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szs8/quote_price_levels.py

Created September 7, 2012 19:44
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marking quote price levels in pandas dataframe
Raw
quote_price_levels.py
In [25]: quotes.head()
Out[25]:
bid ask bsize asize
2012-09-06 09:30:00.026000 13.34 13.44 3 16
2012-09-06 09:30:00.043000 13.34 13.44 3 17
2012-09-06 09:30:00.121000 13.36 13.65 1 10
2012-09-06 09:30:00.386000 13.36 13.52 21 1
2012-09-06 09:30:00.440000 13.40 13.44 15 17
In [26]: quotes["mid"] = 0.5 * (quotes.bid + quotes.ask)
In [27]: quotes["levels"] = np.cumsum((quotes.mid.shift(1) != quotes.mid).astype(np.int))
In [29]: quotes.head()
Out[29]:
bid ask bsize asize mid levels
2012-09-06 09:30:00.026000 13.34 13.44 3 16 13.390 1
2012-09-06 09:30:00.043000 13.34 13.44 3 17 13.390 1
2012-09-06 09:30:00.121000 13.36 13.65 1 10 13.505 2
2012-09-06 09:30:00.386000 13.36 13.52 21 1 13.440 3
2012-09-06 09:30:00.440000 13.40 13.44 15 17 13.420 4
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