#pragma once

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

namespace hftalphas {

typedef unique_ptr<vector<WTSTickData>> TicksUPtr;

class DiffAlpha {

public:
  DiffAlpha() = default;
  ~DiffAlpha() = default;

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

};

}
#include "TQZHftDiff.h"


namespace hftalphas {

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

    double sumDifferValue(0);
    double lastDifferValue(0);
    for (size_t index(ticks->size() - length); index < ticks->size(); index++) {
      WTSTickData pre_tickData = ticks->at(index-1);
      WTSTickData tickData = ticks->at(index);

      double pre_midPrice = (pre_tickData.askprice(0) + pre_tickData.bidprice(0)) * 0.5;
      double midPrice = (tickData.askprice(0) + tickData.bidprice(0)) * 0.5;

      sumDifferValue += (midPrice - pre_midPrice);
      lastDifferValue = (midPrice - pre_midPrice);
    }
    double averageDifferValue(sumDifferValue / length);

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

}