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368 lines
15 KiB
C++
368 lines
15 KiB
C++
/*
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* KDataBufferImp.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 <boost/bind.hpp>
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#include <boost/function.hpp>
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#include <boost/lambda/lambda.hpp>
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#include "KDataBufferImp.h"
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#include "utilities/util.h"
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namespace hku {
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KDataBufferImp::KDataBufferImp(): KDataImp() {
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}
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KDataBufferImp::
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KDataBufferImp(const Stock& stock, const KQuery& query)
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: KDataImp(stock, query) {
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if (m_stock.isNull() || empty()) {
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return;
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}
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m_buffer = m_stock.getKRecordList(startPos(), endPos(), query.kType());
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//日线以上不支持复权
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if (query.recoverType() == KQuery::NO_RECOVER
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|| query.kType() == KQuery::WEEK
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|| query.kType() == KQuery::MONTH
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|| query.kType() == KQuery::QUARTER
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|| query.kType() == KQuery::HALFYEAR
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|| query.kType() == KQuery::YEAR) {
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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! [KDataBufferImp::KDataBufferImp]");
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return;
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}
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}
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KDataBufferImp::~KDataBufferImp() {
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}
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size_t KDataBufferImp::getPos(const Datetime& datetime) const {
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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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boost::function<bool(const KRecord&, const KRecord&)> f =
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boost::bind(&KRecord::datetime, _1) <
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boost::bind(&KRecord::datetime, _2);
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iter = lower_bound(m_buffer.begin(), m_buffer.end(), comp_record, f);
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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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/******************************************************************************
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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 KDataBufferImp::_recoverForward() {
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size_t total = m_buffer.size();
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if (total == 0) {
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return;
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}
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bd::date start_date = m_buffer.front().datetime.date();
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bd::date 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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StockWeightList::const_iterator pre_weightIter = weightIter;
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size_t pre_pos = 0;
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for (; weightIter != weightList.end(); ++weightIter) {
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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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//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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price_t change = 0.0;
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bool flag = false;
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if (weightIter != weightList.begin()
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&& !(weightIter->countAsGift() == 0.0
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&& weightIter->countForSell() == 0.0
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&& weightIter->priceForSell() == 0.0))
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//&& weightIter->bonus() == 0.0
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//&& weightIter->increasement() == 0.0 ))
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{
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pre_weightIter = weightIter - 1;
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if (pre_weightIter->freeCount() != 0.0) {
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change = (weightIter->freeCount()
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- pre_weightIter->freeCount())
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/ pre_weightIter->freeCount();
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flag = true;
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}
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}
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if (!flag){
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change = 0.1 * (weightIter->countAsGift()
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+ weightIter->countForSell()
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+ weightIter->increasement());
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}
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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
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- 0.1 * weightIter->bonus();
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for (i = 0; i < pre_pos; ++i) {
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m_buffer[i].openPrice = roundEx((m_buffer[i].openPrice + temp) / denominator, m_stock.precision());
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m_buffer[i].highPrice = roundEx((m_buffer[i].highPrice + temp) / denominator, m_stock.precision());
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m_buffer[i].lowPrice = roundEx((m_buffer[i].lowPrice + temp) / denominator, m_stock.precision());
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m_buffer[i].closePrice = 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 KDataBufferImp::_recoverBackward() {
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size_t total = m_buffer.size();
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if (0 == total) {
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return;
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}
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bd::date start_date = m_buffer.front().datetime.date();
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bd::date 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;
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//流通股份变动比例
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price_t change = 0.0;
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bool flag = false;
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pre_weightIter = weightIter + 1;
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if (pre_weightIter != weightList.rend()
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&& pre_weightIter->freeCount() != 0.0
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&& !(weightIter->countAsGift() == 0.0
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&& weightIter->countForSell() == 0.0
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&& weightIter->priceForSell() == 0.0))
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//&& weightIter->bonus() == 0.0
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//&& weightIter->increasement() == 0.0 ))
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{
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change = (weightIter->freeCount() - pre_weightIter->freeCount())
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/ pre_weightIter->freeCount();
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flag = true;
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}
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if (!flag){
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change = 0.1 * (weightIter->countAsGift()
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+ weightIter->countForSell()
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+ weightIter->increasement());
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}
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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()
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- weightIter->priceForSell() * change;;
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for (i = pre_pos; i < total; ++i) {
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m_buffer[i].openPrice = roundEx(m_buffer[i].openPrice * denominator + temp, m_stock.precision());
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m_buffer[i].highPrice = roundEx(m_buffer[i].highPrice * denominator + temp, m_stock.precision());
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m_buffer[i].lowPrice = roundEx(m_buffer[i].lowPrice * denominator + temp, m_stock.precision());
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m_buffer[i].closePrice = 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 KDataBufferImp::_recoverEqualForward() {
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size_t total = m_buffer.size();
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if (0 == total) {
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return;
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}
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bd::date start_date = m_buffer.front().datetime.date();
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bd::date 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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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 = 0.0;
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bool flag = false;
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if (weightIter != weightList.begin()
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&& !(weightIter->countAsGift() == 0.0
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&& weightIter->countForSell() == 0.0
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&& weightIter->priceForSell() == 0.0))
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//&& weightIter->bonus() == 0.0
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//&& weightIter->increasement() == 0.0 ))
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{
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pre_weightIter = weightIter - 1;
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if (pre_weightIter->freeCount() != 0.0) {
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change = (weightIter->freeCount() - pre_weightIter->freeCount())
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/ pre_weightIter->freeCount();
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flag = true;
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}
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}
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if (!flag) {
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change = 0.1 * (weightIter->countAsGift()
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+ weightIter->countForSell()
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+ weightIter->increasement());
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}
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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
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- 0.1 * weightIter->bonus();
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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 KDataBufferImp::_recoverEqualBackward() {
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size_t total = m_buffer.size();
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if (0 == total) {
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return;
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}
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bd::date start_date = m_buffer.front().datetime.date();
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bd::date 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 = 0.0;
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bool flag = false;
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pre_weightIter = weightIter + 1;
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if (pre_weightIter != weightList.rend()
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&& pre_weightIter->freeCount() != 0.0
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&& !(weightIter->countAsGift() == 0.0
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&& weightIter->countForSell() == 0.0
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&& weightIter->priceForSell() == 0.0))
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//&& weightIter->bonus() == 0.0
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//&& weightIter->increasement() == 0.0 ))
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{
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change = (weightIter->freeCount() - pre_weightIter->freeCount())
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/ pre_weightIter->freeCount();
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flag = true;
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}
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if (!flag) {
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change = 0.1 * (weightIter->countAsGift()
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+ weightIter->countForSell()
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+ weightIter->increasement());
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}
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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
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- 0.1 * weightIter->bonus();
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if (temp == 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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