'''TAQ data main module
The functions in the module run the complete analysis and plot of the TAQ data.
This script requires the following modules:
* itertools
* multiprocessing
* pandas
* taq_data_analysis_responses_trade_shift
* taq_data_plot_responses_trade_shift
* taq_data_tools_responses_trade_shift
The module contains the following functions:
* taq_data_plot_generator - generates all the analysis and plots from the
TAQ data.
* main - the main function of the script.
.. moduleauthor:: Juan Camilo Henao Londono <www.github.com/juanhenao21>
'''
# -----------------------------------------------------------------------------
# Modules
from itertools import product as iprod
import multiprocessing as mp
import pandas as pd
import taq_data_analysis_responses_trade_shift
import taq_data_plot_responses_trade_shift
import taq_data_tools_responses_trade_shift
# -----------------------------------------------------------------------------
[docs]def taq_data_plot_generator(tickers, year, shifts):
"""Generates all the analysis and plots from the TAQ data.
:param tickers: list of the string abbreviation of the stocks to be
analyzed (i.e. ['AAPL', 'MSFT']).
:param year: string of the year to be analyzed (i.e '2016').
:param shifts: list of integers greater than zero (i.e. [1, 10, 50]).
:return: None -- The function saves the data in a file and does not return
a value.
"""
date_list = taq_data_tools_responses_trade_shift.taq_bussiness_days(year)
# Especific functions
# Self-response
for ticker in tickers:
for shift in shifts:
taq_data_analysis_responses_trade_shift \
.taq_self_response_year_responses_trade_shift_data(ticker,
year, shift)
ticker_prod = iprod(tickers, tickers)
# ticker_prod = [('AAPL', 'MSFT'), ('MSFT', 'AAPL'),
# ('GS', 'JPM'), ('JPM', 'GS'),
# ('CVX', 'XOM'), ('XOM', 'CVX'),
# ('GOOG', 'MA'), ('MA', 'GOOG'),
# ('CME', 'GS'), ('GS', 'CME'),
# ('RIG', 'APA'), ('APA', 'RIG')]
# Cross-response
for ticks in ticker_prod:
for shift in shifts:
taq_data_analysis_responses_trade_shift \
.taq_cross_response_year_responses_trade_shift_data(
ticks[0], ticks[1], year, shift)
# Parallel computing
with mp.Pool(processes=mp.cpu_count()) as pool:
# Plot
pool.starmap(taq_data_plot_responses_trade_shift
.taq_self_response_year_avg_responses_trade_shift_plot,
iprod(tickers, [year], [shifts]))
# Parallel computing
with mp.Pool(processes=mp.cpu_count()) as pool:
# Plot
pool.starmap(taq_data_plot_responses_trade_shift
.taq_cross_response_year_avg_responses_trade_shift_plot,
iprod(tickers, tickers, [year], [shifts]))
return None
# -----------------------------------------------------------------------------
[docs]def main():
"""The main function of the script.
The main function is used to test the functions in the script.
:return: None.
"""
# Initial message
taq_data_tools_responses_trade_shift.taq_initial_message()
# Tickers and days to analyze
year = '2008'
tickers = ['AAPL', 'GOOG']
shifts = [10, 100]
# Basic folders
taq_data_tools_responses_trade_shift.taq_start_folders(year)
# Run analysis
# Analysis and plot
taq_data_plot_generator(tickers, year, shifts)
print('Ay vamos!!!')
return None
# -----------------------------------------------------------------------------
if __name__ == '__main__':
main()