Financial Charts / Graphs in Ruby or Python

Question

What are my best options for creating a financial open-high-low-close (OHLC) chart in a high level language like Ruby or Python? While there seem to be a lot of options for graphing, I haven't seen any gems or eggs with this kind of chart.

http://en.wikipedia.org/wiki/Open-high-low-close_chart (but I don't need the moving average or Bollinger bands)

JFreeChart can do this in Java, but I'd like to make my codebase as small and simple as possible.

Thanks!

Pretrice

Answer 1

You can use matplotlib and the the optional bottom parameter of matplotlib.pyplot.bar. You can then use line plot to indicate the opening and closing prices:

For example:

#!/usr/bin/env python
import numpy as np
import matplotlib.pyplot as plt
from matplotlib import lines

import random


deltas = [4, 6, 13, 18, 15, 14, 10, 13, 9, 6, 15, 9, 6, 1, 1, 2, 4, 4, 4, 4, 10, 11, 16, 17, 12, 10, 12, 15, 17, 16, 11, 10, 9, 9, 7, 10, 7, 16, 8, 12, 10, 14, 10, 15, 15, 16, 12, 8, 15, 16]
bases = [46, 49, 45, 45, 44, 49, 51, 52, 56, 58, 53, 57, 62, 63, 68, 66, 65, 66, 63, 63, 62, 61, 61, 57, 61, 64, 63, 58, 56, 56, 56, 60, 59, 54, 57, 54, 54, 50, 53, 51, 48, 43, 42, 38, 37, 39, 44, 49, 47, 43]


def rand_pt(bases, deltas):
    return [random.randint(base, base + delta) for base, delta in zip(bases, deltas)]

# randomly assign opening and closing prices 
openings = rand_pt(bases, deltas)
closings = rand_pt(bases, deltas)

# First we draw the bars which show the high and low prices
# bottom holds the low price while deltas holds the difference 
# between high and low.
width = 0
ax = plt.axes()
rects1 = ax.bar(np.arange(50), deltas, width, color='r', bottom=bases)

# Now draw the ticks indicating the opening and closing price
for opening, closing, bar in zip(openings, closings, rects1):
    x, w = bar.get_x(), 0.2

    args = {
    }

    ax.plot((x - w, x), (opening, opening), **args)
    ax.plot((x, x + w), (closing, closing), **args)


plt.show()

creates a plot like this:

Obviously, you'd want to package this up in a function that drew the plot using (open, close, min, max) tuples (and you probably wouldn't want to randomly assign your opening and closing prices).

Bhatt

This kind of chart doesn't include the open or close. – Pretrice

@Eric I added code to draw the ticks for the opening and closing prices. I didn't see them when I looked at the chart on the wikipedia page (... and had no idea they were supposed to be there because I'm not a financial guy :). – Bhatt

There, fixed the image for you :-) – Whereabouts

Answer 2

You can use Pylab (matplotlib.finance) with Python. Here are some examples: http://matplotlib.sourceforge.net/examples/pylab_examples/plotfile_demo.html . There is some good material specifically on this problem in Beginning Python Visualization.

Update: I think you can use matplotlib.finance.candlestick for the Japanese candlestick effect.

Spyglass

Unfortunately none of these is the type of graph I'm looking for. – Pretrice

Answer 3

Have you considered using R and the quantmod package? It likely provides exactly what you need.

Precise

This looks promising! I'll check it out ASAP. Thanks! – Pretrice

Answer 4

Some examples about financial plots (OHLC) using matplotlib can be found here:

• finance demo

  #!/usr/bin/env python
  from pylab import *
  from matplotlib.dates import  DateFormatter, WeekdayLocator, HourLocator, \
       DayLocator, MONDAY
  from matplotlib.finance import quotes_historical_yahoo, candlestick,\
       plot_day_summary, candlestick2
  
  # (Year, month, day) tuples suffice as args for quotes_historical_yahoo
  date1 = ( 2004, 2, 1)
  date2 = ( 2004, 4, 12 )
  
  
  mondays = WeekdayLocator(MONDAY)        # major ticks on the mondays
  alldays    = DayLocator()              # minor ticks on the days
  weekFormatter = DateFormatter('%b %d')  # Eg, Jan 12
  dayFormatter = DateFormatter('%d')      # Eg, 12
  
  quotes = quotes_historical_yahoo('INTC', date1, date2)
  if len(quotes) == 0:
      raise SystemExit
  
  fig = figure()
  fig.subplots_adjust(bottom=0.2)
  ax = fig.add_subplot(111)
  ax.xaxis.set_major_locator(mondays)
  ax.xaxis.set_minor_locator(alldays)
  ax.xaxis.set_major_formatter(weekFormatter)
  #ax.xaxis.set_minor_formatter(dayFormatter)
  
  #plot_day_summary(ax, quotes, ticksize=3)
  candlestick(ax, quotes, width=0.6)
  
  ax.xaxis_date()
  ax.autoscale_view()
  setp( gca().get_xticklabels(), rotation=45, horizontalalignment='right')
  
  show()
  

• finance work 2

Mimetic

If the code samples are short, please include them in your answer in case the links go dead, and so people don't have to click through. – Johanajohanan

Added first example, the second one is too long IMHO. – Mimetic

Answer 5

Are you free to use JRuby instead of Ruby? That'd let you use JFreeChart, plus your code would still be in Ruby

Threepence

the same applies for jython, if you're more inclined to use python. – Horror

What's the advantage of using jython over python in this situation? – Pretrice

Eric: same thing as Ruby - using Jython would give him access to Java classes, so he could use JFreeChart – Threepence

Answer 6

Please look at the Open Flash Chart embedding for WHIFF http://aaron.oirt.rutgers.edu/myapp/docs/W1100_1600.openFlashCharts An example of a candle chart is right at the top. This would be especially good for embedding in web pages.

Umpteen

Answer 7

Open Flash Chart is nice choice if you like the look of examples. I've moved to JavaScript/Canvas library like Flot for HTML embedded charts, as it is more customizable and I get desired effect without much hacking (http://itprolife.worona.eu/2009/08/scatter-chart-library-moving-to-flot.html).

Umpire

the question is asking for a charting tool in ruby or python... the solutions you mentioned are in either flash or javascript... – Provoke

Answer 8

This is the stock chart I draw just days ago using Matplotlib, I've posted the source too, for your reference: StockChart_Matplotlib

Pavior