display half-hourly returns of the SPX index

histograms.py

import pandas as pd

from collections import defaultdict
from redis import StrictRedis
from activetick_http import ActiveTick
from datetime import datetime, timedelta
from bokeh.charts import Histogram, show
from bokeh.layouts import column, row
from bokeh.models import Range1d
from bokeh.models.widgets import Div
from bokeh.io import output_file

# Config
symbol = 'SPX'
intraday_minutes = 30

db = StrictRedis(host='127.0.0.1')
at = ActiveTick(cache=db)

sample_range = pd.date_range('1/1/2014', '4/30/2017', freq='B')
df = pd.DataFrame()
times = defaultdict(list)

def chunks(l, n):
    # For item i in a range that is a length of l,
    for i in range(0, len(l), n):
        # Create an index range for l of n items:
        yield l[i:i+n]
x_range = Range1d(-25, 25)
y_range = Range1d(0, 120)
def getHistogram(data):
    histogram = Histogram(data=df,
                          background_fill_color='grey',
                          color='chartreuse',
                          values=data,
                          ylabel='',
                          plot_height=150,
                          plot_width=200,
                          toolbar_location=None)
    histogram.x_range = x_range
    histogram.y_range = y_range
    return histogram

for date in sample_range:
    start = date + timedelta(hours=9, minutes=30)
    end = date + timedelta(hours=16)
    num_chunks = (end - start).total_seconds() / (60 * intraday_minutes)
    data = at.barData(symbol, historyType='I', intradayMinutes=30, beginTime=start, endTime=end)
    if len(data) != num_chunks + 1:
        continue
    diff = data.close - data.open
    df = pd.concat([df, diff], axis=0)

df.index = df.index.to_datetime()

for data_row in df.itertuples(index=True):
    times[data_row[0].strftime('%H:%M')].append(data_row[1])

df = pd.DataFrame(times)

histograms = [getHistogram(col) for col in df.columns.values]

rows = chunks(histograms, 4)
rows = [row(list(r)) for r in rows]
rows = [Div(text='<h1>{symbol}</h1>'.format(symbol=symbol))] + rows

output_file(symbol + '_histograms', title=symbol + ' Histograms', mode='cdn')
show(column(rows))