utils

package
v0.1.7 Latest Latest
Warning

This package is not in the latest version of its module.

 Go to latest Published: Oct 10, 2024 License: AGPL-3.0 Imports: 50 Imported by: 2

Documentation

Index

Constants

This section is empty.

Variables

View Source 
var (
	// ErrNoNegativeResults is returned when no negative results are allowed
	ErrNoNegativeResults = errors.New("cannot calculate with no negative values")
)

Functions

func AlignTfMSecs 

func AlignTfMSecs(timeMSecs int64, tfMSecs int64) int64

AlignTfMSecs Convert the given 13 millisecond timestamp to the header start timestamp for the specified time period 将给定的13位毫秒级时间戳，转为指定时间周期下，的头部开始时间戳

func AlignTfMSecsOffset 

func AlignTfMSecsOffset(timeMSecs, tfMSecs, offset int64) int64

func AlignTfSecs 

func AlignTfSecs(timeSecs int64, tfSecs int) int64

AlignTfSecs Convert the given 10 second timestamp to the header start timestamp for the specified time period 将给定的10位秒级时间戳，转为指定时间周期下，的头部开始时间戳

func AlignTfSecsOffset 

func AlignTfSecsOffset(timeSecs int64, tfSecs int, offset int) int64

AlignTfSecsOffset Convert the given 10 second timestamp to the header start timestamp for the specified time period, using the specified offset 将给定的10位秒级时间戳，转为指定时间周期下，的头部开始时间戳，使用指定偏移

func ArrToMap 

func ArrToMap[T1 comparable, T2 any](arr []T2, doMap func(T2) T1) map[T1][]T2

func AutoCorrPenalty 

func AutoCorrPenalty(returns []float64) float64

AutoCorrPenalty Metric to account for auto correlation

func BuildOHLCV 

func BuildOHLCV(arr []*banexg.Kline, toTFMSecs int64, preFire float64, resOHLCV []*banexg.Kline, fromTFMS, offMS int64) ([]*banexg.Kline, bool)

BuildOHLCV Build or update coarser grained OHLC arrays from transactions or sub OHLC arrays. Arr: List of sub OHLC. ToTFSecs: Specify the time granularity to be built, in milliseconds PreFire: The rate at which builds are triggered ahead of schedule; ResOHLCV: Existing array to be updated From TFSets: The interval between the arr subarrays passed in, calculated when not provided, in milliseconds OffMS: offset of alignment time 从交易或子OHLC数组中，构建或更新更粗粒度OHLC数组。 arr: 子OHLC列表。 toTFSecs: 指定要构建的时间粒度，单位：毫秒 preFire: 提前触发构建完成的比率； resOHLCV: 已有的待更新数组 fromTFSecs: 传入的arr子数组间隔，未提供时计算，单位：毫秒 offMS: 对齐时间的偏移

func CalcCorrMat 

func CalcCorrMat(dataArr [][]float64, useChgRate bool) (*mat.SymDense, []float64, error)

CalcCorrMat calculate Correlation Matrix for given data

func CalcEnvsCorr added in v0.1.7 

func CalcEnvsCorr(envs []*ta.BarEnv, hisNum int) (*mat.SymDense, []float64, error)

func CalcExpectancy 

func CalcExpectancy(profits []float64) (float64, float64)

CalcExpectancy Calculate expected returns and risk return ratio 计算收益期望、风险回报率

func CalcMaxDrawDown 

func CalcMaxDrawDown(profits []float64, initBalance float64) (float64, float64, int, int, float64, float64)

CalcMaxDrawDown Calculate maximum drawdown Calculate the maximum drawdown percentage position when initBalance is provided; No location provided for calculating the maximum loss Return: Maximum drawdown percentage, maximum drawdown amount, maximum value index, minimum value index, maximum value, minimum value 计算最大回撤 initBalance 提供时计算最大回撤百分比位置；未提供计算亏损最多时位置 返回：最大回撤百分比、最大回撤额、最大值索引、最小值索引、最大值、最小值

func Check 

func Check(err error)

func ConvertArr 

func ConvertArr[T1, T2 any](arr []T1, doMap func(T1) T2) []T2

func ConvertFloat64 

func ConvertFloat64(i interface{}) float64

func ConvertInt64 

func ConvertInt64(i interface{}) int64

func Copy 

func Copy(srcFile, dstFile string) error

func CopyDir 

func CopyDir(src, dst string) error
func CopySymLink(source, dest string) error

func CutMap 

func CutMap[M ~map[K]V, K comparable, V any](m M, keys ...K) M

func DecArithMean 

func DecArithMean(values []decimal.Decimal) (decimal.Decimal, error)

DecArithMean is the basic form of calculating an average. Divide the sum of all values by the length of values

func DecArrToFloats 

func DecArrToFloats(arr []decimal.Decimal) []float64

func DecFinaGeomMean 

func DecFinaGeomMean(values []decimal.Decimal) (decimal.Decimal, error)

DecFinaGeomMean is a modified geometric average to assess the negative returns of investments. It accepts It adds +1 to each This does impact the final figures as it is modifying values It is still ultimately calculating a geometric average which should only be compared to other financial geometric averages

func DecPow 

func DecPow(x, y decimal.Decimal) decimal.Decimal

DecPow is lovely because shopspring decimal cannot handle ^0.x and instead returns 1

func DecSharpeRatio 

func DecSharpeRatio(moReturns []decimal.Decimal, riskFree decimal.Decimal) (decimal.Decimal, error)

DecSharpeRatio use 252 as default periods to calculate annualize

func DecSharpeRatioAdv 

func DecSharpeRatioAdv(moReturns []decimal.Decimal, riskFree decimal.Decimal, periods int, annualize, smart bool) (decimal.Decimal, error)

func DecSharpeRatioBy 

func DecSharpeRatioBy(moReturns []decimal.Decimal, riskFree decimal.Decimal, periods int, annualize bool) (decimal.Decimal, error)

func DecSharpeRatioSmart 

func DecSharpeRatioSmart(moReturns []decimal.Decimal, riskFree decimal.Decimal, periods int, annualize bool) (decimal.Decimal, error)

func DecSortinoRatio 

func DecSortinoRatio(moReturns []decimal.Decimal, riskFree decimal.Decimal) (decimal.Decimal, error)

func DecSortinoRatioAdv 

func DecSortinoRatioAdv(moReturns []decimal.Decimal, riskFree decimal.Decimal, periods int, annualize, smart bool) (decimal.Decimal, error)

DecSortinoRatioAdv returns sortino ratio of backtest compared to risk-free

func DecSortinoRatioBy 

func DecSortinoRatioBy(moReturns []decimal.Decimal, riskFree decimal.Decimal, periods int, annualize bool) (decimal.Decimal, error)

func DecSortinoRatioSmart 

func DecSortinoRatioSmart(moReturns []decimal.Decimal, riskFree decimal.Decimal, periods int, annualize bool) (decimal.Decimal, error)

func DecStdDev 

func DecStdDev(values []decimal.Decimal) (decimal.Decimal, error)

DecStdDev calculates standard deviation using population based calculation

func DecodeMsgData 

func DecodeMsgData(input interface{}, out interface{}, name string) bool

func DeepCopyMap 

func DeepCopyMap(dst, src map[string]interface{})

func DelNetLock 

func DelNetLock(key string, lockVal int32) *errs.Error

func DoHttp 

func DoHttp(client *http.Client, req *http.Request) *banexg.HttpRes

func EnsureDir 

func EnsureDir(dir string, perm os.FileMode) error

func EqualIn 

func EqualIn(a, b, thres float64) bool

EqualIn Determine whether two floats are approximately equal within a certain range 判断两个float是否在一定范围内近似相等

func EqualNearly 

func EqualNearly(a, b float64) bool

EqualNearly Determine whether two floats are approximately equal and solve the problem of inequality caused by floating-point close reading 判断两个float是否近似相等，解决浮点精读导致不等

func Exists 

func Exists(filePath string) bool

func FloatsToDecArr 

func FloatsToDecArr(arr []float64) []decimal.Decimal

func FormatWithMap 

func FormatWithMap(text string, args map[string]interface{}) string

func GcdInts 

func GcdInts(numbers []int) int

GcdMultiple Calculate the greatest common divisor of all elements in a slice 计算一个切片中所有元素的最大公约数

func GenCorrImg 

func GenCorrImg(m *mat.SymDense, title string, names []string, fontName string, fontSize float64) ([]byte, error)

func GetFilesWithPrefix added in v0.1.7 

func GetFilesWithPrefix(filePath string) ([]string, error)

func GetFontData 

func GetFontData(name string) ([]byte, error)

func GetNetLock 

func GetNetLock(key string, timeout int) (int32, *errs.Error)

func GetOpenFont 

func GetOpenFont(name string) (*opentype.Font, error)

func GetServerData 

func GetServerData(key string) (interface{}, *errs.Error)

func GetTfAlignOrigin 

func GetTfAlignOrigin(secs int) (string, int)

func KeysOfMap 

func KeysOfMap[M ~map[K]V, K comparable, V any](m M) []K

func KlineToStr 

func KlineToStr(klines []*banexg.Kline, loc *time.Location) [][]string

func MD5 added in v0.1.7 

func MD5(data []byte) string

func MapToStr 

func MapToStr(m map[string]float64) (string, int)

func NearScore 

func NearScore(x, mid, rate float64) float64

NearScore Formula: y=e ^ - abs (x-a) At the given maxAt, i.e. a, y takes its maximum value of 1, x moves towards both sides, y gradually approaches 0, and the slope decreases from large to small The default rate is 1, and when x is offset by 40, it decays by 70%; When rate>1, attenuation accelerates 公式：y=e^-abs(x-a) 在给定的maxAt即a处，y取最大值1，x向两侧移动，y逐渐趋近于0，斜率由大变小 rate默认1，x偏移40时，衰减70%；rate>1时，衰减加速

func NumSign 

func NumSign(obj interface{}) int

NumSign Obtain the direction of numbers; 1, -1 or 0 获取数字的方向；1，-1或0

func PadCenter 

func PadCenter(s string, width int, padText string) string

func ParallelRun 

func ParallelRun[T any](items []T, concurNum int, handle func(int, T) *errs.Error) *errs.Error

func PrintErr 

func PrintErr(e error) string

func ReadCSV 

func ReadCSV(path string) ([][]string, *errs.Error)

func ReadConfirm 

func ReadConfirm(tips []string, ok, fail string, exitAny bool) bool

func ReadInput 

func ReadInput(tips []string) (string, error)

func ReadLastNLines 

func ReadLastNLines(filePath string, lineCount int) ([]string, error)

func ReadXlsx 

func ReadXlsx(path, sheet string) ([][]string, *errs.Error)

ReadXlsx use first if `sheet` is empty

func RemoveFromArr 

func RemoveFromArr[T comparable](arr []T, it T, num int) []T

func ReverseArr 

func ReverseArr[T any](s []T)

func SecsToTF 

func SecsToTF(tfSecs int) string

SecsToTF Convert the seconds of a time period into a time period 将时间周期的秒数，转为时间周期

func SetServerData 

func SetServerData(args *KeyValExpire) *errs.Error

func SharpeRatio 

func SharpeRatio(moReturns []float64, riskFree float64) (float64, error)

func SharpeRatioAdv 

func SharpeRatioAdv(moReturns []float64, riskFree float64, periods int, annualize, smart bool) (float64, error)

func SharpeRatioBy 

func SharpeRatioBy(moReturns []float64, riskFree float64, periods int, annualize bool) (float64, error)

func SharpeRatioSmart 

func SharpeRatioSmart(moReturns []float64, riskFree float64, periods int, annualize bool) (float64, error)

func SnakeToCamel 

func SnakeToCamel(input string) string

func SortinoRatio 

func SortinoRatio(moReturns []float64, riskFree float64) (float64, error)

func SortinoRatioAdv 

func SortinoRatioAdv(moReturns []float64, riskFree float64, periods int, annualize, smart bool) (float64, error)

func SortinoRatioBy 

func SortinoRatioBy(moReturns []float64, riskFree float64, periods int, annualize bool) (float64, error)

func SortinoRatioSmart 

func SortinoRatioSmart(moReturns []float64, riskFree float64, periods int, annualize bool) (float64, error)

func SplitSolid 

func SplitSolid(text string, sep string) []string

SplitSolid String segmentation, ignore empty strings in the return result 字符串分割，忽略返回结果中的空字符串

func StdDevVolatility 

func StdDevVolatility(data []float64, rate float64) float64

StdDevVolatility Calculate the standard deviation of K-line volatility Data: It should be a set of numbers with a slight fluctuation above and below the mean of 1 Rate: default 1. If you need to enlarge the difference, pass in a value between 1-1000 计算K线的波动性标准差 

data: 应该是均值为1的上下轻微浮动的一组数
rate: 默认1，如需要放大差异，则传入1~1000之间的值

func TFToSecs 

func TFToSecs(timeFrame string) int

TFToSecs Convert the time cycle to seconds Supporting units: s, m, h, d, M, Q, Y 将时间周期转为秒 支持单位：s, m, h, d, M, Q, Y

func UnionArr 

func UnionArr[T comparable](arrs ...[]T) []T

func UniqueItems 

func UniqueItems[T comparable](arr []T) ([]T, []T)

func ValsOfMap 

func ValsOfMap[M ~map[K]V, K comparable, V any](m M) []V

func WriteCsvFile 

func WriteCsvFile(path string, rows [][]string, compress bool) *errs.Error

func WriteFile 

func WriteFile(path string, data []byte) *errs.Error

Types

type BanConn 

type BanConn struct {
	Conn      net.Conn          // Original socket connection 原始的socket连接
	Tags      map[string]bool   // Message subscription list 消息订阅列表
	Remote    string            // Remote Name 远端名称
	Listens   map[string]ConnCB // Message processing function 消息处理函数
	RefreshMS int64             // Connection ready timestamp 连接就绪的时间戳
	Ready     bool

	DoConnect  func(conn *BanConn) // Reconnect function, no attempt to reconnect provided 重新连接函数，未提供不尝试重新连接
	ReInitConn func()              // Initialize callback function after successful reconnection 重新连接成功后初始化回调函数
	// contains filtered or unexported fields
}

func (*BanConn) GetRemote 

func (c *BanConn) GetRemote() string

func (*BanConn) HasTag 

func (c *BanConn) HasTag(tag string) bool

func (*BanConn) IsClosed 

func (c *BanConn) IsClosed() bool

func (*BanConn) Read 

func (c *BanConn) Read() ([]byte, *errs.Error)

func (*BanConn) ReadMsg 

func (c *BanConn) ReadMsg() (*IOMsg, *errs.Error)

func (*BanConn) RunForever 

func (c *BanConn) RunForever() *errs.Error

RunForever Monitor the information sent by the connection and process it. According to the action of the message: Call the corresponding member function for processing; Directly input msd_data Or find the corresponding processing function from listeners. If there is an exact match, pass msd_data. Otherwise, pass action and msd_data Both the server-side and client-side will call this method 监听连接发送的信息并处理。 根据消息的action： 

调用对应成员函数处理；直接传入msg_data
或从listens中找对应的处理函数，如果精确匹配，传入msg_data，否则传入action, msg_data

服务器端和客户端都会调用此方法

func (*BanConn) Subscribe 

func (c *BanConn) Subscribe(tags ...string)

func (*BanConn) UnSubscribe 

func (c *BanConn) UnSubscribe(tags ...string)

func (*BanConn) Write 

func (c *BanConn) Write(data []byte, locked bool) *errs.Error

func (*BanConn) WriteMsg 

func (c *BanConn) WriteMsg(msg *IOMsg) *errs.Error

type ClientIO 

type ClientIO struct {
	BanConn
	Addr string
	// contains filtered or unexported fields
}

func NewClientIO 

func NewClientIO(addr string) (*ClientIO, *errs.Error)

func (*ClientIO) GetVal 

func (c *ClientIO) GetVal(key string, timeout int) (interface{}, *errs.Error)

func (*ClientIO) SetVal 

func (c *ClientIO) SetVal(args *KeyValExpire) *errs.Error

type Cluster 

type Cluster struct {
	Center float64
	Items  []float64
}

type ClusterRes 

type ClusterRes struct {
	Clusters []*Cluster
	RowGIds  []int
}

func KMeansVals 

func KMeansVals(vals []float64, num int) *ClusterRes

type ConnCB 

type ConnCB = func(string, interface{})

type IBanConn 

type IBanConn interface {
	WriteMsg(msg *IOMsg) *errs.Error
	Write(data []byte, locked bool) *errs.Error
	ReadMsg() (*IOMsg, *errs.Error)
	Subscribe(tags ...string)
	UnSubscribe(tags ...string)
	GetRemote() string
	IsClosed() bool
	HasTag(tag string) bool
	RunForever() *errs.Error
}

type IOKeyVal 

type IOKeyVal struct {
	Key string
	Val interface{}
}

type IOMsg 

type IOMsg struct {
	Action string
	Data   interface{}
}

type KeyValExpire 

type KeyValExpire struct {
	Key        string
	Val        interface{}
	ExpireSecs int
}

type PrgBar 

type PrgBar struct {
	DoneNum  int
	TotalNum int
	Last     int64 // for outer usage
	// contains filtered or unexported fields
}

func NewPrgBar 

func NewPrgBar(totalNum int, title string) *PrgBar

func (*PrgBar) Add 

func (p *PrgBar) Add(num int)

func (*PrgBar) Close 

func (p *PrgBar) Close()

func (*PrgBar) NewJob 

func (p *PrgBar) NewJob(num int) *PrgBarJob

type PrgBarJob 

type PrgBarJob struct {
	*PrgBar
	// contains filtered or unexported fields
}

func (*PrgBarJob) Add 

func (j *PrgBarJob) Add(num int)

func (*PrgBarJob) Done 

func (j *PrgBarJob) Done()

type ServerIO 

type ServerIO struct {
	Addr     string
	Name     string
	Conns    []IBanConn
	Data     map[string]interface{} // Cache data available for remote access 缓存的数据，可供远程端访问
	DataExp  map[string]int64       // Cache data expiration timestamp, 13 bits 缓存数据的过期时间戳，13位
	InitConn func(*BanConn)
}

func NewBanServer 

func NewBanServer(addr, name string) *ServerIO

func (*ServerIO) Broadcast 

func (s *ServerIO) Broadcast(msg *IOMsg) *errs.Error

func (*ServerIO) GetVal 

func (s *ServerIO) GetVal(key string) interface{}

func (*ServerIO) RunForever 

func (s *ServerIO) RunForever() *errs.Error

func (*ServerIO) SetVal 

func (s *ServerIO) SetVal(args *KeyValExpire)

func (*ServerIO) WrapConn 

func (s *ServerIO) WrapConn(conn net.Conn) *BanConn

type TFOrigin 

type TFOrigin struct {
	TFSecs     int
	OffsetSecs int
	Origin     string
}

Source Files

View all Source files

Jump to

Keyboard shortcuts

? : This menu
/ : Search site
f or F : Jump to
y or Y : Canonical URL
go.dev uses cookies from Google to deliver and enhance the quality of its services and to analyze traffic. Learn more.