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SF.net SVN: matplotlib:[8443] trunk/matplotlib
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From: <ef...@us...> - 2010-06-20 16:46:40
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Revision: 8443
http://matplotlib.svn.sourceforge.net/matplotlib/?rev=8443&view=rev
Author: efiring
Date: 2010-06-20 16:46:34 +0000 (Sun, 20 Jun 2010)
Log Message:
-----------
finance: restore original adjustment algorithm, but use ndarray.
A numpy recarray replaces the Bunch when asobject is True.
Additional fields are provided.
Modified Paths:
--------------
trunk/matplotlib/examples/pylab_examples/date_demo1.py
trunk/matplotlib/examples/pylab_examples/date_demo2.py
trunk/matplotlib/examples/pylab_examples/finance_demo.py
trunk/matplotlib/lib/matplotlib/finance.py
Modified: trunk/matplotlib/examples/pylab_examples/date_demo1.py
===================================================================
--- trunk/matplotlib/examples/pylab_examples/date_demo1.py 2010-06-20 01:34:30 UTC (rev 8442)
+++ trunk/matplotlib/examples/pylab_examples/date_demo1.py 2010-06-20 16:46:34 UTC (rev 8443)
@@ -27,7 +27,7 @@
quotes = quotes_historical_yahoo(
'INTC', date1, date2)
-if not quotes:
+if len(quotes) == 0:
raise SystemExit
dates = [q[0] for q in quotes]
Modified: trunk/matplotlib/examples/pylab_examples/date_demo2.py
===================================================================
--- trunk/matplotlib/examples/pylab_examples/date_demo2.py 2010-06-20 01:34:30 UTC (rev 8442)
+++ trunk/matplotlib/examples/pylab_examples/date_demo2.py 2010-06-20 16:46:34 UTC (rev 8443)
@@ -23,7 +23,7 @@
quotes = quotes_historical_yahoo('INTC', date1, date2)
-if not quotes:
+if len(quotes) == 0:
print 'Found no quotes'
raise SystemExit
Modified: trunk/matplotlib/examples/pylab_examples/finance_demo.py
===================================================================
--- trunk/matplotlib/examples/pylab_examples/finance_demo.py 2010-06-20 01:34:30 UTC (rev 8442)
+++ trunk/matplotlib/examples/pylab_examples/finance_demo.py 2010-06-20 16:46:34 UTC (rev 8443)
@@ -5,20 +5,18 @@
from matplotlib.finance import quotes_historical_yahoo, candlestick,\
plot_day_summary, candlestick2
-import datetime
+# (Year, month, day) tuples suffice as args for quotes_historical_yahoo
+date1 = ( 2004, 2, 1)
+date2 = ( 2004, 4, 12 )
-date1 = datetime.date( 2004, 2, 1)
-date2 = datetime.date( 2004, 4, 12 )
-
mondays = WeekdayLocator(MONDAY) # major ticks on the mondays
alldays = DayLocator() # minor ticks on the days
weekFormatter = DateFormatter('%b %d') # Eg, Jan 12
dayFormatter = DateFormatter('%d') # Eg, 12
-quotes = quotes_historical_yahoo(
- 'INTC', date1, date2)
-if not quotes:
+quotes = quotes_historical_yahoo('INTC', date1, date2)
+if len(quotes) == 0:
raise SystemExit
fig = figure()
Modified: trunk/matplotlib/lib/matplotlib/finance.py
===================================================================
--- trunk/matplotlib/lib/matplotlib/finance.py 2010-06-20 01:34:30 UTC (rev 8442)
+++ trunk/matplotlib/lib/matplotlib/finance.py 2010-06-20 16:46:34 UTC (rev 8443)
@@ -11,90 +11,130 @@
from hashlib import md5
except ImportError:
from md5 import md5 #Deprecated in 2.5
+import datetime
-try: import datetime
-except ImportError:
- raise ImportError('The finance module requires datetime support (python2.3)')
-
import numpy as np
from matplotlib import verbose, get_configdir
-from dates import date2num
-from matplotlib.cbook import Bunch
+from matplotlib.dates import date2num
+from matplotlib.cbook import iterable, is_string_like
from matplotlib.collections import LineCollection, PolyCollection
from matplotlib.colors import colorConverter
-from lines import Line2D, TICKLEFT, TICKRIGHT
-from patches import Rectangle
+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')
-def parse_yahoo_historical(fh, asobject=False, adjusted=True):
+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.int),
+ ('aclose', np.float)])
+
+
+def parse_yahoo_historical(fh, adjusted=True, asobject=False):
"""
- Parse the historical data in file handle fh from yahoo finance and return
- results as a list of
+ Parse the historical data in file handle fh from yahoo finance.
- d, open, close, high, low, volume
+ *adjusted*
+ If True (default) replace open, close, high, low, and volume with
+ their adjusted values.
+ The adjustment is by a scale factor, S = adjusted_close/close.
+ Adjusted volume is actual volume divided by S;
+ Adjusted prices are actual prices multiplied by S. Hence,
+ the product of price and volume is unchanged by the adjustment.
- where d is a floating poing representation of date, as returned by date2num
+ *asobject*
+ If False (default for compatibility with earlier versions)
+ return a list of tuples containing
- if adjusted=True, use adjusted prices. Note that volume is not
- adjusted and we are not able to handle volume adjustments properly
- because the Yahoo CSV does not distinguish between split and
- dividend adjustments.
+ 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.
+
"""
- results = []
lines = fh.readlines()
- datefmt = None
+ results = []
+ datefmt = '%Y-%m-%d'
+
for line in lines[1:]:
vals = line.split(',')
-
- if len(vals)!=7: continue
+ if len(vals)!=7:
+ continue # add warning?
datestr = vals[0]
- if datefmt is None:
- try:
- datefmt = '%Y-%m-%d'
- dt = datetime.date(*time.strptime(datestr, datefmt)[:3])
- except ValueError:
- datefmt = '%d-%b-%y' # Old Yahoo--cached file?
- dt = datetime.date(*time.strptime(datestr, datefmt)[:3])
- d = date2num(dt)
+ #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 = int(vals[5])
- if adjusted:
- aclose = float(vals[6])
- delta = aclose-close
- open += delta
- high += delta
- low += delta
- close = aclose
+ aclose = float(vals[6])
- results.append((d, open, close, high, low, volume))
+ results.append((dt, dt.year, dt.month, dt.day,
+ dnum, open, close, high, low, volume, aclose))
results.reverse()
- if asobject:
- if len(results)==0: return None
- else:
- date, open, close, high, low, volume = map(np.asarray, zip(*results))
- return Bunch(date=date, open=open, close=close, high=high, low=low, volume=volume)
- else:
+ 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
- return results
+ 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 datetime instances
+ date2 are date or datetime instances, or (year, month, day) sequences.
Ex:
- fh = fetch_historical_yahoo('^GSPC', d1, d2)
+ 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
@@ -106,8 +146,14 @@
ticker = ticker.upper()
- d1 = (date1.month-1, date1.day, date1.year)
- d2 = (date2.month-1, date2.day, date2.year)
+ 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'
@@ -123,7 +169,8 @@
fh = file(cachename)
verbose.report('Using cachefile %s for %s'%(cachename, ticker))
else:
- if not os.path.isdir(cachedir): os.mkdir(cachedir)
+ if not os.path.isdir(cachedir):
+ os.mkdir(cachedir)
urlfh = urlopen(url)
fh = file(cachename, 'w')
@@ -135,27 +182,18 @@
return fh
-def quotes_historical_yahoo(ticker, date1, date2, asobject=False, adjusted=True, cachename=None):
+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
+ date2 are datetime instances or (year, month, day) sequences.
- results are a list of tuples
+ See :func:`parse_yahoo_historical` for explanation of output formats
+ and the *asobject* and *adjusted* kwargs.
- (d, open, close, high, low, volume)
-
- where d is a floating poing representation of date, as returned by date2num
-
- if asobject is True, the return val is an object with attrs date,
- open, close, high, low, volume, which are equal length arrays
-
- if adjusted=True, use adjusted prices. Note that volume is not
- adjusted and we are not able to handle volume adjustments properly
- because the Yahoo CSV does not distinguish between split and
- dividend adjustments.
-
Ex:
- sp = f.quotes_historical_yahoo('^GSPC', d1, d2, asobject=True, adjusted=True)
+ 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)
@@ -167,10 +205,18 @@
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, adjusted)
+ try:
+ ret = parse_yahoo_historical(fh, asobject=asobject,
+ adjusted=adjusted)
+ if len(ret) == 0:
+ return None
except IOError, exc:
warnings.warn('urlopen() failure\n' + url + '\n' + exc.strerror[1])
return None
@@ -181,7 +227,7 @@
colorup='k', colordown='r',
):
"""
- quotes is a list of (time, open, close, high, low, ...) tuples
+ 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
@@ -196,9 +242,6 @@
return value is a list of lines added
"""
-
-
-
lines = []
for q in quotes:
@@ -244,9 +287,9 @@
"""
- quotes is a list of (time, open, close, high, low, ...) tuples.
- As long as the first 5 elements of the tuples are these values,
- the tuple can be as long as you want (eg it may store volume).
+ 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
@@ -263,12 +306,11 @@
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:
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