mechanical markets style python plots

mech_plot.py

import seaborn
import pandas as pd
import numpy as np
import matplotlib.patches as mpatches

#create random trade pnls

n = 5000
sigma = .1
pnl1 = pd.DataFrame(np.random.randn(n,15)) * sigma
pnl2 = pd.DataFrame(np.random.randn(n,15)) * sigma
pnl3 = pd.DataFrame(np.random.randn(n,15)) * sigma

#make pnl2 slightly better
pnl2.ix[:,8:]+=np.array([[.1,.2,.25,.3,.3,.25,.15],]*n)

#make pnl3 slightly worse
pnl3.ix[:,8:]-=np.array([[.15,.2,.2,.2,.25,.15,.05],]*n)

myticks = ['-10s','-1s','-100ms','-10ms','-1ms','-100us','-10us','0','+10us','+100us','+1ms','+10ms','+100ms','+1s','+10s']
pnl1.columns = myticks
pnl2.columns = myticks
pnl3.columns = myticks

#create random volumes
vol1 = pd.DataFrame(np.random.randn(n,15) * 1/sigma**2 + (np.arctan(np.arange(0,15)-7.5) * 10000))
vol2 = pd.DataFrame(np.random.randn(n,15) * 1/sigma**2 + (np.arctan(np.arange(0,15)-7.5) * 14000))
vol3 = pd.DataFrame(np.random.randn(n,15) * 1/sigma**2 + (np.arctan(np.arange(0,15)-7.5) * 6000))


def mech_markets_chart(pnls,volumes,labels):
    #styling
    figure(figsize(8,6))
    seaborn.set_style("whitegrid")
    
    pg = seaborn.PairGrid(pnls[0], x_vars=["Time"], y_vars=["PnL", "Exchange Volume"], 
                  aspect=4, palette="coolwarm")

    palette = seaborn.color_palette("coolwarm",len(pnls))
    
    
    mylegend = dict()
    
    #top chart
    for i,p in enumerate(pnls):
        seaborn.violinplot(p,color=palette[i],widths=.5,ax=pg.axes[0][0],alpha=.5,positions=0,label=labels[i])
        seaborn.pointplot(p.columns,p.mean(),ax=pg.axes[0][0],x_order=p.columns,color=palette[i],hline=0,label=labels[i]);
        mylegend[labels[i]] = mpatches.Patch(color=palette[i])    
    
    pg.axes[0][0].set_ylabel("PnL(BPs)")
    pg.axes[0][0].set_xlabel("")

    
    
    #volume chart
    for i,v in enumerate(volumes):
        seaborn.pointplot(v.columns,v.mean(),ax=pg.axes[1][0],x_order=v.columns,color=palette[i],hline=0,label=labels[i]);
    pg.axes[1][0].set_ylabel("Exchange Volume Diff")
    pg.axes[1][0].set_xlabel("Time Since Trade")
    
    #grids
    pg.axes[0][0].grid(True, which='both')
    pg.axes[1][0].grid(True, which='both')
    xticks(np.arange(15),myticks,rotation=45)
    pg.add_legend(mylegend)
mech_markets_chart([pnl1,pnl2,pnl3],[vol1,vol2,vol3],['first','second','third']);