量化交易之hft篇 - alpha因子 (MaAlpha)

#pragma once

#include <stdint.h>
//#include <vector>

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

namespace hftalphas {

typedef unique_ptr<vector<WTSTickData>> TicksUPtr;

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

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

};

}

#include "TQZHftMa.h"
#include <iostream>

namespace hftalphas {

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

    double sumValue(0);
    size_t beginIndex(ticks->size() - length);
    for (size_t i(beginIndex); i < static_cast<size_t>(ticks->size()); i++)
      sumValue += ticks->at(i).price();

    double maValue(sumValue / length);
    int32_t alphaValue(0);
    WTSTickData lastTick = ticks->at(ticks->size() - 1);
    if (lastTick.price() > maValue)
      alphaValue = unitValue;
    else if (lastTick.price() < maValue)
      alphaValue = -1 * unitValue;

    return alphaValue;
  }

}