def Market_vs_portfolio_vol_vwap(self, market_obj, portfolio_twap_obj):
plot_framework_obj = CPlotFramework()
percent_portfolio_volume_plot = plot_framework_obj.GetBarChart(
portfolio_twap_obj.m_strTimeWindowList,
portfolio_twap_obj.m_fPercentVolumeWindowList, 'Portfolio Volume')
percent_market_volume_plot = plot_framework_obj.GetBarChart(
market_obj.m_strTimeWindowList,
market_obj.m_fPercentVolumeWindowList, 'Actual Market Volume')
portfolio_vwap_plot = plot_framework_obj.GetScatterPlot(
portfolio_twap_obj.m_strPartialTimeWindowList,
portfolio_twap_obj.m_fVwapWindowList, 'Portfolio VWAP',
'lines+markers', 'y2')
market_vwap_plot = plot_framework_obj.GetScatterPlot(
market_obj.m_strPartialTimeWindowList,
market_obj.m_fVwapWindowList, 'Actual Market VWAP',
'lines+markers', 'y2')
layout = plot_framework_obj.GetLayout(
'<b>' + market_obj.m_strScripName.upper() +
'</b><br>MARKET VS PORTFOLIO', 'TIME', 'PERCENTAGE OF VOLUME',
'VWAP')
fig = plot_framework_obj.GetFigure([
percent_market_volume_plot, percent_portfolio_volume_plot,
market_vwap_plot, portfolio_vwap_plot
], layout, 'MARKET_VS_PORTFOLIO_EXECUTIONS.html')
return True
def Market_vs_predicted_vol_diff(self, market_obj, predicted_obj):
plot_framework_obj = CPlotFramework()
volume_diff = []
for iter in range(0, len(market_obj.m_fPercentVolumeWindowList)):
volume_diff.append(predicted_obj.m_fPercentVolumeWindowList[iter] -
market_obj.m_fPercentVolumeWindowList[iter])
diff_volume_plot = plot_framework_obj.GetBarChart(
predicted_obj.m_strTimeWindowList, volume_diff,
'Predicted market volume - Actual market volume')
layout = plot_framework_obj.GetLayout(
'<b>' + market_obj.m_strScripName.upper() +
'</b><br>MARKET: PREDICTED - ACTUAL',
'TIME',
'PERCENTAGE OF VOLUME',
showlegend=True,
legend=dict(x=0.9, y=1))
fig = plot_framework_obj.GetFigure([diff_volume_plot], layout,
'VOLUME_DIFFERENCE.html')
return True
def CF_Spread(self, cash_obj, future_obj, spread_obj):
plot_framework_obj = CPlotFramework()
cash_price_plot = plot_framework_obj.GetScatterPlot(
cash_obj.m_DatetimeList, cash_obj.m_fPriceList, 'Cash Value',
'lines', '', 'hv')
future_price_plot = plot_framework_obj.GetScatterPlot(
future_obj.m_DatetimeList, future_obj.m_fPriceList, 'Future Value',
'lines', '', 'hv')
min_price_plot = plot_framework_obj.GetScatterPlot(
spread_obj.m_MinPriceTimestampList, spread_obj.m_fMinPriceList,
'Minimum Value', 'lines', '', 'hv')
layout = plot_framework_obj.GetLayout(
'<b>' + cash_obj.m_strScripName.upper() +
'</b><br>Cash || Future || Min(Cash, Future)', 'TIME', 'PRICE')
fig = plot_framework_obj.GetFigure(
[cash_price_plot, future_price_plot, min_price_plot], layout,
'SMARTSWITCH_EXECUTION.html')
return
def Market_vs_orderCompletion_price(self, market_obj, portfolio_twap_obj):
plot_framework_obj = CPlotFramework()
market_price_plot = plot_framework_obj.GetScatterPlot(
market_obj.m_DatetimeList, market_obj.m_fPriceList,
'Market Price movement', 'lines', '', 'hv')
order_complete_fillprice_plot = plot_framework_obj.GetScatterPlot(
portfolio_twap_obj.m_OrderCompleteDatetimeList,
portfolio_twap_obj.m_fOrderCompleteAvgPriceList,
'Order Execution Price', 'markers')
layout = plot_framework_obj.GetLayout(
'<b>' + market_obj.m_strScripName.upper() +
'</b><br>MARKET AND EXECUTION PRICE MOVEMENTS', 'TIME', 'PRICE')
fig = plot_framework_obj.GetFigure(
[market_price_plot, order_complete_fillprice_plot], layout,
'MARKET_EXECUTION_PRICE.html')
return True
def Market_vs_predicted_vol(self, market_obj, predicted_obj):
plot_framework_obj = CPlotFramework()
predicted_volume_plot = plot_framework_obj.GetBarChart(
market_obj.m_strPartialTimeWindowList,
predicted_obj.m_fPercentVolumeWindowList,
'Predicted market volume')
market_volume_plot = plot_framework_obj.GetBarChart(
predicted_obj.m_strTimeWindowList,
market_obj.m_fPercentVolumeWindowList, 'Actual market volume')
layout = plot_framework_obj.GetLayout(
'<b>' + market_obj.m_strScripName.upper() +
'</b><br>MARKET: ACTUAL VS PREDICTED', 'TIME',
'PERCENTAGE OF VOLUME')
fig = plot_framework_obj.GetFigure(
[predicted_volume_plot, market_volume_plot], layout,
'ACTUAL_PREDICTED_VOLUME.html')
return True
def Market_vs_portfolio_vwap(self, market_obj, portfolio_twap_obj):
plot_framework_obj = CPlotFramework()
print "displaying portfolio date and vwap"
for iter in range(0,
len(portfolio_twap_obj.m_strPartialTimeWindowList)):
print str(portfolio_twap_obj.m_strPartialTimeWindowList[iter]
) + "\t" + str(portfolio_twap_obj.m_fVwapWindowList)
portfolio_vwap_plot = plot_framework_obj.GetScatterPlot(
portfolio_twap_obj.m_strPartialTimeWindowList,
portfolio_twap_obj.m_fVwapWindowList, 'Portfolio VWAP',
'lines+markers')
market_vwap_plot = plot_framework_obj.GetScatterPlot(
market_obj.m_strPartialTimeWindowList,
market_obj.m_fVwapWindowList, 'Actual Market VWAP',
'lines+markers')
layout = plot_framework_obj.GetLayout(
'<b>' + market_obj.m_strScripName.upper() +
'</b><br>MARKET VS PORTFOLIO VWAP', 'TIME', 'VWAP')
fig = plot_framework_obj.GetFigure(
[market_vwap_plot, portfolio_vwap_plot], layout,
'MARKET_PORTFOLIO_VWAP.html')
return True
def NTWAP_Execution(self, market_obj, portfolio_twap_obj,
strategy_log_obj):
print "entered ntwap execution plot"
plot_framework_obj = CPlotFramework()
FG_priceList = []
FG_timestampList = []
HIT_priceList = []
HIT_timestampList = []
moving_averages_timestampList = portfolio_twap_obj.m_OrderExecutionDatetimeList[
2:]
for iter in range(0, len(strategy_log_obj.m_strStrategyExecutionList)):
if strategy_log_obj.m_strStrategyExecutionList[iter] == 'F&G':
FG_priceList.append(
portfolio_twap_obj.m_fOrderExecutionFillPriceList[iter])
FG_timestampList.append(
portfolio_twap_obj.m_OrderExecutionDatetimeList[iter])
elif strategy_log_obj.m_strStrategyExecutionList[iter] == 'HIT':
HIT_priceList.append(
portfolio_twap_obj.m_fOrderExecutionFillPriceList[iter])
HIT_timestampList.append(
portfolio_twap_obj.m_OrderExecutionDatetimeList[iter])
# print "displaying price list"
# for price in market_obj.m_fPriceList:
# print str(price)
# print "dispalying datetime list"
# for date_obj in market_obj.m_DatetimeList:
# print str(date_obj)
# print "displaying Strategy execution list"
# for iter in range(0, len(strategy_log_obj.m_strStrategyExecutionList)):
# print str(strategy_log_obj.m_strStrategyExecutionList[iter])
print "displaying F&G list"
for iter in range(0, len(FG_priceList)):
print str(FG_priceList[iter]) + '\t' + str(FG_timestampList[iter])
print "displaying HIT list"
for iter in range(0, len(HIT_priceList)):
print str(HIT_priceList[iter]) + '\t' + str(
HIT_timestampList[iter])
market_price_plot = plot_framework_obj.GetScatterPlot(
market_obj.m_DatetimeList, market_obj.m_fPriceList,
'Market Price movement', 'lines', '', 'hv')
FG_execution_plot = plot_framework_obj.GetScatterPlot(
FG_timestampList, FG_priceList, 'F&G Execution', 'markers')
HIT_execution_plot = plot_framework_obj.GetScatterPlot(
HIT_timestampList, HIT_priceList, 'HIT Execution', 'markers')
moving_averages_plot = plot_framework_obj.GetScatterPlot(
moving_averages_timestampList,
portfolio_twap_obj.m_fOrderExecutionMovingAverageList,
'Moving averages', 'lines')
layout = plot_framework_obj.GetLayout(
'<b>' + market_obj.m_strScripName.upper() +
'</b><br>MARKET AND NTWAP PRICE MOVEMENTS', 'TIME', 'PRICE')
fig = plot_framework_obj.GetFigure([
market_price_plot, FG_execution_plot, HIT_execution_plot,
moving_averages_plot
], layout, 'NTWAP_EXECUTION.html')
print "finished ntwap execution plot"
return True