diff --git a/catalyst/exchange/live_graph_clock.py b/catalyst/exchange/live_graph_clock.py index bd76a38d..877f8115 100644 --- a/catalyst/exchange/live_graph_clock.py +++ b/catalyst/exchange/live_graph_clock.py @@ -10,6 +10,7 @@ # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. +from datetime import timedelta import matplotlib.dates as mdates import pandas as pd @@ -25,8 +26,6 @@ log = Logger('LiveGraphClock') style.use('dark_background') -days = mdates.DayLocator() -hours = mdates.HourLocator() fmt = mdates.DateFormatter('%Y-%m-%d %H:%M') @@ -36,10 +35,24 @@ class LiveGraphClock(object): This class is a drop-in replacement for :class:`zipline.gens.sim_engine.MinuteSimulationClock`. - This is a stripped down version because crypto exchanges run around the clock. + This mixes the clock with a live graph. + + Note + ---- + This seemingly awkward approach allows us to run the program using a single + thread. This is important because Matplotlib does not play nice with + multi-threaded environments. Zipline probably does not either. + + + Matplotlib has a pause() method which is a wrapper around time.sleep() + used in the SimpleClock. The key difference is that users + can still interact with the chart during the pause cycles. This is + what enables us to keep a single thread. This is also why we are not using + the 'animate' callback of Matplotlib. We need to direct access to the + __iter__ method in order to yield events to Zipline. The :param:`time_skew` parameter represents the time difference between - the Broker and the live trading machine's clock. + the exchange and the live trading machine's clock. It's not used currently. """ def __init__(self, sessions, context, time_skew=pd.Timedelta('0s')): @@ -55,13 +68,15 @@ class LiveGraphClock(object): self.context.algo_namespace)) self.ax_pnl = fig.add_subplot(311) - self.draw_pnl() self.ax_custom_signals = fig.add_subplot(312, sharex=self.ax_pnl) - self.draw_custom_signals() self.ax_exposure = fig.add_subplot(313, sharex=self.ax_pnl) - self.draw_exposure() + + if len(context.minute_stats) > 0: + self.draw_pnl() + self.draw_custom_signals() + self.draw_exposure() # rotates and right aligns the x labels, and moves the bottom of the # axes up to make room for them @@ -73,11 +88,29 @@ class LiveGraphClock(object): plt.show() def format_ax(self, ax): - ax.xaxis.set_major_locator(hours) + """ + Trying to assign reasonable parameters to the time axis. + + TODO: room for improvement + + :param ax: + :return: + """ + ax.xaxis.set_major_locator(mdates.DayLocator(interval=1)) ax.xaxis.set_major_formatter(fmt) - ax.xaxis.set_minor_locator(days) + + locator = mdates.HourLocator(interval=4) + locator.MAXTICKS = 5000 + ax.xaxis.set_minor_locator(locator) + + datemin = pd.Timestamp.utcnow() + ax.set_xlim(datemin) + ax.grid(True) + def set_legend(self, ax): + ax.legend(loc='upper left', ncol=1, fontsize=10, numpoints=1) + def draw_pnl(self): ax = self.ax_pnl df = self.context.pnl_stats @@ -90,13 +123,12 @@ class LiveGraphClock(object): label='Performance' ) - ax.legend(loc='upper left', ncol=1, fontsize=10, numpoints=1) - def perc(val): return '{:2f}'.format(val) ax.format_ydata = perc + self.set_legend(ax) self.format_ax(ax) def draw_custom_signals(self): @@ -113,7 +145,8 @@ class LiveGraphClock(object): linewidth=1.0, label=column ) - ax.legend(loc='upper left', ncol=1, fontsize=10, numpoints=1) + + self.set_legend(ax) self.format_ax(ax) def draw_exposure(self): @@ -143,13 +176,14 @@ class LiveGraphClock(object): ', '.join(symbols).upper() ) ) - ax.legend(loc='upper left', ncol=1, fontsize=10, numpoints=1) + + self.set_legend(ax) self.format_ax(ax) def __iter__(self): yield pd.Timestamp.utcnow(), SESSION_START - while True: # plot x^1, x^2, ..., x^4 + while True: current_time = pd.Timestamp.utcnow() current_minute = current_time.floor('1 min') @@ -171,5 +205,6 @@ class LiveGraphClock(object): else: # I can't use the "animate" reactive approach here because # I need to yield from the main loop. + # Workaround: https://stackoverflow.com/a/33050617/814633 plt.pause(1)