Data Points

Data points are declarative wrappers that fetch and cache market data. You just declare once, and then access the data like a variable, with no repeated fetching logic needed.

The framework provides three powerful, high-level data helpers to simplify market data access and caching. These are designed to let your strategy focus on logic, not plumbing.

Available Data Points

Helper Name	Description
getCandleDataSym	Fetches spot, futures, or option candles.
getCombinedPremium	Builds synthetic OHLC by adding/subtracting 2 option leg prices.
getSyntheticFut	Computes synthetic future

---

getCandleDataSym

Purpose:

• Fetch candle data for a single instrument (spot, futures, or option).

• Attribute access: After registration you call self.name and receive a fresh DataFrame on demand; internal caching keeps it fast.

Method Signature (inside data_init):

self.getCandleDataSym(
    dataType="spot",
    name="dt_SPOT"
)

Example Use

def data_init(self):
    # 1-minute spot candles for today only
    self.getCandleDataSym(
        dataType="spot",
        name="dt_SPOT"
    )
    
    # Weekly ATM Call Option candles with 1 day look-back
    self.getCandleDataSym(
        dataType="opt",
        exp={"expType": "weekly", "expNo": 0},
        strike={"by": "moneyness", "at": "atm"},
        opType="CE",
        dataLength=1,
        name="dt_ATMCE"
    )

---

getCombinedPremium

Purpose:

• Aggregate 2 option series into one synthetic OHLC data series.
• Return: merged DataFrame with OHLC V and greeks where available.

Example Use

self.getCombinedPremium(
    strikes=[
        {
            'exp': {'expNo': 0, 'expType': 'weekly'},
            'opType': 'CE',
            'strike': {'at': 'itm2', 'by': 'strike'}
        },
        'ADD',
        {
            'exp': {'expNo': 1, 'expType': 'weekly'},
            'opType': 'PE',
            'strike': {'at': 'atm', 'by': 'strike'}
        }
    ],
    dataLength=1,
    candleType='candlestick',
    timeFrame=None,
    asof='10:05:00',
    name='dt_combPrem'
)

Parameters

Parameter	Type	Notes
strikes	list[dict "ADD","SUB"]	List of option leg dictionaries and operators ('ADD', 'SUB') to construct a synthetic series

---

getSyntheticFut

Purpose:

Built on top of getCombinedPremium, computes a synthetic future price series as:

• Synthetic = Strike + ATM CE premium − ATM PE premium
• Returns a price series closely tracking the underlying futures.

Example Use

self.getSyntheticFut(
    exp={'expNo': 0, 'expType': 'weekly'},
    dataLength=1,
    strike={'at': 'atm', 'by': 'strike'},
    candleType='candlestick',
    timeFrame=None,
    asof='None',
    name='dt_synthFUT'
)

---

getMultiData

Purpose:

Fetches market data for multiple symbols at a specific timestamp — useful when you need to access the same candle time across a basket of instruments (e.g., CE/PE pair, hedge legs).

getMultiData(symbols: list[str], ts: Optional[datetime.datetime] = None) -> dict

Parameters

Name	Type	Description
symbols	list[str]	List of full trading symbols to fetch data for (CE/PE/options/fut).
ts	datetime.datetime or None	Optional. Candle timestamp (only from today). If None, uses current candle time.

Returns

dict[str, dict] — A dictionary mapping each symbol to its market data at the specified time.

Example Use

data = self.getMultiData(
    symbols=["NIFTY17APR2522800CE", "NIFTY17APR2522800PE"],
    ts=datetime.datetime(2025, 4, 11, 9, 29)
)
print(data["NIFTY17APR2522800CE"]["close"])  # e.g., 108.75

⚠️ Important Notes

• ts must be from today's date only — not allowed for past trading days.
• If ts is not specified, it defaults to self.currentCandle["datetime"].
• If symbol is invalid or unavailable at that ts, it may raise an error or return None.

Using the Data in Strategy

Once registered, access your helper outputs anywhere in the strategy:

spot_close     = self.dt_SPOT.close.iloc[-1]
straddle_ohlc  = self.dt_straddle.iloc[-1]
synth_high     = self.dt_synthFUT.high.iloc[-1]

These are lazy-evaluated, internally cached pandas.DataFrame objects.

---

Data Points Parameters

Parameters for getCandleDataSym

Parameter	Type	Meaning / Notes
dataType	"spot" / "fut" / "opt"	Instrument universe to query
exp	dict	Expiry info (only for options/futures). Example: "expType": "weekly", "expNo": 0 (nearest expiry)
strike	dict	Strike selector (for options). See below
opType	"CE" / "PE"	Option type — Call or Put (only for options)
dataLength	int	Number of past trading days to include.
candleType	"candlestick" / "heikenashi"	Candle style. Heiken Ashi is converted after fetch
timeFrame	int (minutes)	Candle timeframe, defaults to engine's timeframe
name	str	Attribute label (e.g. "dt_FUT") for access in strategy
asof	"HH:MM:SS" or None	Lock strike selection to time-of-day. If None then ignores asof.

Expiry Parameters

Parameter	Type	Meaning / Description
expType	"weekly" / "monthly"	Type of option expiry to use
expNo	0 / 1	0 means nearest expiry, 1 means next

Strike Parameters

by Value	at Value Examples	Meaning / Description
"strike"	"atm": At-the-money strike "itm8": 8 strikes In-The-Money "otm3": 3 strikes Out-Of-The-Money	Absolute strike offset relative to ATM. Range: itm10 to otm10
"premium near"	int (e.g., 100)	Closest strike with premium near ₹100. range(0-9999)
"premium above"	int (e.g., 100)	First strike with premium > ₹100. range(0-9999)
"premium below"	int (e.g., 100)	First strike with premium < ₹100. range(0-9999)