Merge pull request #108 from fasiondog/develop

Develop
2024-11-30 02:48:57 +08:00 · 2023-09-07 00:53:50 +08:00 · 2023-09-07 00:53:50 +08:00 · 7d6c0886f0
commit 7d6c0886f0
parent ed7b593d9e 86dc39b7ba
6 changed files with 131 additions and 1 deletions
--- a/hikyuu_cpp/hikyuu/indicator/Indicator.cpp
+++ b/hikyuu_cpp/hikyuu/indicator/Indicator.cpp
@ -300,4 +300,14 @@ Indicator HKU_API IF(const Indicator& x, price_t a, price_t b) {
    return IF(x, CVAL(x, a), CVAL(x, b));
 }

+Indicator HKU_API CORR(const Indicator& ind1, const Indicator& ind2, int n) {
+    HKU_ERROR_IF_RETURN(!ind1.getImp() || !ind2.getImp(), Indicator(),
+                        "ind1 or ind2 is Null Indicator!");
+    HKU_ERROR_IF_RETURN(n < 2, Indicator(), "Invalid param n: {} (need >= 2)", n);
+    IndicatorImpPtr p = make_shared<IndicatorImp>("CORR");
+    p->setParam<int>("n", n);
+    p->add(IndicatorImp::CORR, ind1.getImp(), ind2.getImp());
+    return p->calculate();
+}
+
 } /* namespace hku */
--- a/hikyuu_cpp/hikyuu/indicator/Indicator.h
+++ b/hikyuu_cpp/hikyuu/indicator/Indicator.h
@ -365,6 +365,14 @@ Indicator HKU_API IF(const Indicator& x, price_t a, const Indicator& b);
 Indicator HKU_API IF(const Indicator& x, const Indicator& a, price_t b);
 Indicator HKU_API IF(const Indicator& x, price_t a, price_t b);

+/**
+ * 计算相关系数
+ * @param ind1 指标1
+ * @param ind2 指标2
+ * @ingroup Indicator
+ */
+Indicator HKU_API CORR(const Indicator& ind1, const Indicator& ind2, int n);
+
 } /* namespace hku */

 #if FMT_VERSION >= 90000
--- a/hikyuu_cpp/hikyuu/indicator/IndicatorImp.cpp
+++ b/hikyuu_cpp/hikyuu/indicator/IndicatorImp.cpp
@ -400,6 +400,10 @@ string IndicatorImp::formula() const {
                << m_right->formula() << ")";
            break;

+        case CORR:
+            buf << m_name << "(" << m_left->formula() << ", " << m_right->formula() << ")";
+            break;
+
        default:
            HKU_ERROR("Wrong optype! {}", int(m_optype));
            break;
@ -623,6 +627,10 @@ Indicator IndicatorImp::calculate() {
            execute_if();
            break;

+        case CORR:
+            execute_corr();
+            break;
+
        default:
            HKU_ERROR("Unkown Indicator::OPType! {}", int(m_optype));
            break;
@ -1251,6 +1259,98 @@ void IndicatorImp::execute_if() {
    }
 }

+void IndicatorImp::execute_corr() {
+    m_right->calculate();
+    m_left->calculate();
+
+    IndicatorImp *maxp, *minp;
+    if (m_right->size() > m_left->size()) {
+        maxp = m_right.get();
+        minp = m_left.get();
+    } else {
+        maxp = m_left.get();
+        minp = m_right.get();
+    }
+
+    size_t total = maxp->size();
+    size_t discard = maxp->size() - minp->size() + minp->discard();
+    if (discard < maxp->discard()) {
+        discard = maxp->discard();
+    }
+
+    // 结果 0 存放相关系数结果
+    // 结果 1 存放协方差（COV）结果
+    _readyBuffer(total, 2);
+
+    int n = getParam<int>("n");
+    if (n < 2 || discard + 2 > total) {
+        setDiscard(total);
+        return;
+    }
+
+    price_t null_price = Null<price_t>();
+    vector<price_t> prebufx(total, null_price);
+    vector<price_t> prebufy(total, null_price);
+    vector<price_t> prepowx(total, null_price);
+    vector<price_t> prepowy(total, null_price);
+    vector<price_t> prepowxy(total, null_price);
+    price_t kx = maxp->get(discard);
+    price_t ky = minp->get(discard);
+    price_t ex = 0.0, ey = 0.0, exy = 0.0, varx = 0.0, vary = 0.0, cov = 0.0;
+    price_t ex2 = 0.0, ey2 = 0.0, exy2 = 0.0;
+    prebufx[discard] = 0.0;
+    prebufy[discard] = 0.0;
+    prepowx[discard] = 0.0;
+    prepowy[discard] = 0.0;
+    prepowxy[discard] = 0.0;
+
+    for (size_t i = discard, nobs = 0; i < total; ++i) {
+        price_t ix = maxp->get(i) - kx;
+        price_t iy = minp->get(i) - ky;
+        price_t preix = prebufx[i - nobs];
+        price_t preiy = prebufy[i - nobs];
+        price_t prepowix = prepowx[i - nobs];
+        price_t prepowiy = prepowy[i - nobs];
+        price_t prepowixy = prepowxy[i - nobs];
+        HKU_INFO_IF(i % 100 == 0, "{}: ix: {}, iy: {}, preix: {}, preiy: {}", i, ix, iy, preix,
+                    preiy);
+        if (!std::isnan(preix) && !std::isnan(preiy) && !std::isnan(ix) && !std::isnan(iy)) {
+            if (nobs < n) {
+                nobs++;
+                ex += ix;
+                ey += iy;
+                exy += ix * iy;
+                ex2 += std::pow(ix, 2);
+                ey2 += std::pow(iy, 2);
+                varx = nobs == 1 ? 0. : (ex2 - std::pow(ex, 2) / nobs) / (nobs - 1);
+                vary = nobs == 1 ? 0. : (ey2 - std::pow(ey, 2) / nobs) / (nobs - 1);
+                cov = nobs == 1 ? 0. : (exy - ex * ey / nobs) / (nobs - 1);
+                _set(cov / std::sqrt(varx * vary), i, 0);
+                _set(cov, i, 1);
+            } else {
+                ex += ix - preix;
+                ey += iy - preiy;
+                ex2 = ex2 - prepowix + std::pow(ix, 2);
+                ey2 = ey2 - prepowiy + std::pow(iy, 2);
+                exy = exy + ix * iy - prepowixy;
+                varx = (ex2 - std::pow(ex, 2) / n) / (n - 1);
+                vary = (ey2 - std::pow(ey, 2) / n) / (n - 1);
+                cov = (exy - ex * ey / n) / (n - 1);
+                _set(cov / std::sqrt(varx * vary), i, 0);
+                _set(cov, i, 1);
+            }
+            prebufx[i] = ix;
+            prebufy[i] = iy;
+            prepowx[i] = ex2;
+            prepowy[i] = ey2;
+            prepowxy[i] = exy2;
+        }
+    }
+
+    // 修正 discard
+    setDiscard(++discard);
+}
+
 void IndicatorImp::_dyn_calculate(const Indicator &ind) {
    // SPEND_TIME(IndicatorImp__dyn_calculate);
    const auto &ind_param = getIndParamImp("n");
--- a/hikyuu_cpp/hikyuu/indicator/IndicatorImp.h
+++ b/hikyuu_cpp/hikyuu/indicator/IndicatorImp.h
@ -77,6 +77,7 @@ public:
        OR,     ///< 或
        WEAVE,  ///< 特殊的，需要两个指标作为参数的指标
        OP_IF,  /// if操作
+        CORR,   ///< 相关系数，需要两个指标作为参数
        INVALID
    };

@ -211,6 +212,7 @@ private:
    void execute_or();
    void execute_weave();
    void execute_if();
+    void execute_corr();

 protected:
    static size_t _get_step_start(size_t pos, size_t step, size_t discard);
--- a/hikyuu_pywrap/indicator/_build_in.cpp
+++ b/hikyuu_pywrap/indicator/_build_in.cpp
@ -728,6 +728,15 @@ void export_Indicator_build_in() {
    :param Indicator ind2: 指标2
    :rtype: Indicator)");

+    def("CORR", CORR, R"(CORR(ind1, ind2, n)
+
+    计算 ind1 和 ind2 的相关系数
+
+    :param Indicator ind1: 指标1
+    :param Indicator ind2: 指标2
+    :param int n: 按指定 n 的长度计算两个 ind 直接数据相关系数
+    :rtype: Indicator)");
+
    def("IF", IF_1);
    def("IF", IF_2);
    def("IF", IF_3);
--- a/xmake.lua
+++ b/xmake.lua
@ -42,6 +42,7 @@ local boost_version = "1.81.0"
 local hdf5_version = "1.12.2"
 local mysql_version = "8.0.31"
 local fmt_version = "10.0.0"
+local flatbuffers_version = "2.0.0"
 if is_plat("windows") or (is_plat("linux", "cross") and is_arch("aarch64", "arm64.*")) then mysql_version = "8.0.21" end

 add_repositories("project-repo hikyuu_extern_libs")
@ -81,7 +82,7 @@ end
 add_requires("spdlog", {system = false, configs = {header_only = true, fmt_external = true, vs_runtime = "MD"}})
 add_requireconfs("spdlog.fmt", {override = true, version = fmt_version, configs = {header_only = true}})
 add_requires("sqlite3", {system = false, configs = {shared = true, vs_runtime = "MD", cxflags = "-fPIC"}})
-add_requires("flatbuffers 2.0.0", {system = false, configs = {vs_runtime = "MD"}})
+add_requires("flatbuffers v" .. flatbuffers_version, {system = false, configs = {vs_runtime = "MD"}})
 add_requires("nng", {system = false, configs = {vs_runtime = "MD", cxflags = "-fPIC"}})
 add_requires("nlohmann_json", {system = false})
 add_requires("cpp-httplib", {system = false})