def ori_vs_adj_trade_NVDA():
dayStartNVDA = '20070910' # Start day
dayEndNVDA = '20070911' # End day
parentddir1 = os.path.abspath(os.path.join(os.path.dirname(__file__), os.path.pardir))
parentddir2 = os.path.abspath(os.path.join(parentddir1, os.path.pardir))
oriTradeStartNVDA = TAQTradesReader(os.path.join(parentddir2, 'R/trades/'+dayStartNVDA+'/NVDA_trades.binRT'))
oriTradeEndNVDA = TAQTradesReader(os.path.join(parentddir2, 'R/trades/'+dayEndNVDA+'/NVDA_trades.binRT'))
oriPriceNVDA = [] # List to store price
oriShareNVDA = [] # List to store number of shares
timeList = [] # List to store time stamp
# Append data to each of the lists
for i in range(oriTradeStartNVDA.getN()):
oriPriceNVDA.append(oriTradeStartNVDA.getPrice(i))
oriShareNVDA.append(oriTradeStartNVDA.getSize(i))
timeList.append(1189396800000 + oriTradeStartNVDA.getTimestamp(i))
for i in range(oriTradeEndNVDA.getN()):
oriPriceNVDA.append(oriTradeEndNVDA.getPrice(i))
oriShareNVDA.append(oriTradeEndNVDA.getSize(i))
timeList.append(1189483200000 + oriTradeEndNVDA.getTimestamp(i))
# convert data format to datetime
dateTimeList = []
for timeStamp in timeList:
dateTimeList.append(datetime.fromtimestamp(timeStamp/1000))
adjTradeStartNVDA = BinReader(os.path.join(os.getcwd(), 'adjusted_trades/NVDA_trades.gz'), '>QIIf', 100)
ts0, _, size0, p0 = adjTradeStartNVDA.next()
ts = []
ts.append(ts0)
share = []
share.append(size0)
price = []
price.append(p0)
while adjTradeStartNVDA.hasNext():
t, i, s, p = adjTradeStartNVDA.next()
ts.append(t)
share.append(s)
price.append(p)
sIdx = binarySearch(ts, 0, len(ts)-1, timeList[0]) # find the start index
eIdx = binarySearch(ts, 0, len(ts)-1, timeList[-1]) # find the end index
pList = price[sIdx:eIdx+1]
sList = share[sIdx:eIdx+1]
adjTradeStartNVDA.close() # close bin reader
plt.figure(figsize=(9,6))
ax = plt.gca()
xfmt = mdates.DateFormatter('%m-%d %H:%M')
ax.xaxis.set_major_formatter(xfmt)
plt.plot(dateTimeList[:-5], oriPriceNVDA[:-5], ls = 'None', marker = 'o', ms = 5, color = 'y', label = 'original')
plt.plot(dateTimeList[:-5], pList, ls = 'None', marker = 'x', ms = 2 , color = 'black', label = 'adjusted')
plt.xticks([datetime.strptime('2007-09-10 10:00:00', '%Y-%m-%d %H:%M:%S'),
datetime.strptime('2007-09-10 15:00:00', '%Y-%m-%d %H:%M:%S'),
datetime.strptime('2007-09-11 09:30:00', '%Y-%m-%d %H:%M:%S'),
datetime.strptime('2007-09-11 15:00:00', '%Y-%m-%d %H:%M:%S')])
plt.title('Original NVDA Trade Price VS Adjusted NVDA Trade Price')
plt.xlabel('Time')
plt.ylabel('Price')
plt.legend()
plt.show()
plt.figure(figsize=(9,6))
ax = plt.gca()
xfmt = mdates.DateFormatter('%m-%d %H:%M')
ax.xaxis.set_major_formatter(xfmt)
plt.plot(dateTimeList[:-5], oriShareNVDA[:-5], ls = 'None', marker = 'o', ms = 5, color = 'y', label = 'original')
plt.plot(dateTimeList[:-5], sList, ls = 'None', marker = 'x', ms = 2 , color = 'black', label = 'adjusted')
plt.xticks([datetime.strptime('2007-09-10 10:00:00', '%Y-%m-%d %H:%M:%S'),
datetime.strptime('2007-09-10 15:00:00', '%Y-%m-%d %H:%M:%S'),
datetime.strptime('2007-09-11 09:30:00', '%Y-%m-%d %H:%M:%S'),
datetime.strptime('2007-09-11 15:00:00', '%Y-%m-%d %H:%M:%S')])
plt.ylim(0,10000)
plt.title('Original NVDA Trade Share VS Adjusted NVDA Trade Share')
plt.xlabel('Time')
plt.ylabel('Number of Shares')
plt.legend()
plt.show()
def test1(self):
fileName = 'D:/TAQClean/trades/20070620/IBM_trades.binRT'
reader = TAQTradesReader( fileName )
print( reader.getN() )
print( reader.getTimestamp(1) )