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package factors
import (
"context"
"gitee.com/quant1x/engine/cache"
"gitee.com/quant1x/engine/config"
"gitee.com/quant1x/engine/datasource/base"
"gitee.com/quant1x/engine/datasource/dfcf"
"gitee.com/quant1x/engine/market"
"gitee.com/quant1x/engine/utils"
"gitee.com/quant1x/exchange"
"gitee.com/quant1x/gox/api"
"gitee.com/quant1x/gox/logger"
"gitee.com/quant1x/num"
"gitee.com/quant1x/pandas"
. "gitee.com/quant1x/pandas/formula"
)
const (
cacheL5KeyMisc = "misc"
)
// Misc 上一个交易日的数据快照
type Misc struct {
cache.DataSummary `dataframe:"-"`
Date string `name:"日期" dataframe:"日期"` // 数据日期
Code string `name:"证券代码" dataframe:"证券代码"` // 证券代码
Shape uint64 `name:"K线形态" dataframe:"K线形态"` // K线形态
MV3 float64 `name:"前3日分钟均量" dataframe:"前3日分钟均量"` // 前3日分钟均量
MA3 float64 `name:"3日均线" dataframe:"3日均线"` // 3日均价
MV5 float64 `name:"前5日分钟均量" dataframe:"前5日分钟均量"` // 前5日每分钟均量, 量比(QuantityRelativeRatio)需要
MA5 float64 `name:"5日均线" dataframe:"5日均线"` // 5日均价
MA10 float64 `name:"10日均线" dataframe:"10日均线"` // 10日均价
MA20 float64 `name:"20日均线" dataframe:"20日均线"` // 生命线(MA20)/20日线
FundFlow float64 `name:"资金流向" dataframe:"资金流向"` // 资金流向, 暂时无用
RZYEZB float64 `name:"融资余额占流通市值比(%)" dataframe:"RZYEZB"` // 融资余额占流通市值比
VolumeRatio float64 `name:"成交量比" dataframe:"成交量比"` // 成交量放大比例, 相邻的两个交易日进行比对
TurnoverRate float64 `name:"换手率" dataframe:"换手率"` // 换手率
AmplitudeRatio float64 `name:"振幅" dataframe:"振幅"` // 振幅
BidOpen float64 `name:"竞价开盘" dataframe:"竞价开盘"` // 竞价开盘价
BidClose float64 `name:"竞价结束" dataframe:"竞价结束"` // 竞价结束
BidHigh float64 `name:"竞价最高" dataframe:"竞价最高"` // 竞价最高
BidLow float64 `name:"竞价最低" dataframe:"竞价最低"` // 竞价最低
BidMatched float64 `name:"竞价匹配量" dataframe:"竞价匹配量"` // 竞价匹配量
BidUnmatched float64 `name:"竞价未匹配" dataframe:"竞价未匹配"` // 竞价未匹配量
BidDirection int `name:"竞价方向" dataframe:"竞价方向"` // 竞价方向
OpenBiddingDirection int `name:"开盘竞价" dataframe:"开盘竞价"` // 竞价方向, 交易当日集合竞价开盘时更新
OpenVolumeDirection int `name:"开盘竞量" dataframe:"开盘竞量"` // 委托量差, 交易当日集合竞价开盘时更新
CloseBiddingDirection int `name:"收盘竞价" dataframe:"收盘竞价"` // 竞价方向, 交易当日集合竞价收盘时更新
CloseVolumeDirection int `name:"收盘竞量" dataframe:"收盘竞量"` // 委托量差, 交易当日集合竞价收盘时更新
OpenVolume int64 `name:"开盘量" dataframe:"开盘量"` // 开盘量
OpenTurnZ float64 `name:"开盘换手z" dataframe:"开盘换手z"` // 开盘换手z
CloseVolume int64 `name:"收盘量" dataframe:"收盘量"` // TODO:快照数据实际上有好几条, 应该用当日成交记录修订
CloseTurnZ float64 `name:"收盘换手z" dataframe:"收盘换手z"` // 收盘换手z
LastSentiment float64 `name:"昨日情绪" dataframe:"昨日情绪"` // 昨日情绪
LastConsistent int `name:"昨日情绪一致" dataframe:"昨日情绪一致"` // 昨日情绪一致
OpenSentiment float64 `name:"开盘情绪值" dataframe:"开盘情绪值"` // 开盘情绪值, 个股没有
OpenConsistent int `name:"开盘情绪一致" dataframe:"开盘情绪一致"` // 开盘情绪一致, 个股没有
CloseSentiment float64 `name:"收盘情绪值" dataframe:"收盘情绪值"` // 收盘情绪值
CloseConsistent int `name:"收盘情绪一致" dataframe:"收盘情绪一致"` // 收盘情绪一致
AveragePrice float64 `name:"均价线" dataframe:"均价线"` // 均价线
Volume int64 `name:"成交量" dataframe:"成交量"` // 成交量
InnerVolume int64 `name:"内盘" dataframe:"内盘"` // 内盘
OuterVolume int64 `name:"外盘" dataframe:"外盘"` // 外盘
InnerAmount float64 `name:"卖出金额" dataframe:"inner_amount"` // 卖出金额合计
OuterAmount float64 `name:"买入金额" dataframe:"outer_amount"` // 买入金额合计
Change5 float64 `name:"5日涨幅" dataframe:"5日涨幅"` // 5日涨幅
Change10 float64 `name:"10日涨幅" dataframe:"10日涨幅"` // 10日涨幅
InitialPrice float64 `name:"启动价格" dataframe:"启动价格"` // 短线底部(Short-Term Bottom),股价最近一次上穿5日均线
ShortIntensity float64 `name:"短线强度" dataframe:"短线强度"` // 短线强度,Strength
ShortIntensityDiff float64 `name:"短线强度增幅" dataframe:"短线强度增幅"` // 短线强度
MediumIntensity float64 `name:"中线强度" dataframe:"中线强度"` // 中线强度
MediumIntensityDiff float64 `name:"中线强度增幅" dataframe:"中线强度增幅"` // 中线强度
Vix float64 `name:"波动率" dataframe:"波动率"` // 波动率
BullPower float64 `name:"多方强度" dataframe:"多方强度"` // 多方强度
BearPower float64 `name:"空方强度" dataframe:"空方强度"` // 空方强度
PowerTrendReversal int `name:"多空反转" dataframe:"多空反转"` // 多空反转
PowerTrendPeriod int `name:"多空趋势周期" dataframe:"多空趋势周期"` // 多空趋势周期
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"` // 样本状态
}
func NewMisc(date, code string) *Misc {
summary := __mapFeatures[FeatureMisc]
v := Misc{
DataSummary: summary,
Date: date,
Code: code,
}
return &v
}
func (this *Misc) GetDate() string {
return this.Date
}
func (this *Misc) GetSecurityCode() string {
return this.Code
}
func (this *Misc) Factory(date string, code string) Feature {
v := NewMisc(date, code)
return v
}
func (this *Misc) Init(ctx context.Context, date string) error {
_ = ctx
_ = date
return nil
}
func (this *Misc) FromHistory(history History) Feature {
_ = history
return this
}
func (this *Misc) Update(code, cacheDate, featureDate string, complete bool) {
// 1. K线相关
miscKLineExtend(this, code, featureDate)
// 2. 成交量
miscTurnZ(this, code, cacheDate, featureDate)
// 3. 情绪
miscSentiment(this, code, cacheDate, featureDate)
// 4. 资金流向
miscFundFlow(this, code, cacheDate, featureDate)
miscPower(this, code, cacheDate, featureDate)
this.UpdateTime = GetTimestamp()
_ = complete
}
func (this *Misc) Repair(code, cacheDate, featureDate string, complete bool) {
// 1. K线相关
miscKLineExtend(this, code, featureDate)
// 2. 成交量, 使用cacheDate作为特征的缓存日期
marketSessionEnd := exchange.TradeSessionHasEnd(cacheDate)
if marketSessionEnd {
// 收盘后, 用当日数据
miscTurnZ(this, code, cacheDate, cacheDate)
} else {
// 盘中修复, 用上一个交易日的数据
miscTurnZ(this, code, cacheDate, featureDate)
}
// 3. 情绪
miscSentiment(this, code, cacheDate, featureDate)
// 4. 资金流向
miscFundFlow(this, code, cacheDate, featureDate)
miscPower(this, code, cacheDate, featureDate)
// 5. 融资融券
securityCode := exchange.CorrectSecurityCode(code)
rzrq, ok := GetMarginTradingTarget(securityCode)
if ok {
this.RZYEZB = rzrq.RZYEZB
}
this.UpdateTime = GetTimestamp()
_ = complete
}
func (this *Misc) Increase(snapshot QuoteSnapshot) Feature {
_ = snapshot
return this
}
// ValidateSample 验证样本数据
func (this *Misc) ValidateSample() error {
if this.State > 0 {
return nil
}
return ErrInvalidFeatureSample
}
// ExchangeKLineExtend 更新Exchange K线相关数据
func miscKLineExtend(info *Misc, securityCode string, featureDate string) {
cover := NewMiscKLine(securityCode, featureDate)
if cover == nil {
logger.Errorf("code[%s, %s] kline not found", securityCode, featureDate)
return
}
info.Date = cover.Date
info.Shape = cover.Shape
info.MV3 = cover.MV3
info.MA3 = cover.MA3
info.MV5 = cover.MV5
info.MA5 = cover.MA5
info.MA10 = cover.MA10
info.MA20 = cover.MA20
info.VolumeRatio = cover.VolumeRatio
info.TurnoverRate = cover.TurnoverRate
info.AmplitudeRatio = cover.AmplitudeRatio
info.AveragePrice = cover.AveragePrice
info.Change5 = cover.Change5
info.Change10 = cover.Change10
info.InitialPrice = cover.InitialPrice
// 强弱指标
info.ShortIntensity = cover.ShortIntensity
info.ShortIntensityDiff = cover.ShortIntensityDiff
info.MediumIntensity = cover.MediumIntensity
info.MediumIntensityDiff = cover.MediumIntensityDiff
// 波动率
info.Vix = cover.Vix
// 情绪, 指数和板块的情绪从K线上的up和down获取, 这里不处理个股的情绪
if exchange.AssertIndexBySecurityCode(info.Code) {
info.LastSentiment = cover.Sentiment
info.LastConsistent = cover.Consistent
}
info.State |= cover.Kind()
}
// 更新 - misc - 历史成交数据相关, capture,collect
func miscTurnZ(info *Misc, securityCode string, cacheDate, featureDate string) {
//list := base.GetHistoricalTradingData(securityCode, featureDate)
list := base.CheckoutTransactionData(securityCode, featureDate, true)
if len(list) > 0 {
summary := CountInflow(list, securityCode, featureDate)
// 修正f10的缓存, 应该是缓存日期为准
// 为了减少f10特征文件频繁切, 暂时调整为获取特征数据的日期 [wangfeng on 2024/5/17 16:45]
f10 := GetL5F10(securityCode, featureDate)
if f10 != nil {
summary.OpenTurnZ = f10.TurnZ(summary.OpenVolume)
summary.CloseTurnZ = f10.TurnZ(summary.CloseVolume)
}
cover := summary
info.OpenVolume = cover.OpenVolume
info.OpenTurnZ = cover.OpenTurnZ
info.CloseVolume = cover.CloseVolume
info.CloseTurnZ = cover.CloseTurnZ
info.Volume = cover.InnerVolume + cover.OuterVolume
info.InnerVolume = cover.InnerVolume
info.OuterVolume = cover.OuterVolume
info.InnerAmount = cover.InnerAmount
info.OuterAmount = cover.OuterAmount
}
}
// 更新 - misc - 情绪
func miscSentiment(info *Misc, securityCode string, cacheDate, featureDate string) {
if exchange.AssertIndexBySecurityCode(securityCode) {
// 跳过指数和板块, 只处理个股的情绪值
return
}
list := base.CheckoutTransactionData(securityCode, featureDate, true)
if len(list) > 0 {
cover := CountInflow(list, securityCode, featureDate)
info.LastSentiment, info.LastConsistent = market.SecuritySentiment(cover.OuterVolume, cover.InnerVolume)
}
}
// 更新 - misc - 资金流向
func miscFundFlow(info *Misc, securityCode string, cacheDate, featureDate string) {
if !exchange.AssertStockBySecurityCode(securityCode) {
return
}
beginDate := exchange.MARKET_CH_FIRST_LISTTIME
filename := cache.FundFlowFilename(securityCode)
cacheList := []dfcf.FundFlow{}
err := api.CsvToSlices(filename, &cacheList)
cacheLength := len(cacheList)
if err == nil && cacheLength > 0 {
beginDate = cacheList[cacheLength-1].Date
cacheList = cacheList[0 : cacheLength-1]
}
newList := dfcf.IndividualStocksFundFlow(securityCode, beginDate)
if len(newList) == 0 {
return
}
list := append(cacheList, newList...)
_ = api.SlicesToCsv(filename, list)
last := list[len(list)-1]
cover := last.Medium
info.FundFlow = cover
_ = cacheDate
_ = featureDate
}
type PowerTrend = int
const (
// SignalNegative indicates that a particular value is a negative peak.
SignalNegative PowerTrend = -1
// SignalNeutral indicates that a particular value is not a peak.
SignalNeutral PowerTrend = 0
// SignalPositive indicates that a particular value is a positive peak.
SignalPositive PowerTrend = 1
)
// 更新 - misc - 资金多空强度
func miscPower(info *Misc, securityCode string, cacheDate, featureDate string) {
lines := CheckoutWideTableByDate(securityCode, featureDate)
if len(lines) == 0 {
return
}
df := pandas.LoadStructs(lines)
if df.Nrow() == 0 {
return
}
ia := df.ColAsNDArray("inner_amount")
oa := df.ColAsNDArray("outer_amount")
diffIA := ia.Sub(REF(ia, 1))
diffOA := oa.Sub(REF(oa, 1))
info.BullPower = utils.Float64IndexOf(diffOA, -1)
info.BearPower = utils.Float64IndexOf(diffIA, -1)
bull := CROSS(diffOA, diffIA)
bear := CROSS(diffIA, diffOA)
nBull := BARSLAST(bull)
nBear := BARSLAST(bear)
trend := IFF(nBull.Lt(nBear), SignalPositive, SignalNegative)
period := IFF(trend.Eq(SignalPositive), nBull, nBear)
info.PowerTrendReversal = utils.IntegerIndexOf(trend, -1)
info.PowerTrendPeriod = utils.IntegerIndexOf(period, -1)
}
// AuctionWeaknessToStrength 弱转强, 开盘价下方买入
func (this *Misc) AuctionWeaknessToStrength() bool {
if this.ValidateSample() != nil {
return false
}
// 1. 竞价走低, 但是有承接力量
// 竞价走低
c1 := this.BidClose < this.BidOpen
// 竞价结束不低于竞价最低价
c2 := this.BidClose >= this.BidLow
// 未匹配量远低于匹配量
undertakePower := float64(this.BidUnmatched) / float64(this.BidMatched)
diffRatio := 1 - undertakePower
c3 := diffRatio >= config.TraderConfig().UndertakeRatio
// 竞价落差比
bidChangeRate := num.NetChangeRate(this.BidOpen, this.BidClose)
c4 := bidChangeRate >= -3.82
return c1 && c2 && c3 && c4
}
// AuctionStrengthToWeakness 竞价强转弱, 开盘就跑
func (this *Misc) AuctionStrengthToWeakness() bool {
if this.ValidateSample() != nil {
return false
}
// 1. 竞价不走低, 但是跟风力量不强, 开盘就跑
// 竞价不走低
c1 := this.BidClose >= this.BidOpen
// 竞价结束不低于竞价最低价
c2 := this.BidClose >= this.BidLow
// 未匹配量远低于匹配量
undertakePower := float64(this.BidUnmatched) / float64(this.BidMatched)
diffRatio := undertakePower
c3 := diffRatio <= config.TraderConfig().UndertakeRatio
return c1 && c2 && c3
}
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