quickchart.py

__author__ = 'saeedamen'  # Saeed Amen / saeed@thalesians.com

#
# Copyright 2020 Cuemacro
#
# Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the
# License. You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an
# "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
#
# See the License for the specific language governing permissions and limitations under the License.
#

from chartpy import Chart, Style, ChartConstants
from findatapy.util.dataconstants import DataConstants
from findatapy.market import Market, MarketDataRequest, MarketDataGenerator
from findatapy.timeseries import Calculations

import datetime

from datetime import timedelta

dataconstants = DataConstants()

class QuickChart(object):
    """Displays charts from downloaded data, in a single line code call. Ideal for quickly generating charts from sources
    including Bloomberg, Quandl, ALFRED/FRED etc.

    """

    def __init__(self, engine='plotly', data_source='bloomberg', market_data_generator=MarketDataGenerator()):
        self._chart = Chart(engine=engine)
        self._market = Market(market_data_generator=market_data_generator)
        self._data_source = data_source

    def plot_chart(self, tickers=None, tickers_rhs=None, start_date=None, finish_date=None,
                   chart_file=None, chart_type='line', title='',
                   fields={'close' : 'PX_LAST'}, freq='daily', source='Web', brand_label='Cuemacro', display_brand_label=True,
                   reindex=False, yoy=False, plotly_plot_mode='offline_png',
                   quandl_api_key=dataconstants.quandl_api_key,
                   fred_api_key=dataconstants.fred_api_key,
                   alpha_vantage_api_key=dataconstants.alpha_vantage_api_key, df=None):

        if start_date is None:
            start_date = datetime.datetime.utcnow().date() - timedelta(days=60)
        if finish_date is None:
            finish_date = datetime.datetime.utcnow()

        if isinstance(tickers, str):
            tickers = {tickers : tickers}
        elif isinstance(tickers, list):
            tickers_dict = {}

            for t in tickers:
                tickers_dict[t] = t

            tickers = tickers_dict

        if tickers_rhs is not None:
            if isinstance(tickers_rhs, str):
                tickers_rhs = {tickers_rhs: tickers_rhs}
            elif isinstance(tickers, list):
                tickers_rhs_dict = {}

                for t in tickers_rhs:
                    tickers_rhs_dict[t] = t

                tickers_rhs = tickers_rhs_dict

            tickers.update(tickers_rhs)
        else:
            tickers_rhs = {}

        if df is None:
            md_request = MarketDataRequest(start_date=start_date, finish_date=finish_date,
                                           freq=freq,
                                           data_source=self._data_source,
                                           tickers=list(tickers.keys()), vendor_tickers=list(tickers.values()),
                                           fields=list(fields.keys()),
                                           vendor_fields=list(fields.values()),
                                           quandl_api_key=quandl_api_key,
                                           fred_api_key=fred_api_key,
                                           alpha_vantage_api_key=alpha_vantage_api_key)

            df = self._market.fetch_market(md_request=md_request)

        df = df.fillna(method='ffill')
        df.columns = [x.split('.')[0] for x in df.columns]

        style = Style(title=title, chart_type=chart_type, html_file_output=chart_file, scale_factor=-1,
                      height=400, width=600, file_output=datetime.date.today().strftime("%Y%m%d") + " " + title + ".png",
                      plotly_plot_mode=plotly_plot_mode, source=source, brand_label=brand_label,
                      display_brand_label=display_brand_label)

        if reindex:
            df = Calculations().create_mult_index_from_prices(df)

            style.y_title = 'Reindexed from 100'

        if yoy:
            if freq == 'daily':
                obs_in_year = 252
            elif freq == 'intraday':
                obs_in_year = 1440

            df_rets = Calculations().calculate_returns(df)
            df = Calculations().average_by_annualised_year(df_rets, obs_in_year=obs_in_year) * 100

            style.y_title = 'Annualized % YoY'

        if list(tickers_rhs.keys()) != []:
            style.y_axis_2_series=list(tickers_rhs.keys())
            style.y_axis_2_showgrid = False
            style.y_axis_showgrid = False

        return self._chart.plot(df, style=style), df