Add atr support and disabled volume for renko plots

Author: coffincw

examples/customization_and_styles.ipynb

@@ -82,6 +82,22 @@ 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):
+    """Calculate the average true range
+    atr_length : time period to calculate over
+    all_highs : list of highs
+    all_lows : list of lows
+    all_closes : list of closes
+    """
+    atr = 0
+    for i in range(len(highs)-atr_length, len(highs)):
+        high = highs[i]
+        low = lows[i]
+        close_prev = closes[i-1]
+        tr = max(abs(high-low), abs(high-close_prev), abs(low-close_prev))
+        atr += tr
+    return atr/atr_length
+
 def _updown_colors(upcolor,downcolor,opens,closes,use_prev_close=False):
     if upcolor == downcolor:
         return upcolor
@@ -263,11 +279,17 @@ def _construct_candlestick_collections(dates, opens, highs, lows, closes, market
 
     return rangeCollection, barCollection
 
-def _construct_renko_collections(dates, renko_params, closes, marketcolors=None):
+def _construct_renko_collections(dates, highs, lows, renko_params, closes, marketcolors=None):
     """Represent the price change with bricks
 
     Parameters
     ----------
+    dates : sequence
+        sequence of dates
+    highs : sequence
+        sequence of high values
+    lows : sequence
+        sequence of low values
     renko_params : dictionary
         type : type of renko chart
         brick_size : size of each brick
@@ -289,6 +311,12 @@ def _construct_renko_collections(dates, renko_params, closes, marketcolors=None)
     brick_size = renko_params['brick_size']
     atr_length = renko_params['atr_length']
 
+    if atr_length > len(closes):
+        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)
+
     alpha  = marketcolors['alpha']
 
     uc     = mcolors.to_rgba(marketcolors['candle'][ 'up' ], alpha)

src/mplfinance/_utils.py

@@ -225,9 +225,11 @@ def plot( data, **kwargs ):
             if apdict['panel'] == 'lower':
                 need_lower_panel = True
                 break
+    
+    ptype = config['type']            
 
     #  fig.add_axes( [left, bottom, width, height] ) ... numbers are fraction of fig
-    if need_lower_panel or config['volume']:
+    if need_lower_panel or config['volume'] and ptype is not 'renko':
         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 +260,7 @@ def plot( data, **kwargs ):
         else:
            fmtstring = '%b %d'
 
-    ptype = config['type']
+    
 
     if ptype is not 'renko':
         if config['show_nontrading']:
@@ -282,8 +284,8 @@ 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'], _valid_renko_kwargs())
-        collections, new_dates = _construct_renko_collections(dates, renko_params, closes,
+        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,
                                                          marketcolors=style['marketcolors'] )
 
         formatter = IntegerIndexDateTimeFormatter(new_dates, fmtstring)
@@ -318,6 +320,7 @@ def plot( data, **kwargs ):
             else:
                 ax1.plot(xdates, mavprices)
 
+    
     if ptype == 'renko':
         ax1.autoscale()
     else:
@@ -329,7 +332,7 @@ def plot( data, **kwargs ):
         corners = (minx, miny), (maxx, maxy)
         ax1.update_datalim(corners)
 
-    if config['volume']:
+    if config['volume'] and ptype is not 'renko':
         vup,vdown = style['marketcolors']['volume'].values()
         #-- print('vup,vdown=',vup,vdown)
         vcolors = _updown_colors(vup, vdown, opens, closes, use_prev_close=style['marketcolors']['vcdopcod'])
@@ -448,7 +451,7 @@ def plot( data, **kwargs ):
                 ax4.yaxis.set_label_position('right')
                 ax4.yaxis.tick_right()
 
-    if need_lower_panel or config['volume']:
+    if need_lower_panel or config['volume'] and ptype is not 'renko':
         ax1.spines['bottom'].set_linewidth(0.25)
         ax2.spines['top'   ].set_linewidth(0.25)
         plt.setp(ax1.get_xticklabels(), visible=False)
@@ -475,7 +478,7 @@ def plot( data, **kwargs ):
 
     ax1.set_ylabel(config['ylabel'])
 
-    if config['volume']:
+    if config['volume'] and ptype is not 'renko':
         ax2.figure.canvas.draw()  # This is needed to calculate offset
         offset = ax2.yaxis.get_major_formatter().get_offset()
         ax2.yaxis.offsetText.set_visible(False)