Allow addplot, volume, and edgecolor for renko

Author: coffincw

src/mplfinance/_utils.py

@@ -82,7 +82,7 @@ def roundTime(dt=None, roundTo=60):
    rounding = (seconds+roundTo/2) // roundTo * roundTo
    return dt + datetime.timedelta(0,rounding-seconds,-dt.microsecond)
 
-def calculate_atr(atr_length, highs, lows, closes):
+def _calculate_atr(atr_length, highs, lows, closes):
     """Calculate the average true range
     atr_length : time period to calculate over
     all_highs : list of highs
@@ -98,6 +98,30 @@ def calculate_atr(atr_length, highs, lows, closes):
         atr += tr
     return atr/atr_length
 
+def renko_reformat_ydata(ydata, dates, old_dates):
+    """Reformats ydata to work on renko charts, can lead to unexpected 
+    outputs for the user as the xaxis does not scale evenly with dates.
+    Missing dates ydata is averaged into the next date and dates that appear
+    more than once have the same ydata
+    ydata : y data likely coming from addplot
+    dates : x-axis dates for the renko chart
+    old_dates : original dates in the data set
+    """
+    new_ydata = [] # stores new ydata
+    prev_data = 0
+    skipped_dates = 0
+    count_skip = 0
+    for i in range(len(ydata)):
+        if old_dates[i] not in dates:
+            prev_data += ydata[i]
+            skipped_dates += 1
+        else:
+            dup_dates = dates.count(old_dates[i])
+            new_ydata.extend([(ydata[i]+prev_data)/(skipped_dates+1)]*dup_dates)
+            skipped_dates = 0
+            prev_data = 0
+    return new_ydata
+
 def _updown_colors(upcolor,downcolor,opens,closes,use_prev_close=False):
     if upcolor == downcolor:
         return upcolor
@@ -279,7 +303,7 @@ def _construct_candlestick_collections(dates, opens, highs, lows, closes, market
 
     return rangeCollection, barCollection
 
-def _construct_renko_collections(dates, highs, lows, renko_params, closes, marketcolors=None):
+def _construct_renko_collections(dates, highs, lows, volumes, renko_params, closes, marketcolors=None):
     """Represent the price change with bricks
 
     Parameters
@@ -314,28 +338,36 @@ def _construct_renko_collections(dates, highs, lows, renko_params, closes, marke
         raise ValueError("Specified atr_length is larger than the length of the dataset: " + str(len(closes)))
 
     if brick_size == 'atr':
-        brick_size = calculate_atr(atr_length, highs, lows, closes)
-        print(brick_size)
+        brick_size = _calculate_atr(atr_length, highs, lows, closes)
 
     alpha  = marketcolors['alpha']
 
-    uc     = mcolors.to_rgba(marketcolors['candle'][ 'up' ], alpha)
-    dc     = mcolors.to_rgba(marketcolors['candle']['down'], alpha)
+    uc     = mcolors.to_rgba(marketcolors['candle'][ 'up' ], 1.0)
+    dc     = mcolors.to_rgba(marketcolors['candle']['down'], 1.0)
+    euc     = mcolors.to_rgba(marketcolors['edge'][ 'up' ], 1.0)
+    edc     = mcolors.to_rgba(marketcolors['edge']['down'], 1.0)
 
     cdiff = [(closes[i+1] - closes[i])/brick_size for i in range(len(closes)-1)] # fill cdiff with close price change
 
     bricks = [] # holds bricks, 1 for down bricks, -1 for up bricks
     new_dates = [] # holds the dates corresponding with the index
+    new_volumes = [] # holds the volumes corresponding with the index.  If more than one index for the same day then they all have the same volume.
 
     prev_num = 0
     start_price = closes[0]
+
+    volume_cache = 0 # holds the volumes for the dates that were skipped
 
 
     for i in range(len(cdiff)):
         num_bricks = abs(int(round(cdiff[i], 0)))
 
         if num_bricks != 0:
             new_dates.extend([dates[i]]*num_bricks)
+            new_volumes.extend([volumes[i] + volume_cache]*num_bricks)
+            volume_cache = 0
+        else:
+            volume_cache += volumes[i]
 
         if cdiff[i] > 0:
             bricks.extend([1]*num_bricks)
@@ -344,11 +376,14 @@ def _construct_renko_collections(dates, highs, lows, renko_params, closes, marke
 
     verts = []
     colors = []
+    edge_colors = []
     for index, number in enumerate(bricks):
         if number == 1: # up brick
             colors.append(uc)
+            edge_colors.append(euc)
         else: # down brick
             colors.append(dc)
+            edge_colors.append(edc)
 
         prev_num += number
         x, y = index, start_price + (prev_num * brick_size)
@@ -365,10 +400,11 @@ def _construct_renko_collections(dates, highs, lows, renko_params, closes, marke
     rectCollection = PolyCollection(verts,
                                    facecolors=colors,
                                    antialiaseds=useAA,
+                                   edgecolors=edge_colors,
                                    linewidths=lw
                                    )
 
-    return (rectCollection, ), new_dates
+    return (rectCollection, ), new_dates, new_volumes
 
 from matplotlib.ticker import Formatter
 class IntegerIndexDateTimeFormatter(Formatter):

src/mplfinance/plotting.py

@@ -16,6 +16,7 @@
 from mplfinance._utils import _construct_candlestick_collections
 from mplfinance._utils import _construct_renko_collections
 
+from mplfinance._utils import renko_reformat_ydata
 from mplfinance._utils import _updown_colors
 from mplfinance._utils import IntegerIndexDateTimeFormatter
 
@@ -222,12 +223,10 @@ def plot( data, **kwargs ):
         for apdict in addplot:
             if apdict['panel'] == 'lower':
                 need_lower_panel = True
-                break
-    
-    ptype = config['type']            
+                break           
 
     #  fig.add_axes( [left, bottom, width, height] ) ... numbers are fraction of fig
-    if need_lower_panel or config['volume'] and ptype is not 'renko':
+    if need_lower_panel or config['volume']:
         ax1 = fig.add_axes( [0.15, 0.38, 0.70, 0.50] )
         ax2 = fig.add_axes( [0.15, 0.18, 0.70, 0.20], sharex=ax1 )
         plt.xticks(rotation=45) # must do this after creation of axis, and
@@ -258,7 +257,7 @@ def plot( data, **kwargs ):
         else:
            fmtstring = '%b %d'
 
-    
+    ptype = config['type'] 
 
     if ptype is not 'renko':
         if config['show_nontrading']:
@@ -270,10 +269,6 @@ def plot( data, **kwargs ):
 
         ax1.xaxis.set_major_formatter(formatter)
 
-    
-
-    renko_params = config['renko_params']
-
     collections = None
     if ptype == 'candle' or ptype == 'candlestick':
         collections = _construct_candlestick_collections(xdates, opens, highs, lows, closes,
@@ -282,8 +277,8 @@ def plot( data, **kwargs ):
         collections = _construct_ohlc_collections(xdates, opens, highs, lows, closes,
                                                          marketcolors=style['marketcolors'] )
     elif ptype == 'renko':
-        renko_params = _process_kwargs(kwargs['renko_params'] if 'renko_params' in kwargs else dict(), _valid_renko_kwargs())
-        collections, new_dates = _construct_renko_collections(dates, highs, lows, renko_params, closes,
+        renko_params = _process_kwargs(config['renko_params'], _valid_renko_kwargs())
+        collections, new_dates, volumes = _construct_renko_collections(dates, highs, lows, volumes, renko_params, closes,
                                                          marketcolors=style['marketcolors'] )
 
         formatter = IntegerIndexDateTimeFormatter(new_dates, fmtstring)
@@ -312,25 +307,23 @@ def plot( data, **kwargs ):
             mavc = None
 
         for mav in mavgs:
-            mavprices = data['Close'].rolling(mav).mean().values 
+            mavprices = data['Close'].rolling(mav).mean().values
+            if ptype == 'renko':
+                mavprices = renko_reformat_ydata(mavprices, new_dates, dates) 
             if mavc:
                 ax1.plot(xdates, mavprices, color=next(mavc))
             else:
                 ax1.plot(xdates, mavprices)
 
-    
-    if ptype == 'renko':
-        ax1.autoscale()
-    else:
-        avg_dist_between_points = (xdates[-1] - xdates[0]) / float(len(xdates))
-        minx = xdates[0]  - avg_dist_between_points
-        maxx = xdates[-1] + avg_dist_between_points
-        miny = min([low for low in lows if low != -1])
-        maxy = max([high for high in highs if high != -1])
-        corners = (minx, miny), (maxx, maxy)
-        ax1.update_datalim(corners)
-
-    if config['volume'] and ptype is not 'renko':
+    avg_dist_between_points = (xdates[-1] - xdates[0]) / float(len(xdates))
+    minx = xdates[0]  - avg_dist_between_points
+    maxx = xdates[-1] + avg_dist_between_points
+    miny = min([low for low in lows if low != -1])
+    maxy = max([high for high in highs if high != -1])
+    corners = (minx, miny), (maxx, maxy)
+    ax1.update_datalim(corners)
+
+    if config['volume']:
         vup,vdown = style['marketcolors']['volume'].values()
         #-- print('vup,vdown=',vup,vdown)
         vcolors = _updown_colors(vup, vdown, opens, closes, use_prev_close=style['marketcolors']['vcdopcod'])
@@ -415,6 +408,9 @@ def plot( data, **kwargs ):
                 if ax == ax4:
                     used_ax4 = True
 
+                if ptype == 'renko':
+                    ydata = renko_reformat_ydata(ydata, new_dates, dates)
+
                 if apdict['scatter']:
                     size  = apdict['markersize']
                     mark  = apdict['marker']
@@ -449,7 +445,7 @@ def plot( data, **kwargs ):
                 ax4.yaxis.set_label_position('right')
                 ax4.yaxis.tick_right()
 
-    if need_lower_panel or config['volume'] and ptype is not 'renko':
+    if need_lower_panel or config['volume']:
         ax1.spines['bottom'].set_linewidth(0.25)
         ax2.spines['top'   ].set_linewidth(0.25)
         plt.setp(ax1.get_xticklabels(), visible=False)
@@ -476,7 +472,7 @@ def plot( data, **kwargs ):
 
     ax1.set_ylabel(config['ylabel'])
 
-    if config['volume'] and ptype is not 'renko':
+    if config['volume']:
         ax2.figure.canvas.draw()  # This is needed to calculate offset
         offset = ax2.yaxis.get_major_formatter().get_offset()
         ax2.yaxis.offsetText.set_visible(False)