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test_simplecandle.m

 1 % Copyright (c) 2008 the authors listed at the following URL, and/or
 2 % the authors of referenced articles or incorporated external code:
 3 % http://en.literateprograms.org/MATLAB_Financial_Toolbox?action=history&offset=20071125111355
 4 % 
 5 % Permission is hereby granted, free of charge, to any person obtaining
 6 % a copy of this software and associated documentation files (the
 7 % "Software"), to deal in the Software without restriction, including
 8 % without limitation the rights to use, copy, modify, merge, publish,
 9 % distribute, sublicense, and/or sell copies of the Software, and to
10 % permit persons to whom the Software is furnished to do so, subject to
11 % the following conditions:
12 % 
13 % The above copyright notice and this permission notice shall be
14 % included in all copies or substantial portions of the Software.
15 % 
16 % THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
17 % EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
18 % MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT.
19 % IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY
20 % CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT,
21 % TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
22 % SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
23 % 
24 % Retrieved from: http://en.literateprograms.org/MATLAB_Financial_Toolbox?oldid=11719
25 
26 
27 
28 sgm = 0.23 / sqrt(250);
29 mu  = (1+ 0.04)^(1/250)-1;
30 S0  = 100;
31 nb  = 1000;
32 sam = 10;
33 
34 T   = 1+(1:nb)'/250;
35 S   = S0 * exp( (mu-sgm^2/2)*T + sgm * cumsum(randn(nb,1)));
36 
37 Soc   = [S(1:sam:end-1), S(sam-1:sam:end-1)];
38 Shl   = [max(reshape(S, sam, length(S)/sam)); min(reshape(S, sam, length(S)/sam))];
39 Sohlc = [Soc(:,1), Shl', Soc(:,2)];
40 t     = T(ceil(sam/2):sam:end-1);
41 
42 
43 figure('Color',[0.9412 0.9412 0.9412 ]);
44 h1 = subplot(2,1,1); plot(T, S); 
45 datetick('x',6,'keeplimits');
46 
47 volumes = ceil(exp( randn(length(Sohlc),1) + 7))+100;
48 
49 
50 data    = struct('title', 'exp brownian motion', 'value', [Sohlc, volumes], ...
51                  'names', {{'open', 'high', 'low', 'close', 'volume'}}, 'date', t);
52 
53 
54 
55 h2 = subplot(2,1,2);
56 candle(Sohlc(:,2), Sohlc(:,3), Sohlc(:,4), Sohlc(:,1), [.5 0 0], t, 6)
57 linkaxes([h1, h2], 'x');
58 
59 
60 
61 simplecandleplot( data, 'prices', 'open;high;low;close', 'volumes', 'volume')
62 simplecandleplot( data, 'prices', 'open;high;low;close', 'volumes', 'volume', 'mode', 'highlow')
63


simplecandleplot.m

 1 % Copyright (c) 2008 the authors listed at the following URL, and/or
 2 % the authors of referenced articles or incorporated external code:
 3 % http://en.literateprograms.org/MATLAB_Financial_Toolbox?action=history&offset=20071125111355
 4 % 
 5 % Permission is hereby granted, free of charge, to any person obtaining
 6 % a copy of this software and associated documentation files (the
 7 % "Software"), to deal in the Software without restriction, including
 8 % without limitation the rights to use, copy, modify, merge, publish,
 9 % distribute, sublicense, and/or sell copies of the Software, and to
10 % permit persons to whom the Software is furnished to do so, subject to
11 % the following conditions:
12 % 
13 % The above copyright notice and this permission notice shall be
14 % included in all copies or substantial portions of the Software.
15 % 
16 % THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
17 % EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
18 % MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT.
19 % IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY
20 % CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT,
21 % TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
22 % SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
23 % 
24 % Retrieved from: http://en.literateprograms.org/MATLAB_Financial_Toolbox?oldid=11719
25 
26 function h = simplecandleplot(data, varargin)
27 % CANDLEPLOT - candleplot with volumes

28 %

29 % use

30 %  h = simplecandleplot( data, 'prices', 'open;high;low;close', 'volumes', 'volume', options ... )

31 % options:

32 %  'figure' - handle or empty (new figure)

33 %  'prop'   - proportion of the figure dedicated to the volumes

34 %  'candles-color', 'volumes-color', 'volumes-linewidth' - eponyms

35 %  'date-format' - from datestr

36 %  'mode'   - 'candle' (default) or 'highlow'

37 %

38 % example

39 %  data = xdata('rload', 'bdata-test');

40 %  candleplot(data, 'prices', 'Open;High;Low;Last', 'volumes', 'Volume', 'dates-format', 13)

41 %

42 % See also pdates datestr xdata 

43 
44 opt = options({'prices', '', 'volumes', '', 'figure', [], 'prop', .2, ...
45                'candles-color', [0 .5 .5], 'volumes-color', [0 .5 .5], ...
46                'volumes-linewidth', 3, 'dates-format', 2, 'mode', 'candle'}, varargin);
47 
48 f = opt.get('figure');
49 if isempty(f) || ~ishandle(f)
50     f = figure('Color',[0.9412 0.9412 0.9412 ]);
51 else
52     figure(f);
53 end
54 
55 
56 prices_names = opt.get('prices');
57 prices = xdata('get-col', data, prices_names);
58 h1     = subplot(2,1,1, 'unit', 'normalized');
59 feval( opt.get('mode') ,  prices(:,2), prices(:,3), prices(:,4), prices(:,1), opt.get('candles-color'), data.date, 0);
60 
61 
62 volumes_name = opt.get('volumes');
63 h2     = subplot(2,1,2, 'unit', 'normalized');
64 [x,y]  = barplot(data.date, xdata('get-col', data, volumes_name));
65 plot(x,y, 'color', opt.get('volumes-color'), 'linewidth', opt.get('volumes-linewidth'));
66 
67 dateaxis('X', opt.get('dates-format'));
68 
69 
70 p1 = get(h1, 'position');
71 p2 = get(h2, 'position');
72 c  = opt.get('prop');
73 dp2  = p1(2) - (p2(2)+p2(4));
74 np24 = p2(4)*c + dp2;
75 np14 = p1(4) + p2(4) * (1-c);
76 np12 = p1(2) - p2(4) * (1-c);
77 set(h1, 'position', [p1(1) np12  p1(3) np14]);
78 set(h2, 'position', [p1(1) p2(2) p1(3) np24]);
79 linkaxes([h1;h2], 'x');
80 ax = axis(h2);
81 axis(h2, [min(data.date) max(data.date) ax(3:4)])
82 
83 
84 axes(h1); 
85 title( data.title); ylabel('price');
86 axes(h2); 
87 ylabel('volume');
88 
89 
90 h = [h1; h2];
91


barplot.m

 1 % Copyright (c) 2008 the authors listed at the following URL, and/or
 2 % the authors of referenced articles or incorporated external code:
 3 % http://en.literateprograms.org/MATLAB_Financial_Toolbox?action=history&offset=20071125111355
 4 % 
 5 % Permission is hereby granted, free of charge, to any person obtaining
 6 % a copy of this software and associated documentation files (the
 7 % "Software"), to deal in the Software without restriction, including
 8 % without limitation the rights to use, copy, modify, merge, publish,
 9 % distribute, sublicense, and/or sell copies of the Software, and to
10 % permit persons to whom the Software is furnished to do so, subject to
11 % the following conditions:
12 % 
13 % The above copyright notice and this permission notice shall be
14 % included in all copies or substantial portions of the Software.
15 % 
16 % THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
17 % EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
18 % MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT.
19 % IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY
20 % CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT,
21 % TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
22 % SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
23 % 
24 % Retrieved from: http://en.literateprograms.org/MATLAB_Financial_Toolbox?oldid=11719
25 
26 function [xs, ys] = barplot(x,y,varargin)
27 % BARPLOT - computes new x and y (with nans) for bar plottings

28 % options:

29 % - level: 0*

30 % use:

31 % [xs, ys] = barplot(x,y,options);

32 %

33 % See also moustacheplot 

34 opt = getopt('init',{'level',0},varargin);
35 level = getopt('get',opt,'level');
36 
37 xs = repmat(nan,3*length(x),1);
38 xs(1:3:length(xs)) = x;
39 xs(2:3:length(xs)) = x;
40 ys = repmat(nan,3*length(y),1);
41 ys(1:3:length(ys)) = y;
42 ys(2:3:length(ys)) = level;
43


xdata.m

 1 % Copyright (c) 2008 the authors listed at the following URL, and/or
 2 % the authors of referenced articles or incorporated external code:
 3 % http://en.literateprograms.org/MATLAB_Financial_Toolbox?action=history&offset=20071125111355
 4 % 
 5 % Permission is hereby granted, free of charge, to any person obtaining
 6 % a copy of this software and associated documentation files (the
 7 % "Software"), to deal in the Software without restriction, including
 8 % without limitation the rights to use, copy, modify, merge, publish,
 9 % distribute, sublicense, and/or sell copies of the Software, and to
10 % permit persons to whom the Software is furnished to do so, subject to
11 % the following conditions:
12 % 
13 % The above copyright notice and this permission notice shall be
14 % included in all copies or substantial portions of the Software.
15 % 
16 % THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
17 % EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
18 % MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT.
19 % IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY
20 % CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT,
21 % TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
22 % SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
23 % 
24 % Retrieved from: http://en.literateprograms.org/MATLAB_Financial_Toolbox?oldid=11719
25 
26 function out = xdata(mode, varargin)
27 % XDATA - simplest xdata function

28 % use:

29 %  val = xdata('get-col', structured_data, names)

30 switch lower(mode)
31     case 'get-col'
32         data  = varargin{1};
33         names = varargin{2};
34         if ~iscell(names)
35             names =  regexp(names, '([^;]+)', 'tokens');
36             names = cellfun(@(x)(x{1}),names,'UniformOutput', false);
37         end
38         out = repmat(nan,size(data.value,1),length(names));
39         for i=1:length(names)
40             idx   = strmatch(names{i}, data.names, 'exact');
41             out(:,i) = data.value(:,idx);
42         end
43         
44     otherwise
45         error('xdata:mode', 'unknown mode <%s>', mode);

46 end
47


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