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various fix to be able to dump correctly an html report in local batch mode #646

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various fix to be able to dump correctly an html report in local batch mode #646

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68 changes: 53 additions & 15 deletions pyfolio/tears.py
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Original file line number Diff line number Diff line change
Expand Up @@ -32,6 +32,8 @@
from . import timeseries
from . import txn
from . import utils
import base64
from io import BytesIO

FACTOR_PARTITIONS = {
'style': ['momentum', 'size', 'value', 'reversal_short_term',
Expand All @@ -52,6 +54,16 @@ def timer(msg_body, previous_time):
return current_time


def fig_as_html(fig):
tmpfile = BytesIO()
fig.savefig(tmpfile, format='png')
encoded = base64.b64encode(tmpfile.getvalue()).decode('utf-8')
html = '''<div>
<img src=\'data:image/png;base64, %s\'>
</div>''' % (encoded)
return html


def create_full_tear_sheet(returns,
positions=None,
transactions=None,
Expand Down Expand Up @@ -166,7 +178,12 @@ def create_full_tear_sheet(returns,
dict specifying how factors should be separated in perf attrib
factor returns and risk exposures plots
- See create_perf_attrib_tear_sheet().
return_fig : boolean, optional
If True, returns the figure that was plotted on.
html_dump : boolean, optional
If True, print html to stdout
"""
fig = None

if (unadjusted_returns is None) and (slippage is not None) and\
(transactions is not None):
Expand All @@ -177,7 +194,7 @@ def create_full_tear_sheet(returns,
positions = utils.check_intraday(estimate_intraday, returns,
positions, transactions)

create_returns_tear_sheet(
fig = create_returns_tear_sheet(
returns,
positions=positions,
transactions=transactions,
Expand All @@ -187,44 +204,65 @@ def create_full_tear_sheet(returns,
bootstrap=bootstrap,
turnover_denom=turnover_denom,
header_rows=header_rows,
set_context=set_context)
set_context=set_context,
return_fig=return_fig)
if html_dump and fig is not None:
print(fig_as_html(fig))

create_interesting_times_tear_sheet(returns,
fig = create_interesting_times_tear_sheet(returns,
benchmark_rets=benchmark_rets,
set_context=set_context)
set_context=set_context,
return_fig=return_fig)
if html_dump and fig is not None:
print(fig_as_html(fig))

if positions is not None:
create_position_tear_sheet(returns, positions,
if html_dump and positions is not None:
fig = create_position_tear_sheet(returns, positions,
hide_positions=hide_positions,
set_context=set_context,
sector_mappings=sector_mappings,
estimate_intraday=False)
estimate_intraday=False,
return_fig=return_fig)
if html_dump and fig is not None:
print(fig_as_html(fig))

if transactions is not None:
create_txn_tear_sheet(returns, positions, transactions,
fig = create_txn_tear_sheet(returns, positions, transactions,
unadjusted_returns=unadjusted_returns,
estimate_intraday=False,
set_context=set_context)
set_context=set_context,
return_fig=return_fig)
if html_dump and fig is not None:
print(fig_as_html(fig))
if round_trips:
create_round_trip_tear_sheet(
fig = create_round_trip_tear_sheet(
returns=returns,
positions=positions,
transactions=transactions,
sector_mappings=sector_mappings,
estimate_intraday=False)
estimate_intraday=False,
return_fig=return_fig)
if html_dump and fig is not None:
print(fig_as_html(fig))

if market_data is not None:
create_capacity_tear_sheet(returns, positions, transactions,
fig = create_capacity_tear_sheet(returns, positions, transactions,
market_data,
liquidation_daily_vol_limit=0.2,
last_n_days=125,
estimate_intraday=False)
estimate_intraday=False,
return_fig=return_fig)
if html_dump and fig is not None:
print(fig_as_html(fig))

if factor_returns is not None and factor_loadings is not None:
create_perf_attrib_tear_sheet(returns, positions, factor_returns,
fig = create_perf_attrib_tear_sheet(returns, positions, factor_returns,
factor_loadings, transactions,
pos_in_dollars=pos_in_dollars,
factor_partitions=factor_partitions)
factor_partitions=factor_partitions,
return_fig=return_fig)
if html_dump and fig is not None:
print(fig_as_html(fig))


@plotting.customize
Expand Down
2 changes: 1 addition & 1 deletion pyfolio/timeseries.py
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Original file line number Diff line number Diff line change
Expand Up @@ -1221,7 +1221,7 @@ def extract_interesting_date_ranges(returns, periods=None):
if periods is None:
periods = PERIODS
returns_dupe = returns.copy()
returns_dupe.index = returns_dupe.index.map(pd.Timestamp)
returns_dupe.index = returns_dupe.index.map(lambda t: pd.to_datetime(t.replace(tzinfo=None)).to_pydatetime())
ranges = OrderedDict()
for name, (start, end) in periods.items():
try:
Expand Down
2 changes: 1 addition & 1 deletion pyfolio/utils.py
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Original file line number Diff line number Diff line change
Expand Up @@ -216,7 +216,7 @@ def print_table(table,
# Inject the new HTML
html = html.replace('<thead>', '<thead>' + rows)

display(HTML(html))
display(HTML(html).data)


def standardize_data(x):
Expand Down