need to fix market hours range tick size estimation
This commit is contained in:
Will Charczuk
parent
7ba2992824
commit
51f3cca5d7
6 changed files with 56 additions and 232 deletions
|
|
@ -1,215 +1,36 @@
|
|||
package main
|
||||
|
||||
import (
|
||||
"math/rand"
|
||||
"net/http"
|
||||
"strings"
|
||||
"time"
|
||||
|
||||
chart "github.com/wcharczuk/go-chart"
|
||||
"github.com/wcharczuk/go-chart/seq"
|
||||
util "github.com/wcharczuk/go-chart/util"
|
||||
)
|
||||
|
||||
type price struct {
|
||||
Timestamp string
|
||||
Price float64
|
||||
}
|
||||
|
||||
func (p price) format() (time.Time, float64) {
|
||||
t, err := time.ParseInLocation("2006-01-02 15:04:05", strings.Split(p.Timestamp, ".")[0], util.Date.Eastern())
|
||||
if err != nil {
|
||||
panic(err)
|
||||
}
|
||||
return t, p.Price
|
||||
}
|
||||
|
||||
func stockData() (times []time.Time, prices []float64) {
|
||||
rawPrices := []price{
|
||||
{"2017-05-12 19:45:04.482809", 238.84},
|
||||
{"2017-05-12 19:30:04.349476", 238.92},
|
||||
{"2017-05-12 19:15:04.160628", 238.98},
|
||||
{"2017-05-12 19:00:03.994135", 239.05},
|
||||
{"2017-05-12 18:45:03.947176", 238.87},
|
||||
{"2017-05-12 18:30:03.653826", 238.97},
|
||||
{"2017-05-12 18:15:03.319783", 239.00},
|
||||
{"2017-05-12 18:00:03.293044", 238.87},
|
||||
{"2017-05-12 17:45:03.010216", 238.85},
|
||||
{"2017-05-12 17:30:07.808406", 238.84},
|
||||
{"2017-05-12 17:15:02.814348", 238.93},
|
||||
{"2017-05-12 17:00:03.153611", 239.00},
|
||||
{"2017-05-12 16:45:02.352906", 238.93},
|
||||
{"2017-05-12 16:30:02.339523", 239.00},
|
||||
{"2017-05-12 16:15:02.051624", 239.05},
|
||||
{"2017-05-12 16:00:01.920557", 239.10},
|
||||
{"2017-05-12 15:45:06.866833", 239.00},
|
||||
{"2017-05-12 15:30:01.60765", 238.92},
|
||||
{"2017-05-12 15:15:01.481936", 238.80},
|
||||
{"2017-05-12 15:00:01.298738", 238.85},
|
||||
{"2017-05-12 14:45:01.19513", 238.78},
|
||||
{"2017-05-12 14:30:01.037173", 239.03},
|
||||
{"2017-05-12 14:15:00.835599", 239.02},
|
||||
{"2017-05-12 14:00:00.654748", 239.00},
|
||||
{"2017-05-12 13:45:00.65331", 239.05},
|
||||
{"2017-05-11 19:45:03.940287", 239.26},
|
||||
{"2017-05-11 19:30:03.796674", 239.42},
|
||||
{"2017-05-11 19:15:03.709477", 239.31},
|
||||
{"2017-05-11 19:00:03.533934", 239.37},
|
||||
{"2017-05-11 18:45:03.383436", 239.44},
|
||||
{"2017-05-11 18:30:03.224035", 239.23},
|
||||
{"2017-05-11 18:15:03.127204", 239.31},
|
||||
{"2017-05-11 18:00:02.8859", 239.27},
|
||||
{"2017-05-11 17:45:02.796172", 239.00},
|
||||
{"2017-05-11 17:30:02.767553", 239.12},
|
||||
{"2017-05-11 17:15:02.56807", 238.96},
|
||||
{"2017-05-11 17:00:02.613708", 239.08},
|
||||
{"2017-05-11 16:45:02.348852", 238.99},
|
||||
{"2017-05-11 16:30:02.165067", 238.84},
|
||||
{"2017-05-11 16:15:02.043199", 238.69},
|
||||
{"2017-05-11 16:00:01.831857", 238.67},
|
||||
{"2017-05-11 15:45:01.705654", 238.72},
|
||||
{"2017-05-11 15:30:01.641864", 238.75},
|
||||
{"2017-05-11 15:15:01.387109", 238.58},
|
||||
{"2017-05-11 15:00:01.212597", 238.53},
|
||||
{"2017-05-11 14:45:01.148888", 238.35},
|
||||
{"2017-05-11 14:30:00.915767", 238.59},
|
||||
{"2017-05-11 14:15:00.655649", 238.55},
|
||||
{"2017-05-11 14:00:00.596624", 239.05},
|
||||
{"2017-05-11 13:45:00.565487", 239.36},
|
||||
{"2017-05-10 19:45:04.220057", 239.69},
|
||||
{"2017-05-10 19:30:04.102519", 239.82},
|
||||
{"2017-05-10 19:15:03.950613", 239.77},
|
||||
{"2017-05-10 19:00:03.871972", 239.73},
|
||||
{"2017-05-10 18:45:03.697585", 239.59},
|
||||
{"2017-05-10 18:30:03.490385", 239.72},
|
||||
{"2017-05-10 18:15:03.327691", 239.71},
|
||||
{"2017-05-10 18:00:03.277211", 239.68},
|
||||
{"2017-05-10 17:45:03.270592", 239.76},
|
||||
{"2017-05-10 17:30:03.124085", 239.69},
|
||||
{"2017-05-10 17:15:02.811264", 239.76},
|
||||
{"2017-05-10 17:00:02.696942", 239.71},
|
||||
{"2017-05-10 16:45:02.435806", 239.66},
|
||||
{"2017-05-10 16:30:02.373372", 239.65},
|
||||
{"2017-05-10 16:15:02.130672", 239.66},
|
||||
{"2017-05-10 16:00:02.04879", 239.71},
|
||||
{"2017-05-10 15:45:01.91206", 239.74},
|
||||
{"2017-05-10 15:30:01.710121", 239.57},
|
||||
{"2017-05-10 15:15:01.485801", 239.39},
|
||||
{"2017-05-10 15:00:01.43788", 239.44},
|
||||
{"2017-05-10 14:45:01.184263", 239.25},
|
||||
{"2017-05-10 14:30:00.940762", 239.45},
|
||||
{"2017-05-10 14:15:00.885742", 239.41},
|
||||
{"2017-05-10 14:00:00.640709", 239.38},
|
||||
{"2017-05-10 13:45:00.548287", 239.38},
|
||||
{"2017-05-09 19:45:04.220057", 239.69},
|
||||
{"2017-05-09 19:30:04.102519", 239.82},
|
||||
{"2017-05-09 19:15:03.950613", 239.77},
|
||||
{"2017-05-09 19:00:03.871972", 239.73},
|
||||
{"2017-05-09 18:45:03.697585", 239.59},
|
||||
{"2017-05-09 18:30:03.490385", 239.72},
|
||||
{"2017-05-09 18:15:03.327691", 239.71},
|
||||
{"2017-05-09 18:00:03.277211", 239.68},
|
||||
{"2017-05-09 17:45:03.270592", 239.76},
|
||||
{"2017-05-09 17:30:03.124085", 239.69},
|
||||
{"2017-05-09 17:15:02.811264", 239.76},
|
||||
{"2017-05-09 17:00:02.696942", 239.71},
|
||||
{"2017-05-09 16:45:02.435806", 239.66},
|
||||
{"2017-05-09 16:30:02.373372", 239.65},
|
||||
{"2017-05-09 16:15:02.130672", 239.66},
|
||||
{"2017-05-09 16:00:02.04879", 239.71},
|
||||
{"2017-05-09 15:45:01.91206", 239.74},
|
||||
{"2017-05-09 15:30:01.710121", 239.57},
|
||||
{"2017-05-09 15:15:01.485801", 239.39},
|
||||
{"2017-05-09 15:00:01.43788", 239.44},
|
||||
{"2017-05-09 14:45:01.184263", 239.25},
|
||||
{"2017-05-09 14:30:00.940762", 239.45},
|
||||
{"2017-05-09 14:15:00.885742", 239.41},
|
||||
{"2017-05-09 14:00:00.640709", 239.38},
|
||||
{"2017-05-09 13:45:00.548287", 239.38},
|
||||
{"2017-05-05 19:45:04.220057", 239.69},
|
||||
{"2017-05-05 19:30:04.102519", 239.82},
|
||||
{"2017-05-05 19:15:03.950613", 239.77},
|
||||
{"2017-05-05 19:00:03.871972", 239.73},
|
||||
{"2017-05-05 18:45:03.697585", 239.59},
|
||||
{"2017-05-05 18:30:03.490385", 239.72},
|
||||
{"2017-05-05 18:15:03.327691", 239.71},
|
||||
{"2017-05-05 18:00:03.277211", 239.68},
|
||||
{"2017-05-05 17:45:03.270592", 239.76},
|
||||
{"2017-05-05 17:30:03.124085", 239.69},
|
||||
{"2017-05-05 17:15:02.811264", 239.76},
|
||||
{"2017-05-05 17:00:02.696942", 239.71},
|
||||
{"2017-05-05 16:45:02.435806", 239.66},
|
||||
{"2017-05-05 16:30:02.373372", 239.65},
|
||||
{"2017-05-05 16:15:02.130672", 239.66},
|
||||
{"2017-05-05 16:00:02.04879", 239.71},
|
||||
{"2017-05-05 15:45:01.91206", 239.74},
|
||||
{"2017-05-05 15:30:01.710121", 239.57},
|
||||
{"2017-05-05 15:15:01.485801", 239.39},
|
||||
{"2017-05-05 15:00:01.43788", 239.44},
|
||||
{"2017-05-05 14:45:01.184263", 239.25},
|
||||
{"2017-05-05 14:30:00.940762", 239.45},
|
||||
{"2017-05-05 14:15:00.885742", 239.41},
|
||||
{"2017-05-05 14:00:00.640709", 239.38},
|
||||
{"2017-05-05 13:45:00.548287", 239.38},
|
||||
{"2017-05-03 19:45:04.220057", 239.69},
|
||||
{"2017-05-03 19:30:04.102519", 239.82},
|
||||
{"2017-05-03 19:15:03.950613", 239.77},
|
||||
{"2017-05-03 19:00:03.871972", 239.73},
|
||||
{"2017-05-03 18:45:03.697585", 239.59},
|
||||
{"2017-05-03 18:30:03.490385", 239.72},
|
||||
{"2017-05-03 18:15:03.327691", 239.71},
|
||||
{"2017-05-03 18:00:03.277211", 239.68},
|
||||
{"2017-05-03 17:45:03.270592", 239.76},
|
||||
{"2017-05-03 17:30:03.124085", 239.69},
|
||||
{"2017-05-03 17:15:02.811264", 239.76},
|
||||
{"2017-05-03 17:00:02.696942", 239.71},
|
||||
{"2017-05-03 16:45:02.435806", 239.66},
|
||||
{"2017-05-03 16:30:02.373372", 239.65},
|
||||
{"2017-05-03 16:15:02.130672", 239.66},
|
||||
{"2017-05-03 16:00:02.04879", 239.71},
|
||||
{"2017-05-03 15:45:01.91206", 239.74},
|
||||
{"2017-05-03 15:30:01.710121", 239.57},
|
||||
{"2017-05-03 15:15:01.485801", 239.39},
|
||||
{"2017-05-03 15:00:01.43788", 239.44},
|
||||
{"2017-05-03 14:45:01.184263", 239.25},
|
||||
{"2017-05-03 14:30:00.940762", 239.45},
|
||||
{"2017-05-03 14:15:00.885742", 239.41},
|
||||
{"2017-05-03 14:00:00.640709", 239.38},
|
||||
{"2017-05-03 13:45:00.548287", 239.38},
|
||||
{"2017-04-28 19:45:04.193877", 238.11},
|
||||
{"2017-04-28 19:30:04.078242", 238.20},
|
||||
{"2017-04-28 19:15:03.886795", 238.05},
|
||||
{"2017-04-28 19:00:03.797682", 238.08},
|
||||
{"2017-04-28 18:45:03.691054", 238.05},
|
||||
{"2017-04-28 18:30:03.513045", 237.96},
|
||||
{"2017-04-28 18:15:03.387037", 238.09},
|
||||
{"2017-04-28 18:00:03.303554", 238.11},
|
||||
{"2017-04-28 17:45:03.181305", 238.16},
|
||||
{"2017-04-28 17:30:08.066927", 238.17},
|
||||
{"2017-04-28 17:15:02.708957", 238.23},
|
||||
{"2017-04-28 17:00:02.673222", 238.27},
|
||||
{"2017-04-28 16:45:02.478988", 238.29},
|
||||
{"2017-04-28 16:30:02.299229", 238.24},
|
||||
{"2017-04-28 16:15:02.100061", 238.15},
|
||||
{"2017-04-28 16:00:01.922355", 238.06},
|
||||
{"2017-04-28 15:45:01.666185", 238.25},
|
||||
{"2017-04-28 15:30:01.477215", 238.19},
|
||||
{"2017-04-28 15:15:01.440657", 238.39},
|
||||
{"2017-04-28 15:00:01.222734", 238.39},
|
||||
{"2017-04-28 14:45:01.005045", 238.33},
|
||||
{"2017-04-28 14:30:00.935222", 238.46},
|
||||
{"2017-04-28 14:15:00.84484", 238.53},
|
||||
{"2017-04-28 14:00:00.635436", 238.52},
|
||||
{"2017-04-27 19:45:04.242597", 238.61},
|
||||
}
|
||||
start := time.Date(2017, 05, 15, 9, 30, 0, 0, util.Date.Eastern())
|
||||
price := 256.0
|
||||
for day := 0; day < 60; day++ {
|
||||
cursor := start.AddDate(0, 0, day)
|
||||
|
||||
var t time.Time
|
||||
var v float64
|
||||
var p price
|
||||
for i := len(rawPrices) - 1; i >= 0; i-- {
|
||||
p = rawPrices[i]
|
||||
t, v = p.format()
|
||||
times = append(times, t)
|
||||
prices = append(prices, v)
|
||||
if util.Date.IsNYSEHoliday(cursor) {
|
||||
continue
|
||||
}
|
||||
|
||||
for minute := 0; minute < ((6 * 60) + 30); minute++ {
|
||||
cursor = cursor.Add(time.Minute)
|
||||
|
||||
if rand.Float64() >= 0.5 {
|
||||
price = price + (rand.Float64() * (price * 0.01))
|
||||
} else {
|
||||
price = price - (rand.Float64() * (price * 0.01))
|
||||
}
|
||||
|
||||
times = append(times, cursor)
|
||||
prices = append(prices, price)
|
||||
}
|
||||
}
|
||||
return
|
||||
}
|
||||
|
|
@ -220,7 +41,7 @@ func drawChart(res http.ResponseWriter, req *http.Request) {
|
|||
priceSeries := chart.TimeSeries{
|
||||
Name: "SPY",
|
||||
Style: chart.Style{
|
||||
Show: true,
|
||||
Show: false,
|
||||
StrokeColor: chart.GetDefaultColor(0),
|
||||
},
|
||||
XValues: xv,
|
||||
|
|
@ -235,15 +56,9 @@ func drawChart(res http.ResponseWriter, req *http.Request) {
|
|||
|
||||
graph := chart.Chart{
|
||||
XAxis: chart.XAxis{
|
||||
Style: chart.Style{Show: true},
|
||||
TickPosition: chart.TickPositionBetweenTicks,
|
||||
Range: &chart.MarketHoursRange{
|
||||
Min: seq.Times(xv...).Min().In(util.Date.Eastern()),
|
||||
Max: seq.Times(xv...).Max().In(util.Date.Eastern()),
|
||||
MarketOpen: util.NYSEOpen(),
|
||||
MarketClose: util.NYSEClose(),
|
||||
HolidayProvider: util.Date.IsNYSEHoliday,
|
||||
},
|
||||
Style: chart.Style{Show: true, FontSize: 8, TextRotationDegrees: 45},
|
||||
TickPosition: chart.TickPositionUnderTick,
|
||||
Range: &chart.MarketHoursRange{},
|
||||
},
|
||||
YAxis: chart.YAxis{
|
||||
Style: chart.Style{Show: true},
|
||||
|
|
|
|||
|
|
@ -60,7 +60,12 @@ func (cs CandlestickSeries) Len() int {
|
|||
}
|
||||
|
||||
// GetValues returns the values at a given index.
|
||||
func (cs CandlestickSeries) GetValues(index int) (time.Time, float64) {
|
||||
func (cs CandlestickSeries) GetValues(index int) (float64, float64) {
|
||||
return util.Time.ToFloat64(cs.XValues[index]), cs.YValues[index]
|
||||
}
|
||||
|
||||
// GetRawValues returns the values at a given index.
|
||||
func (cs CandlestickSeries) GetRawValues(index int) (time.Time, float64) {
|
||||
return cs.XValues[index], cs.YValues[index]
|
||||
}
|
||||
|
||||
|
|
@ -78,7 +83,7 @@ func (cs CandlestickSeries) CandleValues() []CandleValue {
|
|||
var t time.Time
|
||||
var lv, v float64
|
||||
|
||||
t, v = cs.GetValues(0)
|
||||
t, v = cs.GetRawValues(0)
|
||||
year, month, day = t.Year(), int(t.Month()), t.Day()
|
||||
|
||||
lastYear, lastMonth, lastDay = year, month, day
|
||||
|
|
@ -92,7 +97,7 @@ func (cs CandlestickSeries) CandleValues() []CandleValue {
|
|||
lv = v
|
||||
|
||||
for i := 1; i < totalValues; i++ {
|
||||
t, v = cs.GetValues(i)
|
||||
t, v = cs.GetRawValues(i)
|
||||
year, month, day = t.Year(), int(t.Month()), t.Day()
|
||||
|
||||
// if we've transitioned to a new day or we're on the last value
|
||||
|
|
|
|||
29
draw.go
29
draw.go
|
|
@ -175,37 +175,34 @@ func (d draw) CandlestickSeries(r Renderer, canvasBox Box, xrange, yrange Range,
|
|||
|
||||
candleValues := cs.CandleValues()
|
||||
|
||||
//calculate bar width?
|
||||
seriesLength := len(candleValues)
|
||||
barWidth := int(math.Floor(float64(xrange.GetDomain()) / float64(seriesLength)))
|
||||
|
||||
bw2 := barWidth >> 1
|
||||
|
||||
cb := canvasBox.Bottom
|
||||
cl := canvasBox.Left
|
||||
|
||||
var cv CandleValue
|
||||
for index := 0; index < seriesLength; index++ {
|
||||
for index := 0; index < len(candleValues); index++ {
|
||||
cv = candleValues[index]
|
||||
|
||||
y0 := yrange.Translate(cv.Open)
|
||||
y1 := yrange.Translate(cv.Close)
|
||||
|
||||
x := cl + xrange.Translate(util.Time.ToFloat64(cv.Timestamp))
|
||||
x0 := cl + xrange.Translate(util.Time.ToFloat64(util.Date.On(util.NYSEOpen(), cv.Timestamp)))
|
||||
x1 := cl + xrange.Translate(util.Time.ToFloat64(util.Date.On(util.NYSEClose(), cv.Timestamp)))
|
||||
|
||||
x := x0 + ((x1 - x0) >> 1)
|
||||
|
||||
// draw open / close box.
|
||||
if cv.Open < cv.Close {
|
||||
d.Box(r, Box{
|
||||
Top: cb - y0,
|
||||
Left: x - bw2,
|
||||
Right: x + bw2,
|
||||
Left: x0,
|
||||
Right: x1,
|
||||
Bottom: cb - y1,
|
||||
}, style.InheritFrom(Style{FillColor: ColorAlternateGreen}))
|
||||
} else {
|
||||
d.Box(r, Box{
|
||||
Top: cb - y1,
|
||||
Left: x - bw2,
|
||||
Right: x + bw2,
|
||||
Left: x0,
|
||||
Right: x1,
|
||||
Bottom: cb - y0,
|
||||
}, style.InheritFrom(Style{FillColor: ColorRed}))
|
||||
}
|
||||
|
|
@ -216,9 +213,17 @@ func (d draw) CandlestickSeries(r Renderer, canvasBox Box, xrange, yrange Range,
|
|||
|
||||
style.InheritFrom(Style{StrokeColor: DefaultStrokeColor}).WriteToRenderer(r)
|
||||
|
||||
r.MoveTo(x0, cb-y0)
|
||||
r.LineTo(x1, cb-y0)
|
||||
r.Stroke()
|
||||
|
||||
r.MoveTo(x, cb-y0)
|
||||
r.LineTo(x, cb-y1)
|
||||
r.Stroke()
|
||||
|
||||
r.MoveTo(x0, cb-y1)
|
||||
r.LineTo(x1, cb-y1)
|
||||
r.Stroke()
|
||||
}
|
||||
}
|
||||
|
||||
|
|
|
|||
|
|
@ -91,7 +91,7 @@ func (mhr *MarketHoursRange) SetDomain(domain int) {
|
|||
// GetHolidayProvider coalesces a userprovided holiday provider and the date.DefaultHolidayProvider.
|
||||
func (mhr MarketHoursRange) GetHolidayProvider() util.HolidayProvider {
|
||||
if mhr.HolidayProvider == nil {
|
||||
return func(_ time.Time) bool { return false }
|
||||
return util.Date.IsNYSEHoliday
|
||||
}
|
||||
return mhr.HolidayProvider
|
||||
}
|
||||
|
|
@ -146,7 +146,6 @@ func (mhr *MarketHoursRange) GetTicks(r Renderer, defaults Style, vf ValueFormat
|
|||
}
|
||||
|
||||
return GenerateContinuousTicks(r, mhr, false, defaults, vf)
|
||||
|
||||
}
|
||||
|
||||
func (mhr *MarketHoursRange) measureTimes(r Renderer, defaults Style, vf ValueFormatter, times []time.Time) int {
|
||||
|
|
@ -183,8 +182,8 @@ func (mhr MarketHoursRange) String() string {
|
|||
func (mhr MarketHoursRange) Translate(value float64) int {
|
||||
valueTime := util.Time.FromFloat64(value)
|
||||
valueTimeEastern := valueTime.In(util.Date.Eastern())
|
||||
totalSeconds := util.Date.CalculateMarketSecondsBetween(mhr.Min, mhr.GetEffectiveMax(), mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.HolidayProvider)
|
||||
valueDelta := util.Date.CalculateMarketSecondsBetween(mhr.Min, valueTimeEastern, mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.HolidayProvider)
|
||||
totalSeconds := util.Date.CalculateMarketSecondsBetween(mhr.Min, mhr.GetEffectiveMax(), mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.GetHolidayProvider())
|
||||
valueDelta := util.Date.CalculateMarketSecondsBetween(mhr.Min, valueTimeEastern, mhr.GetMarketOpen(), mhr.GetMarketClose(), mhr.GetHolidayProvider())
|
||||
translated := int((float64(valueDelta) / float64(totalSeconds)) * float64(mhr.Domain))
|
||||
|
||||
if mhr.IsDescending() {
|
||||
|
|
|
|||
|
|
@ -60,8 +60,8 @@ func (tu timeUtil) MarketDayCloses(from, to time.Time, marketOpen, marketClose t
|
|||
for cursor.Before(toClose) || cursor.Equal(toClose) {
|
||||
isValidTradingDay := !isHoliday(cursor) && util.Date.IsWeekDay(cursor.Weekday())
|
||||
if isValidTradingDay {
|
||||
todayClose := util.Date.On(marketClose, cursor)
|
||||
times = append(times, todayClose)
|
||||
newValue := util.Date.NoonOn(cursor)
|
||||
times = append(times, newValue)
|
||||
}
|
||||
|
||||
cursor = util.Date.NextDay(cursor)
|
||||
|
|
|
|||
2
xaxis.go
2
xaxis.go
|
|
@ -156,7 +156,7 @@ func (xa XAxis) Render(r Renderer, canvasBox Box, ra Range, defaults Style, tick
|
|||
tx = tx - tb.Width()>>1
|
||||
ty = canvasBox.Bottom + DefaultXAxisMargin + tb.Height()
|
||||
} else {
|
||||
ty = canvasBox.Bottom + (2 * DefaultXAxisMargin)
|
||||
ty = canvasBox.Bottom + (1.5 * DefaultXAxisMargin)
|
||||
}
|
||||
Draw.Text(r, t.Label, tx, ty, tickWithAxisStyle)
|
||||
maxTextHeight = util.Math.MaxInt(maxTextHeight, tb.Height())
|
||||
|
|
|
|||
Loading…
Reference in a new issue