utils

package
v0.1.8 Latest Latest
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 Go to latest Published: Oct 30, 2024 License: AGPL-3.0 Imports: 52 Imported by: 2

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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 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 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 RandomStr added in v0.1.8 

func RandomStr(length int) 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 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 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

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