2384 lines
96 KiB
Plaintext
2384 lines
96 KiB
Plaintext
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{
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"cells": [
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"# ohlcv"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 1,
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"metadata": {},
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"outputs": [],
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"source": [
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"import vectorbt as vbt"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 2,
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"metadata": {
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"Collapsed": "false"
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},
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"outputs": [],
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"source": [
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"import numpy as np\n",
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"import pandas as pd\n",
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"from datetime import datetime, timedelta\n",
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"from numba import njit"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 3,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"Config({\n",
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" \"open\": \"Open\",\n",
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" \"high\": \"High\",\n",
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" \"low\": \"Low\",\n",
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" \"close\": \"Close\",\n",
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" \"volume\": \"Volume\"\n",
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"})\n"
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]
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}
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],
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"source": [
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"print(vbt.settings.ohlcv['column_names'])"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 4,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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"Can only use .str accessor with string values!\n"
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]
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}
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],
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"source": [
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"try:\n",
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" pd.DataFrame([1, 2, 3]).vbt.ohlcv.plot()\n",
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"except Exception as e:\n",
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" print(e) # couldn't find default column names"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 5,
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"metadata": {},
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"outputs": [],
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"source": [
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"ohlcv_ts = pd.DataFrame({\n",
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" 'open': [1, 2, 3], \n",
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" 'high': [1, 2, 3], \n",
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" 'low': [1, 2, 3], \n",
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" 'close': [1, 2, 3], \n",
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" 'volume': [1, 2, 3]\n",
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"})"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 6,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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" open high low close volume\n",
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"2018-01-01 -0.385236 -0.339812 -0.941729 -1.058755 -0.881574\n",
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"2018-01-02 -0.243403 0.210847 -0.408890 0.158420 -1.149656\n",
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"2018-01-03 0.226744 1.207481 0.198341 1.168544 -2.071525\n",
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"2018-01-04 0.407461 1.294365 -0.223333 0.946101 -2.218826\n",
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"2018-01-05 1.221150 1.988841 0.810106 0.834179 -2.940705\n",
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"2018-01-06 2.022596 2.046477 1.293526 2.013281 -2.689034\n",
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"2018-01-07 2.724580 3.303932 1.976807 3.468771 -1.720546\n",
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"2018-01-08 2.057622 2.410773 1.251777 2.269435 -0.980795\n",
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"2018-01-09 1.607800 1.720066 1.169075 2.456895 -1.621470\n",
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"2018-01-10 2.069398 2.516643 1.838688 1.776437 -1.282516\n"
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]
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}
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],
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"source": [
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"ohlcv_ts = pd.DataFrame(\n",
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" columns=['open', 'high', 'low', 'close', 'volume'],\n",
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" index=[datetime(2018, 1, 1) + timedelta(days=i) for i in range(10)]\n",
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")\n",
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"ohlcv_ts['open'] = np.cumsum(np.random.uniform(-0.8, 1, size=(10,)))\n",
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"ohlcv_ts['close'] = ohlcv_ts['open'] + np.random.uniform(-1, 1, size=(10,))\n",
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"ohlcv_ts['high'] = ohlcv_ts['open'] + np.random.uniform(0, 1, size=(10,))\n",
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"ohlcv_ts['low'] = ohlcv_ts['open'] - np.random.uniform(0, 1, size=(10,))\n",
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"ohlcv_ts['volume'] = np.cumsum(np.random.uniform(-1, 1, size=(10,)))\n",
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"\n",
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"print(ohlcv_ts)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 7,
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"metadata": {},
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"outputs": [],
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"source": [
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"try:\n",
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" ohlcv_ts.vbt.ohlcv.plot()\n",
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"except Exception as e:\n",
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" print(e) # still couldn't find default column names"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 8,
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"metadata": {},
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"outputs": [
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{
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"data": {
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"image/svg+xml": [
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"<svg class=\"main-svg\" xmlns=\"http://www.w3.org/2000/svg\" xmlns:xlink=\"http://www.w3.org/1999/xlink\" width=\"700\" height=\"350\" style=\"\" viewBox=\"0 0 700 350\"><rect x=\"0\" y=\"0\" width=\"700\" height=\"350\" style=\"fill: rgb(255, 255, 255); fill-opacity: 1;\"/><defs id=\"defs-52d278\"><g class=\"clips\"><clipPath id=\"clip52d278xyplot\" class=\"plotclip\"><rect width=\"640\" height=\"182.7\"/></clipPath><clipPath id=\"clip52d278x2y2plot\" class=\"plotclip\"><rect width=\"640\" height=\"78.3\"/></clipPath><clipPath class=\"axesclip\" id=\"clip52d278x\"><rect x=\"30\" y=\"0\" width=\"640\" height=\"350\"/></clipPath><clipPath class=\"axesclip\" id=\"clip52d278y\"><rect x=\"0\" y=\"46\" width=\"700\" height=\"182.7\"/></clipPath><clipPath class=\"axesclip\" id=\"clip52d278xy\"><rect x=\"30\" y=\"46\" width=\"640\" height=\"182.7\"/></clipPath><clipPath class=\"axesclip\" id=\"clip52d278y2\"><rect x=\"0\" y=\"228.7\" width=\"700\" height=\"78.3\"/></clipPath><clipPath class=\"axesclip\" id=\"clip52d278xy2\"><rect x=\"30\" y=\"228.7\" width=\"640\" height=\"78.3\"/></clipPath><clipPath class=\"axesclip\" id=\"clip52d278x2\"><rect x=\"30\" y=\"0\" width=\"640\" height=\"350\"/></clipPath><clipPath class=\"axesclip\" id=\"clip52d278x2y\"><rect x=\"30\" y=\"46\" width=\"640\" height=\"182.7\"/></clipPath><clipPath class=\"axesclip\" id=\"clip52d278x2y2\"><rect x=\"30\" y=\"228.7\" width=\"640\" height=\"78.3\"/></clipPath></g><g class=\"gradients\"/><g class=\"patterns\"/></defs><g class=\"bglayer\"><rect class=\"bg\" x=\"30\" y=\"46\" width=\"640\" height=\"182.7\" style=\"fill: rgb(229, 236, 246); fill-opacity: 1; stroke-width: 0;\"/><rect class=\"bg\" x=\"30\" y=\"228.7\" width=\"640\" height=\"78.3\" style=\"fill: rgb(229, 236, 246); fill-opacity: 1; stroke-width: 0;\"/></g><g class=\"layer-below\"><g class=\"imagelayer\"/><g class=\"shapelayer\"/></g><g class=\"cartesianlayer\"><g class=\"subplot xy\"><g class=\"layer-subplot\"><g class=\"shapelayer\"/><g class=\"imagelayer\"/></g><g class=\"gridlayer\"><g class=\"x\"><path class=\"xgrid crisp\" transform=\"translate(62,0)\" d=\"M0,46v182.7\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/><path class=\"xgrid crisp\" transform=\"translate(190,0)\" d=\"M0,46v182.7\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/><path class=\"xgrid crisp\" transform=\"translate(318,0)\" d=\"M0,46v182.7\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/><path class=\"xgrid crisp\" transform=\"translate(446,0)\" d=\"M0,46v182.7\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/><path class=\"xgrid crisp\" transform=\"translate(574,0)\" d=\"M0,46v182.7\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/></g><g class=\"y\"><path class=\"ygrid crisp\" transform=\"translate(0,221.82)\" d=\"M30,0h640\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/><path class=\"ygrid crisp\" transform=\"translate(0,144.36)\" d=\"M30,0h640\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/><path class=\"ygrid crisp\" transform=\"translate(0,105.63)\" d=\"M30,0h640\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/><path class=\"ygrid crisp\" transform=\"translate(0,66.91)\" d=\"M30,0h640\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/></g></g><g class=\"zerolinelayer\"><path class=\"yzl zl crisp\" transform=\"translate(0,183.09)\" d=\"M30,0h640\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 2px;\"/></g><path class=\"xlines-below\"/><path class=\"ylines-below\"/><g class=\"overlines-below\"/><g class=\"xaxislayer-below\"/><g class=\"yaxislayer-below\"/><g class=\"overaxes-below\"/><g class=\"plot\" transform=\"translate(30,46)\" clip-path=\"url(#clip52d278xyplot)\"><g class=\"ohlclayer mlayer\"><g class=\"trace ohlc\" style=\"opacity: 1;\"><path d=\"M12.8,152.01H32M32,150.25V173.57M51.2,178.1H32\" style=\"fill: none
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]
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},
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"metadata": {},
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"output_type": "display_data"
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}
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],
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"source": [
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"# Specify them manually\n",
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"ohlcv_ts.vbt.ohlcv(column_names={\n",
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" 'open': 'open', \n",
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" 'high': 'high', \n",
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" 'low': 'low', \n",
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" 'close': 'close', \n",
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" 'volume': 'volume'\n",
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"}).plot().show_svg()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 9,
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"metadata": {},
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"outputs": [],
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"source": [
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"# Or by changing the defaults\n",
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"vbt.settings.ohlcv['column_names'] = {\n",
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" 'open': 'open', \n",
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" 'high': 'high', \n",
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" 'low': 'low', \n",
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" 'close': 'close', \n",
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" 'volume': 'volume'\n",
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"}"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 10,
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"metadata": {},
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"outputs": [
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{
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"data": {
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"image/svg+xml": [
|
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"<svg class=\"main-svg\" xmlns=\"http://www.w3.org/2000/svg\" xmlns:xlink=\"http://www.w3.org/1999/xlink\" width=\"700\" height=\"350\" style=\"\" viewBox=\"0 0 700 350\"><rect x=\"0\" y=\"0\" width=\"700\" height=\"350\" style=\"fill: rgb(255, 255, 255); fill-opacity: 1;\"/><defs id=\"defs-06a167\"><g class=\"clips\"><clipPath id=\"clip06a167xyplot\" class=\"plotclip\"><rect width=\"640\" height=\"182.7\"/></clipPath><clipPath id=\"clip06a167x2y2plot\" class=\"plotclip\"><rect width=\"640\" height=\"78.3\"/></clipPath><clipPath class=\"axesclip\" id=\"clip06a167x\"><rect x=\"30\" y=\"0\" width=\"640\" height=\"350\"/></clipPath><clipPath class=\"axesclip\" id=\"clip06a167y\"><rect x=\"0\" y=\"46\" width=\"700\" height=\"182.7\"/></clipPath><clipPath class=\"axesclip\" id=\"clip06a167xy\"><rect x=\"30\" y=\"46\" width=\"640\" height=\"182.7\"/></clipPath><clipPath class=\"axesclip\" id=\"clip06a167y2\"><rect x=\"0\" y=\"228.7\" width=\"700\" height=\"78.3\"/></clipPath><clipPath class=\"axesclip\" id=\"clip06a167xy2\"><rect x=\"30\" y=\"228.7\" width=\"640\" height=\"78.3\"/></clipPath><clipPath class=\"axesclip\" id=\"clip06a167x2\"><rect x=\"30\" y=\"0\" width=\"640\" height=\"350\"/></clipPath><clipPath class=\"axesclip\" id=\"clip06a167x2y\"><rect x=\"30\" y=\"46\" width=\"640\" height=\"182.7\"/></clipPath><clipPath class=\"axesclip\" id=\"clip06a167x2y2\"><rect x=\"30\" y=\"228.7\" width=\"640\" height=\"78.3\"/></clipPath></g><g class=\"gradients\"/><g class=\"patterns\"/></defs><g class=\"bglayer\"><rect class=\"bg\" x=\"30\" y=\"46\" width=\"640\" height=\"182.7\" style=\"fill: rgb(229, 236, 246); fill-opacity: 1; stroke-width: 0;\"/><rect class=\"bg\" x=\"30\" y=\"228.7\" width=\"640\" height=\"78.3\" style=\"fill: rgb(229, 236, 246); fill-opacity: 1; stroke-width: 0;\"/></g><g class=\"layer-below\"><g class=\"imagelayer\"/><g class=\"shapelayer\"/></g><g class=\"cartesianlayer\"><g class=\"subplot xy\"><g class=\"layer-subplot\"><g class=\"shapelayer\"/><g class=\"imagelayer\"/></g><g class=\"gridlayer\"><g class=\"x\"><path class=\"xgrid crisp\" transform=\"translate(62,0)\" d=\"M0,46v182.7\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/><path class=\"xgrid crisp\" transform=\"translate(190,0)\" d=\"M0,46v182.7\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/><path class=\"xgrid crisp\" transform=\"translate(318,0)\" d=\"M0,46v182.7\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/><path class=\"xgrid crisp\" transform=\"translate(446,0)\" d=\"M0,46v182.7\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/><path class=\"xgrid crisp\" transform=\"translate(574,0)\" d=\"M0,46v182.7\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/></g><g class=\"y\"><path class=\"ygrid crisp\" transform=\"translate(0,221.82)\" d=\"M30,0h640\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/><path class=\"ygrid crisp\" transform=\"translate(0,144.36)\" d=\"M30,0h640\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/><path class=\"ygrid crisp\" transform=\"translate(0,105.63)\" d=\"M30,0h640\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/><path class=\"ygrid crisp\" transform=\"translate(0,66.91)\" d=\"M30,0h640\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 1px;\"/></g></g><g class=\"zerolinelayer\"><path class=\"yzl zl crisp\" transform=\"translate(0,183.09)\" d=\"M30,0h640\" style=\"stroke: rgb(255, 255, 255); stroke-opacity: 1; stroke-width: 2px;\"/></g><path class=\"xlines-below\"/><path class=\"ylines-below\"/><g class=\"overlines-below\"/><g class=\"xaxislayer-below\"/><g class=\"yaxislayer-below\"/><g class=\"overaxes-below\"/><g class=\"plot\" transform=\"translate(30,46)\" clip-path=\"url(#clip06a167xyplot)\"><g class=\"ohlclayer mlayer\"><g class=\"trace ohlc\" style=\"opacity: 1;\"><path d=\"M12.8,152.01H32M32,150.25V173.57M51.2,178.1H32\" style=\"fill: none
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]
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||
|
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},
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||
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"metadata": {},
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||
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"output_type": "display_data"
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||
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}
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],
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"source": [
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||
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"ohlcv_ts.vbt.ohlcv.plot().show_svg()"
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]
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},
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{
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||
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"cell_type": "code",
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||
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"execution_count": 11,
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||
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"metadata": {},
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||
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"outputs": [
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||
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{
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||
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"data": {
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||
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"text/plain": [
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||
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"Start 2018-01-01 00:00:00\n",
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"End 2018-01-10 00:00:00\n",
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"Period 10 days 00:00:00\n",
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"First Price -0.385236\n",
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"Lowest Price -1.058755\n",
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"Highest Price 3.468771\n",
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"Last Price 1.776437\n",
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"First Volume -0.881574\n",
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"Lowest Volume -2.940705\n",
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"Highest Volume -0.881574\n",
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"Last Volume -1.282516\n",
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||
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"Name: agg_func_mean, dtype: object"
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]
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},
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||
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"execution_count": 11,
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||
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"metadata": {},
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||
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"output_type": "execute_result"
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}
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],
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||
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"source": [
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||
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"ohlcv_ts.vbt.ohlcv.stats()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 14,
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||
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"metadata": {},
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"outputs": [
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{
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||
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"name": "stdout",
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||
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"output_type": "stream",
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||
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"text": [
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||
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"7.62 ms ± 11.2 µs per loop (mean ± std. dev. of 7 runs, 100 loops each)\n"
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||
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]
|
||
|
|
}
|
||
|
|
],
|
||
|
|
"source": [
|
||
|
|
"big_ohlcv_ts = pd.DataFrame(np.random.uniform(1, 2, (10000, 5)), columns=ohlcv_ts.columns)\n",
|
||
|
|
"\n",
|
||
|
|
"%timeit big_ohlcv_ts.vbt.ohlcv.stats()"
|
||
|
|
]
|
||
|
|
},
|
||
|
|
{
|
||
|
|
"cell_type": "code",
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||
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|
"execution_count": 12,
|
||
|
|
"metadata": {},
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||
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"outputs": [
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||
|
|
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|
"data": {
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"image/svg+xml": [
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]
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},
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}
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],
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|
"source": [
|
||
|
|
"ohlcv_ts.vbt.ohlcv.plots().show_svg()"
|
||
|
|
]
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||
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|
},
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{
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"title": {
|
||
|
|
"standoff": 15
|
||
|
|
},
|
||
|
|
"zerolinecolor": "white",
|
||
|
|
"zerolinewidth": 2
|
||
|
|
},
|
||
|
|
"yaxis": {
|
||
|
|
"automargin": true,
|
||
|
|
"gridcolor": "white",
|
||
|
|
"linecolor": "white",
|
||
|
|
"ticks": "",
|
||
|
|
"title": {
|
||
|
|
"standoff": 15
|
||
|
|
},
|
||
|
|
"zerolinecolor": "white",
|
||
|
|
"zerolinewidth": 2
|
||
|
|
}
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"width": 700,
|
||
|
|
"xaxis": {
|
||
|
|
"rangeslider": {
|
||
|
|
"visible": false
|
||
|
|
},
|
||
|
|
"showgrid": true
|
||
|
|
},
|
||
|
|
"yaxis": {
|
||
|
|
"domain": [
|
||
|
|
0,
|
||
|
|
0.33
|
||
|
|
],
|
||
|
|
"showgrid": true
|
||
|
|
},
|
||
|
|
"yaxis2": {
|
||
|
|
"domain": [
|
||
|
|
0.33,
|
||
|
|
1
|
||
|
|
]
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"_py2js_animate": {},
|
||
|
|
"_py2js_deleteTraces": {},
|
||
|
|
"_py2js_moveTraces": {},
|
||
|
|
"_py2js_removeLayoutProps": {},
|
||
|
|
"_py2js_removeTraceProps": {},
|
||
|
|
"_py2js_restyle": {},
|
||
|
|
"_view_count": 0
|
||
|
|
}
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"version_major": 2,
|
||
|
|
"version_minor": 0
|
||
|
|
}
|
||
|
|
}
|
||
|
|
},
|
||
|
|
"nbformat": 4,
|
||
|
|
"nbformat_minor": 4
|
||
|
|
}
|