31:T45f,tidyPrices = prices.flatMap( ({ timestamp, product, bid_price_1, bid_volume_1, bid_price_2, bid_volume_2, bid_price_3, bid_volume_3, ask_price_1, ask_volume_1, ask_price_2, ask_volume_2, ask_price_3, ask_volume_3, mid_price }) => [ { type: "bid_3", timestamp, product, price: bid_price_3, volume: bid_volume_3, mid_price }, { type: "bid_2", timestamp, product, price: bid_price_2, volume: bid_volume_2, mid_price }, { type: "bid_1", timestamp, product, price: bid_price_1, volume: bid_volume_1, mid_price }, { type: "ask_1", timestamp, product, price: ask_price_1, volume: -ask_volume_1, mid_price }, { type: "ask_2", timestamp, product, price: ask_price_2, volume: -ask_volume_2, mid_price }, { type: "ask_3", timestamp, product, price: ask_price_3, volume: -ask_volume_3, mid_price } ] )32:Taab,plotPricesAndVolume = (product) => { const scopedPrices = prices.filter( (d) => d.product == product && isWithinTimestampRange(d) ); const scopedTrades = trades.filter( (d) => d.symbol == product && isWithinTimestampRange(d) ); const scopedTidyPrices = tidyPrices.filter( (d) => d.product == product && isWithinTimestampRange(d) ); return Plot.plot({ title: `${product} price and order depth`, width, height: 300, caption: "Hover for tooltip. Trades fill color indicates buyer, stroke color indicates seller.", y: { label: "price" }, color: { label: "volume", legend: true, scheme: "BuRd" }, symbol: { domain: ["volume", "SUBMISSION buy", "SUBMISSION sell", "Other trades"], legend: true }, marks: [ Plot.lineY(scopedPrices, { x: "timestamp", y: "bid_price_1", z: null, tip: true, stroke: "bid_volume_1" }), Plot.lineY(scopedPrices, { x: "timestamp", y: "ask_price_1", z: null, tip: true, stroke: (d) => -d.ask_volume_1 }), Plot.dot(scopedTidyPrices, { x: "timestamp", y: "price", fill: "volume", symbol: (d) => "volume" }), obviousTrades ? Plot.ruleX(scopedTrades, { x: "timestamp", stroke: (d) => traderColorScale.apply(d.seller), filter: (d) => d.buyer === "SUBMISSION" || d.seller === "SUBMISSION", tip: true, channels: { buyer: "buyer", seller: "seller", quantity: "quantity" } }) : undefined, showTrades != "None" ? Plot.dot(scopedTrades, { x: "timestamp", y: "price", stroke: (d) => traderColorScale.apply(d.seller), fill: (d) => traderColorScale.apply(d.buyer), symbol: (d) => d.buyer === "SUBMISSION" ? "SUBMISSION buy" : d.seller === "SUBMISSION" ? "SUBMISSION sell" : "Other trades", filter: (d) => showTrades === "Just SUBMISSION" ? d.buyer === "SUBMISSION" || d.seller === "SUBMISSION" : true, tip: true, channels: { buyer: "buyer", seller: "seller", quantity: "quantity" } }) : undefined, Plot.lineY( scopedPrices, Plot.windowY({ x: "timestamp", y: "mid_price", k: kMovingAverage, reduce: "mean" }) ) ] }); }33:T772,plotRootedMidVolume = (product, { scale } = { scale: true }) => { const scopedPrices = tidyPrices.filter( (d) => d.product == product && isWithinTimestampRange(d) ); const scopedTrades = tidyTraderTrades.filter( (d) => d.symbol === product && isWithinTimestampRange(d) ); return Plot.plot({ title: `${product} volume around mid price`, width: scale ? width : undefined, symbol: { domain: ["volume", "SUBMISSION buy", "SUBMISSION sell", "Other trades"], legend: true }, fx: { domain: ["ask_3", "ask_2", "ask_1", "bid_1", "bid_2", "bid_3", "trades"] }, y: { label: "price - mid_price" }, color: { label: "volume", legend: true, scheme: "BuRd" }, marks: [ Plot.ruleY([0]), Plot.dot( scopedPrices.filter((d) => d.price - d.mid_price > -100), { x: "timestamp", y: (d) => d.price - d.mid_price, tip: true, fill: "volume", fx: "type" } ), showTrades != "None" ? Plot.dot(scopedTrades, { x: "timestamp", y: (d) => d.price - d.mid_price, stroke: (d) => traderColorScale.apply(d.seller), fill: (d) => traderColorScale.apply(d.buyer), symbol: (d) => d.buyer === "SUBMISSION" ? "SUBMISSION buy" : d.seller === "SUBMISSION" ? "SUBMISSION sell" : "Other trades", filter: (d) => showTrades === "Just SUBMISSION" ? d.buyer === "SUBMISSION" || d.seller === "SUBMISSION" : true, tip: true, fx: (d) => "trades", channels: { buyer: "buyer", seller: "seller", quantity: "quantity" } }) : undefined ] }); 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2f:{"title":"IMC Prosperity 2 visualizer","cells":[{"id":0,"value":"# IMC Prosperity 2 visualizer","pinned":false,"hidden":false,"mode":"md"},{"id":2268,"value":"This is a visualizer for the [IMC Prosperity 2](https://prosperity.imc.com/) competition's sandbox logs.\n\nThis notebook evolved out of mess of hacked together visualizations I ended up developing for my team over the course of the competition. Once the competition concluded, I thought I'd go through, clean everything up, and release them in case next year's cohort find them useful.\n\nShoutout to [Jasper van Merle](https://github.com/jmerle) for paving the way with his own [IMC Prosperity 2 Visualizer](https://jmerle.github.io/imc-prosperity-2-visualizer/).\n\n---","pinned":false,"hidden":false,"mode":"md"},{"id":1867,"value":"viewof chosenLogFile = Inputs.file({\n label: \"Upload sandbox .log file\"\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":1999,"value":"chosenLogFile\n ? `File chosen, using ${chosenLogFile.name}`\n : `No file chosen, using demo data`","pinned":false,"hidden":false,"mode":"ojs"},{"id":2336,"value":"viewof showTrades = Inputs.radio([\"All\", \"Just SUBMISSION\", \"None\"], {\n label: \"Show trades\",\n value: \"Just SUBMISSION\"\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":2426,"value":"viewof obviousTrades = Inputs.toggle({\n label: \"Make SUBMISSION trades very obvious\",\n value: false\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":397,"value":"viewof kMovingAverage = Inputs.range([1, 1000], {\n label: \"Moving average window (k)\",\n step: 10\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":302,"value":"viewof unsettledTimestampRange = interval(\n [0, d3.max(prices, (d) => d.timestamp)],\n {\n label: \"Timestamp range (debounced)\",\n step: 1\n }\n)","pinned":false,"hidden":false,"mode":"ojs"},{"id":2360,"value":"⬆️ I would seriously recommend using this option to zoom in on the plots.","pinned":false,"hidden":false,"mode":"html"},{"id":1890,"value":"

${globalPnl}

","pinned":false,"hidden":false,"mode":"html"},{"id":2098,"value":"## Round 1","pinned":false,"hidden":false,"mode":"md"},{"id":1004,"value":"plotGrid(\"STARFRUIT\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":984,"value":"plotGrid(\"AMETHYSTS\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":2100,"value":"## Round 2","pinned":false,"hidden":false,"mode":"md"},{"id":1000,"value":"plotGrid(\"ORCHIDS\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":990,"value":"plotGrid(\"CHOCOLATE\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":2102,"value":"## Round 3","pinned":false,"hidden":false,"mode":"md"},{"id":998,"value":"plotGrid(\"GIFT_BASKET\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":1006,"value":"plotGrid(\"STRAWBERRIES\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":1002,"value":"plotGrid(\"ROSES\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":2105,"value":"## Round 4","pinned":false,"hidden":false,"mode":"md"},{"id":996,"value":"plotGrid(\"COCONUT\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":994,"value":"plotGrid(\"COCONUT_COUPON\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":1040,"value":"{\n const scopedTrades = tidyTraderTrades.filter((d) =>\n isWithinTimestampRange(d)\n );\n const plot = Plot.plot({\n title: \"Trader position per product\",\n color: {\n domain: [...traders],\n legend: true\n },\n width,\n marginRight: 100,\n marks: [\n Plot.frame(),\n Plot.ruleY([0]),\n Plot.lineY(\n scopedTrades,\n Plot.mapY(\"cumsum\", {\n stroke: \"trader\",\n fy: \"symbol\",\n fx: \"trader\",\n x: \"timestamp\",\n y: \"position\",\n // stroke: \"green\",\n tip: true,\n // fill: \"quantity\",\n symbol: (d) => \"trades\"\n })\n )\n ]\n });\n\n return htl.html`

${plot}

`;\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":340,"value":"---","pinned":false,"hidden":false,"mode":"md"},{"id":404,"value":"## Implementation","pinned":false,"hidden":false,"mode":"md"},{"id":1907,"value":"### Data","pinned":false,"hidden":false,"mode":"md"},{"id":1914,"value":"If the user hasn't uploaded a file, we'll use a sample file as a fallback just so users have something pretty to look at.","pinned":false,"hidden":false,"mode":"md"},{"id":1106,"value":"sampleLogFileText = FileAttachment(\"28eb68e2-818d-46e4-9a45-44f936224284.log\").text()","pinned":false,"hidden":false,"mode":"ojs"},{"id":1912,"value":"logFileText = chosenLogFile?.text() || sampleLogFileText","pinned":true,"hidden":false,"mode":"ojs"},{"id":728,"value":"### Data cleaning","pinned":false,"hidden":false,"mode":"md"},{"id":693,"value":"chunks = {\n const chunks = logFileText.split(\"\\n\\n\\n\\n\");\n const sandbox = chunks[0].split(\"Sandbox logs:\\n\")[1];\n const activities = chunks[1].split(\"Activities log:\\n\")[1];\n const trades = JSON.parse(chunks[2].split(\"\\nTrade History:\\n\")[1]);\n\n return {\n sandbox,\n activities,\n trades\n };\n}","pinned":true,"hidden":false,"mode":"ojs"},{"id":867,"value":"logger = JSON.parse(`[${chunks.sandbox.replaceAll(\"}\\n{\", \"},{\")}]`).map(\n (d) => ({\n ...d\n \n })\n)","pinned":true,"hidden":false,"mode":"ojs"},{"id":683,"value":"Prices are stored with `;` separators instead of `,`s (?), so we replace the `;` with `,`s and then pass that modified file to the **COMMA** separated value parser.","pinned":false,"hidden":false,"mode":"md"},{"id":119,"value":"prices = d3.csvParse(chunks.activities.replace(/;/g, \",\"), d3.autoType)","pinned":true,"hidden":false,"mode":"ojs"},{"id":636,"value":"trades = chunks.trades","pinned":true,"hidden":false,"mode":"ojs"},{"id":2438,"value":"tradesAndPrices = trades.map((trade) => {\n const price = prices.find(\n (price) =>\n trade.timestamp === price.timestamp && trade.symbol === price.product\n );\n\n return {\n ...trade,\n ...price\n };\n})","pinned":true,"hidden":false,"mode":"ojs"},{"id":106,"value":"Now let's create some [\"tidy data\"](https://tidyr.tidyverse.org/) - a single row per observation. This will make it easy to visualize in some situations.","pinned":false,"hidden":false,"mode":"md"},{"id":192,"value":"$31","pinned":true,"hidden":false,"mode":"ojs"},{"id":955,"value":"tidyTraderTrades = tradesAndPrices.flatMap((d) => [\n {\n ...d,\n trader: d.buyer,\n position: d.quantity,\n delta: -(d.quantity * d.price)\n },\n {\n ...d,\n trader: d.seller,\n position: -d.quantity,\n delta: d.quantity * d.price\n }\n])","pinned":true,"hidden":false,"mode":"ojs"},{"id":978,"value":"traders = new Set([\"SUBMISSION\", ...tidyTraderTrades.map((d) => d.trader)])","pinned":true,"hidden":false,"mode":"ojs"},{"id":510,"value":"### Timestep filtering","pinned":false,"hidden":false,"mode":"md"},{"id":305,"value":"import { interval } from \"@mootari/range-slider\"","pinned":false,"hidden":false,"mode":"ojs"},{"id":663,"value":"import { settle } from \"@mjbo/settling-input\"","pinned":false,"hidden":false,"mode":"ojs"},{"id":676,"value":"We need to \"settle\" the input because immediately filtering with the new input tanks the browser. This will delay plot recomputation by 1 second.","pinned":false,"hidden":false,"mode":"md"},{"id":673,"value":"timestampRange = settle(viewof unsettledTimestampRange)","pinned":true,"hidden":false,"mode":"ojs"},{"id":2306,"value":"isWithinTimestampRange = (d) =>\n timestampRange[0] <= d.timestamp && d.timestamp <= timestampRange[1]","pinned":true,"hidden":false,"mode":"ojs"},{"id":512,"value":"### Plots","pinned":false,"hidden":false,"mode":"md"},{"id":217,"value":"$32","pinned":true,"hidden":false,"mode":"ojs"},{"id":902,"value":"listTrades = (product) => {\n const scopedTrades = trades.filter(\n (d) => d.symbol == product && isWithinTimestampRange(d)\n );\n\n return Inputs.table(scopedTrades, {\n columns: [\"timestamp\", \"buyer\", \"seller\", \"price\", \"quantity\"],\n height: 200\n });\n}","pinned":true,"hidden":false,"mode":"ojs"},{"id":203,"value":"plotGlobalPnl = () => {\n const scopedPrices = prices.filter((d) => isWithinTimestampRange(d));\n return Plot.plot({\n title: \"Product profit and loss\",\n color: {\n legend: true\n },\n width,\n marks: [\n Plot.ruleY([0]),\n Plot.lineY(scopedPrices, {\n x: \"timestamp\",\n y: \"profit_and_loss\",\n stroke: \"product\",\n curve: \"step-after\",\n tip: true\n })\n ]\n });\n}","pinned":true,"hidden":false,"mode":"ojs"},{"id":1875,"value":"globalPnl = plotGlobalPnl()","pinned":true,"hidden":false,"mode":"ojs"},{"id":1737,"value":"plotPnl = (product, { scale } = { scale: true }) => {\n const scopedPrices = prices.filter(\n (d) => d.product == product && isWithinTimestampRange(d)\n );\n return Plot.plot({\n title: `${product} profit and loss`,\n color: globalPnl.scale(\"color\"),\n width: scale ? width : undefined,\n marks: [\n Plot.ruleY([0]),\n Plot.lineY(scopedPrices, {\n x: \"timestamp\",\n y: \"profit_and_loss\",\n stroke: \"product\",\n curve: \"step-after\",\n tip: true,\n })\n ]\n });\n}","pinned":true,"hidden":false,"mode":"ojs"},{"id":534,"value":"$33","pinned":true,"hidden":false,"mode":"ojs"},{"id":2165,"value":"traderColorScale = Plot.scale({\n color: { domain: traders }\n})","pinned":true,"hidden":false,"mode":"ojs"},{"id":935,"value":"plotPositionCumSum = (symbol, { scale } = { scale: true }) => {\n const scopedTrades = tidyTraderTrades.filter((d) =>\n isWithinTimestampRange(d)\n );\n return Plot.plot({\n title: `${symbol} position per trader`,\n width: scale ? width : undefined,\n color: {\n ...traderColorScale,\n legend: true\n },\n fx: {\n domain: [...traders]\n },\n marks: [\n Plot.frame(),\n Plot.ruleY([0]),\n Plot.lineY(\n scopedTrades.filter((d) => d.symbol === symbol),\n Plot.mapY(\"cumsum\", {\n stroke: \"trader\",\n x: \"timestamp\",\n y: \"position\",\n // stroke: \"green\",\n curve: \"step-after\",\n tip: true\n // fill: \"quantity\",\n })\n )\n ]\n });\n}","pinned":true,"hidden":false,"mode":"ojs"},{"id":2222,"value":"plotTrades = (product) => {\n const scopedTrades = tidyTraderTrades.filter(\n (d) => d.symbol === product && isWithinTimestampRange(d)\n );\n return Plot.plot({\n title: `${product} inter-trader trade matrix`,\n color: {\n scheme: \"Plasma\"\n },\n marginLeft: 100,\n marks: [\n Plot.frame(),\n Plot.cell(\n scopedTrades,\n Plot.group(\n { fill: \"sum\" },\n {\n y: \"buyer\",\n x: \"seller\",\n fill: \"quantity\",\n tip: true\n }\n )\n ),\n Plot.text(\n scopedTrades,\n Plot.group(\n { text: \"sum\" },\n {\n y: \"buyer\",\n x: \"seller\",\n text: \"quantity\",\n fill: \"black\"\n }\n )\n )\n ]\n });\n}","pinned":true,"hidden":false,"mode":"ojs"},{"id":2412,"value":"### Presentation","pinned":false,"hidden":false,"mode":"md"},{"id":2377,"value":"We need to import some of the [CSS classes from Observable Framework](https://observablehq.com/framework/) (because they look cool). They give us access to the `grid` and `card` classes.","pinned":false,"hidden":false,"mode":"md"},{"id":1130,"value":"import { observableFrameworkThemeAirStyle } from \"@mjbo/observable-framework-theme-air-css-style\"","pinned":false,"hidden":false,"mode":"ojs"},{"id":1158,"value":"observableFrameworkThemeAirStyle // need to evaluate to apply the CSS rules","pinned":true,"hidden":false,"mode":"ojs"},{"id":1154,"value":"function plotGrid(product) {\n const prices = plotPricesAndVolume(product);\n const position = plotPositionCumSum(product, { scale: false });\n const rooted = plotRootedMidVolume(product, { scale: false });\n const pnl = plotPnl(product, { scale: false });\n const tradesList = listTrades(product);\n const tradesPlot = plotTrades(product);\n\n return htl.html`\n

${prices}

${rooted}

${position}

${tradesPlot}${tradesList}

${pnl}

`;\n}","pinned":true,"hidden":false,"mode":"ojs"}],"files":"$W34","stdlib":"1","titling":"auto"}