31:[] 2f:{"title":"Option Trades Playback","cells":[{"id":103,"value":"md`# Option Trades Playback`","pinned":false,"hidden":false,"mode":"ojs"},{"id":2188,"value":"md`maybe I should have used canvas for this.`","pinned":false,"hidden":false,"mode":"ojs"},{"id":1064,"value":"md`## SETUP\n### Things we Know`","pinned":false,"hidden":false,"mode":"ojs"},{"id":102,"value":"SYMBOL=\"IBM\"","pinned":false,"hidden":false,"mode":"ojs"},{"id":101,"value":"DT = \"2019-10-25\"","pinned":false,"hidden":false,"mode":"ojs"},{"id":195,"value":"marketOpen = new Date(DT + 'T09:30:00')","pinned":false,"hidden":false,"mode":"ojs"},{"id":194,"value":"marketClose = new Date(DT + 'T16:00:00')","pinned":false,"hidden":false,"mode":"ojs"},{"id":288,"value":"mutable MarketTime = {\n let time = this || new Date(marketOpen);\n\n await visibility(viewof Pauser);\n while (time < marketClose) {\n if (Pauser) return yield time;\n\n await Promises.delay(50);\n time.setMinutes(time.getMinutes() + 1);\n yield time;\n }\n d3.select(viewof Pauser)\n .select('input')\n .property('checked', true);\n\n d3.select(viewof Pauser)\n .select('.pauser')\n .html('REPLAY');\n //this keeps resetting the chart to beginning\n // return yield new Date(marketOpen);\n //for now we will just reset the date but won't yield it until REPLAY clicked.\n\n time = new Date(marketOpen);\n return;\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":154,"value":"SVG = {\n let svgRef = DOM.svg(width, height);\n\n let svg = d3\n .select(svgRef)\n .attr(\"viewBox\", [-margin.left, 0, width + margin.left, height]);\n svg.append('g').call(yAxis);\n svg.append('g').call(xAxis);\n\n return svgRef;\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":1048,"value":"viewof Pauser = {\n let view = viewof Pill;\n yield view;\n\n d3.select(view)\n .select('.pauser')\n .html('Playing');\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":99,"value":"trades = d3\n .select(SVG)\n .selectAll('.trade')\n .data(selection.filter(x => x.DT < MarketTime), (d, i) => i)\n .join('circle')\n .attr('class', 'trade')\n .attr('cx', d => xScale(d.DT))\n .attr('cy', d => yScale(d.strike))\n .attr('r', d => radiusScale(d.qty * d.price))\n .attr('fill', d => expirationColor(new Date(d.expiry)))\n .attr('stroke', d => optionTypeColorScale(d.option_type))\n .append(\"title\")\n .text(d => `${JSON.stringify(d)}`)","pinned":false,"hidden":false,"mode":"ojs"},{"id":2183,"value":"//xAxis is time\n//yaxis is strikes\n//colored by series\n//stroked by option-type\n//scaled by $value of trade","pinned":true,"hidden":false,"mode":"ojs"},{"id":1810,"value":"md`---\n## Market Minutes\n\nBetween 9:30AM (market open) and 4:00PM (market close) there are 390 minutes.\n`","pinned":false,"hidden":false,"mode":"ojs"},{"id":1812,"value":"marketMinutes = {\n let start = +new Date(DT + \" 9:30\"),\n end = +new Date(DT + \" 16:00\");\n let time = start;\n let marketMinutes = [];\n while (time < end) {\n marketMinutes.push(time);\n time += 60000;\n }\n return marketMinutes.map(x => new Date(x));\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":982,"value":"mutable selection = OptionTrades","pinned":true,"hidden":false,"mode":"ojs"},{"id":388,"value":"md`---\n\n## DATA`","pinned":false,"hidden":false,"mode":"ojs"},{"id":1960,"value":"viewof minQuantity = slider({\n min: 0,\n max: 25,\n value: 0,\n step: 1,\n title: \"Mininum Trade Size\",\n description: \"only show trades above the threshold (0-25)\"\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":1747,"value":"OptionTrades = transactions.filter(x => x.qty > minQuantity)","pinned":true,"hidden":false,"mode":"ojs"},{"id":1097,"value":"topDollarValue = d3\n .groups(OptionTrades, d => d.option_code)\n .sort((a, b) =>\n d3.descending(\n d3.sum(a[1], x => +x.qty * x.price),\n d3.sum(b[1], x => +x.qty * x.price)\n )\n )","pinned":false,"hidden":false,"mode":"ojs"},{"id":1101,"value":"mostActiveOptions = d3\n .groups(OptionTrades, d => d.option_code)\n .sort((a, b) => d3.descending(a[1].length, b[1].length))","pinned":false,"hidden":false,"mode":"ojs"},{"id":1099,"value":"topVolumeOptions = d3\n .groups(OptionTrades, d => d.option_code)\n .sort((a, b) =>\n d3.descending(d3.sum(a[1], x => +x.qty), d3.sum(b[1], x => +x.qty))\n )","pinned":false,"hidden":false,"mode":"ojs"},{"id":297,"value":"expirations = [\n ...new Set(OptionTrades.map(x => d3.timeFormat(yyyyMMdd)(x.expiry)))\n]\n .sort((a, b) => d3.ascending(a, b))\n .map(x => d3.timeParse(yyyyMMdd)(x))","pinned":false,"hidden":false,"mode":"ojs"},{"id":373,"value":"md`---\n\n---\n\n---\n`","pinned":false,"hidden":false,"mode":"ojs"},{"id":394,"value":"md`## SCALES`\n\n","pinned":false,"hidden":false,"mode":"ojs"},{"id":543,"value":"md`

`","pinned":false,"hidden":false,"mode":"ojs"},{"id":131,"value":"xScale = d3\n .scaleTime()\n .domain([marketOpen, marketClose])\n .range([margin.left, width - margin.right])","pinned":false,"hidden":false,"mode":"ojs"},{"id":142,"value":"xAxis = g =>\n g\n .attr(\"transform\", `translate(0,${height - margin.bottom})`)\n .call(d3.axisBottom(xScale).tickSizeOuter(0))","pinned":false,"hidden":false,"mode":"ojs"},{"id":204,"value":"xScale(new Date('2019-10-25T09:35'))","pinned":true,"hidden":false,"mode":"ojs"},{"id":369,"value":"md`---`","pinned":false,"hidden":false,"mode":"ojs"},{"id":552,"value":"md`

`","pinned":false,"hidden":false,"mode":"ojs"},{"id":1920,"value":"OptionTrades","pinned":true,"hidden":false,"mode":"ojs"},{"id":128,"value":"yScale = d3.scaleLinear(d3.extent(OptionTrades, d => +d.strike), [\n height - margin.bottom,\n margin.top\n])","pinned":true,"hidden":false,"mode":"ojs"},{"id":148,"value":"yAxis = g =>\n g\n .attr(\"transform\", `translate(${margin.left},0)`)\n .call(d3.axisLeft(yScale))\n .call(g =>\n g\n .select(\".tick:first-of-type text\")\n .clone()\n // .attr('transform', 'rotate(270)')\n .attr(\"y\", -height + margin.top + margin.bottom - 10)\n .attr('x', -margin.left)\n .attr(\"text-anchor\", \"start\")\n .attr(\"font-style\", \"italic\")\n .attr(\"font-size\", 15)\n .text('Strikes')\n )","pinned":false,"hidden":false,"mode":"ojs"},{"id":1903,"value":"md`

SIZE

`","pinned":true,"hidden":false,"mode":"ojs"},{"id":1907,"value":"selection","pinned":true,"hidden":false,"mode":"ojs"},{"id":1906,"value":"radiusScale = d3\n .scaleSqrt()\n .range([1, 20])\n .domain(d3.extent(OptionTrades, d => d.qty * d.price))","pinned":true,"hidden":false,"mode":"ojs"},{"id":1917,"value":"radiusScale(100)","pinned":true,"hidden":false,"mode":"ojs"},{"id":775,"value":"md`

COLOR

`","pinned":false,"hidden":false,"mode":"ojs"},{"id":1572,"value":"html`

${seriesColorScale\n .range()\n .map(x => `

${x}

`)}

`","pinned":true,"hidden":false,"mode":"ojs"},{"id":874,"value":"seriesColorScale = d3.scaleOrdinal(\n expirations,\n d3.quantize(d3.interpolateViridis, expirations.length - 1)\n)","pinned":true,"hidden":false,"mode":"ojs"},{"id":1848,"value":"md`

`","pinned":false,"hidden":false,"mode":"ojs"},{"id":1588,"value":"html`

${expirations.map(\n x =>\n `

${d3.timeFormat('%Y-%b-%d')(\n x\n )}

`\n)}

`","pinned":false,"hidden":false,"mode":"ojs"},{"id":1033,"value":"expirationColor = d3\n .scaleTime()\n .interpolate(() => d3.interpolateCool)\n .domain(d3.extent(expirations))","pinned":true,"hidden":false,"mode":"ojs"},{"id":1842,"value":"md`

`","pinned":false,"hidden":false,"mode":"ojs"},{"id":1599,"value":"html`

${optionTypeColorScale\n .range()\n .map(\n x => `

${x}

`\n )}

`","pinned":false,"hidden":false,"mode":"ojs"},{"id":780,"value":"optionTypeColorScale = d3.scaleOrdinal(['C', 'P'], ['silver', 'gold'])","pinned":false,"hidden":false,"mode":"ojs"},{"id":1845,"value":"md`

`","pinned":false,"hidden":false,"mode":"ojs"},{"id":1408,"value":"deltaScale = d3\n .scaleDiverging()\n .domain([-1, 0, 1])\n .interpolator(d3.interpolatePuOr)","pinned":true,"hidden":false,"mode":"ojs"},{"id":1003,"value":"d3.scaleDiverging()","pinned":true,"hidden":false,"mode":"ojs"},{"id":751,"value":"md`---`","pinned":false,"hidden":false,"mode":"ojs"},{"id":538,"value":"md`## SCRATCH`","pinned":false,"hidden":false,"mode":"ojs"},{"id":97,"value":"d3.timeParse('%Y-%m-%d' + ' %H:%M:%S')(DT + \" 15:59:58\")","pinned":true,"hidden":false,"mode":"ojs"},{"id":210,"value":"d3.timeParse('%Y-%m-%d %H:%M')('2019-10-25 09:30')","pinned":true,"hidden":false,"mode":"ojs"},{"id":96,"value":"d3.timeParse('%H:%M:%S')(\"15:59:58\")","pinned":true,"hidden":false,"mode":"ojs"},{"id":390,"value":"md`---\n\n## CONFIGS`","pinned":false,"hidden":false,"mode":"ojs"},{"id":184,"value":"height = 500","pinned":false,"hidden":false,"mode":"ojs"},{"id":1080,"value":"chartWidth = width","pinned":false,"hidden":false,"mode":"ojs"},{"id":26,"value":"margin = ({top: 30, right: 30, bottom: 30, left: 30})","pinned":false,"hidden":false,"mode":"ojs"},{"id":1074,"value":"pad = 50","pinned":false,"hidden":false,"mode":"ojs"},{"id":299,"value":"yyyyMMdd = '%y%m%d'","pinned":false,"hidden":false,"mode":"ojs"},{"id":404,"value":"md`---\n\n## ANX`","pinned":false,"hidden":false,"mode":"ojs"},{"id":2041,"value":"html``","pinned":true,"hidden":false,"mode":"ojs"},{"id":1673,"value":"import { SalesLog as transactions } from '@stroked/ibm'","pinned":false,"hidden":false,"mode":"ojs"},{"id":91,"value":"import { short_option_code } from '@stroked/option-code'","pinned":false,"hidden":false,"mode":"ojs"},{"id":109,"value":"d3 = {\n const d3 = await require(\"d3-array@^2.4\", \"d3@5\");\n d3.bin = d3.histogram;\n return d3;\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":786,"value":"import { viewof Pill } from '@stroked/coo-l-ook@2198'","pinned":false,"hidden":false,"mode":"ojs"},{"id":1963,"value":"import { slider, select, text, radio } from '@jashkenas/inputs'","pinned":false,"hidden":false,"mode":"ojs"}],"files":"$W31","stdlib":"1","titling":"auto"}