analyze.py

import pickle
import numpy as np
import os
import pandas as pd
import matplotlib
matplotlib.use('Agg')
import matplotlib.pyplot as plt, mpld3
from mpld3 import plugins
from configs import cfg
from dutil import get_tickab
from redis_feed import AShare
import logging
logger = logging.getLogger(__name__)

def basic(dic, debug=False):
    df = pd.DataFrame(dic['deals'])
 
    for bs in ['buy','sell']:
        x = df.ix[df.bsflag==bs]
        x_amt = (x['avg_price']*x['shares']).sum()
        x_shares = x['shares'].sum()
	if x_shares:
	    if debug:
		print len(x), bs, x_shares, x_amt/x_shares
	    else:
                logger.info('%s %s %s %s', len(x), bs, x_shares, x_amt / x_shares)



def check_twap(results, ins, date, interval, tasks, market):
    deals = sorted(results[ins]['deals'], key=lambda k: k['dt'])
    market.generate_intervals(date, interval, tasks)

    error = 100
    ms = 0
    for d in deals:
	bs = d['bsflag']
	market.shift_intervals(d['dt'])
	market.add_current(ins, bs, d['shares'])
	if d['shares'] > ms:
	   ms = d['shares']
	x = market.check_current(ins, bs, d['dt'])
	if x < error:
	    error = x

    print 'error:', error, 'max share:', ms



def draw(ins, date, result):
    path = cfg.path[AShare().get_type(ins)]
    fn = '{path}/{date}/tickab_{stock}.{date}'.format(path=path, date=date, stock=ins)
    with open(fn, 'rb') as f:
        df = get_tickab(f)
    deals = pd.DataFrame(result['deals'])
    deals['nt'] = deals['dt'].apply(lambda x: (((x.hour*100+x.minute)*100)+x.second)*1000).astype('int32')

    deals = deals.set_index('nt')
    deals = deals.reindex(df.nTime.unique(), method='backfill', limit=1).dropna()
    df = df.join(deals, on='nTime')
   
    t = df['nTime']
    x = list(df.index)
    p = df['nPrice']
    b = df['avg_price'].mask(df['bsflag']!='buy', None).dropna()
    s = df['avg_price'].mask(df['bsflag']!='sell', None).dropna()

    plt.figure(figsize=(20,10), dpi=80)
    plt.xticks(x[::600]+x[-1:],['%d:%02d'%(i/10000000, i/100000%100) for i in t[::600]]+['15:00'])
    plt.yticks(np.linspace(min(p),max(p),10,endpoint=True))
    plt.ylim(min(p), max(p))

    plt.grid(True, 'major', 'x')
    plt.scatter(list(b.index), b, 50, color='green') 
    plt.scatter(list(s.index), s, 50, color='red')
    plt.plot(x, p)
    
    mpld3.show(ip='192.168.128.21',port=8887) 
    



if __name__ == '__main__':
    filename = sorted(os.listdir('results/'))[-1]
    print filename
    with open('results/'+filename, 'rb') as f:
        results = pickle.load(f)

    draw('510500', '20181109', results['510500'])
    exit()
 
    for ins in results:
	print ins
	check_twap(results, ins, 20181109, 240, {'002475':{'buy':100000,'sell':100000}})