plot_overall.py

#!/usr/bin/env python
# -*- coding: utf-8 -*-

from os import listdir, makedirs
from os.path import isfile, join
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
import sys
import time
from datetime import datetime

if len(sys.argv) < 2:
    print("No order file found")
    exit(-1)

order_file = sys.argv[1]
binning_factor = 60
items_per_day = 30600 / binning_factor
days_per_tick = 5

data_path = './optiver/data'
print("starting parsing.")
files = list(sorted([f for f in listdir(data_path)]))
print("parsing done.")

df_daily = []
df_50_days = pd.DataFrame()

for idx, file in enumerate(files):
    df = pd.read_csv(join(data_path, file), parse_dates=['times'], index_col=['times'])
    # take an average over X seconds
    df = df.resample('1T').mean()
    df_daily.append(df)
    df_50_days = df_50_days.append(df)

print("df generated.")

fig, ax_arr = plt.subplots(nrows=10, ncols=5, figsize=(30, 30))
plt.subplots_adjust(hspace=0.5)
for idx, file in enumerate(files):
    ax = ax_arr[idx // 5, idx % 5]
    day = df_daily[idx]
    day.price.plot(ax=ax, sharex=True)

    current_date = day.index[0].date()
    current_orders = orders.ix[str(current_date)].dropna()
    print(current_orders.trades)
    ax.boxplot(current_orders.trades, [1000 for x in current_orders.trades])
    ax.plot(current_orders.trades, [900 for x in current_orders.trades])
    ax.set_title(file.split('_')[0])
    break

plt.savefig(order_file.replace(".csv", "_subs.svg"), bbox_inches='tight')
plt.cla();
plt.clf();

print("ax plot started.")
fig, axes = plt.subplots(figsize=(25, 5))
xticks = []
xticks_labels = []
for i in range(len(files)):
    plt.axvline(x=i * items_per_day, color='k', lw=0.5)
    if i % days_per_tick == 0:
        xtick = i * items_per_day
        xticks.append(xtick)
        label = df_50_days.index[int(xtick)]
        xticks_labels.append(label.strftime("%Y-%m-%d"))
df_50_days.price.plot(ax=axes, use_index=False)

plt.xticks(xticks, xticks_labels)
plt.savefig(order_file.replace(".csv", "_whole.svg"), bbox_inches='tight')

print("plot done.")