Add common research notebook templates for charting

project-templates/csharp/common/research.ipynb

@@ -0,0 +1,343 @@
+{
+ "cells": [
+  {
+   "cell_type": "markdown",
+   "id": "f3b00e08",
+   "source": "This template shows how to use Plotly.NET to create charts, since charting is a common feature in research.",
+   "metadata": {}
+  },
+  {
+   "cell_type": "markdown",
+   "id": "17fb20aa",
+   "metadata": {},
+   "source": [
+    "## Preparation\n",
+    "\n",
+    "Load assemblies, import the QuantConnect, Plotly.NET, and Accord packages, then get some historical data to plot."
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "75a10299",
+   "metadata": {
+    "vscode": {
+     "languageId": "csharp"
+    }
+   },
+   "outputs": [],
+   "source": [
+    "// Load the assembly files and data types in their own cell.\n",
+    "#load \"../Initialize.csx\""
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "079dc2af",
+   "metadata": {
+    "vscode": {
+     "languageId": "csharp"
+    }
+   },
+   "outputs": [],
+   "source": [
+    "// Load the necessary assembly files.\n",
+    "#load \"../QuantConnect.csx\"\n",
+    "#r \"nuget: Plotly.NET\"\n",
+    "#r \"nuget: Plotly.NET.Interactive\""
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "1ea581c8",
+   "metadata": {
+    "vscode": {
+     "languageId": "csharp"
+    }
+   },
+   "outputs": [],
+   "source": [
+    "// Import the QuantConnect, Plotly.NET, and Accord packages for calculation and plotting.\n",
+    "using QuantConnect;\n",
+    "using QuantConnect.Research;\n",
+    "\n",
+    "using Plotly.NET;\n",
+    "using Plotly.NET.Interactive;\n",
+    "using Plotly.NET.LayoutObjects;\n",
+    "\n",
+    "using Accord.Math;\n",
+    "using Accord.Statistics;"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "fa6c58a4",
+   "metadata": {
+    "vscode": {
+     "languageId": "csharp"
+    }
+   },
+   "outputs": [],
+   "source": [
+    "// Get historical data for a bank sector ETF and some banking companies over 2021.\n",
+    "var qb = new QuantBook();\n",
+    "var tickers = new[]\n",
+    "{\n",
+    "    \"XLF\",  // Financial Select Sector SPDR Fund\n",
+    "    \"COF\",  // Capital One Financial Corporation\n",
+    "    \"GS\",   // Goldman Sachs Group, Inc.\n",
+    "    \"JPM\",  // J P Morgan Chase & Co\n",
+    "    \"WFC\"   // Wells Fargo & Company\n",
+    "};\n",
+    "var symbols = tickers.Select(ticker => qb.AddEquity(ticker, Resolution.Daily).Symbol).ToList();\n",
+    "var history = qb.History(symbols, new DateTime(2021, 1, 1), new DateTime(2022, 1, 1)).ToList();"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "d9ce2705",
+   "metadata": {},
+   "source": [
+    "## Candlestick Chart"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "3ca44325",
+   "metadata": {
+    "vscode": {
+     "languageId": "csharp"
+    }
+   },
+   "outputs": [],
+   "source": [
+    "// Select a symbol to plot its candlestick plot.\n",
+    "var symbol = symbols.First();\n",
+    "\n",
+    "// Call the Chart2D.Chart.Candlestick constructor with the time and OHLC price IEnumerable to create the candlestick plot.\n",
+    "var bars = history.Select(slice => slice.Bars[symbol]);\n",
+    "var candlestick = Chart2D.Chart.Candlestick<decimal, decimal, decimal, decimal, DateTime, string>(\n",
+    "    bars.Select(x => x.Open),\n",
+    "    bars.Select(x => x.High),\n",
+    "    bars.Select(x => x.Low),\n",
+    "    bars.Select(x => x.Close),\n",
+    "    bars.Select(x => x.EndTime)\n",
+    ");\n",
+    "\n",
+    "// Create the layout.\n",
+    "LinearAxis candleX = new LinearAxis();\n",
+    "candleX.SetValue(\"title\", \"Time\");\n",
+    "LinearAxis candleY = new LinearAxis();\n",
+    "candleY.SetValue(\"title\", \"Price ($)\");\n",
+    "Layout candleLayout = new Layout();\n",
+    "candleLayout.SetValue(\"xaxis\", candleX);\n",
+    "candleLayout.SetValue(\"yaxis\", candleY);\n",
+    "candleLayout.SetValue(\"title\", Title.init($\"{symbol} OHLC\"));\n",
+    "\n",
+    "// Assign the Layout and show the plot.\n",
+    "candlestick.WithLayout(candleLayout);\n",
+    "display(candlestick);"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "93db8598",
+   "metadata": {},
+   "source": [
+    "## Line Chart"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "7be5f8a7",
+   "metadata": {
+    "vscode": {
+     "languageId": "csharp"
+    }
+   },
+   "outputs": [],
+   "source": [
+    "// Plot the volume of the first symbol as a line chart.\n",
+    "var lineBars = history.Select(slice => slice.Bars[symbol]);\n",
+    "var line = Chart2D.Chart.Line<DateTime, decimal, string>(\n",
+    "    lineBars.Select(x => x.EndTime),\n",
+    "    lineBars.Select(x => x.Volume)\n",
+    ");\n",
+    "\n",
+    "LinearAxis lineX = new LinearAxis();\n",
+    "lineX.SetValue(\"title\", \"Time\");\n",
+    "LinearAxis lineY = new LinearAxis();\n",
+    "lineY.SetValue(\"title\", \"Volume\");\n",
+    "Layout lineLayout = new Layout();\n",
+    "lineLayout.SetValue(\"xaxis\", lineX);\n",
+    "lineLayout.SetValue(\"yaxis\", lineY);\n",
+    "lineLayout.SetValue(\"title\", Title.init($\"{symbol} Volume\"));\n",
+    "\n",
+    "line.WithLayout(lineLayout);\n",
+    "display(line);"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "9c0ff10e",
+   "metadata": {},
+   "source": [
+    "## Scatter Plot"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "18a22de4",
+   "metadata": {
+    "vscode": {
+     "languageId": "csharp"
+    }
+   },
+   "outputs": [],
+   "source": [
+    "// Plot the closing-price relationship between two symbols as a scatter plot.\n",
+    "var symbol1 = symbols.First();\n",
+    "var symbol2 = symbols.Last();\n",
+    "\n",
+    "var scatter = Chart2D.Chart.Point<decimal, decimal, string>(\n",
+    "    history.Select(slice => slice.Bars[symbol1].Close),\n",
+    "    history.Select(slice => slice.Bars[symbol2].Close)\n",
+    ");\n",
+    "\n",
+    "LinearAxis scatterX = new LinearAxis();\n",
+    "scatterX.SetValue(\"title\", $\"{symbol1} Price ($)\");\n",
+    "LinearAxis scatterY = new LinearAxis();\n",
+    "scatterY.SetValue(\"title\", $\"{symbol2} Price ($)\");\n",
+    "Layout scatterLayout = new Layout();\n",
+    "scatterLayout.SetValue(\"xaxis\", scatterX);\n",
+    "scatterLayout.SetValue(\"yaxis\", scatterY);\n",
+    "scatterLayout.SetValue(\"title\", Title.init($\"{symbol1} vs {symbol2}\"));\n",
+    "\n",
+    "scatter.WithLayout(scatterLayout);\n",
+    "display(scatter);"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "fc076c7b",
+   "metadata": {},
+   "source": [
+    "## Heat Map"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "0a7c40f9",
+   "metadata": {
+    "vscode": {
+     "languageId": "csharp"
+    }
+   },
+   "outputs": [],
+   "source": [
+    "// Compute the daily returns of each stock.\n",
+    "var data = history.SelectMany(x => x.Bars.Values)\n",
+    "    .GroupBy(x => x.Symbol)\n",
+    "    .Select(x =>\n",
+    "    {\n",
+    "        var prices = x.Select(b => (double)b.Close).ToArray();\n",
+    "        return Enumerable.Range(0, prices.Length - 1)\n",
+    "            .Select(i => prices[i + 1] / prices[i] - 1).ToArray();\n",
+    "    }).ToArray().Transpose();\n",
+    "\n",
+    "// Build the correlation matrix.\n",
+    "var corrMatrix = Measures.Correlation(data).Select(x => x.ToList()).ToList();\n",
+    "\n",
+    "// Plot the heat map.\n",
+    "var X = Enumerable.Range(0, tickers.Length).ToList();\n",
+    "var heatmap = Plotly.NET.Chart2D.Chart.Heatmap<IEnumerable<double>, double, int, int, string>(\n",
+    "    zData: corrMatrix,\n",
+    "    X: X,\n",
+    "    Y: X,\n",
+    "    ShowScale: true,\n",
+    "    ReverseYAxis: true\n",
+    ");\n",
+    "\n",
+    "var heatAxis = new LinearAxis();\n",
+    "heatAxis.SetValue(\"tickvals\", X);\n",
+    "heatAxis.SetValue(\"ticktext\", tickers);\n",
+    "var heatLayout = new Layout();\n",
+    "heatLayout.SetValue(\"xaxis\", heatAxis);\n",
+    "heatLayout.SetValue(\"yaxis\", heatAxis);\n",
+    "heatLayout.SetValue(\"title\", Title.init(\"Banking Stocks and bank sector ETF Correlation Heat Map\"));\n",
+    "\n",
+    "heatmap.WithLayout(heatLayout);\n",
+    "display(heatmap);"
+   ]
+  },
+  {
+   "cell_type": "markdown",
+   "id": "b403a42e",
+   "metadata": {},
+   "source": [
+    "## 3D Chart"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "id": "a9e1459b",
+   "metadata": {
+    "vscode": {
+     "languageId": "csharp"
+    }
+   },
+   "outputs": [],
+   "source": [
+    "// Plot the closing-price correlation between three symbols in 3D.\n",
+    "var s1 = symbols[0];\n",
+    "var s2 = symbols[1];\n",
+    "var s3 = symbols[2];\n",
+    "\n",
+    "var chart3d = Chart3D.Chart.Point3D<decimal, decimal, decimal, string>(\n",
+    "    history.Select(slice => slice.Bars[s1].Close),\n",
+    "    history.Select(slice => slice.Bars[s2].Close),\n",
+    "    history.Select(slice => slice.Bars[s3].Close)\n",
+    ");\n",
+    "\n",
+    "LinearAxis xAxis3d = new LinearAxis();\n",
+    "xAxis3d.SetValue(\"title\", $\"{s1} Price ($)\");\n",
+    "LinearAxis yAxis3d = new LinearAxis();\n",
+    "yAxis3d.SetValue(\"title\", $\"{s2} Price ($)\");\n",
+    "LinearAxis zAxis3d = new LinearAxis();\n",
+    "zAxis3d.SetValue(\"title\", $\"{s3} Price ($)\");\n",
+    "Layout layout3d = new Layout();\n",
+    "layout3d.SetValue(\"xaxis\", xAxis3d);\n",
+    "layout3d.SetValue(\"yaxis\", yAxis3d);\n",
+    "layout3d.SetValue(\"zaxis\", zAxis3d);\n",
+    "layout3d.SetValue(\"title\", Title.init($\"{s1} vs {s2} vs {s3}\"));\n",
+    "\n",
+    "chart3d.WithLayout(layout3d);\n",
+    "display(chart3d);"
+   ]
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": ".NET (C#)",
+   "language": "C#",
+   "name": ".net-csharp"
+  },
+  "language_info": {
+   "file_extension": ".cs",
+   "mimetype": "text/x-csharp",
+   "name": "C#",
+   "pygments_lexer": "csharp",
+   "version": "11.0"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 5
+}