hikyuu2/hikyuu_cpp/hikyuu/KDataBufferImp.cpp

/*
 * KDataBufferImp.cpp
 *
 *  Created on: 2013-2-4
 *      Author: fasiondog
 */

#include <functional>
#include <boost/bind.hpp>
#include <boost/function.hpp>
#include <boost/lambda/lambda.hpp>
#include "KDataBufferImp.h"
#include "utilities/util.h"
#include "KData.h"

namespace hku {

KDataBufferImp::KDataBufferImp() : KDataImp() {}

KDataBufferImp::KDataBufferImp(const Stock& stock, const KQuery& query) : KDataImp(stock, query) {
    if (m_stock.isNull() || empty()) {
        return;
    }

    m_buffer = m_stock.getKRecordList(startPos(), endPos(), query.kType());

    //不支持复权时，直接返回
    if (query.recoverType() == KQuery::NO_RECOVER)
        return;

    //日线以上复权处理
    if (query.kType() == KQuery::WEEK || query.kType() == KQuery::MONTH ||
        query.kType() == KQuery::QUARTER || query.kType() == KQuery::HALFYEAR ||
        query.kType() == KQuery::YEAR) {
        _recoverForUpDay();
        return;
    }

    switch (query.recoverType()) {
        case KQuery::NO_RECOVER:
            // do nothing
            break;

        case KQuery::FORWARD:
            _recoverForward();
            break;

        case KQuery::BACKWARD:
            _recoverBackward();
            break;

        case KQuery::EQUAL_FORWARD:
            _recoverEqualForward();
            break;

        case KQuery::EQUAL_BACKWARD:
            _recoverEqualBackward();
            break;

        default:
            HKU_ERROR("Invalid RecvoerType!");
            return;
    }
}

KDataBufferImp::~KDataBufferImp() {}

size_t KDataBufferImp::getPos(const Datetime& datetime) const {
    KRecordList::const_iterator iter;
    KRecord comp_record;
    comp_record.datetime = datetime;
    boost::function<bool(const KRecord&, const KRecord&)> f =
      boost::bind(&KRecord::datetime, _1) < boost::bind(&KRecord::datetime, _2);

    iter = lower_bound(m_buffer.begin(), m_buffer.end(), comp_record, f);
    if (iter == m_buffer.end() || iter->datetime != datetime) {
        return Null<size_t>();
    }

    return (iter - m_buffer.begin());
}

void KDataBufferImp::_recoverForUpDay() {
    if (empty())
        return;

    std::function<Datetime(const Datetime&)> startOfPhase;
    if (m_query.kType() == KQuery::WEEK) {
        startOfPhase = &Datetime::startOfWeek;
    } else if (m_query.kType() == KQuery::MONTH) {
        startOfPhase = &Datetime::startOfMonth;
    } else if (m_query.kType() == KQuery::QUARTER) {
        startOfPhase = &Datetime::startOfQuarter;
    } else if (m_query.kType() == KQuery::HALFYEAR) {
        startOfPhase = &Datetime::startOfHalfyear;
    } else if (m_query.kType() == KQuery::YEAR) {
        startOfPhase = &Datetime::startOfYear;
    }

    Datetime startDate = startOfPhase(m_buffer.front().datetime);
    Datetime endDate = m_buffer.back().datetime.nextDay();
    KQuery query = KQueryByDate(startDate, endDate, KQuery::DAY, m_query.recoverType());
    KData day_list = m_stock.getKData(query);
    if (day_list.empty())
        return;

    size_t day_pos = 0;
    size_t day_total = day_list.size();
    size_t length = size();
    for (size_t i = 0; i < length; i++) {
        Datetime phase_start_date = startOfPhase(m_buffer[i].datetime);
        Datetime phase_end_date = m_buffer[i].datetime;
        if (day_pos >= day_total)
            break;

        while (day_list[day_pos].datetime < phase_start_date) {
            day_pos++;
        }
        KRecord record = day_list[day_pos];
        int pre_day_pos = day_pos;
        while (day_pos < day_total && day_list[day_pos].datetime <= phase_end_date) {
            if (day_list[day_pos].lowPrice < record.lowPrice) {
                record.lowPrice = day_list[day_pos].lowPrice;
            } else if (day_list[day_pos].highPrice > record.highPrice) {
                record.highPrice = day_list[day_pos].highPrice;
            }
            record.closePrice = day_list[day_pos].closePrice;
            day_pos++;
        }
        if (pre_day_pos != day_pos) {
            m_buffer[i].openPrice = record.openPrice;
            m_buffer[i].highPrice = record.highPrice;
            m_buffer[i].lowPrice = record.lowPrice;
            m_buffer[i].closePrice = record.closePrice;
        }
    }

    return;
}

/******************************************************************************
 * 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)
 * 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。
 * 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
 * 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
 * （不包括除权日）的全部股价通过复权计算降下来。
 *****************************************************************************/
void KDataBufferImp::_recoverForward() {
    size_t total = m_buffer.size();
    if (total == 0) {
        return;
    }

    Datetime start_date(m_buffer.front().datetime.date());
    Datetime end_date(m_buffer.back().datetime.date() + bd::days(1));
    StockWeightList weightList = m_stock.getWeight(start_date, end_date);
    StockWeightList::const_iterator weightIter = weightList.begin();
    StockWeightList::const_iterator pre_weightIter = weightIter;

    size_t pre_pos = 0;
    for (; weightIter != weightList.end(); ++weightIter) {
        size_t i = pre_pos;
        while (i < total && m_buffer[i].datetime < weightIter->datetime()) {
            i++;
        }
        pre_pos = i;  //除权日

        //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
        price_t change = 0.0;
        bool flag = false;
        if (weightIter != weightList.begin() &&
            !(weightIter->countAsGift() == 0.0 && weightIter->countForSell() == 0.0 &&
              weightIter->priceForSell() == 0.0))
        //&& weightIter->bonus() == 0.0
        //&& weightIter->increasement() == 0.0 ))
        {
            pre_weightIter = weightIter - 1;
            if (pre_weightIter->freeCount() != 0.0) {
                change = (weightIter->freeCount() - pre_weightIter->freeCount()) /
                         pre_weightIter->freeCount();
                flag = true;
            }
        }
        if (!flag) {
            change = 0.1 * (weightIter->countAsGift() + weightIter->countForSell() +
                            weightIter->increasement());
        }

        price_t denominator = 1.0 + change;  //分母 = (1+流通股份变动比例)
        price_t temp = weightIter->priceForSell() * change - 0.1 * weightIter->bonus();

        for (i = 0; i < pre_pos; ++i) {
            m_buffer[i].openPrice =
              roundEx((m_buffer[i].openPrice + temp) / denominator, m_stock.precision());
            m_buffer[i].highPrice =
              roundEx((m_buffer[i].highPrice + temp) / denominator, m_stock.precision());
            m_buffer[i].lowPrice =
              roundEx((m_buffer[i].lowPrice + temp) / denominator, m_stock.precision());
            m_buffer[i].closePrice =
              roundEx((m_buffer[i].closePrice + temp) / denominator, m_stock.precision());
        }
    }
}

/******************************************************************************
 * 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
 * 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，
 * 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
 * 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。
 *****************************************************************************/
void KDataBufferImp::_recoverBackward() {
    size_t total = m_buffer.size();
    if (0 == total) {
        return;
    }

    Datetime start_date(m_buffer.front().datetime.date());
    Datetime end_date(m_buffer.back().datetime.date() + bd::days(1));
    StockWeightList weightList = m_stock.getWeight(start_date, end_date);
    StockWeightList::const_reverse_iterator weightIter = weightList.rbegin();
    StockWeightList::const_reverse_iterator pre_weightIter;

    size_t pre_pos = total - 1;
    for (; weightIter != weightList.rend(); ++weightIter) {
        size_t i = pre_pos;
        while (i > 0 && m_buffer[i].datetime > weightIter->datetime()) {
            i--;
        }
        pre_pos = i;

        //流通股份变动比例
        price_t change = 0.0;
        bool flag = false;
        pre_weightIter = weightIter + 1;
        if (pre_weightIter != weightList.rend() && pre_weightIter->freeCount() != 0.0 &&
            !(weightIter->countAsGift() == 0.0 && weightIter->countForSell() == 0.0 &&
              weightIter->priceForSell() == 0.0))
        //&&	weightIter->bonus() == 0.0
        //&&	weightIter->increasement() == 0.0 ))
        {
            change =
              (weightIter->freeCount() - pre_weightIter->freeCount()) / pre_weightIter->freeCount();
            flag = true;
        }
        if (!flag) {
            change = 0.1 * (weightIter->countAsGift() + weightIter->countForSell() +
                            weightIter->increasement());
        }

        price_t denominator = 1.0 + change;  //(1+流通股份变动比例)
        price_t temp = 0.1 * weightIter->bonus() - weightIter->priceForSell() * change;
        ;

        for (i = pre_pos; i < total; ++i) {
            m_buffer[i].openPrice =
              roundEx(m_buffer[i].openPrice * denominator + temp, m_stock.precision());
            m_buffer[i].highPrice =
              roundEx(m_buffer[i].highPrice * denominator + temp, m_stock.precision());
            m_buffer[i].lowPrice =
              roundEx(m_buffer[i].lowPrice * denominator + temp, m_stock.precision());
            m_buffer[i].closePrice =
              roundEx(m_buffer[i].closePrice * denominator + temp, m_stock.precision());
        }
    }
}

/******************************************************************************
 * 等比前复权公式:复权后价格＝复权前价格*复权率
 * 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
 * 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。
 * 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
 * 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
 * （不包括除权日）的全部股价通过复权计算降下来。
 *****************************************************************************/
void KDataBufferImp::_recoverEqualForward() {
    size_t total = m_buffer.size();
    if (0 == total) {
        return;
    }

    Datetime start_date(m_buffer.front().datetime.date());
    Datetime end_date(m_buffer.back().datetime.date() + bd::days(1));
    StockWeightList weightList = m_stock.getWeight(start_date, end_date);
    if (weightList.empty()) {
        return;
    }

    KRecordList kdata = m_buffer;  //防止同一天两条权息记录
    StockWeightList::const_iterator weightIter = weightList.begin();
    StockWeightList::const_iterator pre_weightIter;
    size_t pre_pos = 0;
    for (; weightIter != weightList.end(); ++weightIter) {
        size_t i = pre_pos;
        while (i < total && m_buffer[i].datetime < weightIter->datetime()) {
            i++;
        }
        pre_pos = i;  //除权日

        //股权登记日（即除权日的前一天数据）收盘价
        if (pre_pos == 0) {
            continue;
        }
        price_t closePrice = kdata[pre_pos - 1].closePrice;
        if (closePrice == 0.0) {
            continue;  //除零保护
        }

        //流通股份变动比例
        price_t change = 0.0;
        bool flag = false;
        if (weightIter != weightList.begin() &&
            !(weightIter->countAsGift() == 0.0 && weightIter->countForSell() == 0.0 &&
              weightIter->priceForSell() == 0.0))
        //&&	weightIter->bonus() == 0.0
        //&&	weightIter->increasement() == 0.0 ))
        {
            pre_weightIter = weightIter - 1;
            if (pre_weightIter->freeCount() != 0.0) {
                change = (weightIter->freeCount() - pre_weightIter->freeCount()) /
                         pre_weightIter->freeCount();
                flag = true;
            }
        }
        if (!flag) {
            change = 0.1 * (weightIter->countAsGift() + weightIter->countForSell() +
                            weightIter->increasement());
        }

        price_t denominator = 1.0 + change;  //(1+流通股份变动比例)
        price_t temp = weightIter->priceForSell() * change - 0.1 * weightIter->bonus();

        price_t k = (closePrice + temp) / (denominator * closePrice);

        for (i = 0; i < pre_pos; ++i) {
            m_buffer[i].openPrice = roundEx(k * m_buffer[i].openPrice, m_stock.precision());
            m_buffer[i].highPrice = roundEx(k * m_buffer[i].highPrice, m_stock.precision());
            m_buffer[i].lowPrice = roundEx(k * m_buffer[i].lowPrice, m_stock.precision());
            m_buffer[i].closePrice = roundEx(k * m_buffer[i].closePrice, m_stock.precision());
        }
    }
}

/******************************************************************************
 * 等比后复权公式:复权后价格＝复权前价格÷复权率
 * 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
 * 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，
 * 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
 * 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。
 *****************************************************************************/
void KDataBufferImp::_recoverEqualBackward() {
    size_t total = m_buffer.size();
    if (0 == total) {
        return;
    }

    Datetime start_date(m_buffer.front().datetime.date());
    Datetime end_date(m_buffer.back().datetime.date() + bd::days(1));
    StockWeightList weightList = m_stock.getWeight(start_date, end_date);
    StockWeightList::const_reverse_iterator weightIter = weightList.rbegin();
    StockWeightList::const_reverse_iterator pre_weightIter;

    size_t pre_pos = total - 1;
    for (; weightIter != weightList.rend(); ++weightIter) {
        size_t i = pre_pos;
        while (i > 0 && m_buffer[i].datetime > weightIter->datetime()) {
            i--;
        }
        pre_pos = i;  //除权日

        //股权登记日（即除权日的前一天数据）收盘价
        if (pre_pos == 0) {
            continue;
        }
        price_t closePrice = m_buffer[pre_pos - 1].closePrice;

        //流通股份变动比例
        price_t change = 0.0;
        bool flag = false;
        pre_weightIter = weightIter + 1;
        if (pre_weightIter != weightList.rend() && pre_weightIter->freeCount() != 0.0 &&
            !(weightIter->countAsGift() == 0.0 && weightIter->countForSell() == 0.0 &&
              weightIter->priceForSell() == 0.0))
        //&&	weightIter->bonus() == 0.0
        //&&	weightIter->increasement() == 0.0 ))
        {
            change =
              (weightIter->freeCount() - pre_weightIter->freeCount()) / pre_weightIter->freeCount();
            flag = true;
        }
        if (!flag) {
            change = 0.1 * (weightIter->countAsGift() + weightIter->countForSell() +
                            weightIter->increasement());
        }

        price_t denominator = 1.0 + change;  //(1+流通股份变动比例)
        price_t temp = closePrice + weightIter->priceForSell() * change - 0.1 * weightIter->bonus();
        if (temp == 0.0) {
            continue;
        }
        price_t k = (denominator * closePrice) / temp;

        for (i = pre_pos; i < total; ++i) {
            m_buffer[i].openPrice = roundEx(k * m_buffer[i].openPrice, m_stock.precision());
            m_buffer[i].highPrice = roundEx(k * m_buffer[i].highPrice, m_stock.precision());
            m_buffer[i].lowPrice = roundEx(k * m_buffer[i].lowPrice, m_stock.precision());
            m_buffer[i].closePrice = roundEx(k * m_buffer[i].closePrice, m_stock.precision());
        }
    }
}

} /* namespace hku */