mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-22 12:40:30 +08:00
132 lines
2.9 KiB
Python
132 lines
2.9 KiB
Python
import matplotlib.dates as mdates
|
|
import pandas as pd
|
|
|
|
from catalyst.exchange.exchange_errors import \
|
|
MismatchingBaseCurrenciesExchanges
|
|
|
|
fmt = mdates.DateFormatter('%Y-%m-%d %H:%M')
|
|
|
|
|
|
def format_ax(ax):
|
|
"""
|
|
Trying to assign reasonable parameters to the time axis.
|
|
|
|
Parameters
|
|
----------
|
|
ax:
|
|
|
|
"""
|
|
# TODO: room for improvement
|
|
ax.xaxis.set_major_locator(mdates.DayLocator(interval=1))
|
|
ax.xaxis.set_major_formatter(fmt)
|
|
|
|
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(ax):
|
|
"""
|
|
Set legend on the chart.
|
|
|
|
Parameters
|
|
----------
|
|
ax
|
|
|
|
"""
|
|
ax.legend(loc='upper left', ncol=1, fontsize=10, numpoints=1)
|
|
|
|
|
|
def draw_pnl(ax, df):
|
|
"""
|
|
Draw p&l line on the chart.
|
|
|
|
"""
|
|
ax.clear()
|
|
ax.set_title('Performance')
|
|
index = df.index.unique()
|
|
dt = index.get_level_values(level=0)
|
|
pnl = index.get_level_values(level=4)
|
|
ax.plot(
|
|
dt, pnl, '-',
|
|
color='green',
|
|
linewidth=1.0,
|
|
label='Performance'
|
|
)
|
|
|
|
def perc(val):
|
|
return '{:2f}'.format(val)
|
|
|
|
ax.format_ydata = perc
|
|
|
|
set_legend(ax)
|
|
format_ax(ax)
|
|
|
|
|
|
def draw_custom_signals(ax, df):
|
|
"""
|
|
Draw custom signals on the chart.
|
|
|
|
"""
|
|
colors = ['blue', 'green', 'red', 'black', 'orange', 'yellow', 'pink']
|
|
|
|
ax.clear()
|
|
ax.set_title('Custom Signals')
|
|
for index, column in enumerate(df.columns.values.tolist()):
|
|
ax.plot(df.index, df[column], '-',
|
|
color=colors[index],
|
|
linewidth=1.0,
|
|
label=column
|
|
)
|
|
|
|
set_legend(ax)
|
|
format_ax(ax)
|
|
|
|
|
|
def draw_exposure(ax, df, context):
|
|
"""
|
|
Draw exposure line on the chart.
|
|
|
|
"""
|
|
# TODO: list exchanges in graph
|
|
base_currency = None
|
|
positions = []
|
|
for exchange_name in context.exchanges:
|
|
exchange = context.exchanges[exchange_name]
|
|
|
|
if not base_currency:
|
|
base_currency = exchange.base_currency
|
|
elif base_currency != exchange.base_currency:
|
|
raise MismatchingBaseCurrenciesExchanges(
|
|
base_currency=base_currency,
|
|
exchange_name=exchange.name,
|
|
exchange_currency=exchange.base_currency
|
|
)
|
|
|
|
positions += exchange.portfolio.positions
|
|
|
|
ax.clear()
|
|
ax.set_title('Exposure')
|
|
ax.plot(df.index, df['base_currency'], '-',
|
|
color='green',
|
|
linewidth=1.0,
|
|
label='Base Currency: {}'.format(base_currency.upper())
|
|
)
|
|
|
|
symbols = []
|
|
for position in positions:
|
|
symbols.append(position.symbol)
|
|
|
|
ax.plot(df.index, df['long_exposure'], '-',
|
|
color='blue',
|
|
linewidth=1.0,
|
|
label='Long Exposure: {}'.format(', '.join(symbols).upper()))
|
|
|
|
set_legend(ax)
|
|
format_ax(ax)
|