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"""
A collection of modules for collecting, analyzing and plotting
financial data. User contributions welcome!
"""
#from __future__ import division
import os, warnings
from urllib2 import urlopen
try:
from hashlib import md5
except ImportError:
from md5 import md5 #Deprecated in 2.5
import datetime
import numpy as np
from matplotlib import verbose, get_configdir
from matplotlib.dates import date2num
from matplotlib.cbook import iterable
from matplotlib.collections import LineCollection, PolyCollection
from matplotlib.colors import colorConverter
from matplotlib.lines import Line2D, TICKLEFT, TICKRIGHT
from matplotlib.patches import Rectangle
from matplotlib.transforms import Affine2D
configdir = get_configdir()
cachedir = os.path.join(configdir, 'finance.cache')
stock_dt = np.dtype([('date', object),
('year', np.int16),
('month', np.int8),
('day', np.int8),
('d', np.float), # mpl datenum
('open', np.float),
('close', np.float),
('high', np.float),
('low', np.float),
('volume', np.float),
('aclose', np.float)])
def parse_yahoo_historical(fh, adjusted=True, asobject=False):
"""
Parse the historical data in file handle fh from yahoo finance.
*adjusted*
If True (default) replace open, close, high, and low prices with
their adjusted values. The adjustment is by a scale factor, S =
adjusted_close/close. Adjusted prices are actual prices
multiplied by S.
Volume is not adjusted as it is already backward split adjusted
by Yahoo. If you want to compute dollars traded, multiply volume
by the adjusted close, regardless of whether you choose adjusted
= True|False.
*asobject*
If False (default for compatibility with earlier versions)
return a list of tuples containing
d, open, close, high, low, volume
If None (preferred alternative to False), return
a 2-D ndarray corresponding to the list of tuples.
Otherwise return a numpy recarray with
date, year, month, day, d, open, close, high, low,
volume, adjusted_close
where d is a floating poing representation of date,
as returned by date2num, and date is a python standard
library datetime.date instance.
The name of this kwarg is a historical artifact. Formerly,
True returned a cbook Bunch
holding 1-D ndarrays. The behavior of a numpy recarray is
very similar to the Bunch.
"""
lines = fh.readlines()
results = []
datefmt = '%Y-%m-%d'
for line in lines[1:]:
vals = line.split(',')
if len(vals)!=7:
continue # add warning?
datestr = vals[0]
#dt = datetime.date(*time.strptime(datestr, datefmt)[:3])
# Using strptime doubles the runtime. With the present
# format, we don't need it.
dt = datetime.date(*[int(val) for val in datestr.split('-')])
dnum = date2num(dt)
open, high, low, close = [float(val) for val in vals[1:5]]
volume = float(vals[5])
aclose = float(vals[6])
results.append((dt, dt.year, dt.month, dt.day,
dnum, open, close, high, low, volume, aclose))
results.reverse()
d = np.array(results, dtype=stock_dt)
if adjusted:
scale = d['aclose'] / d['close']
scale[np.isinf(scale)] = np.nan
d['open'] *= scale
d['close'] *= scale
d['high'] *= scale
d['low'] *= scale
if not asobject:
# 2-D sequence; formerly list of tuples, now ndarray
ret = np.zeros((len(d), 6), dtype=np.float)
ret[:,0] = d['d']
ret[:,1] = d['open']
ret[:,2] = d['close']
ret[:,3] = d['high']
ret[:,4] = d['low']
ret[:,5] = d['volume']
if asobject is None:
return ret
return [tuple(row) for row in ret]
return d.view(np.recarray) # Close enough to former Bunch return
def fetch_historical_yahoo(ticker, date1, date2, cachename=None):
"""
Fetch historical data for ticker between date1 and date2. date1 and
date2 are date or datetime instances, or (year, month, day) sequences.
Ex:
fh = fetch_historical_yahoo('^GSPC', (2000, 1, 1), (2001, 12, 31))
cachename is the name of the local file cache. If None, will
default to the md5 hash or the url (which incorporates the ticker
and date range)
a file handle is returned
"""
ticker = ticker.upper()
if iterable(date1):
d1 = (date1[1]-1, date1[2], date1[0])
else:
d1 = (date1.month-1, date1.day, date1.year)
if iterable(date2):
d2 = (date2[1]-1, date2[2], date2[0])
else:
d2 = (date2.month-1, date2.day, date2.year)
urlFmt = 'http://table.finance.yahoo.com/table.csv?a=%d&b=%d&c=%d&d=%d&e=%d&f=%d&s=%s&y=0&g=d&ignore=.csv'
url = urlFmt % (d1[0], d1[1], d1[2],
d2[0], d2[1], d2[2], ticker)
if cachename is None:
cachename = os.path.join(cachedir, md5(url).hexdigest())
if os.path.exists(cachename):
fh = file(cachename)
verbose.report('Using cachefile %s for %s'%(cachename, ticker))
else:
if not os.path.isdir(cachedir):
os.mkdir(cachedir)
urlfh = urlopen(url)
fh = file(cachename, 'w')
fh.write(urlfh.read())
fh.close()
verbose.report('Saved %s data to cache file %s'%(ticker, cachename))
fh = file(cachename, 'r')
return fh
def quotes_historical_yahoo(ticker, date1, date2, asobject=False,
adjusted=True, cachename=None):
"""
Get historical data for ticker between date1 and date2. date1 and
date2 are datetime instances or (year, month, day) sequences.
See :func:`parse_yahoo_historical` for explanation of output formats
and the *asobject* and *adjusted* kwargs.
Ex:
sp = f.quotes_historical_yahoo('^GSPC', d1, d2,
asobject=True, adjusted=True)
returns = (sp.open[1:] - sp.open[:-1])/sp.open[1:]
[n,bins,patches] = hist(returns, 100)
mu = mean(returns)
sigma = std(returns)
x = normpdf(bins, mu, sigma)
plot(bins, x, color='red', lw=2)
cachename is the name of the local file cache. If None, will
default to the md5 hash or the url (which incorporates the ticker
and date range)
"""
# Maybe enable a warning later as part of a slow transition
# to using None instead of False.
#if asobject is False:
# warnings.warn("Recommend changing to asobject=None")
fh = fetch_historical_yahoo(ticker, date1, date2, cachename)
try:
ret = parse_yahoo_historical(fh, asobject=asobject,
adjusted=adjusted)
if len(ret) == 0:
return None
except IOError, exc:
warnings.warn('fh failure\n%s'%(exc.strerror[1]))
return None
return ret
def plot_day_summary(ax, quotes, ticksize=3,
colorup='k', colordown='r',
):
"""
quotes is a sequence of (time, open, close, high, low, ...) sequences
Represent the time, open, close, high, low as a vertical line
ranging from low to high. The left tick is the open and the right
tick is the close.
time must be in float date format - see date2num
ax : an Axes instance to plot to
ticksize : open/close tick marker in points
colorup : the color of the lines where close >= open
colordown : the color of the lines where close < open
return value is a list of lines added
"""
lines = []
for q in quotes:
t, open, close, high, low = q[:5]
if close>=open : color = colorup
else : color = colordown
vline = Line2D(
xdata=(t, t), ydata=(low, high),
color=color,
antialiased=False, # no need to antialias vert lines
)
oline = Line2D(
xdata=(t, t), ydata=(open, open),
color=color,
antialiased=False,
marker=TICKLEFT,
markersize=ticksize,
)
cline = Line2D(
xdata=(t, t), ydata=(close, close),
color=color,
antialiased=False,
markersize=ticksize,
marker=TICKRIGHT)
lines.extend((vline, oline, cline))
ax.add_line(vline)
ax.add_line(oline)
ax.add_line(cline)
ax.autoscale_view()
return lines
def candlestick(ax, quotes, width=0.2, colorup='k', colordown='r',
alpha=1.0):
"""
quotes is a sequence of (time, open, close, high, low, ...) sequences.
As long as the first 5 elements are these values,
the record can be as long as you want (eg it may store volume).
time must be in float days format - see date2num
Plot the time, open, close, high, low as a vertical line ranging
from low to high. Use a rectangular bar to represent the
open-close span. If close >= open, use colorup to color the bar,
otherwise use colordown
ax : an Axes instance to plot to
width : fraction of a day for the rectangle width
colorup : the color of the rectangle where close >= open
colordown : the color of the rectangle where close < open
alpha : the rectangle alpha level
return value is lines, patches where lines is a list of lines
added and patches is a list of the rectangle patches added
"""
OFFSET = width/2.0
lines = []
patches = []
for q in quotes:
t, open, close, high, low = q[:5]
if close>=open :
color = colorup
lower = open
height = close-open
else :
color = colordown
lower = close
height = open-close
vline = Line2D(
xdata=(t, t), ydata=(low, high),
color='k',
linewidth=0.5,
antialiased=True,
)
rect = Rectangle(
xy = (t-OFFSET, lower),
width = width,
height = height,
facecolor = color,
edgecolor = color,
)
rect.set_alpha(alpha)
lines.append(vline)
patches.append(rect)
ax.add_line(vline)
ax.add_patch(rect)
ax.autoscale_view()
return lines, patches
def plot_day_summary2(ax, opens, closes, highs, lows, ticksize=4,
colorup='k', colordown='r',
):
"""
Represent the time, open, close, high, low as a vertical line
ranging from low to high. The left tick is the open and the right
tick is the close.
ax : an Axes instance to plot to
ticksize : size of open and close ticks in points
colorup : the color of the lines where close >= open
colordown : the color of the lines where close < open
return value is a list of lines added
"""
# note this code assumes if any value open, close, low, high is
# missing they all are missing
rangeSegments = [ ((i, low), (i, high)) for i, low, high in zip(xrange(len(lows)), lows, highs) if low != -1 ]
# the ticks will be from ticksize to 0 in points at the origin and
# we'll translate these to the i, close location
openSegments = [ ((-ticksize, 0), (0, 0)) ]
# the ticks will be from 0 to ticksize in points at the origin and
# we'll translate these to the i, close location
closeSegments = [ ((0, 0), (ticksize, 0)) ]
offsetsOpen = [ (i, open) for i, open in zip(xrange(len(opens)), opens) if open != -1 ]
offsetsClose = [ (i, close) for i, close in zip(xrange(len(closes)), closes) if close != -1 ]
scale = ax.figure.dpi * (1.0/72.0)
tickTransform = Affine2D().scale(scale, 0.0)
r,g,b = colorConverter.to_rgb(colorup)
colorup = r,g,b,1
r,g,b = colorConverter.to_rgb(colordown)
colordown = r,g,b,1
colord = { True : colorup,
False : colordown,
}
colors = [colord[open<close] for open, close in zip(opens, closes) if open!=-1 and close !=-1]
assert(len(rangeSegments)==len(offsetsOpen))
assert(len(offsetsOpen)==len(offsetsClose))
assert(len(offsetsClose)==len(colors))
useAA = 0, # use tuple here
lw = 1, # and here
rangeCollection = LineCollection(rangeSegments,
colors = colors,
linewidths = lw,
antialiaseds = useAA,
)
openCollection = LineCollection(openSegments,
colors = colors,
antialiaseds = useAA,
linewidths = lw,
offsets = offsetsOpen,
transOffset = ax.transData,
)
openCollection.set_transform(tickTransform)
closeCollection = LineCollection(closeSegments,
colors = colors,
antialiaseds = useAA,
linewidths = lw,
offsets = offsetsClose,
transOffset = ax.transData,
)
closeCollection.set_transform(tickTransform)
minpy, maxx = (0, len(rangeSegments))
miny = min([low for low in lows if low !=-1])
maxy = max([high for high in highs if high != -1])
corners = (minpy, miny), (maxx, maxy)
ax.update_datalim(corners)
ax.autoscale_view()
# add these last
ax.add_collection(rangeCollection)
ax.add_collection(openCollection)
ax.add_collection(closeCollection)
return rangeCollection, openCollection, closeCollection
def candlestick2(ax, opens, closes, highs, lows, width=4,
colorup='k', colordown='r',
alpha=0.75,
):
"""
Represent the open, close as a bar line and high low range as a
vertical line.
ax : an Axes instance to plot to
width : the bar width in points
colorup : the color of the lines where close >= open
colordown : the color of the lines where close < open
alpha : bar transparency
return value is lineCollection, barCollection
"""
# note this code assumes if any value open, close, low, high is
# missing they all are missing
delta = width/2.
barVerts = [ ( (i-delta, open), (i-delta, close), (i+delta, close), (i+delta, open) ) for i, open, close in zip(xrange(len(opens)), opens, closes) if open != -1 and close!=-1 ]
rangeSegments = [ ((i, low), (i, high)) for i, low, high in zip(xrange(len(lows)), lows, highs) if low != -1 ]
r,g,b = colorConverter.to_rgb(colorup)
colorup = r,g,b,alpha
r,g,b = colorConverter.to_rgb(colordown)
colordown = r,g,b,alpha
colord = { True : colorup,
False : colordown,
}
colors = [colord[open<close] for open, close in zip(opens, closes) if open!=-1 and close !=-1]
assert(len(barVerts)==len(rangeSegments))
useAA = 0, # use tuple here
lw = 0.5, # and here
rangeCollection = LineCollection(rangeSegments,
colors = ( (0,0,0,1), ),
linewidths = lw,
antialiaseds = useAA,
)
barCollection = PolyCollection(barVerts,
facecolors = colors,
edgecolors = ( (0,0,0,1), ),
antialiaseds = useAA,
linewidths = lw,
)
minx, maxx = 0, len(rangeSegments)
miny = min([low for low in lows if low !=-1])
maxy = max([high for high in highs if high != -1])
corners = (minx, miny), (maxx, maxy)
ax.update_datalim(corners)
ax.autoscale_view()
# add these last
ax.add_collection(barCollection)
ax.add_collection(rangeCollection)
return rangeCollection, barCollection
def volume_overlay(ax, opens, closes, volumes,
colorup='k', colordown='r',
width=4, alpha=1.0):
"""
Add a volume overlay to the current axes. The opens and closes
are used to determine the color of the bar. -1 is missing. If a
value is missing on one it must be missing on all
ax : an Axes instance to plot to
width : the bar width in points
colorup : the color of the lines where close >= open
colordown : the color of the lines where close < open
alpha : bar transparency
"""
r,g,b = colorConverter.to_rgb(colorup)
colorup = r,g,b,alpha
r,g,b = colorConverter.to_rgb(colordown)
colordown = r,g,b,alpha
colord = { True : colorup,
False : colordown,
}
colors = [colord[open<close] for open, close in zip(opens, closes) if open!=-1 and close !=-1]
delta = width/2.
bars = [ ( (i-delta, 0), (i-delta, v), (i+delta, v), (i+delta, 0)) for i, v in enumerate(volumes) if v != -1 ]
barCollection = PolyCollection(bars,
facecolors = colors,
edgecolors = ( (0,0,0,1), ),
antialiaseds = (0,),
linewidths = (0.5,),
)
corners = (0, 0), (len(bars), max(volumes))
ax.update_datalim(corners)
ax.autoscale_view()
# add these last
return barCollection
def volume_overlay2(ax, closes, volumes,
colorup='k', colordown='r',
width=4, alpha=1.0):
"""
Add a volume overlay to the current axes. The closes are used to
determine the color of the bar. -1 is missing. If a value is
missing on one it must be missing on all
ax : an Axes instance to plot to
width : the bar width in points
colorup : the color of the lines where close >= open
colordown : the color of the lines where close < open
alpha : bar transparency
nb: first point is not displayed - it is used only for choosing the
right color
"""
return volume_overlay(ax,closes[:-1],closes[1:],volumes[1:],colorup,colordown,width,alpha)
def volume_overlay3(ax, quotes,
colorup='k', colordown='r',
width=4, alpha=1.0):
"""
Add a volume overlay to the current axes. quotes is a list of (d,
open, close, high, low, volume) and close-open is used to
determine the color of the bar
kwarg
width : the bar width in points
colorup : the color of the lines where close1 >= close0
colordown : the color of the lines where close1 < close0
alpha : bar transparency
"""
r,g,b = colorConverter.to_rgb(colorup)
colorup = r,g,b,alpha
r,g,b = colorConverter.to_rgb(colordown)
colordown = r,g,b,alpha
colord = { True : colorup,
False : colordown,
}
dates, opens, closes, highs, lows, volumes = zip(*quotes)
colors = [colord[close1>=close0] for close0, close1 in zip(closes[:-1], closes[1:]) if close0!=-1 and close1 !=-1]
colors.insert(0,colord[closes[0]>=opens[0]])
right = width/2.0
left = -width/2.0
bars = [ ( (left, 0), (left, volume), (right, volume), (right, 0)) for d, open, close, high, low, volume in quotes]
sx = ax.figure.dpi * (1.0/72.0) # scale for points
sy = ax.bbox.height / ax.viewLim.height
barTransform = Affine2D().scale(sx,sy)
dates = [d for d, open, close, high, low, volume in quotes]
offsetsBars = [(d, 0) for d in dates]
useAA = 0, # use tuple here
lw = 0.5, # and here
barCollection = PolyCollection(bars,
facecolors = colors,
edgecolors = ( (0,0,0,1), ),
antialiaseds = useAA,
linewidths = lw,
offsets = offsetsBars,
transOffset = ax.transData,
)
barCollection.set_transform(barTransform)
minpy, maxx = (min(dates), max(dates))
miny = 0
maxy = max([volume for d, open, close, high, low, volume in quotes])
corners = (minpy, miny), (maxx, maxy)
ax.update_datalim(corners)
#print 'datalim', ax.dataLim.bounds
#print 'viewlim', ax.viewLim.bounds
ax.add_collection(barCollection)
ax.autoscale_view()
return barCollection
def index_bar(ax, vals,
facecolor='b', edgecolor='l',
width=4, alpha=1.0, ):
"""
Add a bar collection graph with height vals (-1 is missing).
ax : an Axes instance to plot to
width : the bar width in points
alpha : bar transparency
"""
facecolors = (colorConverter.to_rgba(facecolor, alpha),)
edgecolors = (colorConverter.to_rgba(edgecolor, alpha),)
right = width/2.0
left = -width/2.0
bars = [ ( (left, 0), (left, v), (right, v), (right, 0)) for v in vals if v != -1 ]
sx = ax.figure.dpi * (1.0/72.0) # scale for points
sy = ax.bbox.height / ax.viewLim.height
barTransform = Affine2D().scale(sx,sy)
offsetsBars = [ (i, 0) for i,v in enumerate(vals) if v != -1 ]
barCollection = PolyCollection(bars,
facecolors = facecolors,
edgecolors = edgecolors,
antialiaseds = (0,),
linewidths = (0.5,),
offsets = offsetsBars,
transOffset = ax.transData,
)
barCollection.set_transform(barTransform)
minpy, maxx = (0, len(offsetsBars))
miny = 0
maxy = max([v for v in vals if v!=-1])
corners = (minpy, miny), (maxx, maxy)
ax.update_datalim(corners)
ax.autoscale_view()
# add these last
ax.add_collection(barCollection)
return barCollection