1st working commit. TODO - fix SettingWithCopyWarning
This commit is contained in:
tomgwang
parent
37b6fdb145
commit
456bfc38d2
342
indicators.py
342
indicators.py
@ -37,6 +37,7 @@ import json
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import io
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from flask_caching import Cache
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from dash.exceptions import PreventUpdate
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import yahoo_fin.stock_info as si
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# def fill_missing_data(df):
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# df.ffill(inplace=True)
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@ -95,7 +96,7 @@ class security:
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This can be a list of stocks, bonds, or otherinvestment vehicles.
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price - Pandas DataFrame with datetime as index sorted to chronical order
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"""
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def __init__(self, price, volume=None, rfr: float = 0.01, sf: float = 252.0):
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def __init__(self, sym, price, volume=None, rfr: float = 0.01, sf: float = 252.0):
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"""
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Parameters
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----------
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@ -111,9 +112,10 @@ class security:
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days in a year. Monthly sampling frequency would be 12. And
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weekly sampling frequenc is 52.
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"""
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self._symbol = sym
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self._price = price
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self._volume = volume
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self._symbol = price.columns.values
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# self._symbol = price.columns.values
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self._rfr = rfr
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self._sf = sf
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@ -607,7 +609,7 @@ def plot_macd(macd, macd_sig, macd_hist, axs):
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axs.grid()
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def intelligent_loop_plots():
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def intelligent_loop_plots(sym):
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# Only plot ones that are standing out meaning:
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# 1. outside of bollinger bands or recently crossed over (within 9 days)
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# 2. RSI above 70 or below 30
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@ -631,25 +633,10 @@ def intelligent_loop_plots():
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plot_sd = ed - dt.timedelta(days = 365 * plt_year)
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plot_ed = ed
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watchlist = get_watchlist()
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symbols = watchlist.index.values.tolist()
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prices, volumes = get_price_volume(symbols, pd.date_range(sd, ed), addSPY=True)
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# plt.ion()
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num_of_plots = 2
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all_plot_sym = []
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all_plot_ind = {}
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all_data = pd.DataFrame([])
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all_vol = pd.DataFrame([])
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all_macd = pd.DataFrame([])
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all_rsi = pd.DataFrame([])
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for sym in symbols:
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price = prices[sym].to_frame()
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vol = volumes[sym].to_frame()
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all_vol = all_vol.join(vol, how='outer')
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stk = security(price, vol)
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tmp = si.get_data(sym, start_date=sd)[["adjclose", "volume"]]
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price = tmp["adjclose"]
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vol = tmp["volume"]
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stk = security(sym, price, vol)
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rsi = stk.rsi()
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vorsi = stk.volume_rsi()
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@ -665,19 +652,19 @@ def intelligent_loop_plots():
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# RSI outside window (over bought / over sold)
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rsi_tail = rsi.tail(lb_trigger)
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if (rsi_tail[sym] >= 70).any() or (rsi_tail[sym] <= 30).any():
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if (rsi_tail >= 70).any() or (rsi_tail <= 30).any():
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# print('--RSI', end = '')
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plot_indicator += 'RSI, '
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# VoRSI outside window (over bought / over sold)
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vorsi_tail = vorsi.tail(lb_trigger)
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if (vorsi_tail[sym] >= 70).any() or (vorsi_tail[sym] <= 30).any():
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if (vorsi_tail >= 70).any() or (vorsi_tail <= 30).any():
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# print('--VoRSI', end = '')
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plot_indicator += 'VoRSI, '
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# Normalized MACD histogram out of 3% range
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norm_hist_tail = abs(norm_hist.tail(lb_trigger))
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if (abs(norm_hist_tail[sym]) >= 0.02).any():
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if (abs(norm_hist_tail) >= 0.02).any():
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# print('--MACD/R', end = '') # outside normal range
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plot_indicator += 'MACD/R, '
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@ -685,7 +672,7 @@ def intelligent_loop_plots():
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macd_hist_tail = macd_hist.tail(lb_trigger)
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macd_hist_sign = np.sign(macd_hist_tail)
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macd_hist_diff = macd_hist_sign.diff()
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if (abs(macd_hist_diff[sym]) > 1).any():
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if (abs(macd_hist_diff) > 1).any():
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# print('--MACD', end = '') # zero crossing
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plot_indicator += 'MACD, '
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@ -693,7 +680,7 @@ def intelligent_loop_plots():
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sma50_cross_tail = sma50.tail(lb_trigger) - price.tail(lb_trigger)
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sma50_cross_sign = np.sign(sma50_cross_tail)
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sma50_cross_diff = sma50_cross_sign.diff()
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if (abs(sma50_cross_diff[sym]) > 1).any():
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if (abs(sma50_cross_diff) > 1).any():
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# print('--SMA50', end = '')
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plot_indicator += 'SMA50, '
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@ -701,7 +688,7 @@ def intelligent_loop_plots():
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sma_cross_tail = sma50.tail(lb_trigger) - sma200.tail(lb_trigger).values
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sma_cross_sign = np.sign(sma_cross_tail)
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sma_cross_diff = sma_cross_sign.diff()
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if (abs(sma_cross_diff[sym]) > 1).any():
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if (abs(sma_cross_diff) > 1).any():
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# print('--Golden/Death', end = '')
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plot_indicator += 'Golden/Death, '
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@ -711,7 +698,7 @@ def intelligent_loop_plots():
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bol_up_tail = bol_up.tail(lb_trigger)
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price_high = price_tail - bol_up_tail.values
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price_low = price_tail - bol_low_tail.values
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if (price_high[sym] >= 0).any() or (price_low[sym] <= 0).any():
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if (price_high >= 0).any() or (price_low <= 0).any():
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# print('--Bollinger', end ='')
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plot_indicator += 'Bollinger, '
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@ -720,7 +707,7 @@ def intelligent_loop_plots():
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sma200_cross = price_tail - sma200_tail.values
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sma200_cross_sign = np.sign(sma200_cross)
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sma200_cross_diff = sma200_cross_sign.diff()
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if (abs(sma200_cross_diff[sym]) > 1).any():
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if (abs(sma200_cross_diff) > 1).any():
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# print('--SMA200', end = '')
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plot_indicator += 'SMA200, '
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@ -728,22 +715,18 @@ def intelligent_loop_plots():
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volume_tail = vol.tail(lb_trigger)
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vol_mean = vol.tail(50).mean()
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vol_std = vol.tail(50).std()
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if ((volume_tail[sym] - vol_mean[sym] - 2*vol_std[sym]) > 0).any():
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if ((volume_tail[1] - vol_mean - 2*vol_std) > 0).any():
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# print('--HiVol', end = '')
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plot_indicator += "HiVol, "
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# print(f"-- {watchlist.loc[sym, 'Notes']}") # carriage return
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plot_indicator += ']'
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note_field = watchlist.loc[sym, 'Notes'].strip().lower()
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if note_field != "watch" and ( note_field == "skip" or \
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plot_indicator =="[]" ):
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continue # skipping plotting to save memory and time
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# note_field = watchlist.loc[sym, 'Notes'].strip().lower()
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# if note_field != "watch" and ( note_field == "skip" or \
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# plot_indicator =="[]" ):
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# continue # skipping plotting to save memory and time
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# Plotting
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all_plot_sym.append(sym)
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all_plot_ind[sym] = sym + ' - ' + watchlist.loc[sym, 'Segment'] + ' - ' +\
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watchlist.loc[sym, 'Sub Segment'] +\
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' - ' + watchlist.loc[sym, 'Notes'] + ' - ' + plot_indicator
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# fig, (axs0, axs1, axs2, axs3) = plt.subplots(4, sharex=True,
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# gridspec_kw={'hspace': 0, 'height_ratios': [3, 1, 1, 1]},
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@ -756,113 +739,62 @@ def intelligent_loop_plots():
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# axs0.set_xlim([plot_sd, plot_ed])
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# plot basic price info
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data = price.copy()
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data = price.copy().to_frame(sym)
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# to limit low bound when plotting in log scale
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bol_low.loc[sma200[sym].divide(bol_low[sym]) >\
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bol_up[sym].divide(sma200[sym]).mul(3), sym] = np.nan
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data = data.join(bol_low, rsuffix = '_BOL200L')
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data = data.join(bol_up, rsuffix = '_BOL200U')
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data = data.join(sma200, rsuffix = '_SMA200')
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data = data.join(sma50, rsuffix = '_SMA50')
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data = data.join(vwma50, rsuffix = '_WVMA50')
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bol_low.loc[sma200.divide(bol_low) > bol_up.divide(sma200).mul(3)] = np.nan
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data = data.join(bol_low.rename('_BOL200L'))
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data = data.join(bol_up.rename('_BOL200U'))
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data = data.join(sma200.rename('_SMA200'))
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data = data.join(sma50.rename('_SMA50'))
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data = data.join(vwma50.rename('_WVMA50'))
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all_data = all_data.join(data, how='outer')
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macd = macd.to_frame('_MACD').join(macd_sig.rename('_SIG'))
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macd = macd.join(macd_hist.rename('_HIST'))
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# macd.rename(columns={sym: sym+'_MACD'}, inplace=True)
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macd = macd.join(macd_sig, rsuffix = '_SIG')
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macd = macd.join(macd_hist, rsuffix = '_HIST')
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macd.rename(columns={sym: sym+'_MACD'}, inplace=True)
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all_macd = all_macd.join(macd, how='outer')
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rsi = rsi.to_frame('_RSI').join(vorsi.rename('_VoRSI'))
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# rsi.rename(columns={sym: sym+'_RSI'}, inplace=True)
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rsi = rsi.join(vorsi, rsuffix = '_VoRSI')
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rsi.rename(columns={sym: sym+'_RSI'}, inplace=True)
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all_rsi = all_rsi.join(rsi, how='outer')
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return data, vol.to_frame('_VOL'), macd, rsi, plot_indicator
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# # plot stk price in log scale
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# axs0.set_yscale('log')
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# plot_data(data, axs0, ylabel='Price ($)')
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# axs0.plot(data.index[-1], data.iloc[-1][sym], marker=5, color='C0',\
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# markersize=10)
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# # plot volume
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# axs0t = axs0.twinx()
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# vol.plot(kind='area', ax=axs0t, color='red', alpha=0.1, legend=False)
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# axs0t.plot(vol.index[-1], vol.iloc[-1][sym], marker=5, color='red',\
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# markersize=10)
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# # plot RSI
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# plot_rsi(rsi, axs1)
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# # plot Volume RSI
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# plot_volume_rsi(vorsi, axs2)
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# # plot MCAD
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# plot_macd(macd, macd_sig, macd_hist, axs3)
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# for debug only
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# num_of_plots -= 1
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# if num_of_plots < 0:
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# break
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all_data = all_data[all_data.index >= plot_sd]
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all_vol = all_vol[all_vol.index >= plot_sd]
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all_macd = all_macd[all_macd.index >= plot_sd]
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all_rsi = all_rsi[all_rsi.index >= plot_sd]
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# pack into one json obj
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j_dict = {"all_plot_sym": all_plot_sym, "all_plot_ind": all_plot_ind,
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"all_data": all_data.to_json(orient='columns', index=True),
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"all_vol": all_vol.to_json(orient='columns', index=True),
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"all_macd": all_macd.to_json(orient='columns', index=True),
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"all_rsi": all_rsi.to_json(orient='columns', index=True)}
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j_obj = json.dumps(j_dict)
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# return all_plot_sym, all_plot_ind, all_data, all_vol, all_macd, all_rsi
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return j_obj
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if __name__ == "__main__":
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# test_sec_class()
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# test_smooth()
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# test_bollinger_sell()
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# test_get_orders()
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# all_plot_sym, all_plot_ind, all_data, all_vol, all_macd, all_rsi = intelligent_loop_plots()
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# j_obj = intelligent_loop_plots()
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# # unpacking
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# json_data = json.loads(j_obj)
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# all_plot_sym = json_data["all_plot_sym"]
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# all_plot_ind = json_data["all_plot_ind"]
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# all_data = pd.read_json(io.StringIO(json_data['all_data']))
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# all_vol = pd.read_json(io.StringIO(json_data['all_vol']))
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# all_macd = pd.read_json(io.StringIO(json_data['all_macd']))
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# all_rsi = pd.read_json(io.StringIO(json_data['all_rsi']))
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# Initialize the app
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app = Dash()
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CACHE_CONFIG = {'CACHE_TYPE': 'SimpleCache'}
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cache = Cache()
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cache.init_app(app.server, config=CACHE_CONFIG)
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# CACHE_CONFIG = {'CACHE_TYPE': 'SimpleCache'}
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# cache = Cache()
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# cache.init_app(app.server, config=CACHE_CONFIG)
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watchlist = get_watchlist()
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symbols = watchlist.index.values.tolist()
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# App layout
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app.layout = [
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html.Button('Refresh Data', id='button', n_clicks=0),
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html.Button('Auto Play', id="start-button", n_clicks=0, disabled=True),
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# html.Button('Refresh Data', id='button', n_clicks=0),
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html.Button('Auto Play', id="start-button", n_clicks=0),
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# html.Div(children='Pick A Symbol from Dropdown List: '),
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# html.Hr(),
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# dcc.RadioItems(options=['pop', 'lifeExp', 'gdpPercap'], value='lifeExp', id='controls-and-radio-item'),
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# dcc.Dropdown(['pop', 'lifeExp', 'gdpPercap'], 'lifeExp', id='controls-and-radio-item'),
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dcc.Dropdown(id='controls-and-radio-item'),
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# dcc.RadioItems(options=['pop', 'lifeExp', 'gdpPercap'], value='lifeExp', id='symbols_dropdown_list'),
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# dcc.Dropdown(['pop', 'lifeExp', 'gdpPercap'], 'lifeExp', id='symbols_dropdown_list'),
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dcc.Dropdown(symbols, symbols[0], id='symbols_dropdown_list'),
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# dash_table.DataTable(data=df.to_dict('records'), page_size=6),
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dcc.Graph(
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figure={},
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id='controls-and-graph',
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style={'height':'85vh'}
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),
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dcc.Store(id="signal"),
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# dcc.Store(id="dropdown-index"),
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# dcc.Store(id="signal"),
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dcc.Store(id="dropdown_index", data='0'),
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dcc.Interval(
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id='interval-component',
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interval=3*1000, # in milliseconds
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n_intervals=0,
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n_intervals=len(symbols),
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disabled=True,
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),
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]
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@ -886,7 +818,7 @@ if __name__ == "__main__":
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# start / stop button callback
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@callback(Output('interval-component', 'disabled'),
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Output("start-button", "children"),
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Output('controls-and-radio-item', 'disabled'),
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Output('symbols_dropdown_list', 'disabled'),
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Input("start-button", "n_clicks"),
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State("start-button", "children"),)
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@ -900,9 +832,9 @@ if __name__ == "__main__":
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return no_update
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# interval callback
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@callback(Output('controls-and-radio-item', 'value'),
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@callback(Output('symbols_dropdown_list', 'value'),
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Input("interval-component", "n_intervals"),
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State('controls-and-radio-item', 'options'),
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State('symbols_dropdown_list', 'options'),
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# State('dropdown-index', 'data'),
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)
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def cycle_syms(n, syms):
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@ -911,77 +843,77 @@ if __name__ == "__main__":
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else:
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return no_update
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@cache.memoize(timeout=14400) # cache timeout set to 4 hours
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def global_store():
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j_obj = intelligent_loop_plots()
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return j_obj
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# @cache.memoize(timeout=14400) # cache timeout set to 4 hours
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# def global_store():
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# j_obj = intelligent_loop_plots()
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# return j_obj
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# retrieve data button callbacks
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@callback(
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Output("button", "disabled", allow_duplicate=True),
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Input("button", "n_clicks"),
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prevent_initial_call=True,
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)
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def disable_btn(n):
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if n:
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return True
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return no_update
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# @callback(
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# Output("button", "disabled", allow_duplicate=True),
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# Input("button", "n_clicks"),
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# prevent_initial_call=True,
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# )
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# def disable_btn(n):
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# if n:
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# return True
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# return no_update
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@callback(
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Output(component_id='signal', component_property='data'),
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# Output(component_id='button', component_property='disabled'),
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Input(component_id='button', component_property='n_clicks'),
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prevent_initial_call=True,
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)
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def get_data_cb(clicks):
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# global all_plot_sym, all_plot_ind, all_data, all_vol, all_macd, all_rsi
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# if clicks == 0:
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# return # no update
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if not clicks or clicks == 0:
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raise PreventUpdate
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# @callback(
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# Output(component_id='signal', component_property='data'),
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# # Output(component_id='button', component_property='disabled'),
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# Input(component_id='button', component_property='n_clicks'),
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# prevent_initial_call=True,
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# )
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# def get_data_cb(clicks):
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# # global all_plot_sym, all_plot_ind, all_data, all_vol, all_macd, all_rsi
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# # if clicks == 0:
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# # return # no update
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# if not clicks or clicks == 0:
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# raise PreventUpdate
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print("get data")
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global_store()
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print("data retrieved")
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# unpacking
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# json_data = json.loads(j_obj)
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# all_plot_sym = json_data["all_plot_sym"]
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# all_plot_ind = json_data["all_plot_ind"]
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# all_data = pd.read_json(io.StringIO(json_data['all_data']))
|
||||
# all_vol = pd.read_json(io.StringIO(json_data['all_vol']))
|
||||
# all_macd = pd.read_json(io.StringIO(json_data['all_macd']))
|
||||
# all_rsi = pd.read_json(io.StringIO(json_data['all_rsi']))
|
||||
return clicks
|
||||
# print("get data")
|
||||
# global_store()
|
||||
# print("data retrieved")
|
||||
# # unpacking
|
||||
# # json_data = json.loads(j_obj)
|
||||
# # all_plot_sym = json_data["all_plot_sym"]
|
||||
# # all_plot_ind = json_data["all_plot_ind"]
|
||||
# # all_data = pd.read_json(io.StringIO(json_data['all_data']))
|
||||
# # all_vol = pd.read_json(io.StringIO(json_data['all_vol']))
|
||||
# # all_macd = pd.read_json(io.StringIO(json_data['all_macd']))
|
||||
# # all_rsi = pd.read_json(io.StringIO(json_data['all_rsi']))
|
||||
# return clicks
|
||||
|
||||
# Add controls to build the interaction
|
||||
|
||||
# callback when data retrieve finishes triggered by signal
|
||||
@callback(
|
||||
Output(component_id='controls-and-radio-item', component_property='options'),
|
||||
Output(component_id='button', component_property='disabled'),
|
||||
Output(component_id='start-button', component_property='disabled'),
|
||||
Input(component_id='signal', component_property='data'),
|
||||
)
|
||||
def update_dropdown(in_data):
|
||||
if not in_data or in_data == 0:
|
||||
raise PreventUpdate
|
||||
# return no_update
|
||||
print(f"input: {in_data}")
|
||||
j_obj = global_store()
|
||||
# unpacking
|
||||
json_data = json.loads(j_obj)
|
||||
all_plot_sym = json_data["all_plot_sym"]
|
||||
print("dropdown menu options updated")
|
||||
# all_plot_sym = ["SPY", "AMZN"]
|
||||
# @callback(
|
||||
# Output(component_id='symbols_dropdown_list', component_property='options'),
|
||||
# Output(component_id='button', component_property='disabled'),
|
||||
# Output(component_id='start-button', component_property='disabled'),
|
||||
# Input(component_id='signal', component_property='data'),
|
||||
# )
|
||||
# def update_dropdown(in_data):
|
||||
# if not in_data or in_data == 0:
|
||||
# raise PreventUpdate
|
||||
# # return no_update
|
||||
# print(f"input: {in_data}")
|
||||
# j_obj = global_store()
|
||||
# # unpacking
|
||||
# json_data = json.loads(j_obj)
|
||||
# all_plot_sym = json_data["all_plot_sym"]
|
||||
# print("dropdown menu options updated")
|
||||
# # all_plot_sym = ["SPY", "AMZN"]
|
||||
|
||||
return sorted(all_plot_sym), False, False
|
||||
# return sorted(all_plot_sym), False, False
|
||||
|
||||
# dropdown callback
|
||||
@callback(
|
||||
Output(component_id='controls-and-graph', component_property='figure'),
|
||||
# Output("dropdown-index", "data"),
|
||||
Input(component_id='controls-and-radio-item', component_property='value'),
|
||||
# State('controls-and-radio-item', 'options')
|
||||
Input(component_id='symbols_dropdown_list', component_property='value'),
|
||||
# State('symbols_dropdown_list', 'options')
|
||||
# Input(component_id='signal', component_property='data'),
|
||||
)
|
||||
|
||||
@ -991,15 +923,18 @@ if __name__ == "__main__":
|
||||
raise PreventUpdate
|
||||
# return no_update
|
||||
# col_chosen = "SPY"
|
||||
j_obj = global_store()
|
||||
# unpacking
|
||||
json_data = json.loads(j_obj)
|
||||
# all_plot_sym = json_data["all_plot_sym"]
|
||||
all_plot_ind = json_data["all_plot_ind"]
|
||||
all_data = pd.read_json(io.StringIO(json_data['all_data']))
|
||||
all_vol = pd.read_json(io.StringIO(json_data['all_vol']))
|
||||
all_macd = pd.read_json(io.StringIO(json_data['all_macd']))
|
||||
all_rsi = pd.read_json(io.StringIO(json_data['all_rsi']))
|
||||
# j_obj = global_store()
|
||||
# # unpacking
|
||||
# json_data = json.loads(j_obj)
|
||||
# # all_plot_sym = json_data["all_plot_sym"]
|
||||
# all_plot_ind = json_data["all_plot_ind"]
|
||||
# all_data = pd.read_json(io.StringIO(json_data['all_data']))
|
||||
# all_vol = pd.read_json(io.StringIO(json_data['all_vol']))
|
||||
# all_macd = pd.read_json(io.StringIO(json_data['all_macd']))
|
||||
# all_rsi = pd.read_json(io.StringIO(json_data['all_rsi']))
|
||||
|
||||
# get data
|
||||
data, vol, macd, rsi, plot_ind = intelligent_loop_plots(col_chosen)
|
||||
|
||||
fig = make_subplots(
|
||||
rows=3,
|
||||
@ -1011,48 +946,47 @@ if __name__ == "__main__":
|
||||
)
|
||||
|
||||
price_line = px.line(
|
||||
all_data,
|
||||
x=all_data.index,
|
||||
y=[col_chosen, col_chosen+'_BOL200L', col_chosen+'_BOL200U', col_chosen+'_SMA200', col_chosen+'_SMA50', col_chosen+'_WVMA50'],
|
||||
data,
|
||||
x=data.index,
|
||||
y=data.columns.to_list(),
|
||||
# y=[sym, sym+'_BOL200L', sym+'_BOL200U', sym+'_SMA200', sym+'_SMA50', sym+'_WVMA50'],
|
||||
)
|
||||
|
||||
volume_line = px.bar(
|
||||
all_vol,
|
||||
x=all_vol.index,
|
||||
# y=sym,
|
||||
y=col_chosen,
|
||||
vol,
|
||||
x=vol.index,
|
||||
y=vol.columns.to_list(),
|
||||
)
|
||||
|
||||
macd_line = px.line(
|
||||
all_macd,
|
||||
x=all_macd.index,
|
||||
y=[col_chosen+'_MACD', col_chosen+'_SIG'],
|
||||
macd,
|
||||
x=macd.index,
|
||||
y=['_MACD', '_SIG'],
|
||||
)
|
||||
|
||||
macd_neg = all_macd.copy()
|
||||
macd_pos = all_macd.copy()
|
||||
macd_neg = macd.copy()
|
||||
macd_pos = macd.copy()
|
||||
macd_neg[macd_neg>0] = 0
|
||||
macd_pos[macd_pos<0] = 0
|
||||
|
||||
macd_hist_pos = px.line(
|
||||
macd_pos,
|
||||
x=macd_pos.index,
|
||||
y=[col_chosen+'_HIST'],
|
||||
y=['_HIST'],
|
||||
)
|
||||
macd_hist_pos.update_traces(fill='tozeroy', line_color='rgba(0,100,0,0.5)', showlegend=False)
|
||||
|
||||
macd_hist_neg = px.line(
|
||||
macd_neg,
|
||||
x=macd_neg.index,
|
||||
y=[col_chosen+'_HIST'],
|
||||
y=['_HIST'],
|
||||
)
|
||||
macd_hist_neg.update_traces(fill='tozeroy', line_color='rgba(100,0,0,0.5)', showlegend=False)
|
||||
|
||||
rsi_line = px.line(
|
||||
all_rsi,
|
||||
x=all_rsi.index,
|
||||
y=[col_chosen+'_RSI', col_chosen+'_VoRSI'],
|
||||
rsi,
|
||||
x=rsi.index,
|
||||
y=['_RSI', '_VoRSI'],
|
||||
)
|
||||
fig.add_traces(price_line.data + volume_line.data, rows=1, cols=1, secondary_ys=[False, False, False, False, False, False, True])
|
||||
fig.add_traces(macd_line.data + macd_hist_pos.data + macd_hist_neg.data, rows=2, cols=1)
|
||||
@ -1072,7 +1006,7 @@ if __name__ == "__main__":
|
||||
fig.layout.yaxis3.title="MACD"
|
||||
fig.layout.yaxis4.title="RSI/VoRSI"
|
||||
|
||||
fig.update_layout(title_text=all_plot_ind[col_chosen])
|
||||
fig.update_layout(title_text=plot_ind)
|
||||
# fig.update_layout(showlegend=False)
|
||||
fig.update_layout(margin=dict(l=30, r=20, t=50, b=20))
|
||||
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user