//the data took forever for me to get in the right form. But I'm sure there is a simpler way of doing it.
SYMBOL
DT
SalesLog
optionGroup = d3
.groups(SalesLog, d => d.option_code)
.sort((a, b) => d3.ascending(a[1][0].expiry, b[1][0].expiry))
OptionTrades = [...optionGroup].map((x, i) => {
let name = x[0];
let aggregateMinute = d3.groups(x[1], d => +d.DT);
return aggregateMinute.map((m, j) => {
let date = new Date(m[0]);
let category = m[1][0].option_type;
let expiry = m[1][0].expiry;
///let value = d3.sum(m[1], minuteAggregation);
let value = Separately_Summed[i][j];
return { name, date, category, expiry, value };
});
//value, QTY, PRICE, OPTION_CODE.label, OPTION_CODE.expiry,
})
marketMinutes = {
let start = +new Date(DT + " 9:30"),
end = +new Date(DT + " 16:00");
let time = start;
let marketMinutes = [];
while (time <= end) {
marketMinutes.push(time);
time += 60000 * 30;
}
return marketMinutes.map(x => new Date(x));
}
{
let option = OptionTrades[0];
let trades = option;
let firstTrade = trades[0];
let atOpen = { ...firstTrade, value: 0, date: marketMinutes[0] };
// return atOpen;
// name: ".IBM191025C110"
// date: 2019-10-25T11:53
// category: "C"
// expiry: 2019-10-25
// value: 258
// let minutes = marketMinutes;
return marketMinutes.map(m => {
//are there trades for this minute?
let it = { ...atOpen, date: m };
let match = dateBisector.left(trades, m);
if (match > 0) return { ...trades[match - 1], date: m };
else return it;
// if(it.date===firstTrade)
});
}
OptionMinutes = OptionTrades.map(option => {
let trades = option;
let firstTrade = trades[0];
let atOpen = { ...firstTrade, value: 0, date: marketMinutes[0] };
// return atOpen;
// name: ".IBM191025C110"
// date: 2019-10-25T11:53
// category: "C"
// expiry: 2019-10-25
// value: 258
// let minutes = marketMinutes;
return marketMinutes.map(m => {
//are there trades for this minute?
let it = { ...atOpen, date: m };
let match = dateBisector.left(trades, m);
if (match > 0) return { ...trades[match - 1], date: m };
else return it;
// if(it.date===firstTrade)
});
})
OptionMinutes.map(x => {
let withoutNames = x.find(x => !x.name);
if (withoutNames) return withoutNames;
else return false;
})
data = d3.merge(OptionMinutes)
// data = d3
// .merge(
// [...optionGroup].map((x, i) => {
// let name = x[0];
// let aggregateMinute = d3.groups(x[1], d => +d.DT);
// return aggregateMinute.map((m, j) => {
// let date = new Date(m[0]);
// let category = m[1][0].option_type;
// let expiry = m[1][0].expiry;
// ///let value = d3.sum(m[1], minuteAggregation);
// let value = Separately_Summed[i][j];
// return { name, date, category, expiry, value };
// });
// //value, QTY, PRICE, OPTION_CODE.label, OPTION_CODE.expiry,
// })
// )
// .sort((a, b) => d3.ascending(a.DT, b.DT))
//Maybe this is a good use case for cumsum. maybe it's not the best. I just felt pleased to try it
// dateBisector2 = d3.bisector(d => d.DT)
dateBisector.left(
SalesLog,
SalesLog[Math.floor(SalesLog.length * Math.random())].date
)
// optionGroup.map((x, i) => {
// let name = x[0];
// let aggregateMinute = d3.groups(x[1], d => +d.DT);
// return aggregateMinute.map((m, j) => {
// let date = new Date(m[0]);
// let category = m[1][0].option_type;
// let expiry = m[1][0].expiry;
// ///let value = d3.sum(m[1], minuteAggregation);
// let value = Separately_Summed[i][j];
// return { name, date, category, expiry, value };
// });
// //value, QTY, PRICE, OPTION_CODE.label, OPTION_CODE.expiry,
// })
minuteAggregation = d => +d.qty * +d.price
dateBisector = d3.bisector(d => d.date)
// dateBisector.left(fullData, +data[0].DT)
// d3.merge(
// fullData.map(f => {
// let tradeInfo = data.filter(x => x.name === f[1] && +f[0] === +x.date);
// if (!tradeInfo) return null;
// return tradeInfo;
// })
// )
// d3.bisect(fullData, d => +d[0] === +data[0].date)
// d3.bisect(fullData, d => d[1] === data[0].name)
// fullData = d3.cross(datevalues.map(x => x[0]), names)
keyframes = {
const _keyframes = [];
let ka, a, kb, b;
for ([[ka, a], [kb, b]] of d3.pairs(datevalues)) {
for (let i = 0; i < k; ++i) {
const t = i / k;
_keyframes.push([
new Date(ka * (1 - t) + kb * t),
rank(name => a.get(name) * (1 - t) + b.get(name) * t)
]);
}
}
_keyframes.push([new Date(kb), rank(name => b.get(name))]);
return _keyframes;
}
dateFrames = d3.groups(keyframes.flatMap(([, data]) => data), d => +d.date)
import { SalesLog, SYMBOL, DT } from '@stroked/ibm'
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