''' TAQ data tools module.
The functions in the module do small repetitive tasks, that are used along the
whole implementation. These tools improve the way the tasks are standardized
in the modules that use them.
This script requires the following modules:
* matplotlib
* os
* pandas
* pickle
* subprocess
The module contains the following functions:
* taq_save_data - saves computed data.
* taq_save_plot - saves figures.
* taq_function_header_print_data - prints info about the function running.
* taq_function_header_print_plot - prints info about the plot.
* taq_start_folders - creates folders to save data and plots.
* taq_initial_message - prints the initial message with basic information.
* taq_business_days - creates a list of week days for a year.
* taq_decompress - decompress original data format to CSV file.
* main - the main function of the script.
.. moduleauthor:: Juan Camilo Henao Londono <www.github.com/juanhenao21>
'''
# -----------------------------------------------------------------------------
# Modules
from matplotlib import pyplot as plt
import os
import pandas as pd
import pickle
import subprocess
# -----------------------------------------------------------------------------
[docs]def taq_save_data(function_name, data, ticker_i, ticker_j, year, month, day):
""" Saves computed data in pickle files.
Saves the data generated in the functions of the
taq_data_analysis_responses_physical module in pickle files.
:param function_name: name of the function that generates the data.
:param data: data to be saved. The data can be of different types.
:param ticker_i: string of the abbreviation of the stock to be analyzed
(i.e. 'AAPL').
:param ticker_j: string of the abbreviation of the stock to be analyzed
(i.e. 'AAPL').
:param year: string of the year to be analyzed (i.e '2016').
:param month: string of the month to be analyzed (i.e '07').
:param day: string of the day to be analyzed (i.e '07').
:return: None -- The function saves the data in a file and does not return
a value.
"""
# Saving data
if (not os.path.isdir(f'../../taq_data/responses_physical_data_{year}/'
+ f'{function_name}/')):
try:
os.mkdir(f'../../taq_data/responses_physical_data_{year}/'
+ f'{function_name}/')
print('Folder to save data created')
except FileExistsError:
print('Folder exists. The folder was not created')
# Cross-response data
if (ticker_i != ticker_j):
pickle.dump(data, open(f'../../taq_data/responses_physical_data_{year}'
+ f'/{function_name}/{function_name}_{year}{month}{day}'
+ f'_{ticker_i}i_{ticker_j}j.pickle', 'wb'))
# Self-response data
else:
pickle.dump(data, open(f'../../taq_data/responses_physical_data_{year}'
+ f'/{function_name}/{function_name}_{year}{month}{day}'
+ f'_{ticker_i}.pickle', 'wb'))
print('Data Saved')
print()
return None
# -----------------------------------------------------------------------------
[docs]def taq_save_plot(function_name, figure, ticker_i, ticker_j, year, month):
"""Saves plot in png files.
Saves the plot generated in the functions of the
taq_data_plot_responses_physical module in png files.
:param function_name: name of the function that generates the plot.
:param figure: figure object that is going to be save.
:param ticker_i: string of the abbreviation of the stock to be analyzed
(i.e. 'AAPL').
:param ticker_j: string of the abbreviation of the stock to be analyzed
(i.e. 'AAPL').
:param year: string of the year to be analyzed (i.e '2016').
:param month: string of the month to be analyzed (i.e '07').
:return: None -- The function save the plot in a file and does not return
a value.
"""
# Saving plot data
if (not os.path.isdir(f'../../taq_plot/responses_physical_plot_{year}'
+ f'/{function_name}/')):
try:
os.mkdir(f'../../taq_plot/responses_physical_plot_{year}/'
+ f'{function_name}/')
print('Folder to save data created')
except FileExistsError:
print('Folder exists. The folder was not created')
# Cross-response data
if (ticker_i != ticker_j):
figure.savefig(f'../../taq_plot/responses_physical_plot_{year}/'
+ f'{function_name}/{function_name}_{year}{month}'
+ f'_{ticker_i}i_{ticker_j}j.png')
# Self-response
else:
figure.savefig(f'../../taq_plot/responses_physical_plot_{year}/'
+ f'{function_name}/{function_name}_{year}{month}'
+ f'_{ticker_i}.png')
print('Plot saved')
print()
return None
# -----------------------------------------------------------------------------
# -----------------------------------------------------------------------------
# -----------------------------------------------------------------------------
[docs]def taq_start_folders(year):
"""Creates the initial folders to save the data and plots.
:param year: string of the year to be analyzed (i.e '2016').
:return: None -- The function creates folders and does not return a value.
"""
try:
os.mkdir(f'../../taq_plot/responses_physical_plot_{year}')
os.mkdir(f'../../taq_data/responses_physical_data_{year}')
print('Folder to save data created')
print()
except FileExistsError as e:
print('Folder exists. The folder was not created')
print(e)
return None
# -----------------------------------------------------------------------------
[docs]def taq_initial_message():
"""Prints the initial message with basic information.
:return: None -- The function prints a message and does not return a value.
"""
print()
print('###############################################')
print('Price Response Functions Physical Time Analysis')
print('###############################################')
print('AG Guhr')
print('Faculty of Physics')
print('University of Duisburg-Essen')
print('Author: Juan Camilo Henao Londono')
print('More information in:')
print('* https://juanhenao21.github.io/')
print('* https://github.com/juanhenao21/financial_response_spread_year')
print('* https://financial-response-spread-year.readthedocs.io/en/latest/')
print()
return None
# -----------------------------------------------------------------------------
[docs]def taq_bussiness_days(year):
"""Generates a list with the dates of the bussiness days in a year.
:param year: string of the year to be analyzed (i.e '2008').
:return: list.
"""
init_date = f'01/01/{year}'
last_date = f'12/31/{year}'
# Use only the bussiness days
dt = pd.date_range(start=init_date, end=last_date, freq='B')
dt_df = dt.to_frame(index=False)
date_list = dt_df[0].astype(str).tolist()
return date_list
# -----------------------------------------------------------------------------
[docs]def taq_decompress(ticker, year, type):
"""Decompress original data format to CSV file.
:param ticker: string of the abbreviation of the stock to be analyzed
(i.e. 'AAPL').
:param year: string of the year to be analyzed (i.e '2008').
:param type: string with the word 'quotes' or 'trades'.
:return: None -- The function run a code and does not return a value.
"""
if (type == 'quotes'):
subprocess.call(f'./decompress.out {ticker}_{year}_NASDAQ.quotes'
+ f' > {ticker}_{year}_NASDAQ_quotes.csv',
shell=True, stdout=subprocess.PIPE)
elif (type == 'trades'):
subprocess.call(f'./decompress.out {ticker}_{year}_NASDAQ.trades'
+ f' > {ticker}_{year}_NASDAQ_trades.csv',
shell=True, stdout=subprocess.PIPE)
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.
"""
pass
return None
# -----------------------------------------------------------------------------
if __name__ == '__main__':
main()