Mastering market dynamics: Transforming transaction cost analytics with ultra-precise Tick History – PCAP and Amazon Athena for Apache Spark
AWS Big Data
JANUARY 31, 2024
astype('double') df["ES"] = ((df["AskPrice"]-df["BidPrice"])/2) - trade_price df["QS"] = df["AskPrice"]-df["BidPrice"] df["EQF"] = (df["ES"]/df["QS"])*100 return df def get_trade_before_n_seconds(trade_time, df, seconds=0, groupby_col = None): nseconds=seconds*1000000000 nseconds += trade_time ret_df = df[df['ReceiptTimestamp'] nseconds].groupby(groupby_col).first()
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