factors

package
v0.2.5 Latest Latest
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 Go to latest Published: Oct 12, 2023 License: Apache-2.0 Imports: 19 Imported by: 0

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Index

Constants

View Source 
const (
	FeatureF10              = baseFeature + 1 // 特征数据-基本面
	FeatureHistory          = baseFeature + 2 // 特征数据-历史
	FeatureKLineShap        = baseFeature + 3 // 特征数据-K线形态等
	FeatureMovingAverage    = baseFeature + 4 // 特征数据-移动平均线
	FeatureBreaksThroughBox = baseFeature + 5 // 特征数据-有效突破平台

	FeatureHousNo1 = featureHous + 1 // 侯总1号策略
	FeatureHousNo2 = featureHous + 2 // 侯总2号策略
)

登记所有的特征数据

View Source 
const (
	CacheL5KeyF10 = "f10"
)
View Source 
const (
	CacheL5KeyHistory = "history"
)
View Source 
const (
	SubNewStockYears = 1 // 次新股几年内
)

Variables

This section is empty.

Functions

func BoolIndexOf added in v0.2.0 

func BoolIndexOf(s stat.Series, n int) bool

func ComputeFreeCapital added in v0.2.0 

func ComputeFreeCapital(holderList []dfcf.CirculatingShareholder, capital float64) (top10Capital, freeCapital, capitalChanged, increaseRatio, reductionRatio float64)

ComputeFreeCapital 计算自由流通股本

func IndexReverse added in v0.2.0 

func IndexReverse(s stat.Series) stat.Series

func IsSubNewStockByIpoDate added in v0.2.0 

func IsSubNewStockByIpoDate(securityCode, ipoDate, date string) bool

IsSubNewStockByIpoDate 检查是否次新股

func SeriesChangeRate added in v0.2.0 

func SeriesChangeRate(base, v stat.Series) stat.Series

SeriesChangeRate 计算两个序列的净增长

func SeriesIndexOf added in v0.2.0 

func SeriesIndexOf(s stat.Series, n int) float64

SeriesIndexOf 获取序列第n索引的值

func StringIndexOf added in v0.2.0 

func StringIndexOf(s stat.Series, n int) string

Types

type CompleteData added in v0.2.0 

type CompleteData struct {
	No1 HousNo1
}

type F10 added in v0.2.0 

type F10 struct {
	Date           string  `name:"日期"`           // 日期
	Code           string  `name:"代码"`           // 代码
	Name           string  `name:"名称"`           // 名称
	SubNew         bool    `name:"次新股"`          // 是否次新股
	VolUnit        int     `name:"每手"`           // 每手单位
	DecimalPoint   int     `name:"小数点"`          // 小数点
	IpoDate        string  `name:"上市日期"`         // 上市日期
	UpdateDate     string  `name:"更新日期"`         // 更新日期
	TotalCapital   float64 `name:"总股本"`          // 总股本
	Capital        float64 `name:"流通股本"`         // 流通股本
	FreeCapital    float64 `name:"自由流通股本"`       // 自由流通股本
	Top10Capital   float64 `name:"前十大流通股东总股本"`   // 前十大流通股东股本
	Top10Change    float64 `name:"前十大流通股东总股本变化"` //前十大流通股东股本变化
	ChangeCapital  float64 `name:"前十大流通股东持仓变化"`  // 前十大流通股东持仓变化
	IncreaseRatio  float64 `name:"当期增持比例"`       // 当期增持比例
	ReductionRatio float64 `name:"当期减持比例"`       // 当期减持比例
	BPS            float64 `name:"每股净资产"`        // 每股净资产
	BasicEPS       float64 `name:"每股收益"`         // 每股收益
	SafetyScore    int     `name:"安全分"`          // 通达信安全分
	Increases      int     `name:"增持"`           // 公告-增持
	Reduces        int     `name:"减持"`           // 公告-减持
	Risk           int     `name:"风险数"`          // 公告-风险数
	RiskKeywords   string  `name:"风险关键词"`        // 公告-风险关键词
}

F10 证券基本面

func NewF10 added in v0.2.0 

func NewF10(date, code string) *F10

func (*F10) ChangingOverDate added in v0.2.0 

func (f *F10) ChangingOverDate(date string)

func (*F10) Factory added in v0.2.0 

func (f *F10) Factory(date string, code string) Feature

func (*F10) FeatureName added in v0.2.0 

func (f *F10) FeatureName() string

func (*F10) FromHistory added in v0.2.0 

func (f *F10) FromHistory(history History) Feature

func (*F10) GetDate added in v0.2.0 

func (f *F10) GetDate() string

func (*F10) GetSecurityCode added in v0.2.0 

func (f *F10) GetSecurityCode() string

func (*F10) Increase added in v0.2.0 

func (f *F10) Increase(snapshot quotes.Snapshot) Feature

func (*F10) Init added in v0.2.0 

func (f *F10) Init(barIndex *int, date string) error

func (*F10) Key added in v0.2.0 

func (f *F10) Key() string

func (*F10) Kind added in v0.2.0 

func (f *F10) Kind() FeatureKind

func (*F10) Provider added in v0.2.3 

func (f *F10) Provider() string

func (*F10) Repair added in v0.2.0 

func (f *F10) Repair(code, cacheDate, featureDate string, complete bool)

func (*F10) TurnZ added in v0.2.0 

func (f *F10) TurnZ(v any) float64

func (*F10) Update added in v0.2.0 

func (f *F10) Update(code, cacheDate, featureDate string, complete bool)

type Factor 

type Factor interface {
	Init()                                       // 初始化
	Name() string                                // 因子名称
	Weight() uint64                              // 权重
	Execute(securityCode, date string) (ok bool) // 执行
}

Factor 因子

type Feature 

type Feature interface {
	Provider() string
	Factory(date string, code string) Feature                  // 工厂
	Kind() FeatureKind                                         // 类型
	FeatureName() string                                       // 特征名称
	Key() string                                               // 缓存关键字
	Init(barIndex *int, date string) error                     // 初始化, 加载配置信息
	GetDate() string                                           // 日期
	GetSecurityCode() string                                   // 证券代码
	FromHistory(history History) Feature                       // 从历史数据加载
	Update(code, cacheDate, featureDate string, complete bool) // 更新数据
	Repair(code, cacheDate, featureDate string, complete bool) // 回补数据
	Increase(snapshot quotes.Snapshot) Feature                 // 增量计算, 用快照增量计算特征

}

Feature 特征

type FeatureKind 

type FeatureKind = uint64

type FeatureSummary added in v0.2.3 

type FeatureSummary struct {
	Type FeatureKind
	Key  string
	Name string
}

type History 

type History struct {
	Date       string         `name:"日期"`          // 日期, 数据落地的日期
	Code       string         `name:"代码"`          // 代码
	MA3        float64        `name:"3日均价"`        // 3日均价
	MV3        float64        `name:"3日均量"`        // 3日均量
	MA5        float64        `name:"5日均价"`        // 5日均价
	MV5        float64        `name:"5日均量"`        // 5日均量
	MA10       float64        `name:"10日均价"`       // 10日均价
	MV10       float64        `name:"10日均量"`       // 10日均量
	MA20       float64        `name:"20日均价"`       // 20日均价
	MV20       float64        `name:"20日均量"`       // 20日均量
	QSFZ       bool           `name:"QSFZ: 反转信号"`  // QSFZ: 反转信号
	CP         float64        `name:"QSFZ: 股价涨幅"`  // QSFZ: 股价涨幅
	CV         float64        `name:"QSFZ: 成交量涨幅"` // QSFZ: 成交量涨幅
	VP         float64        `name:"QSFZ: 价量比"`   // QSFZ: 价量比
	VP3        float64        `name:"QSFZ: 3日价量比"` // QSFZ: 3日价量比
	VP5        float64        `name:"QSFZ: 5日价量比"` // QSFZ: 5日价量比
	Payloads   IncompleteData // 扩展的半成品数据
	Last       CompleteData   // 上一个交易日的数据
	UpdateTime string         `name:"更新时间"` // 更新时间
}

History 历史整合数据

func NewHistory added in v0.2.0 

func NewHistory(date, code string) *History

func (*History) Factory added in v0.2.0 

func (h *History) Factory(date string, code string) Feature

func (*History) FeatureName added in v0.2.0 

func (h *History) FeatureName() string

func (*History) FromHistory added in v0.2.0 

func (h *History) FromHistory(history History) Feature

func (*History) GetDate added in v0.2.0 

func (h *History) GetDate() string

func (*History) GetSecurityCode added in v0.2.0 

func (h *History) GetSecurityCode() string

func (*History) Increase added in v0.2.0 

func (h *History) Increase(snapshot quotes.Snapshot) Feature

func (*History) Init added in v0.2.0 

func (h *History) Init(barIndex *int, date string) error

func (*History) Key added in v0.2.0 

func (h *History) Key() string

func (*History) Kind added in v0.2.0 

func (h *History) Kind() FeatureKind

func (*History) Provider added in v0.2.3 

func (h *History) Provider() string

func (*History) Repair added in v0.2.0 

func (h *History) Repair(code, cacheDate, featureDate string, complete bool)

func (*History) Update added in v0.2.0 

func (h *History) Update(code, cacheDate, featureDate string, complete bool)

type HousNo1 added in v0.2.0 

type HousNo1 struct {
	MA5  float64
	MA10 float64
	MA20 float64
}

func (*HousNo1) Factory added in v0.2.0 

func (f *HousNo1) Factory(date string, code string) Feature

func (*HousNo1) FeatureName added in v0.2.0 

func (f *HousNo1) FeatureName() string

func (*HousNo1) FromHistory added in v0.2.0 

func (f *HousNo1) FromHistory(history History) Feature

func (*HousNo1) GetDate added in v0.2.0 

func (f *HousNo1) GetDate() string

func (*HousNo1) GetSecurityCode added in v0.2.0 

func (f *HousNo1) GetSecurityCode() string

func (*HousNo1) Increase added in v0.2.0 

func (f *HousNo1) Increase(snapshot quotes.Snapshot) Feature

func (*HousNo1) Init added in v0.2.0 

func (f *HousNo1) Init(barIndex *int, date string) error

func (*HousNo1) Key added in v0.2.0 

func (f *HousNo1) Key() string

func (*HousNo1) Kind added in v0.2.0 

func (f *HousNo1) Kind() FeatureKind

func (*HousNo1) Provider added in v0.2.3 

func (f *HousNo1) Provider() string

func (*HousNo1) Repair added in v0.2.0 

func (f *HousNo1) Repair(code, cacheDate, featureDate string, complete bool)

func (*HousNo1) Update added in v0.2.0 

func (f *HousNo1) Update(code, cacheDate, featureDate string, complete bool)

type IncompleteData added in v0.2.0 

type IncompleteData struct {
	No1 HousNo1
}

IncompleteData 不完整的数据

type Increase added in v0.2.3 

type Increase[T any] interface {
	Add(data T) T
}

Increase 增量数据计算接口 

deprecated: 不推荐

type Swift added in v0.2.0 

type Swift interface {
	Checkout(securityCode, date string)   // 捡出指定日期的缓存数据
	Update(cacheDate, featureDate string) // 更新数据
	Repair(cacheDate, featureDate string) // 回补数据
	Increase(snapshot quotes.Snapshot)    // 增量计算, 用快照增量计算特征
}

Swift 快速接口

type Weight 

type Weight = uint64

Weight 权重数据类型为64, 实际容纳63个

Source Files

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