量化交易之hft篇 - alpha因子 (LastTradedQuantityAlpha)

#pragma once

#include "../../Includes/WTSDataDef.hpp"
USING_NS_OTP;

namespace hftalphas {

typedef unique_ptr<vector<WTSTickData>> TicksUPtr;

class LastTradedQuantityAlpha
{
public:
  LastTradedQuantityAlpha() = default;
  ~LastTradedQuantityAlpha() = default;

public:
  static int32_t alphaValue(const TicksUPtr& ticks, const uint32_t length, const uint32_t unitValue = 1);

};

}

#include "TQZHftLastTradedQuantity.h"

namespace hftalphas {

  int32_t LastTradedQuantityAlpha::alphaValue(const TicksUPtr& ticks, const uint32_t length, const uint32_t unitValue) {
    if (ticks->size() < length || !length)
      return 0;

    double sumSizeValue(0);
    for (size_t index(ticks->size() - length); index < ticks->size(); index++) {
      double midSizeValue = (ticks->at(index).bidqty(0) + ticks->at(index).askqty(0) * -1) * 0.5;

      sumSizeValue += midSizeValue;
    }

    /// calculate alpha value.
    int32_t alphaValue(0);
    if (sumSizeValue > 0)
      alphaValue = unitValue;
    else if (sumSizeValue < 0)
      alphaValue = -1 * unitValue;
    return alphaValue;
  }
}