finplot/finplot/examples/heatmap.py at master · robot-python/finplot · GitHub

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#!/usr/bin/env python3

import finplot as fplt

import pandas as pd

import requests

# download, extract times and candles

url = 'https://www.tensorcharts.com/tensor/bitmex/XBTUSD/heatmapCandles/15min'

data = requests.get(url).json()

times = pd.to_datetime([e['T'] for e in data])

candles = [(e['open'],e['close'],e['high'],e['low']) for e in data]

df_candles = pd.DataFrame(index=times, data=candles)

# extract volume heatmap as a PRICE x VOLUME matrix

orderbooks = [(e['heatmapOrderBook'] or []) for e in data]

prices = sorted(set(prc for ob in orderbooks for prc in ob[::2]))

vol_matrix = [[0]*len(prices) for _ in range(len(times))]

for i,orderbook in enumerate(orderbooks):

for price,volume in zip(orderbook[::2],orderbook[1::2]):

j = prices.index(price)

vol_matrix[i][j] = volume

df_volume_heatmap = pd.DataFrame(index=times, columns=prices, data=vol_matrix)

# plot

fplt.create_plot('BitMEX BTC 15m orderbook heatmap')

fplt.candlestick_ochl(df_candles)

fplt.heatmap(df_volume_heatmap, filter_limit=0.1, whiteout=0.1)

fplt.show()

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