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MathGroup Archive 2009

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financial chart with volumes

  • To: mathgroup at smc.vnet.net
  • Subject: [mg97139] financial chart with volumes
  • From: mike.honeychurch at gmail.com
  • Date: Fri, 6 Mar 2009 04:25:14 -0500 (EST)

There was an interesting thread on Nov 24 about including volumes with
price to create a "typical" financial plot. The code below makes some
changes to the various codes posted back then in order to "trick" the
output to display volume ticks and scale.

Mike

------------

Clear[getFinancialData];

(* getFinancialData was written by David Park *)

getFinancialData::usage =
  "GetFinancialData[name, {property1,property2...},iterator] will \
generate a data set where each record will contain {datelist, \
propertyvalues..}. The iterator is the standard {start,end, period} \
used in FinancialData. This is basically a method of retrieving a \
number of property values at once.";

SyntaxInformation[
   getFinancialData] = {"ArgumentsPattern" -> {_, {_, __}, _}};

getFinancialData[name_String, {first_String, rest__String},
  iterator_List] := Module[{work, other},
  work = Transpose@FinancialData[name, first, iterator];
  other = FinancialData[name, #, iterator, "Value"] & /@ {rest};
  Transpose[Join[work, other]]
  ]
(* volume label *)

label /: MakeBoxes[label[x_, y_], StandardForm] :=
  RowBox[{SuperscriptBox[MakeBoxes[x, StandardForm],
     MakeBoxes[y, StandardForm]]}];

ClearAll[financialChart1];
(* this function is a hack of something I saw on MathGroup *)
(* \
candelstick type chart with volumes *)

financialChart1[company_String, startDate_List] :=
  financialChart1[company, startDate, Take[DateList[], 3]];

financialChart1[company_String, startDate_List, endDate_List] :=
  Module[{dateForm, data, open, high, highest, close, low, lowest,
    openFall, closeFall, openRise, closeRise, volume, maxVolume, ex,
    maxVolumeScale, adjustedVolume, left, right},

   dateForm = {"Day", " ", "MonthNameShort", " ", "YearShort"};
   data =
    getFinancialData[
     company, {"Open", "High", "Low", "Close", "Volume"}, {startDate,
      endDate}];
   open = data[[All, {1, 2}]];
   high = data[[All, {1, 3}]];
   highest = Max[data[[All, 3]]];
   close = data[[All, {1, 4}]];
   low = data[[All, {1, 5}]];
   lowest = Min[data[[All, 5]]];

   (* create lists: Open on falling day, Close on Falling day,
   Open in rising day, Close on rising day *)

   {openFall, closeFall, openRise, closeRise} =
    Map[If[#[[2]] >= #[[
          5]], {{#[[1]], #[[2]]}, {#[[1]], #[[5]]}, {#[[1]],
          Null}, {#[[1]], Null}}, {{#[[1]], Null}, {#[[1]],
          Null}, {#[[1]], #[[2]]}, {#[[1]], #[[5]]}}] &, data] //
     Transpose;

   (*volumes*)
   volume = data[[All, {1, 6}]];
   maxVolume = Max[data[[All, 6]]];
   ex = IntegerLength[maxVolume] - 1;
   maxVolumeScale = Ceiling[maxVolume*10^-ex];
   adjustedVolume = ({#1[[1]],
        highest*0.25*(#1[[2]]/maxVolume - 1.)} &) /@ volume;

   (* ticks *)
   left[xmin_, xmax_] :=
    Join[Table[{x,
       ToString[
        PaddedForm[
         maxVolumeScale*(1 - x/Floor[xmin]), {2, 1}]], {0.01, 0}}, {x,
        Floor[xmin], -0.01, -Floor[xmin]/4.}],
     Table[{x, ToString[x], {0.01, 0}}, {x, 0, 5*Ceiling[xmax/5],
       Ceiling[xmax/5]}]];

   right[xmin_, xmax_] :=
    Table[{x, "", {0.01, 0}}, {x, 0, 5*Ceiling[xmax/5],
      Ceiling[xmax/5]}];

   (* plot *)

   DateListPlot[{high, low, adjustedVolume, openFall, closeFall,
     openRise, closeRise},
    Filling -> {1 -> {{2}, Directive[Black, AbsoluteThickness[1]]},
      3 -> {-highest*0.25, {{Thick, Darker[Blue, .6]}}},
      4 -> {{5}, Directive[Red, AbsoluteThickness[2.5]]},
      6 -> {{7}, Directive[Green, AbsoluteThickness[2.5]]}},
    GridLines -> {Automatic,
      Function[{min, max},
       Join[Range[Floor[min], 0, -Floor[min]/4.],
        Range[0, Ceiling[max],
         Ceiling[max/5]], {{0, {Black, AbsoluteThickness[1]}}}]]},
    PlotMarkers -> {"", "", "", "", "", "", ""},
    FrameLabel -> {None,
      "Vol. (\[Times] " <> ToString[label[10, ex], StandardForm] <>
       ")\t\t\tPrice (US$)\t\t"},
    PlotLabel ->
     FinancialData[company, "Name"] <> ", " <>
      DateString[startDate, dateForm] <> " - " <>
      DateString[endDate, dateForm],
    ImageSize -> 500,
    PlotRange -> {Automatic, {-highest*0.25, Automatic}},
    FrameTicks -> {Automatic, left, Automatic, right}]];


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