package factors
import (
"context"
"gitee.com/quant1x/engine/cache"
"gitee.com/quant1x/engine/datasource/base"
"gitee.com/quant1x/engine/utils"
"gitee.com/quant1x/gotdx/proto"
"gitee.com/quant1x/gotdx/trading"
"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 := proto.CorrectSecurityCode(this.Code)
tradeDate := trading.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 := trading.CN_DEFAULT_TOTALFZNUM
return this.MV5 / float64(minutes)
}