30:T84a,stock_quote_files = [ d3.csvParse( await FileAttachment(`L2_stockquotes_20190301.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190304.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190305.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190306.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190307.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190308.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190311.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190312.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190313.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190314.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190315.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190318.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190319.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190320.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190321.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190322.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190325.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190326.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190327.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190328.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_stockquotes_20190329.csv`).text(), d3.autoType ) ]31:T7f2,options_files = [ d3.csvParse( await FileAttachment(`L2_options_20190301.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190304.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190305.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190306.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190307.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190308.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190311.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190312.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190313.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190314.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190315.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190318.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190319.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190320.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190321.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190322.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190325.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190326.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190327.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190328.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_options_20190329.csv`).text(), d3.autoType ) ]32:T84b,option_stats_files = [ d3.csvParse( await FileAttachment(`L2_optionstats_20190301.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190304.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190305.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190306.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190307.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190308.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190311.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190312.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190313.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190314.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190315.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190318.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190319.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190320.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190321.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190322.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190325.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190326.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190327.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190328.csv`).text(), d3.autoType ), d3.csvParse( await FileAttachment(`L2_optionstats_20190329.csv`).text(), d3.autoType ) ]33:T7d1,function OptionStatsChart(data, prop, h) { let height = h, m = 25, ref = DOM.svg(width, height); let yScale = d3 .scaleLinear() .domain(d3.extent(data.map(x => x[prop]))) .range([height - m, m]); let xScale = d3 .scaleBand() .domain(data.map(x => +x.DT)) .range([m, width - m]) .padding(0.1); let svg = d3.select(ref).attr('viewBox', [-m, 0, width, height]); svg.call(g => { g.append('g') .attr('class', 'xAxis') .call( d3 .axisBottom(xScale) .ticks([...xScale.domain()]) .tickFormat(d3.timeFormat('%d/%-m')) ) .call(g2 => g2 .attr('transform', `translate(0,${height - m})`) .select('.domain') .remove() ); g.append('g') .attr('class', 'yAxis') .call( d3 .axisLeft(yScale) .ticks(3) .tickFormat(d3.format(',.2s')) ) .call(g2 => { g2.attr('transform', `translate(${m},${0})`) .select('.domain') .remove(); g2.append('text') .style('font-weight', '900') .attr('font-size', h / 3) .attr('transform', d => `${movement}`) .text(() => prop .split('_') .join(' ') .toUpperCase() ) .attr('text-anchor', 'middle') .attr('fill', 'black') .attr('opacity', 0.5) .clone(true) .attr('stroke', 'white') .attr('stroke-width', 2) .attr('fill', 'none') .attr('opacity', 0.7); }); }); svg .selectAll('.bar') .data(data, d => +d.DT) .join('rect') .attr('class', 'bar') .attr('x', d => xScale(+d.DT)) .attr('y', d => height - yScale(d[prop]) - m) .attr('height', d => yScale(d[prop])) .attr('width', xScale.bandwidth()) .attr('stroke', 'black') .attr('fill', 'black') .style('mix-blend-mode', 'overlay'); return ref; 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2e:{"title":"HOD - Daily Quote","cells":[{"id":312,"value":"md`# HOD - Daily Quote\n\nThis is to show how a sample dataset of a month of options data from \\`HistoricalOptionsData.com\\` can be visualized`","pinned":false,"hidden":false,"mode":"ojs"},{"id":831,"value":"md`---\n\n---\n\n---\n`","pinned":false,"hidden":false,"mode":"ojs"},{"id":602,"value":"html``","pinned":false,"hidden":false,"mode":"ojs"},{"id":774,"value":"md`#### *There were ${tradingDays_in_March.length} trading days in march 2019.*`","pinned":false,"hidden":false,"mode":"ojs"},{"id":566,"value":"//lets get the trading days in march from files names\ntradingDays_in_March = [\n `L2_stockquotes_20190301.csv`,\n `L2_stockquotes_20190304.csv`,\n `L2_stockquotes_20190305.csv`,\n `L2_stockquotes_20190306.csv`,\n `L2_stockquotes_20190307.csv`,\n `L2_stockquotes_20190308.csv`,\n `L2_stockquotes_20190311.csv`,\n `L2_stockquotes_20190312.csv`,\n `L2_stockquotes_20190313.csv`,\n `L2_stockquotes_20190314.csv`,\n `L2_stockquotes_20190315.csv`,\n `L2_stockquotes_20190318.csv`,\n `L2_stockquotes_20190319.csv`,\n `L2_stockquotes_20190320.csv`,\n `L2_stockquotes_20190321.csv`,\n `L2_stockquotes_20190322.csv`,\n `L2_stockquotes_20190325.csv`,\n `L2_stockquotes_20190326.csv`,\n `L2_stockquotes_20190327.csv`,\n `L2_stockquotes_20190328.csv`,\n `L2_stockquotes_20190329.csv`\n].map(x => d3.timeParse('L2_stockquotes_%Y%m%d.csv')(x))","pinned":false,"hidden":false,"mode":"ojs"},{"id":744,"value":"md`---\n## DATA - Data Model from CSV files`","pinned":false,"hidden":false,"mode":"ojs"},{"id":522,"value":"md`#### *There are 3 files for each trading day.*`","pinned":false,"hidden":false,"mode":"ojs"},{"id":970,"value":"md`---\n\n---`","pinned":false,"hidden":false,"mode":"ojs"},{"id":524,"value":"md`### 1. Stock Quote`","pinned":false,"hidden":false,"mode":"ojs"},{"id":709,"value":"md`**1.1** *Read files*`","pinned":false,"hidden":false,"mode":"ojs"},{"id":410,"value":"$30","pinned":false,"hidden":false,"mode":"ojs"},{"id":706,"value":"md`**1.2** *File Structures*`","pinned":false,"hidden":false,"mode":"ojs"},{"id":730,"value":"parse_stock_quotes = stock_quote_files.map(x => {\n let it = {};\n\n it.symbol = x[0].symbol;\n it.quotedate = x[0].quotedate;\n it.open = x[0].open;\n it.high = x[0].high;\n it.low = x[0].low;\n it.close = x[0].close;\n it.volume = x[0].volume;\n it.adjustedclose = x[0].adjustedclose;\n\n return { ...it };\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":707,"value":"md`**1.3** *Model Structure*`","pinned":false,"hidden":false,"mode":"ojs"},{"id":700,"value":"DailyStockQuote = parse_stock_quotes.map(x => {\n let it = {};\n\n it.symbol = x.symbol;\n it.DT = fsp_date_formatter(x.quotedate);\n it.open = x.open;\n it.high = x.high;\n it.low = x.low;\n it.close = x.close;\n it.volume = x.volume;\n it.adjustedclose = x.adjustedclose;\n\n return { ...it };\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":878,"value":"graph(\n d3.hierarchy({\n name: \"Stock\",\n children: Object.keys(DailyStockQuote[0]).map(x => ({ name: x }))\n }),\n { label: d => d.data.name }\n)","pinned":false,"hidden":false,"mode":"ojs"},{"id":1114,"value":"printTable(DailyStockQuote.slice(0, 5))","pinned":false,"hidden":false,"mode":"ojs"},{"id":330,"value":"md`### 2. Options Quote`","pinned":false,"hidden":false,"mode":"ojs"},{"id":654,"value":"md`**2.1** *Read files*`","pinned":false,"hidden":false,"mode":"ojs"},{"id":326,"value":"$31","pinned":false,"hidden":false,"mode":"ojs"},{"id":635,"value":"md` **2.2** Handle File Structure`","pinned":false,"hidden":false,"mode":"ojs"},{"id":624,"value":"parse_options_quote = options_files.map(daily => {\n let options = daily.map(day => {\n let UnderlyingSymbol = day.UnderlyingSymbol,\n UnderlyingPrice = day.UnderlyingPrice,\n Exchange = day.Exchange,\n OptionSymbol = day.OptionSymbol,\n OptionExt = day.OptionExt,\n Type = day.Type,\n Expiration = day.Expiration,\n DataDate = day.DataDate,\n Strike = day.Strike,\n Last = day.Last,\n Bid = day.Bid,\n Ask = day.Ask,\n Volume = day.Volume,\n OpenInterest = day.OpenInterest,\n IV = day.IV,\n Delta = day.Delta,\n Gamma = day.Gamma,\n Theta = day.Theta,\n Vega = day.Vega,\n AKA = day.AKA;\n return {\n UnderlyingSymbol,\n UnderlyingPrice,\n Exchange,\n OptionSymbol,\n OptionExt,\n Type,\n Expiration,\n DataDate,\n Strike,\n Last,\n Bid,\n Ask,\n Volume,\n OpenInterest,\n IV,\n Delta,\n Gamma,\n Theta,\n Vega,\n AKA\n };\n });\n return options;\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":646,"value":"md` **2.3** Model Structure`","pinned":false,"hidden":false,"mode":"ojs"},{"id":430,"value":"DailyOptionsQuote = parse_options_quote.map(day => {\n let data = day.map(oc => {\n let it = {};\n let option_contract = parse_long_option_code(oc.OptionSymbol);\n\n it.underlying_symbol = oc.UnderlyingSymbol;\n it.underlying_price = oc.UnderlyingPrice;\n it.exchange = oc.Exchange;\n // it.option_code = oc.OptionSymbol;\n it.special = oc.OptionExt;\n\n it.type = oc.Type;\n it.expiry = fsp_date_formatter(oc.Expiration);\n it.DT = fsp_date_formatter(oc.DataDate);\n it.strike = oc.Strike;\n it.last = oc.Last;\n it.bid = oc.Bid;\n it.ask = oc.Ask;\n it.volume = oc.Volume;\n it.open_interest = oc.OpenInterest;\n it.iv = oc.IV;\n it.delta = oc.Delta;\n it.gamma = oc.Gamma;\n it.theta = oc.Theta;\n it.vega = oc.Vega;\n it.alias = oc.AKA;\n\n let OC = parse_long_option_code(it.alias);\n\n return { ...it, OC };\n });\n return { DT: data[0].DT, options: data };\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":925,"value":"graph(\n d3.hierarchy({\n name: \"Option\",\n children: Object.keys(DailyOptionsQuote[0].options[0]).map(x => ({\n name: x\n }))\n }),\n { label: d => d.data.name }\n)","pinned":false,"hidden":false,"mode":"ojs"},{"id":1123,"value":"printTable(\n DailyOptionsQuote[0].options\n .sort((a, b) => d3.ascending(+a.open_interest, +b.open_interest))\n .slice(0, 5)\n .map(x=>{\n let it= {};\n it.open_code\n })\n)","pinned":false,"hidden":false,"mode":"ojs"},{"id":967,"value":"md`---\n\n---`","pinned":false,"hidden":false,"mode":"ojs"},{"id":528,"value":"md`### 3. Option Stats`","pinned":false,"hidden":false,"mode":"ojs"},{"id":692,"value":"md`**3.1** *Read files*`","pinned":false,"hidden":false,"mode":"ojs"},{"id":400,"value":"$32","pinned":false,"hidden":false,"mode":"ojs"},{"id":694,"value":"md`**3.2** *File Structure*`","pinned":false,"hidden":false,"mode":"ojs"},{"id":457,"value":"//this is how the data looks in the files\nparse_option_stats = option_stats_files.map(entry => {\n let each = entry[0];\n let it = {};\n it.symbol = each.symbol;\n it.quotedate = each.quotedate;\n it.iv30call = each.iv30call;\n it.iv30put = each.iv30put;\n it.iv30mean = each.iv30mean;\n it.callvol = each.callvol;\n it.putvol = each.putvol;\n it.totalvol = each.totalvol;\n it.calloi = each.calloi;\n it.putoi = each.putoi;\n it.comment = each.comment;\n\n return it;\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":696,"value":"md`**3.3** *Model Structure*`","pinned":false,"hidden":false,"mode":"ojs"},{"id":611,"value":"//this is how I want the data to look\nDailyOptionStats = parse_option_stats.map(entry => {\n // return each[0];\n let each = entry;\n let it = {};\n it.symbol = each.symbol; // \"T\"\n it.DT = fsp_date_formatter(each.quotedate); // \"3/1/2019\"\n it.call_iv30 = each.iv30call; // 0.1576\n it.put_iv30 = each.iv30put; // 0.1569\n it.mean_iv30 = each.iv30mean; // 0.1572\n it.call_vol = each.callvol; // 51034\n it.put_vol = each.putvol; // 31518\n it.total_vol = each.totalvol; // 82552\n it.call_open_interest = each.calloi; // 905993\n it.put_open_interest = each.putoi; // 751031\n it.comment = each.comment; // null\n\n return it;\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":1016,"value":"stats_file = graph(\n d3.hierarchy({\n name: \"Stats\",\n children: Object.keys(DailyOptionStats[0]).map(x => ({ name: x }))\n }),\n { label: d => d.data.name }\n)","pinned":false,"hidden":false,"mode":"ojs"},{"id":1144,"value":"printTable(DailyOptionStats.slice(0, 3))","pinned":false,"hidden":false,"mode":"ojs"},{"id":1318,"value":"html`${OptionStats}`","pinned":false,"hidden":false,"mode":"ojs"},{"id":1229,"value":"m = 50","pinned":true,"hidden":false,"mode":"ojs"},{"id":1255,"value":"OptionStats = Object.keys(DailyOptionStats[0])\n .slice(2, 10)\n\n .map(d => OptionStatsChart(DailyOptionStats, d, 100))","pinned":false,"hidden":false,"mode":"ojs"},{"id":1392,"value":"movement = ` translate(${width / 2},${100 * 0.7})`","pinned":true,"hidden":false,"mode":"ojs"},{"id":1311,"value":"$33","pinned":true,"hidden":false,"mode":"ojs"},{"id":1030,"value":"md`---\n\n---`","pinned":false,"hidden":false,"mode":"ojs"},{"id":554,"value":"md`## Utility`","pinned":false,"hidden":false,"mode":"ojs"},{"id":424,"value":"fsp_date_formatter = d3.timeParse('%-m/%-d/%Y')","pinned":false,"hidden":false,"mode":"ojs"},{"id":869,"value":"flatten_daily_options_quote = doq_arr =>\n doq_arr.reduce((acc, { options }) => {\n if (acc === true) {\n acc = [...options];\n } else {\n acc = acc.concat([...options]);\n }\n return acc;\n }, [])","pinned":false,"hidden":false,"mode":"ojs"},{"id":549,"value":"md`### *scratch*`","pinned":false,"hidden":false,"mode":"ojs"},{"id":439,"value":"parse_long_option_code('T190301C00022000')","pinned":true,"hidden":false,"mode":"ojs"},{"id":20,"value":"md`---\n\n## Appendix`","pinned":false,"hidden":false,"mode":"ojs"},{"id":880,"value":"import { graph } from '@d3/d3-hierarchy'","pinned":false,"hidden":false,"mode":"ojs"},{"id":210,"value":"import { SalesLog } from '@stroked/ibm'","pinned":false,"hidden":false,"mode":"ojs"},{"id":435,"value":"import {\n parse_long_option_code,\n parse_short_option_code\n} from '@stroked/option-code/2'","pinned":false,"hidden":false,"mode":"ojs"},{"id":11,"value":"d3 = require('d3@6')","pinned":false,"hidden":false,"mode":"ojs"},{"id":1118,"value":"import { printTable } from '@uwdata/data-utilities'","pinned":true,"hidden":false,"mode":"ojs"},{"id":1101,"value":"{\n let height = 400;\n let m = 50;\n\n let svg = d3\n .select(DOM.svg(width, height))\n .attr('viewBox', [0, 0, width, height])\n .style('border', 'black double 3px');\n\n let yScale = d3.scaleLinear().domain([0]);\n\n return svg.node();\n}","pinned":true,"hidden":false,"mode":"ojs"}],"files":"$W34","stdlib":"1","titling":"auto"}