def program6(fileloc1, fileloc2, filetype1, filetype2, ticker):
init_tm = time()
# Make dir
fsplit = fileloc1.split('_')
date = fsplit[len(fsplit) - 1][:-4]
os.chdir(str(pathlib.Path.home()) + "/workspace/")
#/space/common/workspace/
dirpath = "phase1_output/program6_out/plotly/" + filetype1 + "/" + filetype2 + "/" + date + "/"
pathlib.Path(dirpath).mkdir(parents=True, exist_ok=True)
print("Getting data...")
data1 = pf.get_tickerData(fileloc1, filetype1, "X:SXBTUSD", "T")
print(ticker)
data2 = pf.get_tickerData(fileloc2, filetype2, ticker, "T")
print("Got data. Generating plot...")
#################
# Plotting time #
#################
if (data1.empty or data2.empty):
print("At date " + date + ", ticker" + ticker + " had no trade data\n")
return
trace = go.Scatter(x=data1.Time,
y=data2["Trade Price"] - data1["Trade Price"])
title_date = data1.Time[len(data1) - 1].strftime('%b %-d, %Y')
layout = go.Layout(xaxis={
'title': 'Time (UTC)',
'type': 'date',
'tickformat': '%I:%M:%S %p'
},
yaxis={'title': 'Spread'},
title=ticker + " | " + "Spread | " + title_date)
fig = go.Figure(data=[trace], layout=layout)
# Output the plot
imgname = ticker + "_" + "spread_" + filetype1 + "_" + filetype2 + "_" + date
py.plot(fig,
filename=dirpath + imgname + ".html",
image="png",
image_filename=imgname,
image_width=1024,
image_height=768,
auto_open=False,
show_link=False)
print("Ticker", ticker, "at date", date, "finished in",
time() - init_tm, "seconds")
# if (option in ['plotly', 'matplotlib']):
# break
# else:
# print("Invalid option")
if (filetype1 == "A"):
fileloc1 = "/space/data/new/PLUSTICK_1619_" + date + ".txt"
if (filetype1 == "B"):
fileloc1 = "/space/data/new/PLUSTICK_FI_1356_" + date + ".txt"
if (filetype2 == "C"):
fileloc2 = "/space/data/new/PLUSTICK_FUTURES_666_" + date + ".txt"
if (filetype2 == "D"):
fileloc2 = "/space/data/new/PLUSTICK_FUTURES_680_" + date + ".txt"
print("Getting data...")
df1 = pf.get_tickerData(fileloc1, filetype1, "X:SXBTUSD", "T")
print("X:SXBTUSD", ticker)
df2 = pf.get_tickerData(fileloc2, filetype2, ticker, "T")
print("Got data. Generating plot...")
#df1["Contributor Id"] = df1["Contributor Id"].fillna('unknown')
#venuelist = df1["Contributor Id"].unique()
#while True:
# print("Venue list: ", venuelist)
# venue = input("Enter one venue from the list above: ")
# if venue in venuelist:
# break
# else:
# print("Wrong venue")
def yeda6(fileloc1, fileloc2, filetype1, filetype2, ticker):
init_tm = time()
# Make dir
fsplit = fileloc1.split('_')
date = fsplit[len(fsplit) - 1][:-4]
os.chdir(str(pathlib.Path.home()) + "/workspace/")
dirpath = "/space/common/workspace/phase1_output/program6Q_out/matplotlib/" + filetype1 + "/" + filetype2 + "/" + date + "/"
pathlib.Path(dirpath).mkdir(parents=True, exist_ok=True)
print("Getting data...")
df1 = pf.get_tickerData(fileloc1, filetype1, "X:SXBTUSD", "Q")
print("X:SXBTUSD", ticker)
df2 = pf.get_tickerData(fileloc2, filetype2, ticker, "Q")
print("Got data. Generating plot...")
#################
# Plotting time #
#################
if(df1.empty or df2.empty):
print("At date " + date + ", ticker" + ticker + " had no trade data\n")
return
#f=interpolate.interp1d(df2.Time, df2["Trade Price"],kind="slinear")
# ‘slinear’, ‘quadratic’ and ‘cubic’ refer to a spline interpolation of first, second or third order)
#timenew=df1["Time"]
#timenew=timenew[timenew<=max(df2["Time"]) & timenew>=min(df2["Time"])]
#df2new=f(timenew)
# pl.plot(df1["Time"],df2new,label=str(kind))
df2.dropna(axis=0, how="any")
df1.dropna(axis=0, how="any")
df2["Time"][0]=df1["Time"][0]
df2["Time"][len(df2["Time"])-1]=df1["Time"][len(df1["Time"])-1]
f=interpolate.interp1d(df2["Time"], df2["Bid Price"],kind="zero")
df2new=f(df1["Time"])
df1.Time = pd.to_datetime(df1.Time, unit='s')
df2.Time = pd.to_datetime(df2.Time, unit='s')
#df1["Time"] = pd.to_datetime(df1["Time"])
#df2["Time"] = pd.to_datetime(df2["Time"])
#df2["Time"][0]=df1["Time"][0]
#df2["Time"][-1]=df1["Time"][-1]
title_date = (df1["Time"][len(df1["Time"]) - 1]).strftime('%b %-d, %Y')
#df2new=spline(df2["Time"], df2["Trade Price"],df1["Time"])
df1 = df1.set_index("Time")
df1["Bid Price"] = df1["Bid Price"] - df2new
dfgroupby = df1[["Bid Price", "Contributor Id" ]].groupby("Contributor Id")
fig,ax = plt.subplots(figsize = (20,8))
dfgroupby["Bid Price"].plot(ax = ax, legend = True)
#fig, ax = plt.subplots(figsize=(20,8))
#ax.plot(df1.Time, df1["Trade Price"], color = "red", linewidth = 1.0, linestyle = '-')
#ax.plot(df2.Time, df2["Trade Price"], color = "blue", linewidth = 1.0, linestyle = '-')
ax.set_xlabel('Time (UTC)')
ax.set_ylabel('Price')
ax.set_title(ticker + " | " + "Spread | " + title_date)
ax.spines['right'].set_color('none')
ax.spines['top'].set_color('none')
#setting major locator
alldays = mdates.HourLocator(interval = 1) # 3H interval
ax.xaxis.set_major_locator(alldays)
ax.xaxis.set_major_formatter(mdates.DateFormatter('%I %p'))
#setting minor locator
hoursLoc = mdates.HourLocator(interval=30)
ax.xaxis.set_minor_locator(hoursLoc)
ax.xaxis.set_minor_formatter(mdates.DateFormatter('%M'))
ax.legend()
imgname = ticker + "_" + "spread_" + filetype1 + "_" + filetype2 + "_" + date + ".png"
fig.savefig(dirpath + imgname)
print("Ticker", ticker, "at date", date, "finished in",
time() - init_tm, "seconds")