gitee.com/quant1x/engine@v1.8.4/factors/feature_history.go

package factors

import (
	"context"
	"gitee.com/quant1x/engine/cache"
	"gitee.com/quant1x/engine/datasource/base"
	"gitee.com/quant1x/engine/utils"
	"gitee.com/quant1x/exchange"
	"gitee.com/quant1x/gox/api"
	"gitee.com/quant1x/pandas"
	. "gitee.com/quant1x/pandas/formula"
)

// IncompleteData 不完整的数据
type IncompleteData struct {
	No1 HousNo1
}

type CompleteData struct {
	No1 HousNo1
}

const (
	cacheL5KeyHistory = "history"
)

// History 历史整合数据
//
//	记录重要的截止上一个交易日的数据
type History struct {
	cache.DataSummary `dataframe:"-"`
	Date              string         `name:"日期" dataframe:"date"`           // 日期, 数据落地的日期
	Code              string         `name:"代码" dataframe:"code"`           // 代码
	MA2               float64        `name:"2日均价" dataframe:"ma2"`          // 2日均价
	MA3               float64        `name:"3日均价" dataframe:"ma3"`          // 3日均价
	MV3               float64        `name:"3日均量" dataframe:"mv3"`          // 3日均量
	MA4               float64        `name:"4日均价" dataframe:"ma4"`          // 4日均价
	MA5               float64        `name:"5日均价" dataframe:"ma5"`          // 5日均价
	MV5               float64        `name:"5日均量" dataframe:"mv5"`          // 5日均量
	MA9               float64        `name:"9日均价" dataframe:"ma9"`          // 9日均价
	MV9               float64        `name:"9日均量" dataframe:"mv9"`          // 9日均量
	MA10              float64        `name:"10日均价" dataframe:"ma10"`        // 10日均价
	MV10              float64        `name:"10日均量" dataframe:"mv10"`        // 10日均量
	MA19              float64        `name:"19日均价" dataframe:"ma19"`        // 19日均价
	MV19              float64        `name:"19日均量" dataframe:"mv19"`        // 19日均量
	MA20              float64        `name:"20日均价" dataframe:"ma20"`        // 20日均价
	MV20              float64        `name:"20日均量" dataframe:"mv20"`        // 20日均量
	OPEN              float64        `name:"开盘" dataframe:"open"`           // 昨日开盘
	CLOSE             float64        `name:"收盘" dataframe:"close"`          // 昨日收盘
	HIGH              float64        `name:"最高" dataframe:"high"`           // 昨日最高
	LOW               float64        `name:"最低" dataframe:"low"`            // 昨日最低
	VOL               float64        `name:"成交量" dataframe:"vol"`           // 昨日成交量
	AMOUNT            float64        `name:"成交额" dataframe:"amount"`        // 昨日成交额
	AveragePrice      float64        `name:"均价" dataframe:"average_price"`  // 昨日均价
	Payloads          IncompleteData `name:"payloads" dataframe:"payloads"` // 扩展的半成品数据
	Last              CompleteData   `name:"last" dataframe:"last"`         // 上一个交易日的数据
	UpdateTime        string         `name:"更新时间" dataframe:"update_time"`  // 更新时间
	State             uint64         `name:"样本状态" dataframe:"样本状态"`
}

func NewHistory(date, code string) *History {
	summary := __mapFeatures[FeatureHistory]
	v := History{
		DataSummary: summary,
		Date:        date,
		Code:        code,
	}
	return &v
}

func (this *History) GetDate() string {
	return this.Date
}

func (this *History) GetSecurityCode() string {
	return this.Code
}

func (this *History) Factory(date string, code string) Feature {
	v := NewHistory(date, code)
	return v
}

func (this *History) Init(ctx context.Context, date string) error {
	_ = ctx
	_ = date
	return nil
}

func (this *History) FromHistory(history History) Feature {
	_ = api.Copy(this, &history)
	return this
}

func (this *History) Update(code, cacheDate, featureDate string, complete bool) {
	this.Repair(code, cacheDate, featureDate, complete)
}

func (this *History) Repair(code, cacheDate, featureDate string, complete bool) {
	securityCode := exchange.CorrectSecurityCode(this.Code)
	tradeDate := exchange.FixTradeDate(featureDate)
	klines := base.CheckoutKLines(securityCode, tradeDate)
	if len(klines) < cache.KLineMin {
		return
	}
	df := pandas.LoadStructs(klines)
	var (
		OPEN   = df.ColAsNDArray("open")
		CLOSE  = df.ColAsNDArray("close")
		HIGH   = df.ColAsNDArray("high")
		LOW    = df.ColAsNDArray("low")
		VOL    = df.ColAsNDArray("volume")
		AMOUNT = df.ColAsNDArray("amount")
	)
	ma2 := MA(CLOSE, 2)
	this.MA2 = utils.Float64IndexOf(ma2, -1)
	//MA3        float64 // 3日均价
	ma3 := MA(CLOSE, 3)
	this.MA3 = utils.Float64IndexOf(ma3, -1)
	//	MV3        float64 // 3日均量
	mv3 := MA(VOL, 3)
	this.MV3 = utils.Float64IndexOf(mv3, -1)
	ma4 := MA(CLOSE, 4)
	this.MA4 = utils.Float64IndexOf(ma4, -1)
	//	MA5        float64 // 5日均价
	ma5 := MA(CLOSE, 5)
	this.MA5 = utils.Float64IndexOf(ma5, -1)
	//	MV5        float64 // 5日均量
	mv5 := MA(VOL, 5)
	this.MV5 = utils.Float64IndexOf(mv5, -1)
	//	MA9       float64 // 9日均价
	ma9 := MA(CLOSE, 9)
	this.MA9 = utils.Float64IndexOf(ma9, -1)
	//	MV9       float64 // 9日均量
	mv9 := MA(VOL, 9)
	this.MV9 = utils.Float64IndexOf(mv9, -1)
	//	MA10       float64 // 10日均价
	ma10 := MA(CLOSE, 10)
	this.MA10 = utils.Float64IndexOf(ma10, -1)
	//	MV10       float64 // 10日均量
	mv10 := MA(VOL, 10)
	this.MV10 = utils.Float64IndexOf(mv10, -1)
	//	MA19       float64 // 19日均价
	ma19 := MA(CLOSE, 19)
	this.MA19 = utils.Float64IndexOf(ma19, -1)
	//	MV19       float64 // 19日均量
	mv19 := MA(VOL, 19)
	this.MV19 = utils.Float64IndexOf(mv19, -1)
	//	MA20       float64 // 20日均价
	ma20 := MA(CLOSE, 20)
	this.MA20 = utils.Float64IndexOf(ma20, -1)
	//	MV20       float64 // 20日均量
	mv20 := MA(VOL, 20)
	this.MV20 = utils.Float64IndexOf(mv20, -1)
	//OPEN              float64        `name:"开盘" dataframe:"open"`           // 开盘价
	this.OPEN = utils.Float64IndexOf(OPEN, -1)
	//CLOSE             float64        `name:"收盘" dataframe:"close"`          // 收盘价
	this.CLOSE = utils.Float64IndexOf(CLOSE, -1)
	this.HIGH = utils.Float64IndexOf(HIGH, -1)
	this.LOW = utils.Float64IndexOf(LOW, -1)
	//VOL               float64        `name:"成交量" dataframe:"vol"`           // 昨日成交量
	this.VOL = utils.Float64IndexOf(VOL, -1)
	//AMOUNT            float64        `name:"成交额" dataframe:"amount"`        // 昨日成交额
	this.AMOUNT = utils.Float64IndexOf(AMOUNT, -1)
	ap := AMOUNT.Div(VOL)
	this.AveragePrice = utils.Float64IndexOf(ap, -1)
	// 扩展数据 修复
	{
		// hous_no1
		this.Payloads.No1.Repair(securityCode, cacheDate, featureDate, false)
		this.Last.No1.Repair(securityCode, cacheDate, featureDate, true)
	}
	_ = OPEN
	this.UpdateTime = GetTimestamp()
	this.State |= this.Kind()
}

func (this *History) Increase(snapshot QuoteSnapshot) Feature {
	//TODO implement me
	panic("implement me")
}

func (this *History) ValidateSample() error {
	if this.State > 0 {
		return nil
	}
	return ErrInvalidFeatureSample
}

// GetMV5 前5日分钟均量
func (this *History) GetMV5() float64 {
	//minutes := trading.Minutes(this.GetDate())
	//if minutes < 1 {
	//	minutes = 1
	//}
	minutes := exchange.CN_DEFAULT_TOTALFZNUM
	return this.MV5 / float64(minutes)
}