added graph production script

graphs.py

+#!/usr/bin/python3  -O
+import sys, getopt
+from datetime import datetime
+from distribs import DistList
+from config_manager import ConfigReader
+import dill
+import os.path
+from utils import ProgressBar
+import numpy as np
+from math import *
+import matplotlib.pyplot as plt
+from matplotlib.pyplot import cm
+from sklearn import cluster, covariance, manifold
+from tabulate import tabulate
+import makeclusters
+from distribs import *
+import pandas as pd
+
+class Graphs:
+    
+    def __init__(self,conf):
+        self._conf = conf
+       
+    def graph_(self,embedding, centroids, labels,t = 'clusters'):
+        L = labels
+        colormap = [cm.gnuplot2(i) for i in np.linspace(0.,1.,max(L)+2)]
+        colorms = [colormap[i] for i in L]
+
+        fig = plt.figure()
+        plt.scatter(embedding[0,:],embedding[1,:],s=40,c=colorms,alpha=1.0)   
+
+        processed=set()
+
+        for i,col in enumerate(range(max(L)+1)):
+            if col in processed:
+                continue
+            lxy=centroids[i][0]
+            labelx,labely = lxy[0],lxy[1]
+            textx = labelx + 0.001
+            texty = labely + 0.01
+            plt.annotate(str(col),xy=(labelx,labely),xytext=(textx,texty), 
+                         arrowprops=dict(arrowstyle="->",connectionstyle="arc3"),size=6)
+
+        for i,z in enumerate(centroids):
+            plt.scatter(z[0][0],z[0][1],s=50,c=[colormap[i]],alpha=1.0)   
+
+        plt.title(t)    
+        plt.show()
+        plt.savefig(t)
+        plt.close(fig)
+
+    def draw_clusters(self, file):
+        with open(file,mode='rb') as f:
+            cl = dill.load(f)
+            self.graph_(cl._embedding, cl._centroids, cl._clabels, 'clusters')
+   
+    def draw_regimes(self, file):
+        with open(file,mode='rb') as f:
+            r = dill.load(f)
+            self.graph_(r._clusters._embedding, r._rcentroids, r._regimes, 'regimes')        
+            
+    def loaddist(self,ticker):
+        mfile = self._conf.dataref()
+        mfields =  [ticker]
+        self._cmap = eval(self._conf.clmap())
+        D = Distributions(varfact=1.1,eps=.2, window=90, overlap=60)
+        D.load(mfile, mfields)
+        self._ind = D._index
+        self._x = D._logret.reshape(-1)
+        self._title=ticker
+        self._reg =  dill.load(open(self._conf.outreg(),'rb'))
+  
+    def annotate(self,dt,Y):  
+        reg = self._reg
+        labels=[]
+        c = 0
+        s = 0
+        curr_label = -1
+        Xi=0
+        cx = 0
+        l = len(reg._regimes)
+        boxsize=(len(dt)-1)//l-1
+        for i,tt in enumerate(dt):
+            t = tt.strftime('%-m/%-d/%-y')
+            if tt.year >= 2000:
+                t = tt.strftime('%-m/%-d/%y')
+            if curr_label==-1:
+                curr_label=reg._rdates[t]
+                continue
+            k = reg._rdates[t]
+            if k == curr_label:
+                c += 1
+            else:
+                labelx = dt[s+c//2]
+                labely = Y[s+c//2]
+                if s+c//2 <= Xi + boxsize:
+                    Xi = Xi + boxsize
+                else:
+                    Xi = s+c//2
+                Xi = min(Xi,len(dt)-1)    
+                textx = dt[Xi]
+                if cx%2==0:
+                    texty = Y[Xi] + 0.4
+                else:
+                    texty = Y[Xi] - 0.4
+                plt.annotate(str(curr_label),xy=(labelx,labely),xytext=(textx,texty), arrowprops=dict(arrowstyle="->",
+                                connectionstyle="arc3"),size=9)
+                
+                
+                s=i
+                c=0
+                curr_label=k
+                cx += 1
+        
+         
+    def graph_data(self):
+       
+        reg = self._reg
+        self._cmap = cm.gnuplot2
+        colors = [self._cmap(i) for i in np.linspace(0.,1.,reg._regimes.max()+2)]
+        bbox_props = dict(boxstyle="square,pad=0.3",fc='white',ec='black',lw='2')
+        #ax = plt.subplot(111)
+        colorm = []
+        xt = []
+        Y = []
+        for dx,y in zip(self._ind,self._x):
+            if dx in reg._rdates.keys():
+                rg = reg._rdates[dx]
+                colorm.append(colors[rg])
+                xt.append(pandas.to_datetime(dx))
+                Y.append(np.log(y))
+        plt.figure()
+        t = plt.text(xt[0], Y[0], self._title, ha="center", va="center",
+                    bbox=bbox_props)    
+       
+        plt.scatter(xt,Y,c=colorm,s=2)
+        return xt,Y        
+
+def printusage():
+    print('usage: graphs.py -w <what=[clusters|regimes|ts]> -i <file>')
+
+def atexit():
+    printusage()
+    sys.exit(2)
+ 
+def action( func,arg):
+    conf = ConfigReader('regimes.ini')
+    g = Graphs(conf)
+    if func == 'draw_regimes':
+        g.draw_regimes(arg)
+    elif func == 'draw_clusters':
+        g.draw_clusters(arg)
+    elif func == 'draw_ticker':
+        g.loaddist(arg)
+        xt,yt = g.graph_data()
+        g.annotate(xt,yt)
+        plt.show()
+        
+        
+if __name__ == "__main__":
+    args = sys.argv[1:]
+    try:
+        opts, args = getopt.getopt(args, 'w:i:')
+        ARG = None
+        FUNC = None
+    
+        for opt, arg in opts:
+            if opt == '-w':
+                if arg == 'clusters':
+                    FUNC = 'draw_clusters'
+                elif arg == 'regimes':
+                    FUNC = 'draw_regimes'
+                elif arg == 'ticker':
+                    FUNC = 'draw_ticker'
+                else:
+                    atexit()
+            if opt == '-i':
+                ARG = arg    
+        if ARG is None or FUNC is None:
+            atexit()
+            
+        action(FUNC,ARG)
+    
+    except getopt.GetoptError:
+        atexit()    
+
+        
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