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
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@ -1,215 +1,36 @@
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package main
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import (
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"math/rand"
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"net/http"
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"strings"
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"time"
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chart "github.com/wcharczuk/go-chart"
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"github.com/wcharczuk/go-chart/seq"
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util "github.com/wcharczuk/go-chart/util"
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)
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type price struct {
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Timestamp string
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Price float64
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}
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func (p price) format() (time.Time, float64) {
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t, err := time.ParseInLocation("2006-01-02 15:04:05", strings.Split(p.Timestamp, ".")[0], util.Date.Eastern())
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if err != nil {
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panic(err)
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}
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return t, p.Price
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}
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func stockData() (times []time.Time, prices []float64) {
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rawPrices := []price{
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{"2017-05-12 19:45:04.482809", 238.84},
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{"2017-05-12 19:30:04.349476", 238.92},
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{"2017-05-12 19:15:04.160628", 238.98},
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{"2017-05-12 19:00:03.994135", 239.05},
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{"2017-05-12 18:45:03.947176", 238.87},
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{"2017-05-12 18:30:03.653826", 238.97},
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{"2017-05-12 18:15:03.319783", 239.00},
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{"2017-05-12 18:00:03.293044", 238.87},
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{"2017-05-12 17:45:03.010216", 238.85},
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{"2017-05-12 17:30:07.808406", 238.84},
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{"2017-05-12 17:15:02.814348", 238.93},
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{"2017-05-12 17:00:03.153611", 239.00},
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{"2017-05-12 16:45:02.352906", 238.93},
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{"2017-05-12 16:30:02.339523", 239.00},
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{"2017-05-12 16:15:02.051624", 239.05},
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{"2017-05-12 16:00:01.920557", 239.10},
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{"2017-05-12 15:45:06.866833", 239.00},
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{"2017-05-12 15:30:01.60765", 238.92},
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{"2017-05-12 15:15:01.481936", 238.80},
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{"2017-05-12 15:00:01.298738", 238.85},
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{"2017-05-12 14:45:01.19513", 238.78},
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{"2017-05-12 14:30:01.037173", 239.03},
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{"2017-05-12 14:15:00.835599", 239.02},
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{"2017-05-12 14:00:00.654748", 239.00},
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{"2017-05-12 13:45:00.65331", 239.05},
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{"2017-05-11 19:45:03.940287", 239.26},
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{"2017-05-11 19:30:03.796674", 239.42},
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{"2017-05-11 19:15:03.709477", 239.31},
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{"2017-05-11 19:00:03.533934", 239.37},
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{"2017-05-11 18:45:03.383436", 239.44},
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{"2017-05-11 18:30:03.224035", 239.23},
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{"2017-05-11 18:15:03.127204", 239.31},
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{"2017-05-11 18:00:02.8859", 239.27},
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{"2017-05-11 17:45:02.796172", 239.00},
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{"2017-05-11 17:30:02.767553", 239.12},
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{"2017-05-11 17:15:02.56807", 238.96},
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{"2017-05-11 17:00:02.613708", 239.08},
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{"2017-05-11 16:45:02.348852", 238.99},
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{"2017-05-11 16:30:02.165067", 238.84},
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{"2017-05-11 16:15:02.043199", 238.69},
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{"2017-05-11 16:00:01.831857", 238.67},
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{"2017-05-11 15:45:01.705654", 238.72},
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{"2017-05-11 15:30:01.641864", 238.75},
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{"2017-05-11 15:15:01.387109", 238.58},
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{"2017-05-11 15:00:01.212597", 238.53},
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{"2017-05-11 14:45:01.148888", 238.35},
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{"2017-05-11 14:30:00.915767", 238.59},
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{"2017-05-11 14:15:00.655649", 238.55},
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{"2017-05-11 14:00:00.596624", 239.05},
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{"2017-05-11 13:45:00.565487", 239.36},
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{"2017-05-10 19:45:04.220057", 239.69},
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{"2017-05-10 19:30:04.102519", 239.82},
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{"2017-05-10 19:15:03.950613", 239.77},
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{"2017-05-10 19:00:03.871972", 239.73},
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{"2017-05-10 18:45:03.697585", 239.59},
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{"2017-05-10 18:30:03.490385", 239.72},
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{"2017-05-10 18:15:03.327691", 239.71},
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{"2017-05-10 18:00:03.277211", 239.68},
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{"2017-05-10 17:45:03.270592", 239.76},
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{"2017-05-10 17:30:03.124085", 239.69},
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{"2017-05-10 17:15:02.811264", 239.76},
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{"2017-05-10 17:00:02.696942", 239.71},
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{"2017-05-10 16:45:02.435806", 239.66},
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{"2017-05-10 16:30:02.373372", 239.65},
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{"2017-05-10 16:15:02.130672", 239.66},
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{"2017-05-10 16:00:02.04879", 239.71},
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{"2017-05-10 15:45:01.91206", 239.74},
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{"2017-05-10 15:30:01.710121", 239.57},
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{"2017-05-10 15:15:01.485801", 239.39},
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{"2017-05-10 15:00:01.43788", 239.44},
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{"2017-05-10 14:45:01.184263", 239.25},
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{"2017-05-10 14:30:00.940762", 239.45},
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{"2017-05-10 14:15:00.885742", 239.41},
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{"2017-05-10 14:00:00.640709", 239.38},
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{"2017-05-10 13:45:00.548287", 239.38},
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{"2017-05-09 19:45:04.220057", 239.69},
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{"2017-05-09 19:30:04.102519", 239.82},
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{"2017-05-09 19:15:03.950613", 239.77},
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{"2017-05-09 19:00:03.871972", 239.73},
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{"2017-05-09 18:45:03.697585", 239.59},
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{"2017-05-09 18:30:03.490385", 239.72},
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{"2017-05-09 18:15:03.327691", 239.71},
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{"2017-05-09 18:00:03.277211", 239.68},
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{"2017-05-09 17:45:03.270592", 239.76},
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{"2017-05-09 17:30:03.124085", 239.69},
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{"2017-05-09 17:15:02.811264", 239.76},
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{"2017-05-09 17:00:02.696942", 239.71},
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{"2017-05-09 16:45:02.435806", 239.66},
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{"2017-05-09 16:30:02.373372", 239.65},
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{"2017-05-09 16:15:02.130672", 239.66},
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{"2017-05-09 16:00:02.04879", 239.71},
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{"2017-05-09 15:45:01.91206", 239.74},
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{"2017-05-09 15:30:01.710121", 239.57},
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{"2017-05-09 15:15:01.485801", 239.39},
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{"2017-05-09 15:00:01.43788", 239.44},
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{"2017-05-09 14:45:01.184263", 239.25},
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{"2017-05-09 14:30:00.940762", 239.45},
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{"2017-05-09 14:15:00.885742", 239.41},
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{"2017-05-09 14:00:00.640709", 239.38},
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{"2017-05-09 13:45:00.548287", 239.38},
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{"2017-05-05 19:45:04.220057", 239.69},
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{"2017-05-05 19:30:04.102519", 239.82},
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{"2017-05-05 19:15:03.950613", 239.77},
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{"2017-05-05 19:00:03.871972", 239.73},
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{"2017-05-05 18:45:03.697585", 239.59},
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{"2017-05-05 18:30:03.490385", 239.72},
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{"2017-05-05 18:15:03.327691", 239.71},
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{"2017-05-05 18:00:03.277211", 239.68},
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{"2017-05-05 17:45:03.270592", 239.76},
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{"2017-05-05 17:30:03.124085", 239.69},
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{"2017-05-05 17:15:02.811264", 239.76},
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{"2017-05-05 17:00:02.696942", 239.71},
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{"2017-05-05 16:45:02.435806", 239.66},
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{"2017-05-05 16:30:02.373372", 239.65},
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{"2017-05-05 16:15:02.130672", 239.66},
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{"2017-05-05 16:00:02.04879", 239.71},
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{"2017-05-05 15:45:01.91206", 239.74},
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{"2017-05-05 15:30:01.710121", 239.57},
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{"2017-05-05 15:15:01.485801", 239.39},
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{"2017-05-05 15:00:01.43788", 239.44},
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{"2017-05-05 14:45:01.184263", 239.25},
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{"2017-05-05 14:30:00.940762", 239.45},
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{"2017-05-05 14:15:00.885742", 239.41},
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{"2017-05-05 14:00:00.640709", 239.38},
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{"2017-05-05 13:45:00.548287", 239.38},
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{"2017-05-03 19:45:04.220057", 239.69},
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{"2017-05-03 19:30:04.102519", 239.82},
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{"2017-05-03 19:15:03.950613", 239.77},
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{"2017-05-03 19:00:03.871972", 239.73},
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{"2017-05-03 18:45:03.697585", 239.59},
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{"2017-05-03 18:30:03.490385", 239.72},
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{"2017-05-03 18:15:03.327691", 239.71},
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{"2017-05-03 18:00:03.277211", 239.68},
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{"2017-05-03 17:45:03.270592", 239.76},
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{"2017-05-03 17:30:03.124085", 239.69},
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{"2017-05-03 17:15:02.811264", 239.76},
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{"2017-05-03 17:00:02.696942", 239.71},
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{"2017-05-03 16:45:02.435806", 239.66},
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{"2017-05-03 16:30:02.373372", 239.65},
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{"2017-05-03 16:15:02.130672", 239.66},
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{"2017-05-03 16:00:02.04879", 239.71},
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{"2017-05-03 15:45:01.91206", 239.74},
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{"2017-05-03 15:30:01.710121", 239.57},
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{"2017-05-03 15:15:01.485801", 239.39},
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{"2017-05-03 15:00:01.43788", 239.44},
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{"2017-05-03 14:45:01.184263", 239.25},
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{"2017-05-03 14:30:00.940762", 239.45},
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{"2017-05-03 14:15:00.885742", 239.41},
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{"2017-05-03 14:00:00.640709", 239.38},
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{"2017-05-03 13:45:00.548287", 239.38},
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{"2017-04-28 19:45:04.193877", 238.11},
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{"2017-04-28 19:30:04.078242", 238.20},
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{"2017-04-28 19:15:03.886795", 238.05},
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{"2017-04-28 19:00:03.797682", 238.08},
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{"2017-04-28 18:45:03.691054", 238.05},
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{"2017-04-28 18:30:03.513045", 237.96},
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{"2017-04-28 18:15:03.387037", 238.09},
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{"2017-04-28 18:00:03.303554", 238.11},
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{"2017-04-28 17:45:03.181305", 238.16},
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{"2017-04-28 17:30:08.066927", 238.17},
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{"2017-04-28 17:15:02.708957", 238.23},
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{"2017-04-28 17:00:02.673222", 238.27},
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{"2017-04-28 16:45:02.478988", 238.29},
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{"2017-04-28 16:30:02.299229", 238.24},
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{"2017-04-28 16:15:02.100061", 238.15},
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{"2017-04-28 16:00:01.922355", 238.06},
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{"2017-04-28 15:45:01.666185", 238.25},
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{"2017-04-28 15:30:01.477215", 238.19},
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{"2017-04-28 15:15:01.440657", 238.39},
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{"2017-04-28 15:00:01.222734", 238.39},
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{"2017-04-28 14:45:01.005045", 238.33},
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{"2017-04-28 14:30:00.935222", 238.46},
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{"2017-04-28 14:15:00.84484", 238.53},
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{"2017-04-28 14:00:00.635436", 238.52},
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{"2017-04-27 19:45:04.242597", 238.61},
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}
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start := time.Date(2017, 05, 15, 9, 30, 0, 0, util.Date.Eastern())
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price := 256.0
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for day := 0; day < 60; day++ {
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cursor := start.AddDate(0, 0, day)
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var t time.Time
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var v float64
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var p price
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for i := len(rawPrices) - 1; i >= 0; i-- {
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p = rawPrices[i]
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t, v = p.format()
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times = append(times, t)
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prices = append(prices, v)
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if util.Date.IsNYSEHoliday(cursor) {
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continue
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}
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for minute := 0; minute < ((6 * 60) + 30); minute++ {
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cursor = cursor.Add(time.Minute)
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if rand.Float64() >= 0.5 {
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price = price + (rand.Float64() * (price * 0.01))
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} else {
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price = price - (rand.Float64() * (price * 0.01))
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}
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times = append(times, cursor)
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prices = append(prices, price)
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}
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}
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return
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}
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@ -220,7 +41,7 @@ func drawChart(res http.ResponseWriter, req *http.Request) {
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priceSeries := chart.TimeSeries{
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Name: "SPY",
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Style: chart.Style{
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Show: true,
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Show: false,
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StrokeColor: chart.GetDefaultColor(0),
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},
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XValues: xv,
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@ -235,15 +56,9 @@ func drawChart(res http.ResponseWriter, req *http.Request) {
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graph := chart.Chart{
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XAxis: chart.XAxis{
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Style: chart.Style{Show: true},
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TickPosition: chart.TickPositionBetweenTicks,
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Range: &chart.MarketHoursRange{
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Min: seq.Times(xv...).Min().In(util.Date.Eastern()),
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Max: seq.Times(xv...).Max().In(util.Date.Eastern()),
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MarketOpen: util.NYSEOpen(),
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MarketClose: util.NYSEClose(),
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HolidayProvider: util.Date.IsNYSEHoliday,
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},
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Style: chart.Style{Show: true, FontSize: 8, TextRotationDegrees: 45},
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TickPosition: chart.TickPositionUnderTick,
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Range: &chart.MarketHoursRange{},
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},
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YAxis: chart.YAxis{
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Style: chart.Style{Show: true},
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