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385 lines
16 KiB
C++
385 lines
16 KiB
C++
/*
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* KDataImp.cpp
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*
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* Created on: 2013-2-4
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* Author: fasiondog
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*/
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#include <functional>
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#include "StockManager.h"
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#include "KDataImp.h"
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namespace hku {
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KDataImp::KDataImp() : m_start(0), m_end(0), m_have_pos_in_stock(false) {}
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KDataImp::KDataImp(const Stock& stock, const KQuery& query)
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: m_query(query), m_stock(stock), m_start(0), m_end(0), m_have_pos_in_stock(false) {
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if (m_stock.isNull()) {
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return;
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}
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m_buffer = m_stock.getKRecordList(query);
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//不支持复权时，直接返回
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if (query.recoverType() == KQuery::NO_RECOVER)
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return;
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//日线以上复权处理
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if (query.kType() == KQuery::WEEK || query.kType() == KQuery::MONTH ||
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query.kType() == KQuery::QUARTER || query.kType() == KQuery::HALFYEAR ||
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query.kType() == KQuery::YEAR) {
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_recoverForUpDay();
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return;
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}
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switch (query.recoverType()) {
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case KQuery::NO_RECOVER:
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// do nothing
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break;
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case KQuery::FORWARD:
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_recoverForward();
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break;
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case KQuery::BACKWARD:
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_recoverBackward();
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break;
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case KQuery::EQUAL_FORWARD:
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_recoverEqualForward();
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break;
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case KQuery::EQUAL_BACKWARD:
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_recoverEqualBackward();
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break;
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default:
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HKU_ERROR("Invalid RecvoerType!");
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return;
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}
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}
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KDataImp::~KDataImp() {}
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size_t KDataImp::startPos() {
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if (!m_have_pos_in_stock) {
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_getPosInStock();
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}
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return m_start;
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}
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size_t KDataImp::endPos() {
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if (!m_have_pos_in_stock) {
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_getPosInStock();
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}
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return m_end;
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}
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size_t KDataImp::lastPos() {
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if (!m_have_pos_in_stock) {
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_getPosInStock();
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}
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return m_end == 0 ? 0 : m_end - 1;
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}
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void KDataImp::_getPosInStock() {
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bool sucess = m_stock.getIndexRange(m_query, m_start, m_end);
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if (!sucess) {
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m_start = 0;
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m_end = 0;
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}
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m_have_pos_in_stock = true;
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}
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size_t KDataImp::getPos(const Datetime& datetime) {
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KRecordList::const_iterator iter;
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KRecord comp_record;
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comp_record.datetime = datetime;
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iter = lower_bound(
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m_buffer.begin(), m_buffer.end(), comp_record,
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std::bind(std::less<Datetime>(), std::bind(&KRecord::datetime, std::placeholders::_1),
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std::bind(&KRecord::datetime, std::placeholders::_2)));
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if (iter == m_buffer.end() || iter->datetime != datetime) {
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return Null<size_t>();
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}
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return (iter - m_buffer.begin());
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}
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void KDataImp::_recoverForUpDay() {
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HKU_IF_RETURN(empty(), void());
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std::function<Datetime(const Datetime&)> startOfPhase;
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if (m_query.kType() == KQuery::WEEK) {
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startOfPhase = &Datetime::startOfWeek;
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} else if (m_query.kType() == KQuery::MONTH) {
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startOfPhase = &Datetime::startOfMonth;
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} else if (m_query.kType() == KQuery::QUARTER) {
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startOfPhase = &Datetime::startOfQuarter;
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} else if (m_query.kType() == KQuery::HALFYEAR) {
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startOfPhase = &Datetime::startOfHalfyear;
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} else if (m_query.kType() == KQuery::YEAR) {
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startOfPhase = &Datetime::startOfYear;
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}
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Datetime startDate = startOfPhase(m_buffer.front().datetime);
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Datetime endDate = m_buffer.back().datetime.nextDay();
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KQuery query = KQueryByDate(startDate, endDate, KQuery::DAY, m_query.recoverType());
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KData day_list = m_stock.getKData(query);
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if (day_list.empty())
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return;
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size_t day_pos = 0;
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size_t day_total = day_list.size();
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size_t length = size();
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for (size_t i = 0; i < length; i++) {
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Datetime phase_start_date = startOfPhase(m_buffer[i].datetime);
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Datetime phase_end_date = m_buffer[i].datetime;
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if (day_pos >= day_total)
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break;
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while (day_list[day_pos].datetime < phase_start_date) {
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day_pos++;
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}
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KRecord record = day_list[day_pos];
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int pre_day_pos = day_pos;
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while (day_pos < day_total && day_list[day_pos].datetime <= phase_end_date) {
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if (day_list[day_pos].lowPrice < record.lowPrice) {
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record.lowPrice = day_list[day_pos].lowPrice;
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} else if (day_list[day_pos].highPrice > record.highPrice) {
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record.highPrice = day_list[day_pos].highPrice;
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}
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record.closePrice = day_list[day_pos].closePrice;
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day_pos++;
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}
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if (pre_day_pos != day_pos) {
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m_buffer[i].openPrice = record.openPrice;
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m_buffer[i].highPrice = record.highPrice;
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m_buffer[i].lowPrice = record.lowPrice;
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m_buffer[i].closePrice = record.closePrice;
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}
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}
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return;
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}
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/******************************************************************************
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* 前复权公式:复权后价格＝[(复权前价格-现金红利)＋配(新)股价格×流通股份变动比例]÷(1＋流通股份变动比例)
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* 向前复权指以除权后的股价为基准（即除权后的股价不变），将除权前的股价降下来。
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* 复权计算时首先从上市日开始，逐日向后判断，遇到除权日，则将上市日到除权日之间（不包括除权日）的
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* 全部股价通过复权计算降下来；然后再继续向后判断，遇到下一个除权日，则再次将上市日到该除权日之间
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* （不包括除权日）的全部股价通过复权计算降下来。
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*****************************************************************************/
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void KDataImp::_recoverForward() {
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size_t total = m_buffer.size();
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HKU_IF_RETURN(total == 0, void());
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Datetime start_date(m_buffer.front().datetime.date());
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Datetime end_date(m_buffer.back().datetime.date() + bd::days(1));
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StockWeightList weightList = m_stock.getWeight(start_date, end_date);
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StockWeightList::const_iterator weightIter = weightList.begin();
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size_t pre_pos = 0;
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for (; weightIter != weightList.end(); ++weightIter) {
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//计算流通股份变动比例,但不处理仅仅只有流通股本改变的情况
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if ((weightIter->countAsGift() == 0.0 && weightIter->countForSell() == 0.0 &&
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weightIter->priceForSell() == 0.0 && weightIter->bonus() == 0.0 &&
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weightIter->increasement() == 0.0))
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continue;
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size_t i = pre_pos;
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while (i < total && m_buffer[i].datetime < weightIter->datetime()) {
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i++;
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}
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pre_pos = i; //除权日
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price_t change = 0.1 * (weightIter->countAsGift() + weightIter->countForSell() +
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weightIter->increasement());
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price_t denominator = 1.0 + change; //分母 = (1+流通股份变动比例)
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price_t temp = weightIter->priceForSell() * change - 0.1 * weightIter->bonus();
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if (denominator == 1.0 && temp == 0.0)
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continue;
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for (i = 0; i < pre_pos; ++i) {
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m_buffer[i].openPrice =
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roundEx((m_buffer[i].openPrice + temp) / denominator, m_stock.precision());
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m_buffer[i].highPrice =
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roundEx((m_buffer[i].highPrice + temp) / denominator, m_stock.precision());
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m_buffer[i].lowPrice =
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roundEx((m_buffer[i].lowPrice + temp) / denominator, m_stock.precision());
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m_buffer[i].closePrice =
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roundEx((m_buffer[i].closePrice + temp) / denominator, m_stock.precision());
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}
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}
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}
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/******************************************************************************
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* 后复权公式:复权后价格＝复权前价格×(1＋流通股份变动比例)-配(新)股价格×流通股份变动比例＋现金红利
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* 向后复权指以除权前的股价为基准（即除权前的股价不变），将除权后的股价升上去。复权计算时首先从最新日开始，
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* 逐日向前判断，遇到除权日，则将除权日到最新日之间（包括除权日）的全部股价通过复权计算升上去；然后再继续
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* 向前判断，遇到下一个除权日，则再次将除权日到最新日之间（包括除权日）的全部股价通过复权计算升上去。
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*****************************************************************************/
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void KDataImp::_recoverBackward() {
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size_t total = m_buffer.size();
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HKU_IF_RETURN(total == 0, void());
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Datetime start_date(m_buffer.front().datetime.date());
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Datetime end_date(m_buffer.back().datetime.date() + bd::days(1));
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StockWeightList weightList = m_stock.getWeight(start_date, end_date);
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StockWeightList::const_reverse_iterator weightIter = weightList.rbegin();
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StockWeightList::const_reverse_iterator pre_weightIter;
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size_t pre_pos = total - 1;
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for (; weightIter != weightList.rend(); ++weightIter) {
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//计算流通股份变动比例,但不处理仅仅只有流通股本改变的情况
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if ((weightIter->countAsGift() == 0.0 && weightIter->countForSell() == 0.0 &&
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weightIter->priceForSell() == 0.0 && weightIter->bonus() == 0.0 &&
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weightIter->increasement() == 0.0))
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continue;
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size_t i = pre_pos;
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while (i > 0 && m_buffer[i].datetime > weightIter->datetime()) {
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i--;
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}
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pre_pos = i;
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//流通股份变动比例
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price_t change = 0.1 * (weightIter->countAsGift() + weightIter->countForSell() +
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weightIter->increasement());
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price_t denominator = 1.0 + change; //(1+流通股份变动比例)
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price_t temp = 0.1 * weightIter->bonus() - weightIter->priceForSell() * change;
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if (denominator == 1.0 && temp == 0.0)
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continue;
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for (i = pre_pos; i < total; ++i) {
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m_buffer[i].openPrice =
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roundEx(m_buffer[i].openPrice * denominator + temp, m_stock.precision());
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m_buffer[i].highPrice =
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roundEx(m_buffer[i].highPrice * denominator + temp, m_stock.precision());
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m_buffer[i].lowPrice =
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roundEx(m_buffer[i].lowPrice * denominator + temp, m_stock.precision());
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m_buffer[i].closePrice =
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roundEx(m_buffer[i].closePrice * denominator + temp, m_stock.precision());
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}
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}
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}
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/******************************************************************************
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* 等比前复权公式:复权后价格＝复权前价格*复权率
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* 复权率＝｛[(股权登记日收盘价-现金红利)＋配(新)股价格×流通股份变动比例]÷(1＋流通股份变动比例)｝÷股权登记日收盘价
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* 向前复权指以除权后的股价为基准（即除权后的股价不变），将除权前的股价降下来。
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* 复权计算时首先从上市日开始，逐日向后判断，遇到除权日，则将上市日到除权日之间（不包括除权日）的
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* 全部股价通过复权计算降下来；然后再继续向后判断，遇到下一个除权日，则再次将上市日到该除权日之间
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* （不包括除权日）的全部股价通过复权计算降下来。
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*****************************************************************************/
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void KDataImp::_recoverEqualForward() {
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size_t total = m_buffer.size();
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HKU_IF_RETURN(total == 0, void());
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Datetime start_date(m_buffer.front().datetime.date());
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Datetime end_date(m_buffer.back().datetime.date() + bd::days(1));
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StockWeightList weightList = m_stock.getWeight(start_date, end_date);
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if (weightList.empty()) {
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return;
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}
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KRecordList kdata = m_buffer; //防止同一天两条权息记录
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StockWeightList::const_iterator weightIter = weightList.begin();
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StockWeightList::const_iterator pre_weightIter;
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size_t pre_pos = 0;
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for (; weightIter != weightList.end(); ++weightIter) {
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//计算流通股份变动比例,但不处理仅仅只有流通股本改变的情况
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if ((weightIter->countAsGift() == 0.0 && weightIter->countForSell() == 0.0 &&
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weightIter->priceForSell() == 0.0 && weightIter->bonus() == 0.0 &&
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weightIter->increasement() == 0.0))
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continue;
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size_t i = pre_pos;
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while (i < total && m_buffer[i].datetime < weightIter->datetime()) {
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i++;
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}
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pre_pos = i; //除权日
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//股权登记日（即除权日的前一天数据）收盘价
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if (pre_pos == 0) {
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continue;
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}
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price_t closePrice = kdata[pre_pos - 1].closePrice;
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if (closePrice == 0.0) {
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continue; //除零保护
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}
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//流通股份变动比例
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price_t change = 0.1 * (weightIter->countAsGift() + weightIter->countForSell() +
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weightIter->increasement());
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price_t denominator = 1.0 + change; //(1+流通股份变动比例)
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price_t temp = weightIter->priceForSell() * change - 0.1 * weightIter->bonus();
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if (denominator == 0.0 || (denominator == 1.0 && temp == 0.0))
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continue;
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price_t k = (closePrice + temp) / (denominator * closePrice);
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for (i = 0; i < pre_pos; ++i) {
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m_buffer[i].openPrice = roundEx(k * m_buffer[i].openPrice, m_stock.precision());
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m_buffer[i].highPrice = roundEx(k * m_buffer[i].highPrice, m_stock.precision());
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m_buffer[i].lowPrice = roundEx(k * m_buffer[i].lowPrice, m_stock.precision());
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m_buffer[i].closePrice = roundEx(k * m_buffer[i].closePrice, m_stock.precision());
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}
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}
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}
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/******************************************************************************
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* 等比后复权公式:复权后价格＝复权前价格÷复权率
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* 复权率＝｛[(股权登记日收盘价-现金红利)＋配(新)股价格×流通股份变动比例]÷(1＋流通股份变动比例)｝÷股权登记日收盘价
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* 向后复权指以除权前的股价为基准（即除权前的股价不变），将除权后的股价升上去。复权计算时首先从最新日开始，
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* 逐日向前判断，遇到除权日，则将除权日到最新日之间（包括除权日）的全部股价通过复权计算升上去；然后再继续
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* 向前判断，遇到下一个除权日，则再次将除权日到最新日之间（包括除权日）的全部股价通过复权计算升上去。
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*****************************************************************************/
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void KDataImp::_recoverEqualBackward() {
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size_t total = m_buffer.size();
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HKU_IF_RETURN(total == 0, void());
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Datetime start_date(m_buffer.front().datetime.date());
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Datetime end_date(m_buffer.back().datetime.date() + bd::days(1));
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StockWeightList weightList = m_stock.getWeight(start_date, end_date);
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StockWeightList::const_reverse_iterator weightIter = weightList.rbegin();
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StockWeightList::const_reverse_iterator pre_weightIter;
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size_t pre_pos = total - 1;
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for (; weightIter != weightList.rend(); ++weightIter) {
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size_t i = pre_pos;
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while (i > 0 && m_buffer[i].datetime > weightIter->datetime()) {
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i--;
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}
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pre_pos = i; //除权日
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//股权登记日（即除权日的前一天数据）收盘价
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if (pre_pos == 0) {
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continue;
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}
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price_t closePrice = m_buffer[pre_pos - 1].closePrice;
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//流通股份变动比例
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price_t change = 0.1 * (weightIter->countAsGift() + weightIter->countForSell() +
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weightIter->increasement());
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price_t denominator = 1.0 + change; //(1+流通股份变动比例)
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price_t temp = closePrice + weightIter->priceForSell() * change - 0.1 * weightIter->bonus();
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if (temp == 0.0 || denominator == 0.0) {
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continue;
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}
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price_t k = (denominator * closePrice) / temp;
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for (i = pre_pos; i < total; ++i) {
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m_buffer[i].openPrice = roundEx(k * m_buffer[i].openPrice, m_stock.precision());
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m_buffer[i].highPrice = roundEx(k * m_buffer[i].highPrice, m_stock.precision());
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m_buffer[i].lowPrice = roundEx(k * m_buffer[i].lowPrice, m_stock.precision());
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m_buffer[i].closePrice = roundEx(k * m_buffer[i].closePrice, m_stock.precision());
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}
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}
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}
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} /* namespace hku */
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