def plot_report3(self, data):
remove_fileglob(os.path.join(self.path, "report3.png"))
dates = []
settlement_prices = []
PCR_OI = []
PCR_trade = []
for d in sorted(data.iteritems()):
dates.append(d[0])
settlement_prices.append(d[1]['settlement_price'])
PCR_OI.append(d[1]['PCR_OI'])
PCR_trade.append(d[1]['PCR_trade'])
plt.clf()
fig, x1 = plt.subplots()
oi = x1.plot(PCR_OI, label='PCR of OI')
x1.set_ylabel('PCR of OI')
plt.setp(oi, color='r', linewidth=1.0)
# sp = x1.plot(settlement_prices, label='Settlement price')
# x1.set_ylabel('Settlement Price')
# plt.setp(sp, color='r', linewidth=1.0, marker='o', label='Settlement price')
x2 = x1.twinx()
trade = x2.plot(PCR_trade, label='PCR of trade')
x2.set_ylabel('PCR of trade')
plt.setp(trade, color='b', linewidth=1.0)
x3 = x1.twinx()
# Move the last y-axis spine over to the right by 20% of the width of the axes
x3.spines['right'].set_position(('axes', 1.2))
# To make the border of the right-most axis visible, we need to turn the frame
# on. This hides the other plots, however, so we need to turn its fill off.
x3.set_frame_on(True)
x3.patch.set_visible(False)
sp = x3.plot(settlement_prices, label='PCR of trade')
x3.set_ylabel('Settlement prices')
plt.setp(sp, color='g', linewidth=1.0)
plt.xticks(range(len(dates)), dates, rotation='vertical')
plt.xlabel('Date')
plt.title('Settlement price v/s PCR')
plt.legend(loc='upper right')
plt.tight_layout()
plt.savefig(os.path.join(self.path, "report3.png"))
def plot_report1(self, data):
remove_fileglob(os.path.join(self.path, "report1*"))
call_strike_prices = data['call_strike_prices']
call_open_interests = data['call_open_interests']
put_strike_prices = data['put_strike_prices']
put_open_interests = data['put_open_interests']
expiry_series = data['expiry_series']
i = 1
for e in expiry_series:
plt.clf()
strike_pr = call_strike_prices[e]
open_int = call_open_interests[e]
# TODO: Move this into seperate function
x = strike_pr
bins = int((x[-1] - x[0]) / (x[1] - x[0]))
plt.hist(strike_pr,
bins=bins,
weights=open_int,
facecolor='green',
label='CALLs',
alpha=0.5)
strike_pr = put_strike_prices[e]
open_int = put_open_interests[e]
x = strike_pr
bins = int((x[-1] - x[0]) / (x[1] - x[0]))
plt.hist(strike_pr,
bins=bins,
weights=open_int,
facecolor='blue',
label='PUTs',
alpha=0.5)
plt.xlabel('Strike price')
plt.ylabel('Open Interest')
plt.title('Distribution of PUTs and CALLs')
plt.legend(loc='upper right')
# Tweak spacing to prevent clipping of ylabel
#plt.tight_layout()
#plt.subplots_adjust(left=0.15)
plt.savefig(os.path.join(self.path, "report1_%s.png" % str(i)))
i += 1
def plot_report2(self, data):
remove_fileglob(os.path.join(self.path, "report2.png"))
dates = []
settlement_prices = []
sum_of_OI = []
for d in sorted(data.iteritems()):
dates.append(d[0])
settlement_prices.append(d[1]['settlement_price'])
sum_of_OI.append(d[1]['summation_of_OI'])
plt.clf()
fig, x1 = plt.subplots()
sp = x1.plot(settlement_prices, label='Settlement price')
x1.set_ylabel('Settlement Price')
plt.setp(sp,
color='r',
linewidth=1.0,
marker='o',
label='Settlement price')
x2 = x1.twinx()
oi = x2.bar(range(len(dates)),
sum_of_OI,
width=0.4,
align='center',
alpha=0.5,
label='Summation of OI')
x2.set_ylabel('Summation of OI')
plt.setp(oi, color='b', linewidth=1.0)
plt.xticks(range(len(dates)), dates, rotation='vertical')
plt.xlabel('Date')
plt.title('Settlement price v/s Open interest')
plt.legend(loc='upper right')
plt.tight_layout()
plt.savefig(os.path.join(self.path, "report2.png"))
def plot_report6(self, data):
remove_fileglob(os.path.join(self.path, "report6*"))
self._plot_report6(data['calls'], ii=1)
self._plot_report6(data['puts'], ii=2)
def plot_report5(self, data):
remove_fileglob(os.path.join(self.path, "report5*"))
self._plot_report5(data['highest'], ii=1)
self._plot_report5(data['lowest'], ii=2)
def plot_report4(self, data):
remove_fileglob(os.path.join(self.path, "report3*"))
for i in range(len(data)):
self._plot_report4(data[i], i)