Plot_MidPrice.py

# Plot Midprice
import matplotlib.pyplot as pl
import seaborn as sns
sns.set()
sns.set_context("talk")
sns.set_style("ticks")

sns.axes_style(rc={'axes.grid': True})


import matplotlib.dates as mdates
import pytz

import pandas as pd

def MakeMidPricePlot(SimOrderBooks, time_window=None):
    if time_window == None:
        time_window = [pd.to_datetime("2017-10-02 9:30:00  -4"),
                       pd.to_datetime("2017-10-02 16:00:00 -4")]

    fig,ax = pl.subplots()

    DayTicks = []
    offset = 0
    DayTicks.append(offset)
    for SimOrderBook in SimOrderBooks:
        x, y = SimOrderBook.get_midprice(get_timestamps=True)
        dates = pd.to_datetime(x, unit = SimOrderBook._time_tick_unit)
        ax.plot(dates,y, '-', alpha=1.)

    xfmt = mdates.DateFormatter('%H:%M' , tz = pytz.timezone("America/New_York"))
    ax.xaxis.set_major_formatter(xfmt)
    ax.set_xlim(time_window)
    fig.autofmt_xdate()
    ax.yaxis.grid()
    ax.set_title("Midprice of %i runs"%(len(SimOrderBooks)))
    ax.set_ylabel("Midprice, \$")
    ax.set_xlabel("Time")
    ax.legend()
    sns.despine(left=True)

    fig.show()
    return fig