Initial checkin

--HG--
branch : sandbox

mpl/mpl-draw.py

@@ -0,0 +1,163 @@
+# Copyright (c) 2008 Andreas Balogh
+# See LICENSE for details.
+
+""" animated drawing of ticks
+
+    using draw method
+"""
+
+# system imports
+
+import Tkinter as tk
+import datetime
+import os
+import re
+import logging
+import sys
+
+import matplotlib.pyplot as plt
+from matplotlib.dates import date2num
+import matplotlib.dates as mdates
+import numpy as np
+
+# local imports
+
+# constants
+
+# globals
+
+LOG = logging.getLogger()
+
+logging.basicConfig(level=logging.DEBUG, 
+                    format='%(asctime)s.%(msecs)03i %(levelname).4s %(process)d:%(thread)d %(message)s',
+                    datefmt='%H:%M:%S')
+
+MDF_REO = re.compile("(..):(..):(..)\.*(\d+)*")
+
+def tdl(tick_date):
+    """ returns a list of tick tuples (cdt, last) for specified day """
+    fiid = "846900"
+    year = tick_date.strftime("%Y")
+    yyyymmdd = tick_date.strftime("%Y%m%d")
+    filename = "%s.csv" % (fiid)
+    filepath = os.path.join("d:\\rttrd-prd-var\\consors-mdf\\data", year, yyyymmdd, filename)
+    x = [ ]
+    y = [ ]
+    fh = open(filepath, "r")
+    try:
+        prev_last = ""
+        for line in fh:
+            flds = line.split(",")
+            # determine file version
+            if flds[2] == "LAST":
+                last = float(flds[3])
+                vol = float(flds[4])
+            else:
+                last = float(flds[4])
+                vol = 0.0
+            # skip ticks with same last price
+            if prev_last == last:
+                continue
+            else:
+                prev_last = last 
+            # parse time
+            mobj = MDF_REO.match(flds[0])
+            if mobj is None:
+                raise ValueError("no match for [%s]" % (flds[0],))
+            (hh, mm, ss, ms) = mobj.groups()
+            if ms:
+                c_time = datetime.time(int(hh), int(mm), int(ss), int(ms) * 1000)
+            else:
+                c_time = datetime.time(int(hh), int(mm), int(ss))
+            cdt = datetime.datetime.combine(tick_date, c_time)
+            x.append(date2num(cdt))
+            y.append(last)
+    finally:
+        fh.close()
+    # throw away first line of file (close price from previous day)
+    del x[0] 
+    del y[0] 
+    return (x, y) 
+
+
+def main():
+    LOG.debug("Loading ticks...")
+    x, y = tdl(datetime.datetime(2009,6,3))
+    LOG.debug("Ticks loaded.")
+    
+    fig = plt.figure()
+    ax1 = fig.add_subplot(311) # ticks
+    # ax2 = fig.add_subplot(312) # gearing
+    # ax3 = fig.add_subplot(313) # cash
+
+    ax1.set_ylabel("ticks")
+    # ax2.set_ylabel("gearing")
+    # ax3.set_ylabel("cash")
+
+    xr = [x[0]] * 500
+    yr = [y[0]] * 500
+    
+    line, = ax1.plot_date(xr, yr, '-', xdate = True)
+    major_fmt = mdates.DateFormatter('%H:%M:%S')
+    ax1.xaxis.set_major_formatter(major_fmt)
+    # ax1.axis('tight')
+    
+    # format the coords message box
+    def price(x): return '%1.2f'%x
+    # ax.format_xdata = mdates.DateFormatter('%Y-%m-%d')
+    ax1.format_xdata = mdates.DateFormatter('%H:%M:%S')
+    ax1.format_ydata = price
+    ax1.grid(True)
+    
+    # rotates and right aligns the x labels, and moves the bottom of the
+    # axes up to make room for them
+    fig.autofmt_xdate()
+    
+    def animate():
+        w = 1000
+        bias = 10
+
+        ymin = min(y[0:100])
+        ymax = max(y[0:100])
+
+        low = ymin - bias
+        high = ymax + bias
+        trend = 0
+
+        for i in range(0, len(x)-w):
+            # prepare timeline window
+            xr = x[i:i+w]
+            yr = y[i:i+w]
+            # update line
+            line.set_xdata(xr)
+            line.set_ydata(yr)
+            # determine y axis
+            if yr[-1] > ymax:
+                ymax = yr[-1]
+                if ymax - 50 < min(yr):
+                    ymin = ymax - 50
+            if yr[-1] < ymin:
+                ymin = yr[-1]
+                if ymin + 50 > max(yr):
+                    ymax = ymin + 50        
+            ax1.axis([xr[0], xr[-1], ymin, ymax])
+            # check low high and annotate
+            if i > 0 and i % 150 == 0:
+                ax1.annotate('low/high', 
+                            xy = (xr[-10], yr[-10]),
+                            xytext = (xr[-5], yr[-10] + 10),
+                            arrowprops = dict(facecolor = 'black',
+                                              frac = 0.2,
+                                              headwidth = 10,
+                                              linewidth = 0.1, 
+                                              shrink = 0.05))
+                
+            fig.canvas.draw()
+    
+    root = fig.canvas.manager.window
+    root.after(100, animate)
+    plt.show()
+
+
+if __name__ == "__main__":
+    main()