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A Helpful Library

The reason I started this library is that the matplotlib implementation of candlestick charts was good but it was off in little ways. For example, the whisker line was visible through the box. So I started with their drawing code and tweaked it to draw a good candlestick plot.

I also found myself working with Panda's DataFrame component. It's such a handy component that I thought it made sense to draw charts directly from a DataFrame. So, as I need another chart, I'm going to add to this collection.

Example Code

#
# Based on the example program for Panda/matplotlib finance plots.

import pandas.io.data as web
import EconoMetrics.transformers as trans
import EconoMetrics.charts as charts
import matplotlib.pyplot as plt

if __name__ == "__main__":
    dataframe = web.get_data_yahoo("MSFT", "09/01/2011", "09/01/2012")

    print dataframe[0:3]

    et = trans.EMATransformer()
    et.transform(dataframe)

    print dataframe[0:3]


    fig = plt.figure(figsize=(4,4))
    ax = fig.add_axes([0.1, 0.1, 0.8, 0.8])
    charts.candlestick(ax, dataframe, width=0.6)
    plt.plot(dataframe["Close_EMA_5"])

    plt.show()

EconoMetrics.charts.candlestick

This draws a candlestick chart. It expects a Panda DataFrame with the following columns

  • Open
  • High
  • Low
  • Close

You can obtain a populated DataFrame by using the pandas.io.data.get_data_yahoo function.

EconoMetrics.charts.macd

This draws a moving average convergence/divergence graph, which includes the MACD line (or the difference between the 12 and 26 day moving average), the signal line (a 9 day moving average of the MACD line), and a histogram illustrating the difference between the signal and MACD lines. It expects a DataFrame that contains the columns MACD, Signal and Histogram, but these can be overriden.

EconoMetrics.charts.highlow

This draws smallish arrows at reation highs and reaction lows. It expects a column in the DataFrame called HighLow, with the value "High" for a reaction high and "Low" for a reaction low. The actual names can be overridden in the arguments.

EconoMetrics.transformers.EMATransformer

Adds a column to a DataFrame that is the exponential moving average of the target column.

EconoMetrics.transformers.MACDTransformer

Adds columns for the MACD value, the Signal value and the Histogram to a DataFrame.

EconoMetrics.transformers.HighLowTransformer

Adds reaction highs and lows to a DataFrame.