Event

An Event is a snapshot of information occurring at a specific moment in time. It contains a list of items, and all items in a single event share the same timestamp. When an event is created, its timestamp is always converted to UTC.

An event is generated by a Feed and can contain any type of information.

Price Items¶

Since trading prices and volumes are such common type of data used in algo-trading, roboquant supports this with a number of special classes.

The base class is the PriceItem. Roboquant provides three built-in price items, and it is easy to add your own:

• Bar — Open, high, low, close prices and volume (a.k.a. candlesticks). The default price is the close price, and additional price types like OPEN, HIGH, and LOW are available.

• Quote — Ask and bid prices and volumes. The default price is the mid-point price; ASK and BID are also available.

• TradePrice — A single traded price with an optional volume.

from roboquant import Stock
from roboquant.common.event import Bar, Quote, TradePrice

asset = Stock("ABC")

item1 = Bar(asset, [10.0, 11.0, 9.0, 10.0, 10_000]) # OHLCV
item2 = Quote(asset, [11.0, 1_000, 10.0, 1_000]) # [ask-price, ask-volume, bid-price, bid-volume]
item3 = TradePrice(asset, 100.0, 10_000) # price, volume

print(item1, item2, item3, sep="\n")

Bar(asset=Stock(symbol='ABC', currency='USD'), ohlcv=[10.0, 11.0, 9.0, 10.0, 10000], frequency='')
Quote(asset=Stock(symbol='ABC', currency='USD'), data=[11.0, 1000, 10.0, 1000])
TradePrice(asset=Stock(symbol='ABC', currency='USD'), trade_price=100.0, trade_volume=10000)

Accessing Prices¶

The price_items property returns a dictionary that maps each asset in the event to its price item. This makes it fast and easy to access the prices of all assets in a single event.

import roboquant as rq

feed = rq.feeds.YahooFeed("IBM", start_date="2025-01-01", end_date="2025-02-01")

for event in feed.play():
    for asset, item in event.price_items.items():
        assert isinstance(item, Bar)
        print(event.time, asset.symbol, item.price())

2025-01-02 05:00:00+00:00 IBM 210.12008666992188
2025-01-03 05:00:00+00:00 IBM 212.70907592773438
2025-01-06 05:00:00+00:00 IBM 212.72817993164062
2025-01-07 05:00:00+00:00 IBM 213.96060180664062
2025-01-08 05:00:00+00:00 IBM 213.21542358398438
2025-01-10 05:00:00+00:00 IBM 209.9385528564453
2025-01-13 05:00:00+00:00 IBM 207.69346618652344
2025-01-14 05:00:00+00:00 IBM 208.02786254882812
2025-01-15 05:00:00+00:00 IBM 210.2060546875
2025-01-16 05:00:00+00:00 IBM 212.71864318847656
2025-01-17 05:00:00+00:00 IBM 214.7535400390625
2025-01-21 05:00:00+00:00 IBM 214.2471923828125
2025-01-22 05:00:00+00:00 IBM 213.29185485839844
2025-01-23 05:00:00+00:00 IBM 215.94772338867188
2025-01-24 05:00:00+00:00 IBM 214.76309204101562
2025-01-27 05:00:00+00:00 IBM 214.1230010986328
2025-01-28 05:00:00+00:00 IBM 215.58468627929688
2025-01-29 05:00:00+00:00 IBM 218.42208862304688
2025-01-30 05:00:00+00:00 IBM 246.73870849609375
2025-01-31 05:00:00+00:00 IBM 244.283447265625

There are also a few helper methods directly on the Event:

• get_price(asset, price_type="DEFAULT") — the price of one asset, or None if not present.

• get_prices(price_type="DEFAULT") — a dictionary with the prices of all assets.

• get_volume(asset, volume_type="DEFAULT") — the volume of one asset, or None if not present.

• is_empty() — whether the event contains any items.