How to add heatmap to quantmod::chart_Series?

Question

I would like to plot heatmap(s) below quantmod::chart_Series(). How to add the below heatmap to chart_Series (or xts::plot.xts):

library(quantmod)

# Get data fro symbol from Google Finance
symbol <- "SPY"
src <- "google"
from <- "2017-01-01"
symbolData <- getSymbols(symbol, src=src, from=from, auto.assign=FALSE)

# Calculate simple returns
symbolData.ret <- ROC(Cl(symbolData), type="discrete")

# Calculate lagged autocorrelations (Pearson correlation for each value of lag)
nLags <- 100
averageLength <- 3
symbolData.laggedAutocorr <- matrix(0, nLags, NROW(symbolData.ret))
for (lag in 2: nLags) {
    # Set the average length as M
    if (averageLength == 0) M <- lag
    else M <- averageLength
    symbolData.laggedAutocorr[lag, ] <- runCor(symbolData.ret, lag(symbolData.ret, lag), M)
}
symbolData.laggedAutocorr[is.na(symbolData.laggedAutocorr)] <- 0
symbolData.laggedAutocorr.xts <- reclass(t(symbolData.laggedAutocorr), symbolData)ž
subset <- "2017"
chart_Series(symbolData, name=symbol, subset=subset)

# Use transposed symbolData.laggedAutocorr for plot so you have data aligned to symbolData
# How to add the below heatmap to chart_Series?
heatmap(symbolData.laggedAutocorr.xts, Rowv = NA, Colv = NA, na.rm = TRUE, labCol = "")

add_Heatmap <- function(heatmapdata, ...) {
    lenv <- new.env()
    lenv$plot_ta <- function(x, heatmapdata, ...) {
        # fill in body of low level plot calls here
        # use a switch based on type of TA to draw: bands, bars, lines, dots...
        xsubset <- x$Env$xsubset
        #heatmapdata <- heatmapdata[subset] # TODO: Something is wrong if I have a subset here
        heatmap(heatmapdata, Rowv=NA, Colv=NA, na.rm=TRUE, labCol="")
        #image(1:NROW(heatmapdata), 1:NCOL(heatmapdata), coredata(heatmapdata), axes=FALSE)
    }
    mapply(function(name, value) {assign(name,value,envir=lenv)},
            names(list(heatmapdata=heatmapdata,...)),
            list(heatmapdata=heatmapdata,...))
    exp <- parse(text=gsub("list","plot_ta",
                    as.expression(substitute(list(x=current.chob(),
                                            heatmapdata=heatmapdata,
                                            ...)))), srcfile=NULL)
    chob <- current.chob()
    chob$add_frame(ylim=c(0, 0.3), asp=0.3)  # need to have a value set for ylim
    chob$next_frame()
    chob$replot(exp,env=c(lenv, chob$Env),expr=TRUE)

    chob
}

chart_Series(symbolData)
add_Heatmap(symbolData.laggedAutocorr.xts)

The above almost works... The issue is that the heatmap or image is plotted over the main part of chart_Series instead below of it. What to do in order for it to plot correctly?

Answer 1

I hope this is useful for other people since I managed to get this working (to a certain level). There are still issues. Please see comments at the end of code below and comment what to do in order to remove those issues.

add_Heatmap <- function(heatmapcol, ..., yvalues=1:NCOL(heatmapcol)) {
    lenv <- new.env()

    lenv$plot_ta <- function(x, heatmapcol, ...) {
        xdata <- x$Env$xdata        # internal main series
        xsubset <- x$Env$xsubset
        heatmapcol <- heatmapcol[xsubset]

        x.pos <- 1:NROW(heatmapcol)
        segments(axTicksByTime(xdata[xsubset], ticks.on=x$Env$ticks.on),
                0, 
                axTicksByTime(xdata[xsubset], ticks.on=x$Env$ticks.on),
                NCOL(heatmapcol), col=x$Env$theme$grid)

        # TODO: What is faster polgon or rect (https://stackoverflow.com/questions/15627674/efficiency-of-drawing-rectangles-on-image-matrix-in-r)
        # TODO: What is faster for or lapply?
#       for (i in 1:NCOL(heatmapcol)) {
#           rect(x.pos - 1/2, i - 1/2, x.pos + 1/2, i + 1/2 + 1, col=heatmapcol[x.pos, i], border=NA, ...)  # base graphics call
#       }

        lapply(1:NCOL(heatmapcol), function(i) rect(x.pos - 1/2, i - 1/2, x.pos + 1/2, i + 1/2 + 1, col=heatmapcol[x.pos, i], border=NA, ...))
    }

    mapply(function(name, value) {assign(name,value,envir=lenv)},
            names(list(heatmapcol=heatmapcol, ...)),
            list(heatmapcol=heatmapcol, ...))
    exp <- parse(text=gsub("list", "plot_ta",
                    as.expression(substitute(list(x=current.chob(),
                                            heatmapcol=heatmapcol,
                                            ...)))), srcfile=NULL)
    chob <- current.chob()
#   chob$add_frame(ylim=c(0, 1),asp=0.15)   # add the header frame
#   chob$next_frame()                      # move to header frame

    chob$add_frame(ylim=c(1, NCOL(heatmapcol)), asp=1)  # need to have a value set for ylim
    chob$next_frame()

    if (length(yvalues) != NCOL(heatmapcol)) {
        # We have a case when min and max is specified
        yvalues <- (range(yvalues)[1]):(range(yvalues)[2])
    }

    # add grid lines
    lenv$grid_lines_val <- function(xdata, x) { 
        ret <- pretty(yvalues)

        if (ret[1] != min(yvalues)) {
            if (ret[1] <= min(yvalues)) {
                ret[1] <- min(yvalues)
            } else {
                ret <- c(min(yvalues), ret)
            }
        }

        if (ret[length(ret)] != max(yvalues)) {
            if (ret[length(ret)] >= max(yvalues)) {
                ret[length(ret)] <- max(yvalues)
            } else {
                ret <- c(ret, max(yvalues))
            }
        }

        return(ret)
    }

    lenv$grid_lines_pos <- function(xdata, x) { 
        ret <- lenv$grid_lines_val(xdata, x)

        ret <- ret - min(yvalues)

        return(ret)
    }

    exp <- c(exp, 
            # Add axis labels/boxes
           expression(text(1- 1/3 - max(strwidth(grid_lines_val(xdata, xsubset))), grid_lines_pos(xdata, xsubset),
                      noquote(format(grid_lines_val(xdata, xsubset), justify="right")),
                      col=theme$labels, offset=0, pos=4, cex=0.9)),
           expression(text(NROW(xdata[xsubset]) + 1/3, grid_lines_pos(xdata, xsubset),
                      noquote(format(grid_lines_val(xdata, xsubset), justify="right")),
                      col=theme$labels, offset=0, pos=4, cex=0.9)))

    chob$replot(exp, env=c(lenv, chob$Env), expr=TRUE)

    chob
}

colorsForHeatmap<-function(heatmapdata) {
    heatmapdata <- 0.5*(heatmapdata + 1)

    r <- coredata((heatmapdata > 0.5)*round(255*(2 - 2*heatmapdata)) + (heatmapdata <= 0.5)*255)
    g <- coredata((heatmapdata > 0.5)*255 + (heatmapdata <= 0.5)*round(255*2*heatmapdata))
    b <- coredata(heatmapdata*0.0) # Set to 0 for all

    col <- rgb(r, g, b, maxColorValue=255)
    dim(col) <- dim(r)

    col <- reclass(col, heatmapdata)

    return(col)
}

library(quantmod)

# Get data for symbol from Google Finance
symbol <- "SPY"
src <- "google"
from <- "1990-01-01"
symbolData <- getSymbols(symbol, src=src, from=from, auto.assign=FALSE)

# Calculate simple returns
symbolData.ret <- ROC(Cl(symbolData), type="discrete")

# Calculate lagged autocorrelations (Pearson correlation for each value of lag)
nLags <- 48
averageLength <- 3
symbolData.laggedAutocorr <- matrix(0, NROW(symbolData.ret), nLags)
for (lag in 2:nLags) {
    # Set the average length as M
    if (averageLength == 0) M <- lag
    else M <- averageLength
    symbolData.laggedAutocorr[, lag] <- runCor(symbolData.ret, lag(symbolData.ret, lag), M)
}
symbolData.laggedAutocorr[is.na(symbolData.laggedAutocorr)] <- 0

symbolData.laggedAutocorr.xts <- xts(symbolData.laggedAutocorr, index(symbolData))

heatmapColData <- colorsForHeatmap(symbolData.laggedAutocorr.xts)

symbolData.rsi2 <- RSI(Cl(symbolData), n=2)

subset <- "2011/"
chart_Series(symbolData, name=symbol, subset=subset)
add_Heatmap(heatmapColData, yvalues=2:nLags)

# TODO: There are still issues:
#   - add a horizontal line
five <- symbolData[, 1]
five[, 1] <- 5
add_TA(five, col="violet", on=3)
#> add_TA(five, col="violet", on=3)
#Error in ranges[[frame]] : subscript out of bounds
#   - add RSI for example and heatmap disappears
add_RSI()
#   - or add TA
add_TA(symbolData.rsi2)
# What to do so it works like intended: I can add lines on top of heatmaps? I can add other TAs in new panes?