hikyuu 2.2.2__py3-none-win_amd64.whl

hikyuu/include/hikyuu/indicator/IndicatorImp.h

@@ -0,0 +1,413 @@
+/*
+ * IndicatorImp.h
+ *
+ *  Created on: 2013-2-9
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATORIMP_H_
+#define INDICATORIMP_H_
+
+#include "../config.h"
+#include "../KData.h"
+#include "../utilities/Parameter.h"
+#include "../utilities/thread/StealThreadPool.h"
+
+namespace hku {
+
+#define MAX_RESULT_NUM 6
+
+class HKU_API Indicator;
+class HKU_API IndParam;
+
+/**
+ * 指标实现类，定义新指标时，应从此类继承
+ * @ingroup Indicator
+ */
+class HKU_API IndicatorImp : public enable_shared_from_this<IndicatorImp> {
+    PARAMETER_SUPPORT_WITH_CHECK
+    friend HKU_API std::ostream& operator<<(std::ostream& os, const IndicatorImp& imp);
+
+public:
+    enum OPType {
+        LEAF,   ///< 叶子节点
+        OP,     /// OP(OP1,OP2) OP1->calcalue(OP2->calculate(ind))
+        ADD,    ///< 加
+        SUB,    ///< 减
+        MUL,    ///< 乘
+        DIV,    ///< 除
+        MOD,    ///< 取模
+        EQ,     ///< 等于
+        GT,     ///< 大于
+        LT,     ///< 小于
+        NE,     ///< 不等于
+        GE,     ///< 大于等于
+        LE,     ///< 小于等于
+        AND,    ///< 与
+        OR,     ///< 或
+        WEAVE,  ///< 特殊的，需要两个指标作为参数的指标
+        OP_IF,  /// if操作
+        INVALID
+    };
+
+#if HKU_USE_LOW_PRECISION
+    typedef float value_t;
+#else
+    typedef double value_t;
+#endif
+
+public:
+    /** 默认构造函数   */
+    IndicatorImp();
+    explicit IndicatorImp(const string& name);
+    IndicatorImp(const string& name, size_t result_num);
+
+    virtual ~IndicatorImp();
+
+    typedef shared_ptr<IndicatorImp> IndicatorImpPtr;
+    IndicatorImpPtr operator()(const Indicator& ind);
+
+    size_t getResultNumber() const;
+
+    size_t discard() const;
+
+    void setDiscard(size_t discard);
+
+    size_t size() const;
+
+    value_t get(size_t pos, size_t num = 0) const;
+
+    value_t getByDate(Datetime, size_t num = 0);
+
+    Datetime getDatetime(size_t pos) const;
+
+    DatetimeList getDatetimeList() const;
+
+    size_t getPos(Datetime) const;
+
+    /** 以PriceList方式获取指定的输出集 */
+    PriceList getResultAsPriceList(size_t result_num);
+
+    /** 以Indicator的方式获取指定的输出集，该方式包含了discard的信息 */
+    IndicatorImpPtr getResult(size_t result_num);
+
+    /** 判断是否和另一个指标等效，即计算效果相同 */
+    bool alike(const IndicatorImp& other) const;
+
+    /**
+     * 使用IndicatorImp(const Indicator&...)构造函数后，计算结果使用该函数,
+     * 未做越界保护
+     */
+    void _set(value_t val, size_t pos, size_t num = 0);
+
+    /**
+     * 准备内存
+     * @param len 长度，如果长度大于MAX_RESULT_NUM将抛出异常std::invalid_argument
+     * @param result_num 结果集数量
+     * @return true 成功 | false 失败
+     */
+    void _readyBuffer(size_t len, size_t result_num);
+
+    const string& name() const;
+    void name(const string& name);
+
+    /** 返回形如：Name(param1=val,param2=val,...) */
+    string long_name() const;
+
+    string formula() const;
+
+    bool isLeaf() const;
+
+    Indicator calculate();
+
+    void setContext(const Stock&, const KQuery&);
+
+    void setContext(const KData&);
+
+    KData getContext() const;
+
+    void add(OPType, IndicatorImpPtr left, IndicatorImpPtr right);
+
+    void add_if(IndicatorImpPtr cond, IndicatorImpPtr left, IndicatorImpPtr right);
+
+    IndicatorImpPtr clone();
+
+    bool haveIndParam(const string& name) const;
+    void setIndParam(const string& name, const Indicator& ind);
+    void setIndParam(const string& name, const IndParam& ind);
+    IndParam getIndParam(const string& name) const;
+    const IndicatorImpPtr& getIndParamImp(const string& name) const;
+
+    typedef std::map<string, IndicatorImpPtr> ind_param_map_t;
+    const ind_param_map_t& getIndParams() const;
+
+    value_t* data(size_t result_num = 0);
+    value_t const* data(size_t result_num = 0) const;
+
+    // ===================
+    //  子类接口
+    // ===================
+    virtual void _calculate(const Indicator&) {}
+
+    virtual void _dyn_run_one_step(const Indicator& ind, size_t curPos, size_t step) {}
+
+    /** 是否支持指标动态参数 */
+    virtual bool supportIndParam() const {
+        return false;
+    }
+
+    /** 是否必须串行计算 */
+    virtual bool isSerial() const {
+        return false;
+    }
+
+    virtual IndicatorImpPtr _clone() {
+        return make_shared<IndicatorImp>();
+    }
+
+    virtual bool isNeedContext() const {
+        return false;
+    }
+
+    virtual void _dyn_calculate(const Indicator&);
+
+private:
+    void initContext();
+    bool needCalculate();
+    void execute_add();
+    void execute_sub();
+    void execute_mul();
+    void execute_div();
+    void execute_mod();
+    void execute_eq();
+    void execute_ne();
+    void execute_gt();
+    void execute_lt();
+    void execute_ge();
+    void execute_le();
+    void execute_and();
+    void execute_or();
+    void execute_weave();
+    void execute_if();
+
+    std::vector<IndicatorImpPtr> getAllSubNodes();
+    void repeatALikeNodes();
+
+protected:
+    static size_t _get_step_start(size_t pos, size_t step, size_t discard);
+
+    // 用于动态参数时，更新 discard
+    void _update_discard();
+
+protected:
+    string m_name;
+    size_t m_discard;
+    size_t m_result_num;
+    vector<value_t>* m_pBuffer[MAX_RESULT_NUM];
+
+    bool m_need_calculate;
+    OPType m_optype;
+    IndicatorImpPtr m_left;
+    IndicatorImpPtr m_right;
+    IndicatorImpPtr m_three;
+    ind_param_map_t m_ind_params;  // don't use unordered_map
+
+    IndicatorImp* m_parent{nullptr};  // can't use shared_from_this in python, so not weak_ptr
+
+public:
+    static void initDynEngine();
+    static void releaseDynEngine();
+
+protected:
+    static StealThreadPool* ms_tg;
+
+#if HKU_SUPPORT_SERIALIZATION
+private:
+    friend class boost::serialization::access;
+    template <class Archive>
+    void save(Archive& ar, const unsigned int version) const {
+        namespace bs = boost::serialization;
+        ar& BOOST_SERIALIZATION_NVP(m_name);
+        ar& BOOST_SERIALIZATION_NVP(m_params);
+        ar& BOOST_SERIALIZATION_NVP(m_discard);
+        ar& BOOST_SERIALIZATION_NVP(m_result_num);
+        ar& BOOST_SERIALIZATION_NVP(m_need_calculate);
+        ar& BOOST_SERIALIZATION_NVP(m_optype);
+        ar& BOOST_SERIALIZATION_NVP(m_left);
+        ar& BOOST_SERIALIZATION_NVP(m_right);
+        ar& BOOST_SERIALIZATION_NVP(m_three);
+        ar& BOOST_SERIALIZATION_NVP(m_ind_params);
+
+        size_t act_result_num = 0;
+        for (size_t i = 0; i < m_result_num; i++) {
+            if (m_pBuffer[i]) {
+                act_result_num++;
+            }
+        }
+        ar& BOOST_SERIALIZATION_NVP(act_result_num);
+        string nan("nan");
+        string inf;
+        for (size_t i = 0; i < act_result_num; ++i) {
+            size_t count = size();
+            ar& bs::make_nvp<size_t>(format("count_{}", i).c_str(), count);
+            vector<value_t>& values = *m_pBuffer[i];
+            for (size_t j = 0; j < count; j++) {
+                if (std::isnan(values[j])) {
+                    ar& boost::serialization::make_nvp<string>("item", nan);
+                } else if (std::isinf(values[j])) {
+                    inf = values[j] > 0 ? "+inf" : "-inf";
+                    ar& boost::serialization::make_nvp<string>("item", inf);
+                } else {
+                    ar& boost::serialization::make_nvp<value_t>("item", values[j]);
+                }
+            }
+        }
+    }
+
+    template <class Archive>
+    void load(Archive& ar, const unsigned int version) {
+        namespace bs = boost::serialization;
+        ar& BOOST_SERIALIZATION_NVP(m_name);
+        ar& BOOST_SERIALIZATION_NVP(m_params);
+        ar& BOOST_SERIALIZATION_NVP(m_discard);
+        ar& BOOST_SERIALIZATION_NVP(m_result_num);
+        ar& BOOST_SERIALIZATION_NVP(m_need_calculate);
+        ar& BOOST_SERIALIZATION_NVP(m_optype);
+        ar& BOOST_SERIALIZATION_NVP(m_left);
+        ar& BOOST_SERIALIZATION_NVP(m_right);
+        ar& BOOST_SERIALIZATION_NVP(m_three);
+        ar& BOOST_SERIALIZATION_NVP(m_ind_params);
+
+        size_t act_result_num = 0;
+        ar& BOOST_SERIALIZATION_NVP(act_result_num);
+        for (size_t i = 0; i < act_result_num; ++i) {
+            m_pBuffer[i] = new vector<value_t>();
+            size_t count = 0;
+            ar& bs::make_nvp<size_t>(format("count_{}", i).c_str(), count);
+            vector<value_t>& values = *m_pBuffer[i];
+            values.resize(count);
+            for (size_t i = 0; i < count; i++) {
+                std::string vstr;
+                ar >> boost::serialization::make_nvp<string>("item", vstr);
+                if (vstr == "nan") {
+                    values[i] = std::numeric_limits<double>::quiet_NaN();
+                } else if (vstr == "+inf") {
+                    values[i] = std::numeric_limits<double>::infinity();
+                } else if (vstr == "-inf") {
+                    values[i] = 0.0 - std::numeric_limits<double>::infinity();
+                } else {
+                    values[i] = std::atof(vstr.c_str());
+                }
+            }
+        }
+    }
+
+    BOOST_SERIALIZATION_SPLIT_MEMBER()
+#endif
+};
+
+#if HKU_SUPPORT_SERIALIZATION
+BOOST_SERIALIZATION_ASSUME_ABSTRACT(IndicatorImp)
+#endif
+
+#if HKU_SUPPORT_SERIALIZATION
+#define INDICATOR_IMP_NO_PRIVATE_MEMBER_SERIALIZATION          \
+private:                                                       \
+    friend class boost::serialization::access;                 \
+    template <class Archive>                                   \
+    void serialize(Archive& ar, const unsigned int version) {  \
+        ar& BOOST_SERIALIZATION_BASE_OBJECT_NVP(IndicatorImp); \
+    }
+#else
+#define INDICATOR_IMP_NO_PRIVATE_MEMBER_SERIALIZATION
+#endif
+
+#define INDICATOR_IMP(classname)                             \
+public:                                                      \
+    virtual void _calculate(const Indicator& data) override; \
+    virtual IndicatorImpPtr _clone() override {              \
+        return make_shared<classname>();                     \
+    }
+
+#define INDICATOR_IMP_SUPPORT_DYNAMIC_STEP(classname)                                          \
+public:                                                                                        \
+    virtual void _calculate(const Indicator& ind) override;                                    \
+    virtual void _dyn_run_one_step(const Indicator& ind, size_t curPos, size_t step) override; \
+    virtual bool supportIndParam() const override {                                            \
+        return true;                                                                           \
+    }                                                                                          \
+    virtual IndicatorImpPtr _clone() override {                                                \
+        return make_shared<classname>();                                                       \
+    }
+
+#define INDICATOR_NEED_CONTEXT                    \
+public:                                           \
+    virtual bool isNeedContext() const override { \
+        return true;                              \
+    }
+
+/** 获取 OPType 名称字符串 */
+string HKU_API getOPTypeName(IndicatorImp::OPType);
+
+typedef shared_ptr<IndicatorImp> IndicatorImpPtr;
+
+HKU_API std::ostream& operator<<(std::ostream&, const IndicatorImp&);
+HKU_API std::ostream& operator<<(std::ostream&, const IndicatorImpPtr&);
+
+inline size_t IndicatorImp::getResultNumber() const {
+    return m_result_num;
+}
+
+inline size_t IndicatorImp::discard() const {
+    return m_discard;
+}
+
+inline size_t IndicatorImp::size() const {
+    return m_pBuffer[0] ? m_pBuffer[0]->size() : 0;
+}
+
+inline const string& IndicatorImp::name() const {
+    return m_name;
+}
+
+inline void IndicatorImp::name(const string& name) {
+    m_name = name;
+}
+
+inline bool IndicatorImp::isLeaf() const {
+    return m_optype == LEAF ? true : false;
+}
+
+inline KData IndicatorImp::getContext() const {
+    return getParam<KData>("kdata");
+}
+
+inline const IndicatorImp::ind_param_map_t& IndicatorImp::getIndParams() const {
+    return m_ind_params;
+}
+
+inline bool IndicatorImp::haveIndParam(const string& name) const {
+    return m_ind_params.find(name) != m_ind_params.end();
+}
+
+inline IndicatorImp::value_t* IndicatorImp::data(size_t result_num) {
+    return m_pBuffer[result_num] ? m_pBuffer[result_num]->data() : nullptr;
+}
+
+inline IndicatorImp::value_t const* IndicatorImp::data(size_t result_num) const {
+    return m_pBuffer[result_num] ? m_pBuffer[result_num]->data() : nullptr;
+}
+
+inline size_t IndicatorImp::_get_step_start(size_t pos, size_t step, size_t discard) {
+    return step == 0 || pos < discard + step ? discard : pos + 1 - step;
+}
+
+} /* namespace hku */
+
+#if FMT_VERSION >= 90000
+template <>
+struct fmt::formatter<hku::IndicatorImp> : ostream_formatter {};
+#endif
+
+#endif /* INDICATORIMP_H_ */

hikyuu/include/hikyuu/indicator/__init__.py

@@ -0,0 +1 @@
+

hikyuu/include/hikyuu/indicator/build_in.h

@@ -0,0 +1,114 @@
+/*
+ * build_in.h
+ *
+ *  Created on: 2012-10-15
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_BUILD_IN_H_
+#define INDICATOR_BUILD_IN_H_
+
+#include "Indicator.h"
+#include "crt/KDATA.h"
+#include "crt/ABS.h"
+#include "crt/ACOS.h"
+#include "crt/AD.h"
+#include "crt/ADVANCE.h"
+#include "crt/ALIGN.h"
+#include "crt/AMA.h"
+#include "crt/ASIN.h"
+#include "crt/ATAN.h"
+#include "crt/ATR.h"
+#include "crt/AVEDEV.h"
+#include "crt/BACKSET.h"
+#include "crt/BARSCOUNT.h"
+#include "crt/BARSLAST.h"
+#include "crt/BARSSINCE.h"
+#include "crt/BETWEEN.h"
+#include "crt/BLOCKSETNUM.h"
+#include "crt/CEILING.h"
+#include "crt/CORR.h"
+#include "crt/COS.h"
+#include "crt/COST.h"
+#include "crt/COUNT.h"
+#include "crt/CROSS.h"
+#include "crt/CVAL.h"
+#include "crt/DECLINE.h"
+#include "crt/DEVSQ.h"
+#include "crt/DIFF.h"
+#include "crt/DMA.h"
+#include "crt/DOWNNDAY.h"
+#include "crt/DROPNA.h"
+#include "crt/EMA.h"
+#include "crt/EXP.h"
+#include "crt/EXIST.h"
+#include "crt/EVERY.h"
+#include "crt/FILTER.h"
+#include "crt/FINANCE.h"
+#include "crt/FLOOR.h"
+#include "crt/HHV.h"
+#include "crt/HHVBARS.h"
+#include "crt/HSL.h"
+#include "crt/IC.h"
+#include "crt/ICIR.h"
+#include "crt/INSUM.h"
+#include "crt/IR.h"
+#include "crt/INTPART.h"
+#include "crt/LAST.h"
+#include "crt/LIUTONGPAN.h"
+#include "crt/LLV.h"
+#include "crt/LLVBARS.h"
+#include "crt/LN.h"
+#include "crt/LOG.h"
+#include "crt/LONGCROSS.h"
+#include "crt/MA.h"
+#include "crt/MACD.h"
+#include "crt/MAX.h"
+#include "crt/MDD.h"
+#include "crt/MIN.h"
+#include "crt/MOD.h"
+#include "crt/MRR.h"
+#include "crt/NDAY.h"
+#include "crt/NOT.h"
+#include "crt/POS.h"
+#include "crt/POW.h"
+#include "crt/PRICELIST.h"
+#include "crt/RECOVER.h"
+#include "crt/REF.h"
+#include "crt/RESULT.h"
+#include "crt/REVERSE.h"
+#include "crt/ROC.h"
+#include "crt/ROCP.h"
+#include "crt/ROCR.h"
+#include "crt/ROCR100.h"
+#include "crt/ROUND.h"
+#include "crt/ROUNDDOWN.h"
+#include "crt/ROUNDUP.h"
+#include "crt/RSI.h"
+#include "crt/SAFTYLOSS.h"
+#include "crt/SIN.h"
+#include "crt/SLICE.h"
+#include "crt/SGN.h"
+#include "crt/SLOPE.h"
+#include "crt/SMA.h"
+#include "crt/SPEARMAN.h"
+#include "crt/SQRT.h"
+#include "crt/STDEV.h"
+#include "crt/STDP.h"
+#include "crt/SUM.h"
+#include "crt/SUMBARS.h"
+#include "crt/TAN.h"
+#include "crt/TIME.h"
+#include "crt/TIMELINE.h"
+#include "crt/TIMELINEVOL.h"
+#include "crt/TURNOVER.h"
+#include "crt/UPNDAY.h"
+#include "crt/VAR.h"
+#include "crt/VARP.h"
+#include "crt/VIGOR.h"
+#include "crt/ZHBOND10.h"
+#include "crt/ZONGGUBEN.h"
+#include "crt/ZSCORE.h"
+
+#endif /* INDICATOR_BUILD_IN_H_ */

hikyuu/include/hikyuu/indicator/crt/ABS.h

@@ -0,0 +1,34 @@
+/*
+ * ABS.h
+ *
+ *  Created on: 2019-4-2
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_ABS_H_
+#define INDICATOR_CRT_ABS_H_
+
+#include "CVAL.h"
+
+namespace hku {
+
+/**
+ * 求绝对值
+ * @ingroup Indicator
+ */
+Indicator HKU_API ABS();
+Indicator ABS(Indicator::value_t);
+Indicator ABS(const Indicator& ind);
+
+inline Indicator ABS(const Indicator& ind) {
+    return ABS()(ind);
+}
+
+inline Indicator ABS(Indicator::value_t val) {
+    return ABS(CVAL(val));
+}
+
+}  // namespace hku
+
+#endif /* INDICATOR_CRT_ABS_H_ */

hikyuu/include/hikyuu/indicator/crt/ACOS.h

@@ -0,0 +1,36 @@
+/*
+ * ACOS.h
+ *
+ *  Copyright (c) 2019 hikyuu.org
+ *
+ *  Created on: 2019-5-1
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_ACOS_H_
+#define INDICATOR_CRT_ACOS_H_
+
+#include "CVAL.h"
+
+namespace hku {
+
+/**
+ * 余弦值
+ * @ingroup Indicator
+ */
+Indicator HKU_API ACOS();
+Indicator ACOS(Indicator::value_t);
+Indicator ACOS(const Indicator& ind);
+
+inline Indicator ACOS(const Indicator& ind) {
+    return ACOS()(ind);
+}
+
+inline Indicator ACOS(Indicator::value_t val) {
+    return ACOS(CVAL(val));
+}
+
+}  // namespace hku
+
+#endif /* INDICATOR_CRT_ACOS_H_ */

hikyuu/include/hikyuu/indicator/crt/AD.h

@@ -0,0 +1,28 @@
+/*
+ * AD.h
+ *
+ *  Copyright (c) 2019, hikyuu.org
+ *
+ *  Created on: 2019-5-18
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_AD_H_
+#define INDICATOR_CRT_AD_H_
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/**
+ * 累积/派发线
+ * @param k 关联的 KData 数据
+ * @ingroup Indicator
+ */
+Indicator HKU_API AD(const KData& k);
+Indicator HKU_API AD();
+
+}  // namespace hku
+
+#endif /* INDICATOR_CRT_AD_H_ */

hikyuu/include/hikyuu/indicator/crt/ADVANCE.h

@@ -0,0 +1,32 @@
+/*
+ * ADVANCE.h
+ *
+ *  Copyright (c) 2019, hikyuu.org
+ *
+ *  Created on: 2019-6-1
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_ADVANCE_H_
+#define INDICATOR_CRT_ADVANCE_H_
+
+#include "../Indicator.h"
+#include "../../StockTypeInfo.h"
+
+namespace hku {
+
+/**
+ * 上涨家数。当存在指定上下文且 ignore_context 为 false 时，将忽略 query, market, stk_type 参数。
+ * @param query 查询条件
+ * @param market 所属市场，等于 "" 时，获取所有市场
+ * @param stk_type 证券类型, 大于 constant.STOCKTYPE_TMP 时，获取所有类型证券
+ * @param ignore_context 是否忽略上下文。忽略时，强制使用 query, market, stk_type 参数。
+ * @ingroup Indicator
+ */
+Indicator HKU_API ADVANCE(const KQuery& query = KQueryByIndex(-100), const string& market = "SH",
+                          int stk_type = STOCKTYPE_A, bool ignore_context = false);
+
+}  // namespace hku
+
+#endif /* INDICATOR_CRT_ADVANCE_H_ */

hikyuu/include/hikyuu/indicator/crt/ALIGN.h

@@ -0,0 +1,42 @@
+/*
+ * ALIGN.h
+ *
+ *  Copyright (c) 2019, hikyuu.org
+ *
+ *  Created on: 2019-5-21
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef INDICATOR_CRT_ALIGN_H_
+#define INDICATOR_CRT_ALIGN_H_
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/**
+ * 按指定日期对齐
+ * @ingroup Indicator
+ */
+Indicator HKU_API ALIGN(bool fill_null = true);
+Indicator HKU_API ALIGN(const DatetimeList&, bool fill_null = true);
+Indicator ALIGN(const Indicator& ind, const DatetimeList& ref, bool fill_null = true);
+Indicator ALIGN(const Indicator& ind, const Indicator& ref, bool fill_null = true);
+Indicator ALIGN(const Indicator& ind, const KData& ref, bool fill_null = true);
+
+inline Indicator ALIGN(const Indicator& ind, const DatetimeList& ref, bool fill_null) {
+    return ALIGN(ref, fill_null)(ind);
+}
+
+inline Indicator ALIGN(const Indicator& ind, const Indicator& ref, bool fill_null) {
+    return ALIGN(ref.getDatetimeList(), fill_null)(ind);
+}
+
+inline Indicator ALIGN(const Indicator& ind, const KData& ref, bool fill_null) {
+    return ALIGN(ref.getDatetimeList(), fill_null)(ind);
+}
+
+}  // namespace hku
+
+#endif /* INDICATOR_CRT_ALIGN_H_ */