00001 """
A collection of modules for collecting, analyzing and plotting
financial data. User contributions welcome!
"""
import os, time, warnings, md5
from urllib import urlopen
try: import datetime
except ImportError:
raise SystemExit('The finance module requires datetime support (python2.3)')
from matplotlib import verbose, get_configdir
from artist import Artist
from dates import date2num, num2date
from matplotlib.cbook import Bunch
from matplotlib.collections import LineCollection, PolyCollection
from matplotlib.colors import colorConverter
from lines import Line2D, TICKLEFT, TICKRIGHT
from patches import Rectangle
import matplotlib.numerix as nx
from matplotlib.transforms import scale_transform, Value, zero, one, \
scale_sep_transform, blend_xy_sep_transform
from pylab import gca
configdir = get_configdir()
cachedir = os.path.join(configdir, 'finance.cache')
00033 def parse_yahoo_historical(fh, asobject=False, adjusted=True):
"""
Parse the historical data in file handle fh from yahoo finance and return
results as a list of
d, open, close, high, low, volume
where d is a floating poing representation of date, as returned by date2num
if adjust=True, use adjusted prices
"""
results = []
lines = fh.readlines()
datefmt = None
for line in lines[1:]:
vals = line.split(',')
if len(vals)!=7: continue
datestr = vals[0]
if datefmt is None:
try:
datefmt = '%Y-%m-%d'
dt = datetime.date(*time.strptime(datestr, datefmt)[:3])
except ValueError:
datefmt = '%d-%b-%y'
dt = datetime.date(*time.strptime(datestr, datefmt)[:3])
d = date2num(dt)
open, high, low, close = [float(val) for val in vals[1:5]]
volume = int(vals[5])
if adjusted:
aclose = float(vals[6])
m = aclose/close
open *= m
high *= m
low *= m
close = aclose
results.append((d, open, close, high, low, volume))
results.reverse()
if asobject:
if len(results)==0: return None
else:
date, open, close, high, low, volume = map(nx.asarray, zip(*results))
return Bunch(date=date, open=open, close=close, high=high, low=low, volume=volume)
else:
return results
00085 def fetch_historical_yahoo(ticker, date1, date2, cachename=None):
"""
Fetch historical data for ticker between date1 and date2. date1 and
date2 are datetime instances
Ex:
fh = fetch_historical_yahoo('^GSPC', d1, d2)
cachename is the name of the local file cache. If None, will
default to the md5 hash or the url (which incorporates the ticker
and date range)
a file handle is returned
"""
ticker = ticker.upper()
d1 = (date1.month-1, date1.day, date1.year)
d2 = (date2.month-1, date2.day, date2.year)
urlFmt = 'http://table.finance.yahoo.com/table.csv?a=%d&b=%d&c=%d&d=%d&e=%d&f=%d&s=%s&y=0&g=d&ignore=.csv'
url = urlFmt % (d1[0], d1[1], d1[2],
d2[0], d2[1], d2[2], ticker)
if cachename is None:
cachename = os.path.join(cachedir, md5.md5(url).hexdigest())
if os.path.exists(cachename):
fh = file(cachename)
verbose.report('Using cachefile %s for %s'%(cachename, ticker))
else:
if not os.path.isdir(cachedir): os.mkdir(cachedir)
fh = file(cachename, 'w')
fh.write(urlopen(url).read())
fh.close()
verbose.report('Saved %s data to cache file %s'%(ticker, cachename))
fh = file(cachename, 'r')
return fh
00130 def quotes_historical_yahoo(ticker, date1, date2, asobject=False, adjusted=True, cachename=None):
"""
Get historical data for ticker between date1 and date2. date1 and
date2 are datetime instances
results are a list of tuples
(d, open, close, high, low, volume)
where d is a floating poing representation of date, as returned by date2num
if asobject is True, the return val is an object with attrs date,
open, close, high, low, volume, which are equal length arrays
if adjust=True, use adjusted prices
Ex:
sp = f.quotes_historical_yahoo('^GSPC', d1, d2, asobject=True, adjusted=True)
returns = (sp.open[1:] - sp.open[:-1])/sp.open[1:]
[n,bins,patches] = hist(returns, 100)
mu = mean(returns)
sigma = std(returns)
x = normpdf(bins, mu, sigma)
plot(bins, x, color='red', lw=2)
cachename is the name of the local file cache. If None, will
default to the md5 hash or the url (which incorporates the ticker
and date range)
"""
fh = fetch_historical_yahoo(ticker, date1, date2, cachename)
try: ret = parse_yahoo_historical(fh, asobject, adjusted)
except IOError, exc:
warnings.warn('urlopen() failure\n' + url + '\n' + exc.strerror[1])
return None
return ret
00169 def plot_day_summary(ax, quotes, ticksize=3,
colorup='k', colordown='r',
):
"""
quotes is a list of (time, open, close, high, low, ...) tuples
Represent the time, open, close, high, low as a vertical line
ranging from low to high. The left tick is the open and the right
tick is the close.
time must be in float date format - see date2num
ax : an Axes instance to plot to
ticksize : open/close tick marker in points
colorup : the color of the lines where close >= open
colordown : the color of the lines where close < open
return value is a list of lines added
"""
lines = []
for q in quotes:
t, open, close, high, low = q[:5]
if close>=open : color = colorup
else : color = colordown
vline = Line2D(
xdata=(t, t), ydata=(low, high),
color=color,
antialiased=False,
)
oline = Line2D(
xdata=(t, t), ydata=(open, open),
color=color,
antialiased=False,
marker=TICKLEFT,
markersize=ticksize,
)
cline = Line2D(
xdata=(t, t), ydata=(close, close),
color=color,
antialiased=False,
markersize=ticksize,
marker=TICKRIGHT)
lines.extend((vline, oline, cline))
ax.add_line(vline)
ax.add_line(oline)
ax.add_line(cline)
ax.autoscale_view()
return lines
00231 def candlestick(ax, quotes, width=0.2, colorup='k', colordown='r',
alpha=1.0):
"""
quotes is a list of (time, open, close, high, low, ...) tuples.
As long as the first 5 elements of the tuples are these values,
the tuple can be as long as you want (eg it may store volume).
time must be in float days format - see date2num
Plot the time, open, close, high, low as a vertical line ranging
from low to high. Use a rectangular bar to represent the
open-close span. If close >= open, use colorup to color the bar,
otherwise use colordown
ax : an Axes instance to plot to
width : fraction of a day for the rectangle width
colorup : the color of the rectangle where close >= open
colordown : the color of the rectangle where close < open
alpha : the rectangle alpha level
return value is lines, patches where lines is a list of lines
added and patches is a list of the rectangle patches added
"""
OFFSET = width/2.0
lines = []
patches = []
for q in quotes:
t, open, close, high, low = q[:5]
if close>=open :
color = colorup
lower = open
height = close-open
else :
color = colordown
lower = close
height = open-close
vline = Line2D(
xdata=(t, t), ydata=(low, high),
color='k',
linewidth=0.5,
antialiased=True,
)
rect = Rectangle(
xy = (t-OFFSET, lower),
width = width,
height = height,
facecolor = color,
edgecolor = color,
)
rect.set_alpha(alpha)
lines.append(vline)
patches.append(rect)
ax.add_line(vline)
ax.add_patch(rect)
ax.autoscale_view()
return lines, patches
00301 def plot_day_summary2(ax, opens, closes, highs, lows, ticksize=4,
colorup='k', colordown='r',
):
"""
Represent the time, open, close, high, low as a vertical line
ranging from low to high. The left tick is the open and the right
tick is the close.
ax : an Axes instance to plot to
ticksize : size of open and close ticks in points
colorup : the color of the lines where close >= open
colordown : the color of the lines where close < open
return value is a list of lines added
"""
rangeSegments = [ ((i, low), (i, high)) for i, low, high in zip(xrange(len(lows)), lows, highs) if low != -1 ]
openSegments = [ ((-ticksize, 0), (0, 0)) ]
closeSegments = [ ((0, 0), (ticksize, 0)) ]
offsetsOpen = [ (i, open) for i, open in zip(xrange(len(opens)), opens) if open != -1 ]
offsetsClose = [ (i, close) for i, close in zip(xrange(len(closes)), closes) if close != -1 ]
scale = ax.figure.dpi * Value(1/72.0)
tickTransform = scale_transform( scale, zero())
r,g,b = colorConverter.to_rgb(colorup)
colorup = r,g,b,1
r,g,b = colorConverter.to_rgb(colordown)
colordown = r,g,b,1
colord = { True : colorup,
False : colordown,
}
colors = [colord[open<close] for open, close in zip(opens, closes) if open!=-1 and close !=-1]
assert(len(rangeSegments)==len(offsetsOpen))
assert(len(offsetsOpen)==len(offsetsClose))
assert(len(offsetsClose)==len(colors))
useAA = 0,
lw = 1,
rangeCollection = LineCollection(rangeSegments,
colors = colors,
linewidths = lw,
antialiaseds = useAA,
)
openCollection = LineCollection(openSegments,
colors = colors,
antialiaseds = useAA,
linewidths = lw,
offsets = offsetsOpen,
transOffset = ax.transData,
)
openCollection.set_transform(tickTransform)
closeCollection = LineCollection(closeSegments,
colors = colors,
antialiaseds = useAA,
linewidths = lw,
offsets = offsetsClose,
transOffset = ax.transData,
)
closeCollection.set_transform(tickTransform)
minx, maxx = (0, len(rangeSegments))
miny = min([low for low in lows if low !=-1])
maxy = max([high for high in highs if high != -1])
corners = (minx, miny), (maxx, maxy)
ax.update_datalim(corners)
ax.autoscale_view()
ax.add_collection(rangeCollection)
ax.add_collection(openCollection)
ax.add_collection(closeCollection)
return rangeCollection, openCollection, closeCollection
00394 def candlestick2(ax, opens, closes, highs, lows, width=4,
colorup='k', colordown='r',
alpha=0.75,
):
"""
Represent the open, close as a bar line and high low range as a
vertical line.
ax : an Axes instance to plot to
width : the bar width in points
colorup : the color of the lines where close >= open
colordown : the color of the lines where close < open
alpha : bar transparency
return value is lineCollection, barCollection
"""
right = width/2.0
left = -width/2.0
barVerts = [ ( (left, 0), (left, close-open), (right, close-open), (right, 0) ) for open, close in zip(opens, closes) if open != -1 and close!=-1 ]
rangeSegments = [ ((i, low), (i, high)) for i, low, high in zip(xrange(len(lows)), lows, highs) if low != -1 ]
offsetsBars = [ (i, open) for i,open in zip(xrange(len(opens)), opens) if open != -1 ]
sx = ax.figure.dpi * Value(1/72.0)
sy = (ax.bbox.ur().y() - ax.bbox.ll().y()) / (ax.viewLim.ur().y() - ax.viewLim.ll().y())
barTransform = scale_sep_transform(sx,sy)
r,g,b = colorConverter.to_rgb(colorup)
colorup = r,g,b,alpha
r,g,b = colorConverter.to_rgb(colordown)
colordown = r,g,b,alpha
colord = { True : colorup,
False : colordown,
}
colors = [colord[open<close] for open, close in zip(opens, closes) if open!=-1 and close !=-1]
assert(len(barVerts)==len(rangeSegments))
assert(len(rangeSegments)==len(offsetsBars))
assert(len(offsetsBars)==len(colors))
useAA = 0,
lw = 0.5,
rangeCollection = LineCollection(rangeSegments,
colors = ( (0,0,0,1), ),
linewidths = lw,
antialiaseds = useAA,
)
barCollection = PolyCollection(barVerts,
facecolors = colors,
edgecolors = ( (0,0,0,1), ),
antialiaseds = useAA,
linewidths = lw,
offsets = offsetsBars,
transOffset = ax.transData,
)
barCollection.set_transform(barTransform)
minx, maxx = (0, len(rangeSegments))
miny = min([low for low in lows if low !=-1])
maxy = max([high for high in highs if high != -1])
corners = (minx, miny), (maxx, maxy)
ax.update_datalim(corners)
ax.autoscale_view()
ax.add_collection(barCollection)
ax.add_collection(rangeCollection)
return rangeCollection, barCollection
00482 def volume_overlay(ax, opens, closes, volumes,
colorup='k', colordown='r',
width=4, alpha=1.0):
"""
Add a volume overlay to the current axes. The opens and closes
are used to determine the color of the bar. -1 is missing. If a
value is missing on one it must be missing on all
ax : an Axes instance to plot to
width : the bar width in points
colorup : the color of the lines where close >= open
colordown : the color of the lines where close < open
alpha : bar transparency
"""
r,g,b = colorConverter.to_rgb(colorup)
colorup = r,g,b,alpha
r,g,b = colorConverter.to_rgb(colordown)
colordown = r,g,b,alpha
colord = { True : colorup,
False : colordown,
}
colors = [colord[open<close] for open, close in zip(opens, closes) if open!=-1 and close !=-1]
right = width/2.0
left = -width/2.0
bars = [ ( (left, 0), (left, v), (right, v), (right, 0)) for v in volumes if v != -1 ]
sx = ax.figure.dpi * Value(1/72.0)
sy = (ax.bbox.ur().y() - ax.bbox.ll().y()) / (ax.viewLim.ur().y() - ax.viewLim.ll().y())
barTransform = scale_sep_transform(sx,sy)
offsetsBars = [ (i, 0) for i,v in enumerate(volumes) if v != -1 ]
barCollection = PolyCollection(bars,
facecolors = colors,
edgecolors = ( (0,0,0,1), ),
antialiaseds = (0,),
linewidths = (0.5,),
offsets = offsetsBars,
transOffset = ax.transData,
)
barCollection.set_transform(barTransform)
minx, maxx = (0, len(offsetsBars))
miny = 0
maxy = max([v for v in volumes if v!=-1])
corners = (minx, miny), (maxx, maxy)
ax.update_datalim(corners)
ax.autoscale_view()
return barCollection
00547 def volume_overlay2(ax, closes, volumes,
colorup='k', colordown='r',
width=4, alpha=1.0):
"""
Add a volume overlay to the current axes. The closes are used to
determine the color of the bar. -1 is missing. If a value is
missing on one it must be missing on all
ax : an Axes instance to plot to
width : the bar width in points
colorup : the color of the lines where close >= open
colordown : the color of the lines where close < open
alpha : bar transparency
nb: first point is not displayed - it is used only for choosing the
right color
"""
return volume_overlay(ax,closes[:-1],closes[1:],volumes[1:],colorup,colordown,width,alpha)
00569 def volume_overlay3(ax, quotes,
colorup='k', colordown='r',
width=4, alpha=1.0):
"""
Add a volume overlay to the current axes. quotes is a list of (d,
open, close, high, low, volume) and close-open is used to
determine the color of the bar
kwarg
width : the bar width in points
colorup : the color of the lines where close1 >= close0
colordown : the color of the lines where close1 < close0
alpha : bar transparency
"""
r,g,b = colorConverter.to_rgb(colorup)
colorup = r,g,b,alpha
r,g,b = colorConverter.to_rgb(colordown)
colordown = r,g,b,alpha
colord = { True : colorup,
False : colordown,
}
dates, opens, closes, highs, lows, volumes = zip(*quotes)
colors = [colord[close1>=close0] for close0, close1 in zip(closes[:-1], closes[1:]) if close0!=-1 and close1 !=-1]
colors.insert(0,colord[closes[0]>=opens[0]])
right = width/2.0
left = -width/2.0
bars = [ ( (left, 0), (left, volume), (right, volume), (right, 0)) for d, open, close, high, low, volume in quotes]
sx = ax.figure.dpi * Value(1/72.0)
sy = (ax.bbox.ur().y() - ax.bbox.ll().y()) / (ax.viewLim.ur().y() - ax.viewLim.ll().y())
barTransform = scale_sep_transform(sx,sy)
dates = [d for d, open, close, high, low, volume in quotes]
offsetsBars = [(d, 0) for d in dates]
useAA = 0,
lw = 0.5,
barCollection = PolyCollection(bars,
facecolors = colors,
edgecolors = ( (0,0,0,1), ),
antialiaseds = useAA,
linewidths = lw,
offsets = offsetsBars,
transOffset = ax.transData,
)
barCollection.set_transform(barTransform)
minx, maxx = (min(dates), max(dates))
miny = 0
maxy = max([volume for d, open, close, high, low, volume in quotes])
corners = (minx, miny), (maxx, maxy)
ax.update_datalim(corners)
ax.add_collection(barCollection)
ax.autoscale_view()
return barCollection
00642 def index_bar(ax, vals,
facecolor='b', edgecolor='l',
width=4, alpha=1.0, ):
"""
Add a bar collection graph with height vals (-1 is missing).
ax : an Axes instance to plot to
width : the bar width in points
alpha : bar transparency
"""
facecolors = (colorConverter.to_rgba(facecolor, alpha),)
edgecolors = (colorConverter.to_rgba(edgecolor, alpha),)
right = width/2.0
left = -width/2.0
bars = [ ( (left, 0), (left, v), (right, v), (right, 0)) for v in vals if v != -1 ]
sx = ax.figure.dpi * Value(1/72.0)
sy = (ax.bbox.ur().y() - ax.bbox.ll().y()) / (ax.viewLim.ur().y() - ax.viewLim.ll().y())
barTransform = scale_sep_transform(sx,sy)
offsetsBars = [ (i, 0) for i,v in enumerate(vals) if v != -1 ]
barCollection = PolyCollection(bars,
facecolors = facecolors,
edgecolors = edgecolors,
antialiaseds = (0,),
linewidths = (0.5,),
offsets = offsetsBars,
transOffset = ax.transData,
)
barCollection.set_transform(barTransform)
minx, maxx = (0, len(offsetsBars))
miny = 0
maxy = max([v for v in vals if v!=-1])
corners = (minx, miny), (maxx, maxy)
ax.update_datalim(corners)
ax.autoscale_view()
ax.add_collection(barCollection)
return barCollection