Tick Data Format and pd Converstion

babansfolio

@sujith : Need your help again

Question:1
Does your Full Mode Tick data is on Jason Format? Below is one sample Format.
[
{
'tradable': True,
'mode': 'full',
'instrument_token': 128083204,
'last_price': 932.75,
'last_quantity': 10,
'average_price': 932.01,
'volume': 184931,
'buy_quantity': 160578,
'sell_quantity': 225589,
'ohlc': {'open': 924.2, 'high': 937.0, 'low': 923.75, 'close': 923.9},
'change': 0.9578958761770779,
'last_trade_time': datetime.datetime(2018, 2, 23, 15, 17, 40),
'oi': 0,
'oi_day_high': 0,
'oi_day_low': 0,
'timestamp': datetime.datetime(2018, 2, 23, 15, 17, 42),
'depth':
{
'buy':
[{'quantity': 205, 'price': 932.6, 'orders': 131074},
{'quantity': 214, 'price': 932.55, 'orders': 131074},
{'quantity': 128, 'price': 932.5, 'orders': 131074},
{'quantity': 108, 'price': 932.25, 'orders': 65537},
{'quantity': 177, 'price': 932.0, 'orders': 393222}],
'sell':
[{'quantity': 1008, 'price': 933.0, 'orders': 131074},
{'quantity': 25, 'price': 933.1, 'orders': 65537},
{'quantity': 90, 'price': 933.2, 'orders': 65537},
{'quantity': 108, 'price': 933.25, 'orders': 65537},
{'quantity': 250, 'price': 933.3, 'orders': 65537}]
}
}
]

Q2. If possible please share any idea/hints, how to converts it's on Pandas data frame?
Q3. Does "json.load" , "json_normalize" will help?
Q4. Any other efficient process in your mind?

tonystark

Check out this thread.