Merge pull request #297 from DanielGoldfarb/master

New handling of volume exponent; and assorted scratch_pad additions:

This PR is primarily to implement a new way to handle the volume exponent; the new way avoids calling `.draw()` which in turn eliminates the bug mentioned in issue #296, and also mentioned/described in a previous email from S.G. ([commit 2c88663](2c88663))

This PR also includes a lot of scratch_pad work for investigations of various issues (#282, #236, #241), and for an mplfinance presentation: including comparison of old and new api's, intraday animation with volumes, generation of animation gifs, etc.

Author: DanielGoldfarb

Diff for: examples/data/SP500_NOV2019_IDayRVol.csv

@@ -0,0 +1,17 @@
+import pandas as pd
+from pandas.plotting import register_matplotlib_converters
+register_matplotlib_converters()
+import os.path
+
+import mplfinance as mpf
+
+date1 = "2004-2-1"
+date2 = "2004-4-12"
+
+infile = os.path.join('data','yahoofinance-INTC-19950101-20040412.csv')
+quotes = pd.read_csv(infile, index_col=0, parse_dates=True, infer_datetime_format=True) 
+
+# select desired range of dates
+quotes = quotes[(quotes.index >= date1) & (quotes.index <= date2)]
+
+mpf.plot(quotes,type='candle',style='checkers')

Diff for: examples/original_flavor/finance_demo_newapi.py

@@ -0,0 +1,22 @@
+
+import random
+
+def gen_vol( numpoints, totalvol ):
+    rlist = []
+    for jj in range(0,num):
+        r = 0
+        for kk in range(0,3):
+            r += random.random()
+        rlist.append(r/3.0)
+    rlist
+    s = sum(rlist)
+    vol = []
+    for r in rlist:
+        vol.append((r/s)*tot)
+
+
+
+11/5/2019,3080.8,3083.95,3072.15,3074.62,585634570
+5 11/6/2019,3075.1,3078.34,3065.89,3076.78,544288522
+6 11/7/2019,3087.02,3097.77,3080.23,3085.18,566117910
+7 11/8/2019,3081.25,3093.09,3073.58,3093.08,460757054

Diff for: examples/scratch_pad/Axes.scatter.ipynb

@@ -0,0 +1,98 @@
+'''
+This file contains a animation demo using mplfinance demonstating resampling
+of the data and re-displaying the most recent, partially resampled, candle.
+
+The idea for this example came from Issue #256
+(https://github.com/matplotlib/mplfinance/issues/256)
+
+The typical use-case is where the user has real-time data from an API,
+perhaps to the second, or minute, but wants to aggregate that data to 
+15 minutes per canlde, or maybe 30 minutes per candle. At the same time,
+during those 15 or 30 minutes, the user wants to see the most recent
+candle changing and developing as real-time data continues to come in.
+
+In the example presented in this file, the data is once per minute,
+with an aggregation of 15 minutes per candle.  But, for this *simulation*
+we set the animation rate to 250ms, which means we are getting 1 minute's
+worth of data from the API every 1/4 second. Thus, this simulation is
+running 240 times faster than real-time.
+
+In a real-life case, if we have data once per second, and want to aggregate
+15 minutes per candle, we would set the animation interval to something
+like 5000ms (once every 5 seconds) because a more frequent visualization
+might be impractical to watch or to use for decision making.
+
+PLEASE NOTE: In this example, we resample the *entire* data set with each
+animation cycle.  This is inefficient, but works fine for less than 5000
+data points or so.  For larger data sets it may be practical to cache
+the resampled data up to the last "full" candle, and only resample the
+data that contributes to the final candle (and append it to the cached
+resampled data).  If I have time, I will work up and example doing that.
+
+NOTE: Presently mplfinance does not support "blitting" (blitting makes animation
+more efficient).  Nonetheless, the animation is efficient enough to update at least
+once per second, and typically more frequently depending on the size of the plot.
+'''
+import pandas as pd
+import mplfinance as mpf
+import matplotlib.animation as animation
+
+## Class to simulate getting more data from API:
+
+class RealTimeAPI():
+    def __init__(self):
+        self.data_pointer = 0
+        self.data_frame = pd.read_csv('data/SP500_NOV2019_IDay.csv',index_col=0,parse_dates=True)
+        self.data_frame = self.data_frame.iloc[0:480,:]
+        self.df_len = len(self.data_frame)
+
+    def fetch_next(self):
+        r1 = self.data_pointer 
+        self.data_pointer += 1
+        if self.data_pointer >= self.df_len:
+            return None
+        return self.data_frame.iloc[r1:self.data_pointer,:]
+        
+    def initial_fetch(self):
+        if self.data_pointer > 0:
+            return
+        r1 = self.data_pointer 
+        self.data_pointer += int(0.3*self.df_len)
+        return self.data_frame.iloc[r1:self.data_pointer,:]
+
+rtapi = RealTimeAPI()
+
+resample_map ={'Open' :'first',
+               'High' :'max'  ,
+               'Low'  :'min'  ,
+               'Close':'last' }
+resample_period = '15T'
+
+df = rtapi.initial_fetch()
+rs = df.resample(resample_period).agg(resample_map).dropna()
+
+fig, axes = mpf.plot(rs,returnfig=True,figsize=(11,8),type='candle',title='\n\nGrowing Candle')
+ax = axes[0]
+
+def animate(ival):
+    global df
+    global rs
+    nxt = rtapi.fetch_next()
+    if nxt is None:
+        #print('no more data to plot')
+        #ani.event_source.interval *= 3
+        #if ani.event_source.interval > 12000:
+        exit()
+        #return
+    df = df.append(nxt)
+    rs = df.resample(resample_period).agg(resample_map).dropna()
+    ax.clear()
+    mpf.plot(rs,ax=ax,type='candle')
+
+ani = animation.FuncAnimation(fig, animate, interval=250)
+
+print('about to save')
+ani.save('gc.gif', writer='imagemagick',fps=4)
+print('DONE saving')
+
+mpf.show()

Diff for: examples/scratch_pad/animation/gc.gif

@@ -0,0 +1,127 @@
+'''
+This file contains a animation demo using mplfinance "external axes mode",
+in which animate both the display of candlesticks as well as the display
+of MACD (Moving Average Convergence Divergence) visual analysis.
+
+In this example, instead of creating the Figure and Axes external to mplfiance,
+we allow mplfinance to create the Figure and Axes using its "panel method", and
+set kwarg `returnfig=True` so that mplfinance will return the Figure and Axes.
+
+We then take those Axes and pass them back into mplfinance ("external axes mode")
+as part of the animation.
+
+Note that presently mplfinance does not support "blitting" (blitting makes animation
+more efficient).  Nonetheless, the animation is efficient enough to update at least
+once per second, and typically more frequently depending on the size of the plot.
+'''
+import pandas as pd
+import mplfinance as mpf
+import matplotlib.animation as animation
+
+mpf.__version__
+
+## Class to simulate getting more data from API:
+
+class RealTimeAPI():
+    def __init__(self):
+        self.data_pointer = 0
+        self.data_frame = pd.read_csv('../../data/SP500_NOV2019_IDayRVol.csv',index_col=0,parse_dates=True)
+        #self.data_frame = self.data_frame.iloc[0:120,:]
+        self.df_len = len(self.data_frame)
+
+    def fetch_next(self):
+        r1 = self.data_pointer
+        self.data_pointer += 1
+        if self.data_pointer >= self.df_len:
+            return None
+        return self.data_frame.iloc[r1:self.data_pointer,:]
+
+    def initial_fetch(self,num):
+        if self.data_pointer > 0:
+            return
+        r1 = self.data_pointer
+        self.data_pointer += num
+        return self.data_frame.iloc[r1:self.data_pointer,:]
+
+rtapi = RealTimeAPI()
+
+# =======
+#  MACD:
+
+df = rtapi.initial_fetch(450)
+
+resample_map ={'Open'  :'first',
+               'High'  :'max'  ,
+               'Low'   :'min'  ,
+               'Close' :'last' ,
+               'Volume':'sum'  }
+
+resample_period = '5T'
+
+rs = df.resample(resample_period).agg(resample_map).dropna()
+
+exp12     = rs['Close'].ewm(span=12, adjust=False).mean()
+exp26     = rs['Close'].ewm(span=26, adjust=False).mean()
+macd      = exp12 - exp26
+signal    = macd.ewm(span=9, adjust=False).mean()
+histogram = macd - signal
+
+apds = [mpf.make_addplot(exp12,color='lime'),
+        mpf.make_addplot(exp26,color='c'),
+        mpf.make_addplot(histogram,type='bar',width=0.7,panel=1,
+                         color='dimgray',alpha=1,secondary_y=False),
+        mpf.make_addplot(macd,panel=1,color='fuchsia',secondary_y=True),
+        mpf.make_addplot(signal,panel=1,color='b',secondary_y=True),
+       ]
+
+s = mpf.make_mpf_style(base_mpf_style='classic',rc={'figure.facecolor':'lightgray'})
+
+fig, axes = mpf.plot(rs,type='candle',addplot=apds,figscale=1.5,figratio=(7,5),title='\n\nMACD',
+                     style=s,volume=True,volume_panel=2,panel_ratios=(6,3,2),returnfig=True)
+
+ax_main = axes[0]
+ax_emav = ax_main
+ax_hisg = axes[2]
+ax_macd = axes[3]
+ax_sign = ax_macd
+ax_volu = axes[4]
+
+
+def animate(ival):
+    global df, rs
+    nxt = rtapi.fetch_next()
+    if nxt is None:
+        print('no more data to plot')
+        exit()
+    df = df.append(nxt)
+    rs = df.resample(resample_period).agg(resample_map).dropna()
+    if len(rs) > 90:
+        rs = rs[-90:]
+    data = rs
+    exp12     = data['Close'].ewm(span=12, adjust=False).mean()
+    exp26     = data['Close'].ewm(span=26, adjust=False).mean()
+    macd      = exp12 - exp26
+    signal    = macd.ewm(span=9, adjust=False).mean()
+    histogram = macd - signal
+    apds = [mpf.make_addplot(exp12,color='lime',ax=ax_emav),
+            mpf.make_addplot(exp26,color='c',ax=ax_emav),
+            mpf.make_addplot(histogram,type='bar',width=0.7,
+                             color='dimgray',alpha=1,ax=ax_hisg),
+            mpf.make_addplot(macd,color='fuchsia',ax=ax_macd),
+            mpf.make_addplot(signal,color='b',ax=ax_sign),
+           ]
+
+    for ax in axes:
+        ax.clear()
+    mpf.plot(data,type='candle',addplot=apds,ax=ax_main,volume=ax_volu)
+
+ani = animation.FuncAnimation(fig,animate,interval=50)
+
+##  print('about to save')
+##  ani.save('idaygcmacd.gif', writer='imagemagick',fps=5)
+##  print('DONE saving')
+
+import matplotlib.pyplot as plt
+print('Backend: ',plt.get_backend())
+
+mpf.show()

Diff for: examples/scratch_pad/animation/gcmacd.gif

@@ -0,0 +1,36 @@
+'''
+This file contains a simple animation demo using mplfinance "external axes mode".
+
+Note that presently mplfinance does not support "blitting" (blitting makes animation
+more efficient).  Nonetheless, the animation is efficient enough to update at least
+once per second, and typically more frequently depending on the size of the plot.
+'''
+import pandas as pd
+import mplfinance as mpf
+import matplotlib.animation as animation
+
+idf = pd.read_csv('data/SPY_20110701_20120630_Bollinger.csv',index_col=0,parse_dates=True)
+idf.shape
+idf.head(3)
+idf.tail(3)
+df = idf.loc['2011-07-01':'2011-12-30',:]
+
+fig = mpf.figure(style='charles',figsize=(7,8))
+ax1 = fig.add_subplot(2,1,1)
+ax2 = fig.add_subplot(3,1,3)
+
+def animate(ival):
+    if (22+ival) > len(df):
+        print('no more data to plot')
+        ani.event_source.interval *= 3
+        if ani.event_source.interval > 12000:
+            exit()
+        return
+    data = df.iloc[0+ival:(22+ival)]
+    ax1.clear()
+    ax2.clear()
+    mpf.plot(data,ax=ax1,volume=ax2,type='ohlc')
+
+ani = animation.FuncAnimation(fig, animate, interval=250)
+
+mpf.show()

Diff for: examples/scratch_pad/animation/gcmacd2.gif

@@ -0,0 +1,45 @@
+'''
+This file contains a simple animation demo using mplfinance "external axes mode".
+
+In this example, instead of creating the Figure and Axes external to mplfiance,
+we allow mplfinance to create the Figure and Axes using its "panel method", and
+set kwarg `returnfig=True` so that mplfinance will return the Figure and Axes.
+
+We then take those Axes and pass them back into mplfinance ("external axes mode")
+as part of the animation.
+
+Note that presently mplfinance does not support "blitting" (blitting makes animation
+more efficient).  Nonetheless, the animation is efficient enough to update at least
+once per second, and typically more frequently depending on the size of the plot.
+'''
+import pandas as pd
+import mplfinance as mpf
+import matplotlib.animation as animation
+
+idf = pd.read_csv('data/SPY_20110701_20120630_Bollinger.csv',index_col=0,parse_dates=True)
+
+df = idf.loc['2011-07-01':'2011-12-30',:]
+
+pkwargs=dict(type='candle',mav=(7,12))
+
+fig, axes = mpf.plot(df.iloc[0:22],returnfig=True,volume=True,
+                     figsize=(11,8),panel_ratios=(2,1),
+                     title='\n\nS&P 500 ETF',**pkwargs)
+ax1 = axes[0]
+ax2 = axes[2]
+
+def animate(ival):
+    if (20+ival) > len(df):
+        print('no more data to plot')
+        ani.event_source.interval *= 3
+        if ani.event_source.interval > 12000:
+            exit()
+        return
+    data = df.iloc[0+ival:(22+ival)]
+    ax1.clear()
+    ax2.clear()
+    mpf.plot(data,ax=ax1,volume=ax2,**pkwargs)
+
+ani = animation.FuncAnimation(fig, animate, interval=200)
+
+mpf.show()