'''TAQ data main module.
The functions in the module run the complete analysis of the TAQ data.
This script requires the following modules:
* itertools
* multiprocessing
* pandas
* taq_data_analysis_statistics
* taq_data_tools_statistics
The module contains the following functions:
* taq_data_generator - generates all the analysis of 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_statistics
import taq_data_tools_statistics
# -----------------------------------------------------------------------------
[docs]def taq_data_generator(tickers, year):
"""Generates all the analysis of 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').
:return: None -- The function saves the data in a file and does not return
a value.
"""
# Statistics of the quotes and trades
taq_data_analysis_statistics \
.taq_quotes_trades_year_statistics_data(tickers, year)
# Statistics midpoint
taq_data_analysis_statistics \
.taq_midpoint_year_statistics_data(tickers, year)
return None
# -----------------------------------------------------------------------------
[docs]def main():
"""The main function of the script.
The main function extract, analyze and plot the data.
:return: None.
"""
# Initial message
taq_data_tools_statistics.taq_initial_message()
# Tickers and days to analyze
year = '2008'
tickers = ['AAPL', 'GOOG']
# Run analysis
# Analysis and plot
taq_data_generator(tickers, year)
print('Ay vamos!!!')
return None
# -----------------------------------------------------------------------------
if __name__ == '__main__':
main()