+    10948 2023-05-15 09:30:00  BBG019XSYC89         US_COMP::ZYME
+    10949 2023-05-15 09:30:00  BBG007BBS8B7         US_COMP::ZYNE
+    10950 2023-05-15 09:30:00  BBG000BJBXZ2         US_COMP::ZYXI
 
     **Escaping special characters in the pattern**
 

{onetick_py-1.180.0 → onetick_py-1.181.0/src/onetick_py.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: onetick-py
-Version: 1.180.0
+Version: 1.181.0
 Summary: Python package that allows you to work with OneTick
 Author-email: solutions <solutions@onetick.com>
 License-Expression: MIT