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修正平台策略滚动量能口径

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boris
2026-06-13 20:48:52 +08:00
parent e1d36fc0c7
commit a030554ab6
2 changed files with 272 additions and 42 deletions
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crates/fidc-core/src/data.rs
+18 -42
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@@ -485,13 +485,12 @@ struct SymbolPriceSeries {
closes: Vec<f64>,
prev_closes: Vec<f64>,
last_prices: Vec<f64>,
volumes: Vec<f64>,
open_prefix: Vec<f64>,
close_prefix: Vec<f64>,
prev_close_prefix: Vec<f64>,
last_prefix: Vec<f64>,
unpaused_volumes: Vec<f64>,
unpaused_volume_prefix: Vec<f64>,
unpaused_count_prefix: Vec<usize>,
volume_prefix: Vec<f64>,
}
impl SymbolPriceSeries {
@@ -504,20 +503,12 @@ impl SymbolPriceSeries {
let closes = sorted.iter().map(|row| row.close).collect::<Vec<_>>();
let prev_closes = sorted.iter().map(|row| row.prev_close).collect::<Vec<_>>();
let last_prices = sorted.iter().map(|row| row.last_price).collect::<Vec<_>>();
let volumes = sorted.iter().map(|row| row.volume as f64).collect::<Vec<_>>();
let open_prefix = prefix_sums(&opens);
let close_prefix = prefix_sums(&closes);
let prev_close_prefix = prefix_sums(&prev_closes);
let last_prefix = prefix_sums(&last_prices);
let mut unpaused_volumes = Vec::new();
let mut unpaused_count_prefix = Vec::with_capacity(sorted.len() + 1);
unpaused_count_prefix.push(0);
for row in &sorted {
if !row.paused {
unpaused_volumes.push(row.volume as f64);
}
unpaused_count_prefix.push(unpaused_volumes.len());
}
let unpaused_volume_prefix = prefix_sums(&unpaused_volumes);
let volume_prefix = prefix_sums(&volumes);
Self {
snapshots: sorted,
@@ -526,13 +517,12 @@ impl SymbolPriceSeries {
closes,
prev_closes,
last_prices,
volumes,
open_prefix,
close_prefix,
prev_close_prefix,
last_prefix,
unpaused_volumes,
unpaused_volume_prefix,
unpaused_count_prefix,
volume_prefix,
}
}
@@ -633,12 +623,11 @@ impl SymbolPriceSeries {
return None;
}
let end = self.previous_completed_end_index(date)?;
let end_count = *self.unpaused_count_prefix.get(end)?;
if end_count < lookback {
if end < lookback {
return None;
}
let start_count = end_count - lookback;
let sum = self.unpaused_volume_prefix[end_count] - self.unpaused_volume_prefix[start_count];
let start = end - lookback;
let sum = self.volume_prefix[end] - self.volume_prefix[start];
Some(sum / lookback as f64)
}
@@ -647,12 +636,11 @@ impl SymbolPriceSeries {
return None;
}
let end = self.end_index(date)?;
let end_count = *self.unpaused_count_prefix.get(end)?;
if end_count < lookback {
if end < lookback {
return None;
}
let start_count = end_count - lookback;
let sum = self.unpaused_volume_prefix[end_count] - self.unpaused_volume_prefix[start_count];
let start = end - lookback;
let sum = self.volume_prefix[end] - self.volume_prefix[start];
Some(sum / lookback as f64)
}
@@ -661,23 +649,11 @@ impl SymbolPriceSeries {
return None;
}
let end = self.previous_completed_end_index(date)?;
let values = self.trailing_unpaused_volumes(end, lookback)?;
if values.len() < lookback {
if end < lookback {
return None;
}
Some(values)
}
fn trailing_unpaused_volumes(&self, end: usize, lookback: usize) -> Option<Vec<f64>> {
if lookback == 0 || end == 0 {
return None;
}
let end_count = *self.unpaused_count_prefix.get(end)?;
if end_count < lookback {
return None;
}
let start_count = end_count - lookback;
Some(self.unpaused_volumes[start_count..end_count].to_vec())
let start = end - lookback;
Some(self.volumes[start..end].to_vec())
}
fn end_index(&self, date: NaiveDate) -> Option<usize> {
@@ -3647,7 +3623,7 @@ mod tests {
}
#[test]
fn decision_volume_average_skips_paused_days_before_counting_window() {
fn decision_volume_average_includes_paused_zero_volume_days() {
let mut paused = market_row("2025-01-03", 11.0, 0);
paused.paused = true;
let series = SymbolPriceSeries::new(&[
@@ -3662,14 +3638,14 @@ mod tests {
NaiveDate::parse_from_str("2025-01-07", "%Y-%m-%d").unwrap(),
2
),
Some(200.0)
Some(150.0)
);
assert_eq!(
series.decision_volume_moving_average(
NaiveDate::parse_from_str("2025-01-07", "%Y-%m-%d").unwrap(),
3
),
None
Some((100.0 + 0.0 + 300.0) / 3.0)
);
}