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Created February 8, 2017 04:40
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Descriptive.ipynb
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"%matplotlib inline\n",
"import matplotlib.pyplot as plt\n",
"plt.style.use('ggplot')\n",
"%config InlineBackend.figure_format = 'svg'\n",
"\n",
"import pandas\n",
"import datetime\n",
"import numpy as np\n",
"\n",
"pandas.options.display.max_rows = 15"
]
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"def read_day_data(filename, day_offset):\n",
" dataframe = pandas.read_csv(filename, index_col=0, parse_dates=True)\n",
" dataframe.columns = ['price', 'volume', 'bid_price', 'bid_size', 'ask_price', 'ask_size', 'bid_or_ask']\n",
" dataframe['day'] = day_offset\n",
" return(dataframe)\n",
"\n",
"dates = [9, 10, 11, 12, 13, 16, 17, 18, 19, 20]\n",
"data_by_days = [read_day_data('data/%d.csv' % d, d) for d in dates]\n",
"\n",
"data = pandas.concat(data_by_days)"
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" price volume bid_price bid_size ask_price \\\n",
"Time \n",
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"2017-01-09 01:55:37.108 3317 1 3317 77 3318 \n",
"2017-01-09 01:55:37.108 3317 1 3317 76 3318 \n",
"... ... ... ... ... ... \n",
"2017-01-20 02:04:52.023 3273 18 3273 227 3274 \n",
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"2017-01-20 02:05:00.093 3273 7 3273 352 3274 \n",
"2017-01-20 02:05:00.093 3273 5 3273 345 3274 \n",
"2017-01-20 02:05:00.193 3273 251 3273 342 3274 \n",
"2017-01-20 02:05:00.193 3273 86 3273 86 3274 \n",
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" ask_size bid_or_ask day spread \n",
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"2017-01-09 01:55:37.108 628 1 9 1 \n",
"2017-01-09 01:55:37.108 627 1 9 1 \n",
"... ... ... ... ... \n",
"2017-01-20 02:04:52.023 914 1 20 1 \n",
"2017-01-20 02:04:52.133 813 1 20 1 \n",
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"[10149 rows x 9 columns]"
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"data['spread'] = data['ask_price'] - data['bid_price']\n",
"\n",
"data"
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"source": [
"data_grouped_ask_only = data.loc[(data.bid_or_ask != 1)].groupby('time_seconds')\n",
"data_grouped_ask_only['volume'].agg(np.sum).plot()\n",
"\n",
"data_grouped_bid_only = data.loc[(data.bid_or_ask == 1)].groupby('time_seconds')\n",
"data_grouped_bid_only['volume'].agg(np.sum).plot()"
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"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.5.1"
},
"widgets": {
"state": {},
"version": "1.1.1"
}
},
"nbformat": 4,
"nbformat_minor": 0
}
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