def yeda2(fileloc, filetype):
init_tm = time()
# Make dir
fsplit = fileloc.split('_')
date = fsplit[len(fsplit) - 1][:-4]
dirpath = "program2_mpl_out/" + filetype + "/" + date + "/"
pathlib.Path(dirpath).mkdir(parents=True, exist_ok=True)
# Get List of tickers
pf.get_tickerList(date, filetype)
for ticker in projLists.ticker_list:
data_starttm = time()
data = pf.get_tickerData(fileloc, filetype, ticker, "T")
print("Got", ticker, "data DF in", time() - data_starttm, "Seconds")
#################
# Plotting time #
#################
if (data.empty):
message = "At date " + date + ", ticker" + ticker + " had no trade data\n"
print(message)
with open("program2_mpl_" + filetype + "_log.txt", 'a+') as f:
f.write(message)
continue
fig, ax = plt.subplots(figsize=(20, 8))
ax.plot(data.Time,
data["Trade Price"],
color="red",
linewidth=1.0,
linestyle='-')
ax.set_xlabel('Time (UTC)')
ax.set_ylabel('Price')
title_date = data.Time[len(data) - 1].strftime('%b %-d, %Y')
ax.set_title(ticker + " | " + "Trades | " + 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 + "_" + "trades_" + filetype + "_" + date + ".png"
fig.savefig(dirpath + imgname)
plt.close()
print("Ticker", ticker, "at date", date, "done")
print(date, "plots finished in", time() - init_tm, "seconds")
def program3(fileloc, filetype):
init_tm = time()
# Make dir
fsplit = fileloc.split('_')
date = fsplit[len(fsplit) - 1][:-4]
dirpath = "program3_out/" + filetype + "/" + date + "/"
pathlib.Path(dirpath).mkdir(parents=True, exist_ok=True)
# Get List of tickers
pf.get_tickerList(date, filetype)
for ticker in projLists.ticker_list:
data_starttm = time()
data = pf.get_tickerData(fileloc, filetype, ticker, "Q")
print("Got", ticker, "data DF in", time() - data_starttm, "Seconds")
#################
# Plotting time #
#################
if(data.empty):
message = "At date " + date + ", ticker" + ticker + " had no quote data\n"
print(message)
with open("program3_" + filetype + "_log.txt", 'a+') as f:
f.write(message)
continue
trace1 = go.Scatter(x = data.Time, y = data["Bid Price"],
line = {'color': 'red'}, name = "Bid Price")
trace2 = go.Scatter(x = data.Time, y = data["Ask Price"],
line = {'color': 'blue'}, name = "Ask Price")
title_date = data.Time[len(data) - 1].strftime('%b %-d, %Y')
layout = go.Layout(xaxis={'title': 'Time (UTC)', 'type': 'date',
'tickformat': '%I:%M:%S %p'},
yaxis={'title': 'Price'},
title=ticker + " | Quotes | " + title_date)
fig = go.Figure(data = [trace1, trace2], layout = layout)
# Output the plot
imgname = ticker + "_" + "quotes_" + filetype + "_" + 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, "done")
print(date, "plots finished in", time() - init_tm, "seconds")
def get_program4Output(filetype, dirpath, collist, fileloc):
fsplit = fileloc.split('_')
date = fsplit[len(fsplit) - 1][:-4]
if (filetype == "A"):
venue_q = 8
venue_t = 6
region_q = 9
region_t = 7
volume = 4
else:
venue_q = 10
venue_t = 8
region_q = 12
region_t = 11
volume = 6
pf.get_tickerList(date, filetype)
projLists.ticker_list.remove("ALL")
df = pd.DataFrame(data=0.0, index=projLists.ticker_list, columns=collist)
init_tm = time()
with open(fileloc, 'r') as finput:
for i in range(6):
next(finput)
for line in finput:
split_line = line.split('|')
if (split_line[0] == "H"):
curr_ticker = split_line[2]
elif (split_line[0] == "Q"):
# Update Q's for the venue and region
df.at[curr_ticker, "Q-ALL"] += 1
df.at[curr_ticker, "Q-" + split_line[venue_q]] += 1
df.at[curr_ticker, "Q-" + split_line[region_q]] += 1
else:
# Update T's
df.at[curr_ticker, "T-ALL"] += 1
df.at[curr_ticker, "T-" + split_line[venue_t]] += 1
df.loc[curr_ticker, "T-" + split_line[region_t]] += 1
# Update V's. First line is not optimal
# If we get empty string, do nothing
try:
df.at[curr_ticker, "V-ALL"] += float(split_line[volume])
df.at[curr_ticker, "V-" + split_line[venue_t]] += float(split_line[volume])
df.at[curr_ticker, "V-" + split_line[region_t]] += float(split_line[volume])
except ValueError:
pass
print("DF for " + date + " made in ", time() - init_tm, "seconds")
#print(df)
df.to_csv(dirpath + "program4_out_" + filetype + "_" + date + ".csv")
def program5a(fileloc, filetype, quotetype):
init_tm = time()
# Make dir
fsplit = fileloc.split('_')
date = fsplit[len(fsplit) - 1][:-4]
dirpath = "program5a_out/" + filetype + "/" + date + "/" + quotetype + "/"
pathlib.Path(dirpath).mkdir(parents=True, exist_ok=True)
# Get List of tickers
pf.get_tickerList(date, filetype)
for ticker in projLists.ticker_list:
data_starttm = time()
data = pf.get_tickerData(fileloc, filetype, ticker, "Q")
print("Got", ticker, "data DF in", time() - data_starttm, "Seconds")
#################
# Plotting time #
#################
if (data.empty):
message = "There is no " + quotetype + " data for " + ticker + " at " + date + "\n"
print(message)
with open("program5a_" + filetype + "_log.txt", 'a+') as f:
f.write(message)
continue
title_date = data.Time[len(data) - 1].strftime('%b %-d, %Y')
layout = go.Layout(xaxis={
'title': 'Time (UTC)',
'type': 'date',
'tickformat': '%I:%M:%S %p'
},
yaxis={'title': 'Price'},
title=ticker + " | " + quotetype + " | " +
title_date,
showlegend=True)
# Make a trace for each venue
traces = []
for venue in data["Contributor Id"].unique():
trace = go.Scatter(
x=data.Time[data["Contributor Id"] == venue],
y=data[quotetype + " Price"][data["Contributor Id"] == venue],
name=venue)
traces.append(trace)
# Output html file
fig = go.Figure(data=traces, layout=layout)
imgname = ticker + "_" + "quotes_" + quotetype + "_" + filetype \
+ "_" + 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, "done")
print(date, "plots finished in", time() - init_tm, "seconds")
log = open("program23_getAll_log.txt", "w+")
for fileloc in projLists.file_list:
# Make a directory for the date
fsplit = fileloc.split('_')
filedate = fsplit[len(fsplit) - 1][:-4]
dirpath = 'plots/' + filetype + '/' + filedate + '/'
pathlib.Path(dirpath).mkdir(parents=True, exist_ok=True)
# Start timing file
filetime_start = time()
# Open the data file
with open(fileloc, 'r') as finput:
pf.get_tickerList(filedate, filetype)
projLists.ticker_list.remove("ALL")
# Get plots for each ticker
for tick in projLists.ticker_list:
ticker_start = time()
print("----------------------------------------------")
print("Program on date", filedate, "and ticker", tick)
print("----------------------------------------------")
print("Current time", ctime())
pf.go_to_ticker(finput, tick, skip_header=True)
print("Getting df from output...")
init_tm = time()
trades, quotes = pf.get_twoDFs(finput, filetype, one_min=False)
print("Got data in", time() - init_tm, "seconds")