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

_Erwin_

已于 2022-11-04 21:35:19 修改

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分类专栏： HFT 文章标签： c++

于 2022-01-12 14:18:17 首次发布

本文链接：https://blog.csdn.net/Michael_234198652/article/details/122452590

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#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;
	}
}