Sunday, 15 April 2012

ggplot2 Time Series Heatmaps

How do you easily get beautiful calendar heatmaps of time series in ggplot2? E.g:
From MarginTale
I was impressed by the lattice-based  implementation from Paul Bleicher of Humedica, which you can find referenced in http://blog.revolutionanalytics.com/2009/11/charting-time-series-as-calendar-heat-maps-in-r.html. Then, when other blogs like http://timelyportfolio.blogspot.com/2012/04/piggybacking-and-hopefully-publicizing.html picked up the topic, I decided to try a ggplot2 implementation. In a comment to the above Revolution Analytics post, Hadley already presented a quick ggplot rendition, upon which I build here.

How do you attack the problem? Looking at the example output above:
  1. We facet_grid by "months" and "years" 
  2. The data itself is plotted by "week of month" and "day of week" and coloured according to the value of interest
So, given a time series we just have to fiddle with time indexes to create a data.frame containing the time series as well as per observation the corresponding "month", "year", "week of month", "day of week". The rest is then a one-liner of code with Hadley's wonderful ggplot2 system.

The following code contains step by step comments:


It should be easy to wrap into a function and I hope its useful.
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6 comments:

  1. GDY.16 April 2012 at 04:32

    Hello,

    thanks for this very interesting post!

    I'm fairly new to R so I was hopping you could help with this: I'm trying to create the same chart but using daily percentage changes instead of close prices. I tried several ways but I couldn't do it. I was wondering if you could help me with this.

    Thanks a lot in advance!

    Dan.

    ReplyDelete
    Replies
    1. theHausdorffMetric16 April 2012 at 19:51

      thx,
      quick and dirty, add:

      VIX<-dailyReturn(Cl(VIX))
      colnames(VIX)<-"VIX.Close"

      after the line containing getSymbols

      enjoy

      Delete
  2. Krishna16 April 2012 at 11:47

    Hi,

    It is a good post. Just want to simplify few statements using lubridate package, especially where creating month, year and weekday are involved

    library(lubridate)

    dat$year = year(dat$date)

    # using month() in lubridate and set label option to true to get Jan..

    dat$month = month(dat$date, label = TRUE, abbr = TRUE)
    dat$weekday = wday(dat$date, label = TRUE, abbr = TRUE)

    #approximate for week num in month
    dat$monthday = mday(dat$date)
    dat$monthweek = ceiling(dat$monthday / 7)

    Cheers

    Krishna

    ReplyDelete
  3. Roman16 April 2012 at 17:00

    This is very useful. Thanks for posting.

    When I run this on the stock example, as well as data I have available, I'm getting scientific notation in the label on the right (ie. VIX.Close = 2.0e+01 as opposed to 20). Any thoughts on how this could be fixed?

    ReplyDelete
    Replies
    1. theHausdorffMetric16 April 2012 at 20:34

      what happens if you add
      breaks=seq(10,80,10)
      as a parameter into scale_fill_gradient(...) above?

      Delete
    2. WorldWanderers27 April 2012 at 04:41

      I'm having the same problem. The Week of the Month axis labels are also in scientific notation. How can I change this?

      Note: using breaks=seq(10,80,10) didn't change it.

      Delete

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