# Copyright 2016-present CERN – European Organization for Nuclear Research
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
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# http://www.apache.org/licenses/LICENSE-2.0
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# Unless required by applicable law or agreed to in writing, software
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from datetime import datetime
from typing import Union, Sequence
from qf_lib.common.utils.confidence_interval.analytical_cone import AnalyticalCone
from qf_lib.containers.series.prices_series import PricesSeries, QFSeries
from qf_lib.plotting.charts.chart import Chart
from qf_lib.plotting.decorators.chart_decorator import ChartDecorator
[docs]class ConeDecorator(ChartDecorator):
"""
Puts cone on top of the timeseries starting from given date.
Parameters
----------
series: QFSeries
series that is going to be decorated by the cone
live_start_date: datetime
start date of the cone
cone_stds: Sequence[Union[float, int], float, int
defines the size of the cones in standard deviations
colors_alpha: float
sets the level of transparency of the cone
key: str
see ChartDecorator.key.__init__#key
"""
def __init__(self, series: QFSeries, live_start_date: datetime,
cone_stds: Union[Sequence[Union[float, int]], float, int] = (1, 2),
colors_alpha: float = 0.25, key: str = None):
super().__init__(key)
self._live_start_date = live_start_date
assert isinstance(series, PricesSeries), f"Cone can only work with PricesSeries. {type(series)} is not supported"
self.series = series
if isinstance(cone_stds, (float, int)):
cone_stds = [cone_stds]
assert cone_stds, "cone_stds can't be empty"
self._cone_stds = cone_stds
self._colors_alpha = colors_alpha
[docs] def decorate(self, chart: "Chart") -> None:
prices_tms = self.series
cone = AnalyticalCone(prices_tms)
ax = chart.axes
colors = Chart.get_axes_colors()
mean_tms = cone.calculate_simple_cone(self._live_start_date, 0)
ax.plot(mean_tms, color=colors[1])
for cone_std in self._cone_stds:
upper_bound_tms = cone.calculate_simple_cone(self._live_start_date, cone_std)
lower_bound_tms = cone.calculate_simple_cone(self._live_start_date, -cone_std)
ax.fill_between(upper_bound_tms.index, upper_bound_tms, lower_bound_tms, alpha=self._colors_alpha)