{ "cells": [ { "cell_type": "code", "execution_count": 2, "metadata": {}, "outputs": [], "source": [ "#Import the icepython library\n", "#Make sure to read our quick start guide! Additional support can be reached by contacting DesktopClientSupport@theice.com\n", "import icepython as ice" ] }, { "cell_type": "code", "execution_count": null, "metadata": { "collapsed": true }, "outputs": [], "source": [ "#Sample Time and Sales for Trades and Conditions with Index\n", "import pandas as pd\n", "data = ice.get_timesales('HNG 1!-IUS',['Price','Conditions','Size'],100000,'2021-4-07')\n", "df = pd.DataFrame(list(data))\n", "print(df)" ] }, { "cell_type": "code", "execution_count": null, "metadata": { "collapsed": true }, "outputs": [], "source": [ "#Sample Time and Sales for Bids and Asks with Start date/End Date\n", "import pandas as pd\n", "data = ice.get_timesales('HNG 1!-IUS',['Bid','Ask'],'2021-05-01','2021-05-10')\n", "df = pd.DataFrame(list(data))\n", "print(df)" ] }, { "cell_type": "code", "execution_count": 3, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ " 0 1 2 \\\n", "0 Time HNG 1!-IUS.PRICE HNG 1!-IUS.CONDITIONS \n", "1 2021-05-09T16:50:00 2.952 SetByBid \n", "2 2021-05-09T16:50:11 2.952 SetByBid \n", "3 2021-05-09T16:59:31 2.958 SetByBid \n", "4 2021-05-09T16:59:32 2.958 SetByBid \n", "5 2021-05-09T16:59:41 2.958 SetByBid \n", "6 2021-05-09T16:59:50 2.958 SetByBid \n", "7 2021-05-09T17:00:00 2.96 SetByBid \n", "8 2021-05-09T17:00:00 2.96 SetByBid \n", "9 2021-05-09T17:00:00 2.96 SetByBid \n", "10 2021-05-09T17:00:00 2.96 SetByBid \n", "11 2021-05-09T17:00:00 2.96 SetByBid \n", "12 2021-05-09T17:00:00 2.96 SetByBid \n", "13 2021-05-09T17:00:00 2.96 SetByBid \n", "14 2021-05-09T17:00:00 2.96 SetByBid \n", "15 2021-05-09T17:00:00 2.96 SetByBid \n", "16 2021-05-09T17:00:48 2.958 SetByBid \n", "17 2021-05-09T17:00:48 None \n", "18 2021-05-09T17:00:48 None \n", "19 2021-05-09T17:00:55 2.958 SetByBid \n", "20 2021-05-09T17:00:55 2.958 SetByBid \n", "21 2021-05-09T17:06:58 2.958 SetByBid \n", "22 2021-05-09T17:07:03 2.96 SetByBid \n", "23 2021-05-09T17:13:03 None \n", "24 2021-05-09T17:35:15 2.955 SetByBid \n", "25 2021-05-09T18:04:00 2.955 SetByAsk \n", "26 2021-05-09T18:24:00 2.953 SetByBid \n", "27 2021-05-09T19:09:44 2.951 SetByAsk \n", "28 2021-05-09T19:09:44 2.951 SetByAsk \n", "29 2021-05-09T20:09:07 None \n", "30 2021-05-09T20:09:07 None \n", "31 2021-05-09T21:03:34 2.954 SetByAsk \n", "32 2021-05-09T21:03:34 2.954 SetByAsk \n", "33 2021-05-09T21:03:34 2.953 SetByAsk \n", "34 2021-05-09T21:03:34 2.953 SetByAsk \n", "35 2021-05-09T21:23:12 2.955 SetByAsk \n", "36 2021-05-09T21:33:51 None \n", "37 2021-05-09T22:33:02 None \n", "38 2021-05-09T22:33:19 2.96 SetByBid \n", "\n", " 3 4 5 6 \\\n", "0 HNG 1!-IUS.SIZE HNG 2!-IUS.PRICE HNG 2!-IUS.CONDITIONS HNG 2!-IUS.SIZE \n", "1 2500 None None \n", "2 2500 None None \n", "3 2500 None None \n", "4 2500 None None \n", "5 2500 None None \n", "6 2500 None None \n", "7 2500 None None \n", "8 2500 None None \n", "9 2500 None None \n", "10 2500 None None \n", "11 2500 None None \n", "12 2500 None None \n", "13 2500 None None \n", "14 2500 None None \n", "15 2500 None None \n", "16 2500 None None \n", "17 None None None \n", "18 None 2.997 Leg 2500 \n", "19 2500 None None \n", "20 2500 None None \n", "21 2500 None None \n", "22 2500 None None \n", "23 None 2.999 Leg 2500 \n", "24 2500 None None \n", "25 2500 None None \n", "26 2500 None None \n", "27 2500 None None \n", "28 2500 None None \n", "29 None None None \n", "30 None None None \n", "31 2500 None None \n", "32 2500 None None \n", "33 2500 None None \n", "34 2500 None None \n", "35 2500 None None \n", "36 None None None \n", "37 None None None \n", "38 5000 None None \n", "\n", " 7 8 9 \\\n", "0 HNG 3!-IUS.PRICE HNG 3!-IUS.CONDITIONS HNG 3!-IUS.SIZE \n", "1 None None \n", "2 None None \n", "3 None None \n", "4 None None \n", "5 None None \n", "6 None None \n", "7 None None \n", "8 None None \n", "9 None None \n", "10 None None \n", "11 None None \n", "12 None None \n", "13 None None \n", "14 None None \n", "15 None None \n", "16 None None \n", "17 3.005 Leg 2500 \n", "18 None None \n", "19 None None \n", "20 None None \n", "21 None None \n", "22 None None \n", "23 3.007 Leg 2500 \n", "24 None None \n", "25 None None \n", "26 None None \n", "27 None None \n", "28 None None \n", "29 None None \n", "30 None None \n", "31 None None \n", "32 None None \n", "33 None None \n", "34 None None \n", "35 None None \n", "36 3.005 SetByBid 2500 \n", "37 None None \n", "38 None None \n", "\n", " ... 480 481 \\\n", "0 ... HNG 160!-IUS.SIZE HNG 161!-IUS.PRICE \n", "1 ... None None \n", "2 ... None None \n", "3 ... None None \n", "4 ... None None \n", "5 ... None None \n", "6 ... None None \n", "7 ... None None \n", "8 ... None None \n", "9 ... None None \n", "10 ... None None \n", "11 ... None None \n", "12 ... None None \n", "13 ... None None \n", "14 ... None None \n", "15 ... None None \n", "16 ... None None \n", "17 ... None None \n", "18 ... None None \n", "19 ... None None \n", "20 ... None None \n", "21 ... None None \n", "22 ... None None \n", "23 ... None None \n", "24 ... None None \n", "25 ... None None \n", "26 ... None None \n", "27 ... None None \n", "28 ... None None \n", "29 ... None None \n", "30 ... None None \n", "31 ... None None \n", "32 ... None None \n", "33 ... None None \n", "34 ... None None \n", "35 ... None None \n", "36 ... None None \n", "37 ... None None \n", "38 ... None None \n", "\n", " 482 483 484 \\\n", "0 HNG 161!-IUS.CONDITIONS HNG 161!-IUS.SIZE HNG 162!-IUS.PRICE \n", "1 None None \n", "2 None None \n", "3 None None \n", "4 None None \n", "5 None None \n", "6 None None \n", "7 None None \n", "8 None None \n", "9 None None \n", "10 None None \n", "11 None None \n", "12 None None \n", "13 None None \n", "14 None None \n", "15 None None \n", "16 None None \n", "17 None None \n", "18 None None \n", "19 None None \n", "20 None None \n", "21 None None \n", "22 None None \n", "23 None None \n", "24 None None \n", "25 None None \n", "26 None None \n", "27 None None \n", "28 None None \n", "29 None None \n", "30 None None \n", "31 None None \n", "32 None None \n", "33 None None \n", "34 None None \n", "35 None None \n", "36 None None \n", "37 None None \n", "38 None None \n", "\n", " 485 486 487 \\\n", "0 HNG 162!-IUS.CONDITIONS HNG 162!-IUS.SIZE HNG 163!-IUS.PRICE \n", "1 None None \n", "2 None None \n", "3 None None \n", "4 None None \n", "5 None None \n", "6 None None \n", "7 None None \n", "8 None None \n", "9 None None \n", "10 None None \n", "11 None None \n", "12 None None \n", "13 None None \n", "14 None None \n", "15 None None \n", "16 None None \n", "17 None None \n", "18 None None \n", "19 None None \n", "20 None None \n", "21 None None \n", "22 None None \n", "23 None None \n", "24 None None \n", "25 None None \n", "26 None None \n", "27 None None \n", "28 None None \n", "29 None None \n", "30 None None \n", "31 None None \n", "32 None None \n", "33 None None \n", "34 None None \n", "35 None None \n", "36 None None \n", "37 None None \n", "38 None None \n", "\n", " 488 489 \n", "0 HNG 163!-IUS.CONDITIONS HNG 163!-IUS.SIZE \n", "1 None \n", "2 None \n", "3 None \n", "4 None \n", "5 None \n", "6 None \n", "7 None \n", "8 None \n", "9 None \n", "10 None \n", "11 None \n", "12 None \n", "13 None \n", "14 None \n", "15 None \n", "16 None \n", "17 None \n", "18 None \n", "19 None \n", "20 None \n", "21 None \n", "22 None \n", "23 None \n", "24 None \n", "25 None \n", "26 None \n", "27 None \n", "28 None \n", "29 None \n", "30 None \n", "31 None \n", "32 None \n", "33 None \n", "34 None \n", "35 None \n", "36 None \n", "37 None \n", "38 None \n", "\n", "[39 rows x 490 columns]\n" ] } ], "source": [ "#Sample Time and Sales with multiple securities (full forward Curve)\n", "import pandas as pd\n", "symbols = ice.get_autolist('*HNG-IUS')\n", "data = ice.get_timesales(symbols,['Price','Conditions','Size'],'2021-05-08','2021-05-10')\n", "df = pd.DataFrame(list(data))\n", "print(df)" ] }, { "cell_type": "code", "execution_count": 3, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ " 0 1 2 \\\n", "0 Time BRN 21Z-ICE.PRICE BRN 21Z-ICE.CONDITIONS \n", "1 2021-07-08T03:14:26 70.57 BlockTrde, Leg \n", "2 2021-07-08T03:14:35 70.45 BlockTrde, Leg \n", "3 2021-07-08T03:15:18 70.45 BlockTrde, Leg \n", "4 2021-07-08T03:19:18 70.45 BlockTrde, Leg \n", ".. ... ... ... \n", "79 2021-07-09T12:55:13 73.15 BlockTrde, Leg \n", "80 2021-07-09T13:35:25 73.08 BlockTrde \n", "81 2021-07-09T13:45:16 73.15 BlockTrde, Leg \n", "82 2021-07-09T13:46:29 73.15 BlockTrde, Leg \n", "83 2021-07-09T14:06:35 73 BlockTrde \n", "\n", " 3 \n", "0 BRN 21Z-ICE.SIZE \n", "1 25 \n", "2 8 \n", "3 8 \n", "4 12 \n", ".. ... \n", "79 16 \n", "80 100 \n", "81 32 \n", "82 16 \n", "83 80 \n", "\n", "[84 rows x 4 columns]\n" ] } ], "source": [ "#Sample Time and Sales filtered with only Blocks\n", "import pandas as pd\n", "symbols = ice.get_autolist('BRN 21Z-ICE')\n", "data = ice.get_timesales(symbols,['Price','Conditions','Size'],'2021-07-08','2021-07-10', filter ='Blocks')\n", "df = pd.DataFrame(list(data))\n", "print(df)\n", "#Other filter options:\n", "# filter = 'trades'\n", "# filter = 'quotes'\n", "# filter = 'asks'\n", "# filter = 'bids'" ] } ], "metadata": { "kernelspec": { "display_name": "Python 3", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.8.3" } }, "nbformat": 4, "nbformat_minor": 2 }