Comments (10)
nassuphis
commented on July 30, 2024
make_external_latex<-function(
latex="testing123",
filename=NULL
)paste0(
if(!is.null(filename)){paste0("\\tikzsetnextfilename{",filename,"}"," ")}else{""},
"\\tikz{\\path (0,0) node[inner sep=0,outer sep=0]{",
latex,
"};}"
)from pairs.
nassuphis
commented on July 30, 2024
for pair icons, we have a function that paints the icon ofr a pair using tikz
pair_icon<-function(
pair,
pair_exposure,
pair_days,
pair_pnl,
pair_long_pnl,
pair_short_pnl,
drop_one_pair_pnl,
local_pnl
){
icon_items<-c(
paste0("\\multicolumn{1}{@{}c@{}}{",pair_with_pm_color(pair=pair),"}"),
paste0("\\multicolumn{1}{@{}c@{}}{",pair_price_action(pair=pair,pair_pnl=pair_pnl,w=21,height=2,width = 30,units="mm"),"}"),
paste0("\\multicolumn{1}{@{}c@{}}{",pair_technicals(
pair=pair,
w=365,
pair_exposure=pair_exposure,
pair_days=pair_days,
pair_long_pnl=pair_long_pnl,
pair_short_pnl=pair_short_pnl,
drop_one_pair_pnl=drop_one_pair_pnl,
local_pnl=local_pnl
),"}"),
pair_leg(pair=pair,pair_exposure=pair_exposure,direction=(1),max_char=12),
pair_leg(pair=pair,pair_exposure=pair_exposure,direction=(-1),max_char=12)
)
tbl(x=icon_items,sep=" \\\\ \n",align="@{}p{3.0cm}@{}")
}from pairs.
nassuphis
commented on July 30, 2024
and we loop over pair icons like this:
latex_icons<-mapply(pair_icon,pair=pairs,MoreArgs=list(
pair_exposure=pair_exposure,
pair_days=pair_days,
pair_pnl=pair_local_pnl,
pair_long_pnl=pair_long_pnl,
pair_short_pnl=pair_short_pnl,
drop_one_pair_pnl=drop_one_pair_pnl,
local_pnl=local_pnl
),SIMPLIFY = FALSE)
append2log("create_pair_icons.Rnw : create external latex commands")
external_latex_icons<-mapply(
function(latex,file){
make_external_latex(latex=latex,filename=file)
},
latex=latex_icons,
#file=paste0("N:/Depts/Share/UK Alpha Team/Analytics/pair_icons/",pairs),
file=paste0(pairs),
SIMPLIFY=TRUE
)from pairs.
nassuphis
commented on July 30, 2024
and finally, we put the latex generated above into the doc:
\Sexpr{paste(external_latex_icons,collapse="\n")}
from pairs.
nassuphis
commented on July 30, 2024
the output looks like this:
for example, pair ABC1
\tikzsetnextfilename{ABC1} \tikz{\path (0,0) node[inner sep=0,outer sep=0]{\begin{tabular}{@{}p{3.0cm}@{}} \multicolumn{1}{@{}c@{}}{\cellcolor{ABC!33}ABC1} \\
\multicolumn{1}{@{}c@{}}{\tikz{
\path
( 0.0mm,0mm)node[shape=regular polygon, regular polygon sides=3,rotate=180,fill=red,inner sep=0.25mm,minimum height=2mm]{}
( 1.5mm,0mm)node[shape=regular polygon, regular polygon sides=3,rotate=180,fill=red,inner sep=0.25mm,minimum height=2mm]{}
( 3.0mm,0mm)node[shape=cross out,draw=black,line width=0.125mm,inner sep=0.25mm,minimum height=1mm]{}
( 4.5mm,0mm)node[shape=cross out,draw=black,line width=0.125mm,inner sep=0.25mm,minimum height=1mm]{}
( 6.0mm,0mm)node[shape=regular polygon, regular polygon sides=3,rotate=180,fill=red,inner sep=0.25mm,minimum height=2mm]{}
( 7.5mm,0mm)node[shape=regular polygon, regular polygon sides=3,rotate=180,fill=red,inner sep=0.25mm,minimum height=2mm]{}
( 9.0mm,0mm)node[shape=regular polygon, regular polygon sides=3,rotate=180,fill=red,inner sep=0.25mm,minimum height=2mm]{}
(10.5mm,0mm)node[shape=regular polygon, regular polygon sides=3,fill=green,inner sep=0.25mm,minimum height=2mm]{}
(12.0mm,0mm)node[shape=regular polygon, regular polygon sides=3,fill=green,inner sep=0.25mm,minimum height=2mm]{}
(13.5mm,0mm)node[shape=cross out,draw=black,line width=0.125mm,inner sep=0.25mm,minimum height=1mm]{}
(15.0mm,0mm)node[shape=cross out,draw=black,line width=0.125mm,inner sep=0.25mm,minimum height=1mm]{}
(16.5mm,0mm)node[shape=regular polygon, regular polygon sides=3,fill=green,inner sep=0.25mm,minimum height=2mm]{}
(18.0mm,0mm)node[shape=regular polygon, regular polygon sides=3,fill=green,inner sep=0.25mm,minimum height=2mm]{}
(19.5mm,0mm)node[shape=regular polygon, regular polygon sides=3,rotate=180,fill=red,inner sep=0.25mm,minimum height=2mm]{}
(21.0mm,0mm)node[shape=regular polygon, regular polygon sides=3,fill=green,inner sep=0.25mm,minimum height=2mm]{}
(22.5mm,0mm)node[shape=regular polygon, regular polygon sides=3,rotate=180,fill=red,inner sep=0.25mm,minimum height=2mm]{}
(24.0mm,0mm)node[shape=cross out,draw=black,line width=0.125mm,inner sep=0.25mm,minimum height=1mm]{}
(25.5mm,0mm)node[shape=cross out,draw=black,line width=0.125mm,inner sep=0.25mm,minimum height=1mm]{}
(27.0mm,0mm)node[shape=regular polygon, regular polygon sides=3,rotate=180,fill=red,inner sep=0.25mm,minimum height=2mm]{}
(28.5mm,0mm)node[shape=regular polygon, regular polygon sides=3,rotate=180,fill=red,inner sep=0.25mm,minimum height=2mm]{}
(30.0mm,0mm)node[shape=cross out,draw=black,line width=0.125mm,inner sep=0.25mm,minimum height=1mm]{}
;}} \\
\multicolumn{1}{@{}c@{}}{\begin{tabular}{@{}l@{\hskip 1pt}l@{\hskip 1pt}l@{}}v0.4 & r3.5 & g164\\{\small\sfrac{RSI}{3m}:56} & {\small\sfrac{RSI}{1m}:55} & {\small\sfrac{RSI}{2w}:53} \\ {\small12m:84} & {\small6m:70} & {\small1m:73} \\ \fbox{\tikz{\fill[green] (8mm,2mm) circle(0.5mm);\fill[red] (0mm,0mm) circle(0.5mm);\draw[line width=0.2mm, inner sep=0pt, outer sep=0pt] (0.0000mm,0.0000mm)--(0.4211mm,0.0469mm)--(0.8421mm,0.1027mm)--(1.2632mm,0.1755mm)--(1.6842mm,0.2334mm)--(2.1053mm,0.3205mm)--(2.5263mm,0.4554mm)--(2.9474mm,0.6254mm)--(3.3684mm,0.8074mm)--(3.7895mm,0.9406mm)--(4.2105mm,1.1091mm)--(4.6316mm,1.2278mm)--(5.0526mm,1.3938mm)--(5.4737mm,1.5400mm)--(5.8947mm,1.6818mm)--(6.3158mm,1.8039mm)--(6.7368mm,1.9513mm)--(7.1579mm,1.9497mm)--(7.5789mm,1.9830mm)--(8.0000mm,2.0000mm);}}&\fbox{\tikz{\fill[green] (5.8947mm,2mm) circle(0.5mm);\fill[red] (0mm,0mm) circle(0.5mm);\draw[line width=0.2mm, inner sep=0pt, outer sep=0pt] (0.0000mm,0.0000mm)--(0.4211mm,0.1384mm)--(0.8421mm,0.3157mm)--(1.2632mm,0.4921mm)--(1.6842mm,0.7207mm)--(2.1053mm,1.0270mm)--(2.5263mm,1.2441mm)--(2.9474mm,1.3247mm)--(3.3684mm,1.4566mm)--(3.7895mm,1.5056mm)--(4.2105mm,1.4962mm)--(4.6316mm,1.5259mm)--(5.0526mm,1.7921mm)--(5.4737mm,1.9330mm)--(5.8947mm,2.0000mm)--(6.3158mm,1.9547mm)--(6.7368mm,1.9089mm)--(7.1579mm,1.7514mm)--(7.5789mm,1.6204mm)--(8.0000mm,1.6426mm);}}&\fbox{\tikz{\fill[green] (7.5789mm,2mm) circle(0.5mm);\fill[red] (3.7895mm,0mm) circle(0.5mm);\draw[line width=0.2mm, inner sep=0pt, outer sep=0pt] (0.0000mm,1.1246mm)--(0.4211mm,1.3526mm)--(0.8421mm,1.3573mm)--(1.2632mm,1.2882mm)--(1.6842mm,1.0196mm)--(2.1053mm,0.8503mm)--(2.5263mm,0.6810mm)--(2.9474mm,0.4571mm)--(3.3684mm,0.0453mm)--(3.7895mm,0.0000mm)--(4.2105mm,0.1255mm)--(4.6316mm,0.2511mm)--(5.0526mm,0.5246mm)--(5.4737mm,0.8688mm)--(5.8947mm,1.2140mm)--(6.3158mm,1.5142mm)--(6.7368mm,1.7688mm)--(7.1579mm,1.8961mm)--(7.5789mm,2.0000mm)--(8.0000mm,1.8610mm);}}\\\end{tabular}} \\
{\small DSM } \\
{\small KYG-SX4E }\\ \end{tabular}};}
from pairs.
nassuphis
commented on July 30, 2024
and another one:
\tikzsetnextfilename{ABC11} \tikz{\path (0,0) node[inner sep=0,outer sep=0]{\begin{tabular}{@{}p{3.0cm}@{}} \multicolumn{1}{@{}c@{}}{\cellcolor{ABC!33}ABC11} \\
\multicolumn{1}{@{}c@{}}{\tikz{
\path
( 0.0mm,0mm)node[shape=regular polygon, regular polygon sides=3,fill=green,inner sep=0.25mm,minimum height=2mm]{}
( 1.5mm,0mm)node[shape=regular polygon, regular polygon sides=3,fill=green,inner sep=0.25mm,minimum height=2mm]{}
( 3.0mm,0mm)node[shape=cross out,draw=black,line width=0.125mm,inner sep=0.25mm,minimum height=1mm]{}
( 4.5mm,0mm)node[shape=cross out,draw=black,line width=0.125mm,inner sep=0.25mm,minimum height=1mm]{}
( 6.0mm,0mm)node[shape=regular polygon, regular polygon sides=3,fill=green,inner sep=0.25mm,minimum height=2mm]{}
( 7.5mm,0mm)node[shape=regular polygon, regular polygon sides=3,rotate=180,fill=red,inner sep=0.25mm,minimum height=2mm]{}
( 9.0mm,0mm)node[shape=regular polygon, regular polygon sides=3,fill=green,inner sep=0.25mm,minimum height=2mm]{}
(10.5mm,0mm)node[shape=regular polygon, regular polygon sides=3,fill=green,inner sep=0.25mm,minimum height=2mm]{}
(12.0mm,0mm)node[shape=regular polygon, regular polygon sides=3,rotate=180,fill=red,inner sep=0.25mm,minimum height=2mm]{}
(13.5mm,0mm)node[shape=cross out,draw=black,line width=0.125mm,inner sep=0.25mm,minimum height=1mm]{}
(15.0mm,0mm)node[shape=cross out,draw=black,line width=0.125mm,inner sep=0.25mm,minimum height=1mm]{}
(16.5mm,0mm)node[shape=regular polygon, regular polygon sides=3,fill=green,inner sep=0.25mm,minimum height=2mm]{}
(18.0mm,0mm)node[shape=regular polygon, regular polygon sides=3,fill=green,inner sep=0.25mm,minimum height=2mm]{}
(19.5mm,0mm)node[shape=regular polygon, regular polygon sides=3,rotate=180,fill=red,inner sep=0.25mm,minimum height=2mm]{}
(21.0mm,0mm)node[shape=regular polygon, regular polygon sides=3,rotate=180,fill=red,inner sep=0.25mm,minimum height=2mm]{}
(22.5mm,0mm)node[shape=regular polygon, regular polygon sides=3,rotate=180,fill=red,inner sep=0.25mm,minimum height=2mm]{}
(24.0mm,0mm)node[shape=cross out,draw=black,line width=0.125mm,inner sep=0.25mm,minimum height=1mm]{}
(25.5mm,0mm)node[shape=cross out,draw=black,line width=0.125mm,inner sep=0.25mm,minimum height=1mm]{}
(27.0mm,0mm)node[shape=regular polygon, regular polygon sides=3,fill=green,inner sep=0.25mm,minimum height=2mm]{}
(28.5mm,0mm)node[shape=regular polygon, regular polygon sides=3,fill=green,inner sep=0.25mm,minimum height=2mm]{}
(30.0mm,0mm)node[shape=cross out,draw=black,line width=0.125mm,inner sep=0.25mm,minimum height=1mm]{}
;}} \\
\multicolumn{1}{@{}c@{}}{\begin{tabular}{@{}l@{\hskip 1pt}l@{\hskip 1pt}l@{}}v0.2 & r(-13) & g153\\{\small\sfrac{RSI}{3m}:53} & {\small\sfrac{RSI}{1m}:55} & {\small\sfrac{RSI}{2w}:63} \\ {\small12m:98} & {\small6m:96} & {\small1m:93} \\ \fbox{\tikz{\fill[green] (5.4737mm,2mm) circle(0.5mm);\fill[red] (0mm,0mm) circle(0.5mm);\draw[line width=0.2mm, inner sep=0pt, outer sep=0pt] (0.0000mm,0.0000mm)--(0.4211mm,0.1280mm)--(0.8421mm,0.1769mm)--(1.2632mm,0.2794mm)--(1.6842mm,0.3225mm)--(2.1053mm,0.4585mm)--(2.5263mm,0.6763mm)--(2.9474mm,1.0189mm)--(3.3684mm,1.3049mm)--(3.7895mm,1.6096mm)--(4.2105mm,1.9009mm)--(4.6316mm,1.9660mm)--(5.0526mm,1.9892mm)--(5.4737mm,2.0000mm)--(5.8947mm,1.8859mm)--(6.3158mm,1.6279mm)--(6.7368mm,1.4525mm)--(7.1579mm,1.4519mm)--(7.5789mm,1.5111mm)--(8.0000mm,1.7738mm);}}&\fbox{\tikz{\fill[green] (8mm,2mm) circle(0.5mm);\fill[red] (5.4737mm,0mm) circle(0.5mm);\draw[line width=0.2mm, inner sep=0pt, outer sep=0pt] (0.0000mm,1.5262mm)--(0.4211mm,1.6209mm)--(0.8421mm,1.5976mm)--(1.2632mm,1.5056mm)--(1.6842mm,1.3864mm)--(2.1053mm,1.1701mm)--(2.5263mm,1.0771mm)--(2.9474mm,1.1686mm)--(3.3684mm,1.2317mm)--(3.7895mm,1.0853mm)--(4.2105mm,0.8643mm)--(4.6316mm,0.6393mm)--(5.0526mm,0.2525mm)--(5.4737mm,0.0000mm)--(5.8947mm,0.0069mm)--(6.3158mm,0.3880mm)--(6.7368mm,0.7776mm)--(7.1579mm,1.1803mm)--(7.5789mm,1.6686mm)--(8.0000mm,2.0000mm);}}&\fbox{\tikz{\fill[green] (5.8947mm,2mm) circle(0.5mm);\fill[red] (2.5263mm,0mm) circle(0.5mm);\draw[line width=0.2mm, inner sep=0pt, outer sep=0pt] (0.0000mm,0.6608mm)--(0.4211mm,0.6367mm)--(0.8421mm,0.5624mm)--(1.2632mm,0.2812mm)--(1.6842mm,0.1040mm)--(2.1053mm,0.0520mm)--(2.5263mm,0.0000mm)--(2.9474mm,0.1133mm)--(3.3684mm,0.5519mm)--(3.7895mm,0.8398mm)--(4.2105mm,1.0640mm)--(4.6316mm,1.2882mm)--(5.0526mm,1.6259mm)--(5.4737mm,1.8365mm)--(5.8947mm,2.0000mm)--(6.3158mm,1.9240mm)--(6.7368mm,1.6468mm)--(7.1579mm,1.5082mm)--(7.5789mm,1.4220mm)--(8.0000mm,1.3894mm);}}\\\end{tabular}} \\
{\small LINU } \\
{\small AI-DAX }\\ \end{tabular}};}
from pairs.
nassuphis
commented on July 30, 2024
from pairs.
nassuphis
commented on July 30, 2024
the ionkey file
ICONKEY.pdf
from pairs.
nassuphis
commented on July 30, 2024
amd the "create pair icons" file:
create_pair_icons.pdf
from pairs.
nassuphis
commented on July 30, 2024
images.csv contains a mapping of pair names to the appropriate file:
from pairs.
Related Issues (20)
- the GMV portfolio HOT 4
- pair_risk_contribution report is out of date HOT 9
- ABC: can we add implied vols or credit spreads as measures of market risk? HOT 1
- pair_risk_contribution_new: sector gross looks wrong HOT 1
- the cross product
- custom PM report HOT 3
- loading "all results" is a really bad idea HOT 1
- intraday.csv is 25mb, too large to push to git HOT 3
- 2 year correlation looks wrong HOT 1
- CIX uploads dont work HOT 4
- AC112 has no single stock positions
- pair look-through matrix has more pairs than pair P&L matrix HOT 9
- pair ACTW7 has exposure but is not in duke_pair_look_vs_outright HOT 4
- CIX uploads do not work HOT 7
- AC's position is the sum of AC and ACTW. needs to be fixed.
- James Rodgers requests
- The fund pair risk contribution table
- The correlation of my portfolio to markets
- the correlation of my pairs to one another in an easy to read format
- the look-through exposures
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from pairs.