visualize financial microstructure 📈 & debug trading bots 🤖
For those of you in the trenches, I offer ye this tool ⚔️
This is a plotting tool designed to help visualize financial market data 📈 and trading system behavior 🤖 on the smallest timescales 🔎.
As all things in life, when it comes to financial microstructure: the devil 😈 is in the details
Built using Chaco 🌮
See the illustrated example for a deep dive into what this plotting tool can uncover 🔎.
There is no α here. This is just a fancy wrapper on top of an open-source plotting package.
You should B.Y.O.A (Bring Your Own Alpha).
However...for the trained eye 👁️, this simple type of visualization can be immensely helpful.
Here are some useful features to take note of 🥁:
To show why a tool like this might be useful, here is an example motivated from things seen in the wild.
Note: This data was painstakingly created by hand 🤌 to appear quasi-realistic. I am not an artist 🧑🎨 nor is this real 🌎 data.
See the legend 👇 to understand the plots further.
After installing the package either via pip or via setup.py, run this quick line to see this in action right now:
bash examples/example_1/plot_example.sh
or
python examples/example_1/plot_example.py
Right-click 🖱️ to zoom in on different parts of the plot to see what is happening on smaller and smaller timescales 🔎. Consult the legend or illustrated example for more clarity on how to interpret the plots.
Here is a complete legend of everything the plotter can visualize.
This plotting module expects a specific data schema.
For the uninitiated, here is a ⏰ 30 second primer ⏰ on market microstructure.
You can install the repo using pip directly:
pip install git+https://github.com/will-thompson-k/microstructure-plotter
Alternatively you can use the setup.py.
Python 3.7+ recommended.
Here are the package requirements (found in requirements.txt)
@misc{microstructure-plotter,
author = {Thompson, Will},
url = {https://github.com/will-thompson-k/microstructure-plotter},
year = {2023}
}
MIT