蜡烛图、美国图绘图及标记

来源：https://www.joinquant.com/view/community/detail/92d2ccab2d412dbfa7df366369e6373b?type=1

import numpy as np
import pandas as pd
import empyrical as ep
import statsmodels.api as smimport alphalens as al
from alphalens import plotting
import alphalens.performance as perffrom jqdata import *
from sqlalchemy.sql import func
from jqfactor import (Factor, calc_factors, neutralize,standardlize, get_factor_values)from functools import reduce
from tqdm import tqdm_notebook
from typing import (Tuple, List)
from dateutil.parser import parseimport seaborn as sns
import matplotlib.pyplot as pltmpl.rcParams['font.family'] = 'serif'  # pd.plot中文
# 用来正常显示负号
mpl.rcParams['axes.unicode_minus'] = False
# 图表主题
plt.style.use('seaborn')

# 蜡烛图import matplotlib.dates as mdate
import matplotlib.ticker as ticker
from matplotlib.path import Path
from matplotlib.patches import PathPatch# 画出蜡烛图
def plot_candlestick(df:pd.DataFrame,title:str='',**kwargs):'''画出蜡烛图-----------price:index-date columns-OHLCindex为datetimekwargs:为pathpatch时则画出需要标记的k线'''df = df.copy()df.index.names = ['date']df = df.reset_index()data = df[['date','open','high','low','close']]# 生成横轴的刻度名字date_tickers = df['date'].dt.strftime('%Y-%m-%d').valuesday_quotes=[tuple([i]+list(quote[1:])) for i,quote in enumerate(data.values)]mpl.rcParams['font.family'] = 'serif'fig, ax = plt.subplots(figsize=(18,4))plt.title(title)def format_date(x,pos=None):if x<0 or x>len(date_tickers)-1:return ''return date_tickers[int(x)]candlestick_ohlc(ax,day_quotes,colordown='g', colorup='r',width=0.2)if 'pathpatch' in kwargs:ax.add_patch(kwargs['pathpatch'])ax.xaxis.set_major_locator(ticker.MultipleLocator(6))ax.xaxis.set_major_formatter(ticker.FuncFormatter(format_date));ax.grid(True)# 标记需要标记的K线
def get_mark_data(price:pd.DataFrame,target_date:list):'''标记出k线-----------price:index-date columns-OHLCindex为datetimetarget_date:list 日期格式yyyy-mm-dd'''df = price[['open','high','low','close']].copy()df.index = df.index.strftime('%Y-%m-%d')if isinstance(target_date,list):target_data = [target_date]vertices = []codes = []idx = [df.index.get_loc(i) for i in target_date]for i in idx:low = df['low'].iloc[i] * (1 - 0.001)high = df['high'].iloc[i] * (1 + 0.001)codes += [Path.MOVETO] + [Path.LINETO]*3 + [Path.CLOSEPOLY]vertices += [(i - 0.5, low), (i - 0.5, high), (i + 0.5, high), (i + 0.5, low), (i - 0.5, low)]path = Path(vertices, codes)pathpatch = PathPatch(path, facecolor='None', edgecolor='black',lw=2)return pathpatchdef candlestick_ohlc(ax, quotes, width=0.2, colorup='k', colordown='r',alpha=1.0):"""Plot the time, open, high, low, close as a vertical line rangingfrom low to high.  Use a rectangular bar to represent theopen-close span.  If close >= open, use colorup to color the bar,otherwise use colordownParameters----------ax : `Axes`an Axes instance to plot toquotes : sequence of (time, open, high, low, close, ...) sequencesAs long as the first 5 elements are these values,the record can be as long as you want (e.g., it may store volume).time must be in float days format - see date2numwidth : floatfraction of a day for the rectangle widthcolorup : colorthe color of the rectangle where close >= opencolordown : colorthe color of the rectangle where close <  openalpha : floatthe rectangle alpha levelReturns-------ret : tuplereturns (lines, patches) where lines is a list of linesadded and patches is a list of the rectangle patches added"""return _candlestick(ax, quotes, width=width, colorup=colorup,colordown=colordown,alpha=alpha, ochl=False)def _candlestick(ax, quotes, width=0.2, colorup='k', colordown='r',alpha=1.0, ochl=True):"""Plot the time, open, high, low, close as a vertical line rangingfrom low to high.  Use a rectangular bar to represent theopen-close span.  If close >= open, use colorup to color the bar,otherwise use colordownParameters----------ax : `Axes`an Axes instance to plot toquotes : sequence of quote sequencesdata to plot.  time must be in float date format - see date2num(time, open, high, low, close, ...) vs(time, open, close, high, low, ...)set by `ochl`width : floatfraction of a day for the rectangle widthcolorup : colorthe color of the rectangle where close >= opencolordown : colorthe color of the rectangle where close <  openalpha : floatthe rectangle alpha levelochl: boolargument to select between ochl and ohlc ordering of quotesReturns-------ret : tuplereturns (lines, patches) where lines is a list of linesadded and patches is a list of the rectangle patches added"""OFFSET = width / 2.0lines = []patches = []for q in quotes:if ochl:t, open, close, high, low = q[:5]else:t, open, high, low, close = q[:5]if close >= open:color = coloruplower = openheight = close - openelse:color = colordownlower = closeheight = open - closevline = Line2D(xdata=(t, t), ydata=(low, high),color=color,linewidth=0.5,antialiased=True,)rect = Rectangle(xy=(t - OFFSET, lower),width=width,height=height,facecolor=color,edgecolor=color,)rect.set_alpha(alpha)lines.append(vline)patches.append(rect)ax.add_line(vline)ax.add_patch(rect)ax.autoscale_view()return lines, patchesdef _check_input(opens, closes, highs, lows, miss=-1):"""Checks that *opens*, *highs*, *lows* and *closes* have the same length.NOTE: this code assumes if any value open, high, low, close ismissing (*-1*) they all are missingParameters----------ax : `Axes`an Axes instance to plot toopens : sequencesequence of opening valueshighs : sequencesequence of high valueslows : sequencesequence of low valuescloses : sequencesequence of closing valuesmiss : intidentifier of the missing dataRaises------ValueErrorif the input sequences don't have the same length"""def _missing(sequence, miss=-1):"""Returns the index in *sequence* of the missing data, identified by*miss*Parameters----------sequence :sequence to evaluatemiss :identifier of the missing dataReturns-------where_miss: numpy.ndarrayindices of the missing data"""return np.where(np.array(sequence) == miss)[0]same_length = len(opens) == len(highs) == len(lows) == len(closes)_missopens = _missing(opens)same_missing = ((_missopens == _missing(highs)).all() and(_missopens == _missing(lows)).all() and(_missopens == _missing(closes)).all())if not (same_length and same_missing):msg = ("*opens*, *highs*, *lows* and *closes* must have the same"" length. NOTE: this code assumes if any value open, high,"" low, close is missing (*-1*) they all must be missing.")raise ValueError(msg)

# 画美国线
def plot_HLC_bar(df:pd.DataFrame,title:str='',**kwargs):'''画出蜡烛图-----------price:index-date columns-HLCindex为datetimekwargs:为pathpatch时则画出需要标记的k线'''# 主体u_vertices1 = []u_codes1 = []# 辅u_codes2 = []u_vertices2 = []# 主题d_vertices1 = []d_codes1 = []# 辅d_codes2 = []d_vertices2 = []hlc = df.reset_index(drop=True)for idx,row in hlc.iterrows():low = row['low']high = row['high']close = row['close']open_ = row['open']if open_ < close:# 上涨部分u_codes1 += [Path.MOVETO] + [Path.LINETO] u_codes2 += [Path.MOVETO] + [Path.LINETO]u_vertices1 += [(idx, low), (idx, high)]u_vertices2 += [(idx, close), (idx+0.2, close)]else:# 下跌部分d_codes1 += [Path.MOVETO] + [Path.LINETO]d_codes2 += [Path.MOVETO] + [Path.LINETO]d_vertices1 += [(idx, low), (idx, high)]d_vertices2 += [(idx, close), (idx+0.2, close)]# 上涨步伐path1 = Path(u_vertices1, u_codes1)path2 = Path(u_vertices2,u_codes2)bar1 = PathPatch(path1,lw=1.5,edgecolor='red')line1 = PathPatch(path2,lw=0.6,edgecolor='red')# 下跌部分path3 = Path(d_vertices1, d_codes1)path4 = Path(d_vertices2,d_codes2)bar2 = PathPatch(path3,lw=1.5,edgecolor='g')line2 = PathPatch(path4,lw=0.6,edgecolor='g')fig, ax = plt.subplots(figsize=(18,4))plt.title(title)ax.add_patch(bar1)ax.add_patch(line1)ax.add_patch(bar2)ax.add_patch(line2)ax.set_xlim(-0.5, len(df))ax.set_ylim(df['low'].min() * (1 - 0.01), df['high'].max() * (1 + 0.01))if 'pathpatch' in kwargs:ax.add_patch(kwargs['pathpatch'])def format_date(x,pos=None):if x<0 or x>len(date_tickers)-1:return ''return date_tickers[int(x)]date_tickers = df.index.strftime('%Y-%m-%d').valuesax.xaxis.set_major_locator(ticker.MultipleLocator(6))ax.xaxis.set_major_formatter(ticker.FuncFormatter(format_date))ax.grid(True);

price = get_price('000001.XSHG','2019-10-10','2019-12-25')plot_candlestick(price,'上证指数蜡烛图（2019/10/10-2019/12/25）',pathpatch=get_mark_data(price,['2019-10-14','2019-11-05','2019-12-17']))

plot_HLC_bar(price,'上证指数蜡烛图举例（2020/01/16-2020/02/24）',pathpatch=get_mark_data(price,['2020-01-23','2020-02-04']))

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