Merge pull request #72 from coffincw/master

Add ability to create Point & Figure plots

Author: DanielGoldfarb

README.md

@@ -18,7 +18,7 @@
   - **[Adding Your Own Technical Studies to Plots](https://github.com/matplotlib/mplfinance/blob/master/examples/addplot.ipynb)**
   - **[Saving the Plot to a File](https://github.com/matplotlib/mplfinance/blob/master/examples/savefig.ipynb)**
   - **[Customizing the Appearance of Plots](https://github.com/matplotlib/mplfinance/blob/master/examples/customization_and_styles.ipynb)**
-  - **[Renko Plots](https://github.com/matplotlib/mplfinance/blob/master/examples/renko_charts.ipynb)**
+  - **[Price-Movement Plots (Renko, P&F, etc)](https://github.com/matplotlib/mplfinance/blob/master/examples/price-movement_plots.ipynb)**
   - Technical Studies (presently in development)
   - **[Latest Release Info](https://github.com/matplotlib/mplfinance#release)**
   - **[Some Background History About This Package](https://github.com/matplotlib/mplfinance#history)**
@@ -181,7 +181,7 @@ mpf.plot(daily)
 ---
 <br>
 
-The default plot type, as you can see above, is `'ohlc'`.  Other plot types can be specified with the keyword argument `type`, for example, `type='candle'`, `type='line'`, or `type='renko'`
+The default plot type, as you can see above, is `'ohlc'`.  Other plot types can be specified with the keyword argument `type`, for example, `type='candle'`, `type='line'`, `type='renko'`, or `type='pnf'`
 
 
 ```python
@@ -210,6 +210,13 @@ mpf.plot(daily,type='renko')
 ![png](https://raw.githubusercontent.com/matplotlib/mplfinance/master/readme_files/readme_8_1.png)
 
 
+```python
+mpf.plot(daily,type='pnf')
+```
+
+
+![png](https://raw.githubusercontent.com/matplotlib/mplfinance/master/readme_files/readme_5_1.png)
+
 ---
 <br>
 

examples/price-movement_plots.ipynb

@@ -8,7 +8,8 @@
 import datetime
 
 from matplotlib import colors as mcolors
-from matplotlib.collections import LineCollection, PolyCollection
+from matplotlib.patches import Ellipse
+from matplotlib.collections import LineCollection, PolyCollection, PatchCollection
 from mplfinance._arg_validators import _process_kwargs, _validate_vkwargs_dict
 
 from six.moves import zip
@@ -102,29 +103,6 @@ def _calculate_atr(atr_length, highs, lows, closes):
         atr += tr
     return atr/atr_length
 
-def renko_reformat_ydata(ydata, dates, old_dates):
-    """Reformats ydata to work on renko charts, can lead to unexpected 
-    outputs for the user as the xaxis does not scale evenly with dates.
-    Missing dates ydata is averaged into the next date and dates that appear
-    more than once have the same ydata
-    ydata : y data likely coming from addplot
-    dates : x-axis dates for the renko chart
-    old_dates : original dates in the data set
-    """
-    new_ydata = [] # stores new ydata
-    prev_data = 0
-    skipped_dates = 0
-    for i in range(len(ydata)):
-        if old_dates[i] not in dates:
-            prev_data += ydata[i]
-            skipped_dates += 1
-        else:
-            dup_dates = dates.count(old_dates[i])
-            new_ydata.extend([(ydata[i]+prev_data)/(skipped_dates+1)]*dup_dates)
-            skipped_dates = 0
-            prev_data = 0
-    return new_ydata
-
 def _updown_colors(upcolor,downcolor,opens,closes,use_prev_close=False):
     if upcolor == downcolor:
         return upcolor
@@ -138,10 +116,10 @@ def _updown_colors(upcolor,downcolor,opens,closes,use_prev_close=False):
 
 def _valid_renko_kwargs():
     '''
-    Construct and return the "valid renko kwargs table" for the mplfinance.plot(type='renko') function.
-    A valid kwargs table is a `dict` of `dict`s.  The keys of the outer dict are the
-    valid key-words for the function.  The value for each key is a dict containing
-    2 specific keys: "Default", and "Validator" with the following values:
+    Construct and return the "valid renko kwargs table" for the mplfinance.plot(type='renko') 
+    function. A valid kwargs table is a `dict` of `dict`s. The keys of the outer dict are 
+    the valid key-words for the function.  The value for each key is a dict containing 2 
+    specific keys: "Default", and "Validator" with the following values:
         "Default"      - The default value for the kwarg if none is specified.
         "Validator"    - A function that takes the caller specified value for the kwarg,
                          and validates that it is the correct type, and (for kwargs with 
@@ -159,6 +137,29 @@ def _valid_renko_kwargs():
 
     return vkwargs
 
+def _valid_pointnfig_kwargs():
+    '''
+    Construct and return the "valid pointnfig kwargs table" for the mplfinance.plot(type='pnf') 
+    function. A valid kwargs table is a `dict` of `dict`s. The keys of the outer dict are 
+    the valid key-words for the function.  The value for each key is a dict containing 2 
+    specific keys: "Default", and "Validator" with the following values:
+        "Default"      - The default value for the kwarg if none is specified.
+        "Validator"    - A function that takes the caller specified value for the kwarg,
+                         and validates that it is the correct type, and (for kwargs with 
+                         a limited set of allowed values) may also validate that the
+                         kwarg value is one of the allowed values.
+    '''
+    vkwargs = {
+        'box_size'    : { 'Default'     : 'atr',
+                          'Validator'   : lambda value: isinstance(value,(float,int)) or value == 'atr' },
+        'atr_length'  : { 'Default'     : 14,
+                          'Validator'   : lambda value: isinstance(value,int) },               
+    }
+
+    _validate_vkwargs_dict(vkwargs)
+
+    return vkwargs
+
 def _construct_ohlc_collections(dates, opens, highs, lows, closes, marketcolors=None):
     """Represent the time, open, high, low, close as a vertical line
     ranging from low to high.  The left tick is the open and the right
@@ -340,10 +341,9 @@ def _construct_renko_collections(dates, highs, lows, volumes, config_renko_param
         sequence of high values
     lows : sequence
         sequence of low values
-    renko_params : dictionary
-        type : type of renko chart
+    config_renko_params : kwargs table (dictionary)
         brick_size : size of each brick
-        atr_legnth : length of time used for calculating atr
+        atr_length : length of time used for calculating atr
     closes : sequence
         sequence of closing values
     marketcolors : dict of colors: up, down, edge, wick, alpha
@@ -379,22 +379,27 @@ def _construct_renko_collections(dates, highs, lows, volumes, config_renko_param
     dc     = mcolors.to_rgba(marketcolors['candle']['down'], alpha)
     euc     = mcolors.to_rgba(marketcolors['edge'][ 'up' ], 1.0)
     edc     = mcolors.to_rgba(marketcolors['edge']['down'], 1.0)
-
-    cdiff = [(closes[i+1] - closes[i])/brick_size for i in range(len(closes)-1)] # fill cdiff with close price change
+    
+    cdiff = []
+    prev_close_brick = closes[0]
+    for i in range(len(closes)-1):
+        brick_diff = int((closes[i+1] - prev_close_brick) / brick_size)
+        cdiff.append(brick_diff)
+        prev_close_brick += brick_diff * brick_size
 
     bricks = [] # holds bricks, 1 for down bricks, -1 for up bricks
     new_dates = [] # holds the dates corresponding with the index
     new_volumes = [] # holds the volumes corresponding with the index.  If more than one index for the same day then they all have the same volume.
 
-    prev_num = 0
+    
     start_price = closes[0]
 
     volume_cache = 0 # holds the volumes for the dates that were skipped
 
     last_diff_sign = 0 # direction the bricks were last going in -1 -> down, 1 -> up
     for i in range(len(cdiff)):
-        num_bricks = abs(int(cdiff[i]))
-        curr_diff_sign = cdiff[i]/abs(cdiff[i])
+        num_bricks = abs(cdiff[i])
+        curr_diff_sign = cdiff[i]/abs(cdiff[i]) if cdiff[i] != 0 else 0
         if last_diff_sign != 0 and num_bricks > 0 and curr_diff_sign != last_diff_sign:
             num_bricks -= 1
         last_diff_sign = curr_diff_sign
@@ -418,6 +423,7 @@ def _construct_renko_collections(dates, highs, lows, volumes, config_renko_param
     colors = []
     edge_colors = []
     brick_values = []
+    prev_num = -1 if bricks[0] > 0 else 0
     for index, number in enumerate(bricks):
         if number == 1: # up brick
             colors.append(uc)
@@ -429,6 +435,7 @@ def _construct_renko_collections(dates, highs, lows, volumes, config_renko_param
         prev_num += number
         brick_y = start_price + (prev_num * brick_size)
         brick_values.append(brick_y)
+        
         x, y = index, brick_y
 
         verts.append((
@@ -440,14 +447,144 @@ def _construct_renko_collections(dates, highs, lows, volumes, config_renko_param
     useAA = 0,    # use tuple here
     lw = None
     rectCollection = PolyCollection(verts,
-                                   facecolors=colors,
-                                   antialiaseds=useAA,
-                                   edgecolors=edge_colors,
-                                   linewidths=lw
-                                   )
+                                    facecolors=colors,
+                                    antialiaseds=useAA,
+                                    edgecolors=edge_colors,
+                                    linewidths=lw
+                                    )
 
     return (rectCollection, ), new_dates, new_volumes, brick_values, brick_size
 
+def _construct_pointnfig_collections(dates, highs, lows, volumes, config_pointnfig_params, closes, marketcolors=None):
+    """Represent the price change with Xs and Os
+
+    Parameters
+    ----------
+    dates : sequence
+        sequence of dates
+    highs : sequence
+        sequence of high values
+    lows : sequence
+        sequence of low values
+    config_pointnfig_params : kwargs table (dictionary)
+        box_size : size of each box
+        atr_length : length of time used for calculating atr
+    closes : sequence
+        sequence of closing values
+    marketcolors : dict of colors: up, down, edge, wick, alpha
+
+    Returns
+    -------
+    ret : tuple
+        rectCollection
+    """
+    pointnfig_params = _process_kwargs(config_pointnfig_params, _valid_pointnfig_kwargs())
+    if marketcolors is None:
+        marketcolors = _get_mpfstyle('classic')['marketcolors']
+        print('default market colors:',marketcolors)
+    
+    box_size = pointnfig_params['box_size']
+    atr_length = pointnfig_params['atr_length']
+    
+
+    if box_size == 'atr':
+        box_size = _calculate_atr(atr_length, highs, lows, closes)
+    else: # is an integer or float
+        total_atr = _calculate_atr(len(closes)-1, highs, lows, closes)
+        upper_limit = 5*total_atr
+        lower_limit = 0.01*total_atr
+        if box_size > upper_limit:
+            raise ValueError("Specified box_size may not be larger than (1.5* the Average True Value of the dataset) which has value: "+ str(upper_limit))
+        elif box_size < lower_limit:
+            raise ValueError("Specified box_size may not be smaller than (0.01* the Average True Value of the dataset) which has value: "+ str(lower_limit))
+
+    alpha  = marketcolors['alpha']
+
+    uc     = mcolors.to_rgba(marketcolors['candle'][ 'up' ], alpha)
+    dc     = mcolors.to_rgba(marketcolors['candle']['down'], alpha)
+    tfc    = mcolors.to_rgba(marketcolors['edge']['down'], 0) # transparent face color
+
+    cdiff = []
+    prev_close_box = closes[0]
+    new_volumes = [] # holds the volumes corresponding with the index.  If more than one index for the same day then they all have the same volume.
+    new_dates = [] # holds the dates corresponding with the index
+    volume_cache = 0 # holds the volumes for the dates that were skipped
+    prev_sign = 0
+    current_cdiff_index = -1
+
+    for i in range(len(closes)-1):
+        box_diff = int((closes[i+1] - prev_close_box) / box_size)
+        if box_diff == 0:
+            if volumes is not None:
+                volume_cache += volumes[i]
+            continue
+        sign = box_diff / abs(box_diff)
+        if sign == prev_sign:
+            cdiff[current_cdiff_index] += box_diff
+            if volumes is not None:
+                new_volumes[current_cdiff_index] += volumes[i] + volume_cache
+                volume_cache = 0
+        else:
+            cdiff.append(box_diff)
+            if volumes is not None:
+                new_volumes.append(volumes[i] + volume_cache)
+                volume_cache = 0
+            new_dates.append(dates[i])
+            prev_sign = sign
+            current_cdiff_index += 1
+        
+        prev_close_box += box_diff *box_size
+
+
+    curr_price = closes[0]
+    
+    box_values = [] # y values for the boxes
+    circle_patches = [] # list of circle patches to be used to create the cirCollection
+    line_seg = [] # line segments that make up the Xs
+    
+    for index, difference in enumerate(cdiff):
+        diff = abs(difference)
+
+        sign = (difference / abs(difference)) # -1 or 1
+        start_iteration = 0 if sign > 0 else 1
+        
+        x = [index] * (diff)
+        y = [curr_price + (i * box_size * sign) for i in range(start_iteration, diff+start_iteration)]
+        
+        
+        curr_price += (box_size * sign * (diff))
+        box_values.append(sum(y) / len(y))
+        
+        for i in range(len(x)): # x and y have the same length
+            height = box_size * 0.85
+            width = (50/box_size)/len(new_dates)
+            if height < 0.5:
+                width = height
+            
+            padding = (box_size * 0.075)
+            if sign == 1: # X
+                line_seg.append([(x[i]-width/2, y[i] + padding), (x[i]+width/2, y[i]+height + padding)]) # create / part of the X
+                line_seg.append([(x[i]-width/2, y[i]+height+padding), (x[i]+width/2, y[i]+padding)]) # create \ part of the X
+            else: # O
+                circle_patches.append(Ellipse((x[i], y[i]-(height/2) - padding), width, height))
+    
+    useAA = 0,    # use tuple here
+    lw = 0.5        
+
+    cirCollection = PatchCollection(circle_patches)
+    cirCollection.set_facecolor([tfc] * len(circle_patches))
+    cirCollection.set_edgecolor([dc] * len(circle_patches))
+    
+    xCollection = LineCollection(line_seg,
+                                 colors=[uc] * len(line_seg),
+                                 linewidths=lw,
+                                 antialiaseds=useAA
+                                 )
+    
+    return (cirCollection, xCollection), new_dates, new_volumes, box_values, box_size
+
+
+
 from matplotlib.ticker import Formatter
 class IntegerIndexDateTimeFormatter(Formatter):
     """