量化交易之hft篇 - alpha因子 (DiffAlpha)

#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;
	}

}