Financial Charts

This shows examples of financial market visualization charts. CandlestickChart displays candlestick patterns for technical analysis. ExecutionPlot provides comprehensive trading execution analysis with refined slippage methodology. DrawdownPlot visualizes strategy drawdowns from peak performance with day-of-week filtering.

Financial Charts

Stock Price Analysis - Q1 2024

An Candlestick (Open-High-Low-Close) chart displays financial market data with candlesticks showing price movements. This example tracks AAPL, MSFT, and GOOGL through Q1 2024. Key Features: Time range sliders to zoom into specific date ranges (drag the handles to adjust), Renormalize toggle to compare stocks at different price levels (divides all prices by first bar's open price, setting it to 1.0), Display mode dropdown to switch between Overlay (all symbols on same chart) and Faceted (one subplot per symbol), Volume bars at bottom with Show/Hide toggle and Log scale option (useful when volume varies greatly), Chart type selector to switch between candlestick (filled bars) and Candlestick (line bars) styles, Filter controls to select which stocks and sectors to display. The volume bars use a dodged (grouped) layout and align perfectly with the Candlestick bars above. This visualization is essential for technical analysis, allowing traders to identify patterns, trends, and volume spikes. See here for CandlestickChart examples

Filters

sector:

Plot Attributes

Chart Type:

Display Mode:

Renormalize (first bar open = 1)

Show Volume

Log Volume

Aspect Ratio: 0.6 (0.25 - 2.5)

Data: candlestick_data.parquet

Trading Execution Analysis

Execution:

Color by:

Units:

Top:

Aspect Ratio:

ExecutionPlot provides comprehensive analysis of trading execution quality using the RefinedSlippage methodology. Key Features: Dropdown to select individual executions, color fills by order type or exchange, units dropdown to switch between bps/pct/USD, summary table with key metrics (classical slippage, vs VWAP, refined slippage, spread crossing). Views: Bid/Ask shows market spread with fills and volume bars, Mid+CF shows counterfactual prices from peer correlations, +Peers overlays correlated asset price paths, Progress shows execution completion %, Spread Pos shows where fills occurred within the bid-ask spread, Slippage shows cumulative slippage metrics over the order. Volume toggle adds market volume bars. Data source documentation appears below the chart. References: SSRN paper on Refined Slippage | RefinedSlippage.jl GitHub repo | See here for ExecutionPlot examples

Data Sources: This visualization uses data from RefinedSlippage.ExecutionData.

Fills: Trade executions from exec_data.fills (time, price, quantity, execution_name, asset)
Bid/Ask: Top-of-book quotes from exec_data.tob (time, symbol, bid_price, ask_price)
Volume: Market volume from exec_data.volume (time_from, time_to, symbol, volume) - optional
Peer Returns: Correlated asset returns from exec_data.fill_returns columns (computed via covariance matrix)
Slippage Metrics: Summary statistics from exec_data.summary_bps (classical, refined, vs_vwap slippage)

To regenerate: exec_data = ExecutionData(fills, metadata, tob, covar_matrix; volume=volume) then calculate_slippage!(exec_data)

Data: exec_data.parquet

Strategy Drawdown Analysis

DrawdownPlot visualizes strategy drawdowns from peak cumulative performance. Lines are at zero when at new highs, negative when in drawdown. Key Features: Use 'Metric' dropdown to switch between cumulative PnL and wealth (cumprod) drawdowns, hover to see maximum drawdown for the visible window, filter by day of week to analyze day-specific effects (recalculates max drawdown), facet by style to compare Factor vs Alternative, Step Forward/Back to analyze drawdowns in specific periods. See here for DrawdownPlot examples

Filters

day_of_week:

style:

Plot Attributes

Color by:

Metric:

Duration: days

Step: (days)

        Start: --   End: --   Duration: --
    

Facets

Facet by:

Aspect Ratio: 0.5 (0.25 - 2.5)

Data: drawdown_data.parquet

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