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calc_moving_trend.go
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calc_moving_trend.go
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package main
import (
"fmt"
"log"
"sort"
"time"
"github.com/ludwig125/gke-stockprice/database"
"github.com/pkg/errors"
)
// daily table からmovingavgとtrend を計算してDBに格納する
// CalcMovingTrend is struct.
type CalcMovingTrend struct {
DB database.DB
DailyTable string
MovingAvgTable string
TrendTable string
Codes []string
FromDate string
ToDate string
MaxConcurrency int
LongTermThresholdDays int
// RestructureMovingavg bool
// RestructureTrend bool
}
// CalcMovingTrendConfig is config for CalcMovingTrend.
type CalcMovingTrendConfig struct {
DB database.DB
DailyTable string
MovingAvgTable string
TrendTable string
Codes []string
FromDate string
ToDate string
MaxConcurrency int
LongTermThresholdDays int
// RestructureMovingavg bool
// RestructureTrend bool
}
// NewCalcMovingTrend returns new CalcMovingTrend.
func NewCalcMovingTrend(c CalcMovingTrendConfig) (*CalcMovingTrend, error) {
if c.DB == nil {
return nil, errors.New("no database")
}
if c.DailyTable == "" {
return nil, errors.New("no DailyTable")
}
if c.MovingAvgTable == "" {
return nil, errors.New("no MovingAvgTable")
}
if c.TrendTable == "" {
return nil, errors.New("no TrendTable")
}
if len(c.Codes) == 0 {
return nil, errors.New("no codes")
}
sort.Strings(c.Codes) // codesを昇順でソート
checkTimeValidation := func(v string) (string, error) {
t, err := time.Parse("2006/01/02", v)
if err != nil {
return "", fmt.Errorf("invalid time format: %v. value: %v. Please set this format: YYYY/MM/DD", err, v)
}
return t.Format("2006/01/02"), nil
}
// デフォルトでは10日前
fromDate := time.Now().AddDate(0, 0, -10).Format("2006/01/02")
if c.FromDate != "" {
t, err := checkTimeValidation(c.FromDate)
if err != nil {
return nil, fmt.Errorf("failed to checkTimeValidation: %v", err)
}
fromDate = t
}
toDate := time.Now().Format("2006/01/02")
if c.ToDate != "" {
t, err := checkTimeValidation(c.ToDate)
if err != nil {
return nil, fmt.Errorf("failed to checkTimeValidation: %v", err)
}
toDate = t
}
maxConcurrency := 1
if c.MaxConcurrency > 0 {
maxConcurrency = c.MaxConcurrency
}
longTermThresholdDays := 2 // TODO
if c.LongTermThresholdDays > 0 {
longTermThresholdDays = c.LongTermThresholdDays
}
return &CalcMovingTrend{
DB: c.DB,
DailyTable: c.DailyTable,
MovingAvgTable: c.MovingAvgTable,
TrendTable: c.TrendTable,
Codes: c.Codes,
FromDate: fromDate,
ToDate: toDate,
MaxConcurrency: maxConcurrency,
LongTermThresholdDays: longTermThresholdDays,
// RestructureMovingavg: c.RestructureMovingavg,
// RestructureTrend: c.RestructureTrend,
}, nil
}
// Exec is method.
func (c CalcMovingTrend) Exec() error {
// 複数Codeごとに処理する
// 同時に処理する最大件数はMaxConcurrencyで与えられる
log.Printf("calcForEachCode from-to: %s-%s", c.FromDate, c.ToDate)
var targetCodes []string
for _, code := range c.Codes {
targetCodes = append(targetCodes, code)
// MaxConcurrencyに達したら一旦処理
if len(targetCodes) == c.MaxConcurrency {
if err := c.calcForEachCode(targetCodes); err != nil {
return fmt.Errorf("failed to calcForEachCode: %v", err)
}
targetCodes = nil // 初期化
}
}
// MaxConcurrencyに達しなかった残りを処理
if len(targetCodes) > 0 {
if err := c.calcForEachCode(targetCodes); err != nil {
return fmt.Errorf("failed to calcForEachCode: %v", err)
}
}
return nil
}
func (c CalcMovingTrend) calcForEachCode(targetCodes []string) error {
start := time.Now()
defer func() {
// TODO: codeや期間をログに残す?
log.Printf("calcForEachCode duration: %v, target codes num: %d", time.Since(start), len(targetCodes))
}()
codeDateCloses, err := c.fetchCodesDateCloses(targetCodes)
if err != nil {
return fmt.Errorf("failed to fetchCodesDateCloses: %v", err)
}
cdms := calculateCodeDateMovingAvgs(codeDateCloses)
cdts := calculateCodeDateTrend(codeDateCloses, cdms, c.LongTermThresholdDays)
if err := c.writeMovingAndTrend(codeDateCloses, cdms, cdts); err != nil {
return fmt.Errorf("failed to writeMovingAndTrend: %v", err)
}
log.Printf("write moving and trend successfully, code: %v", targetCodes)
return nil
}
func (c CalcMovingTrend) fetchCodesDateCloses(targetCodes []string) (map[string][]DateClose, error) {
fromDate := ""
if c.FromDate != "" {
fromDate = fmt.Sprintf("AND date >= '%s'", c.FromDate)
}
toDate := ""
if c.ToDate != "" {
toDate = fmt.Sprintf("AND date <= '%s'", c.ToDate)
}
return fetchCodesDateCloses(c.DB, c.DailyTable, targetCodes, fromDate, toDate, "")
}
func (c CalcMovingTrend) writeMovingAndTrend(cdcs map[string][]DateClose, cdms map[string][]DateMovingAvgs, cdts map[string][]DateTrendList) error {
movingavgData := CodeDateMovingAvgs(cdms).Slices()
if err := c.DB.InsertOrUpdateDB(c.MovingAvgTable, movingavgData); err != nil {
return fmt.Errorf("failed to insert movingavg: %v", err)
}
trendData := CodeDateTrendLists(cdts).makeTrendDataForDB()
if err := c.DB.InsertOrUpdateDB(c.TrendTable, trendData); err != nil {
return fmt.Errorf("failed to insert trend: %v", err)
}
return nil
}
func calculateCodeDateMovingAvgs(codeDateCloses map[string][]DateClose) map[string][]DateMovingAvgs {
cdms := make(map[string][]DateMovingAvgs, len(codeDateCloses))
for code, dateCloses := range codeDateCloses {
dm := calculateMovingAvg(dateCloses)
cdms[code] = dm
}
return cdms
}
// TODO: movingavg.go と被っている
func calculateMovingAvg(dateCloses []DateClose) []DateMovingAvgs {
dcs := DateCloses(dateCloses)
// 取得対象の移動平均
targetMovingAvgs := []int{3, 5, 7, 10, 20, 60, 100}
// (日付:移動平均)のMapを3, 5, 7,...ごとに格納したMap
moving := make(map[int]map[string]float64)
for _, days := range targetMovingAvgs {
// moving[3]: 3日移動平均
// moving[5]: 5日移動平均...
moving[days] = dcs.calcMovingAvg(days)
}
var dateMovingAvgs []DateMovingAvgs
for _, c := range dcs {
d := c.Date // 日付
dm := DateMovingAvgs{
Date: d,
MovingAvgs: MovingAvgs{
M3: moving[3][d],
M5: moving[5][d],
M7: moving[7][d],
M10: moving[10][d],
M20: moving[20][d],
M60: moving[60][d],
M100: moving[100][d],
},
}
dateMovingAvgs = append(dateMovingAvgs, dm)
}
return dateMovingAvgs
}
func calculateCodeDateTrend(codeDateCloses map[string][]DateClose, codeDateMovingAvgs map[string][]DateMovingAvgs, longTermThresholdDays int) map[string][]DateTrendList {
cdts := make(map[string][]DateTrendList, len(codeDateCloses))
for code, dateCloses := range codeDateCloses {
dt := calculateTrend(dateCloses, codeDateMovingAvgs[code], longTermThresholdDays)
cdts[code] = dt
}
return cdts
}
func calculateTrend(dateCloses []DateClose, dateMovingAvgs []DateMovingAvgs, longTermThresholdDays int) []DateTrendList {
dateTrendLists := make([]DateTrendList, 0, len(dateCloses))
pastTrends := []Trend{}
for i := len(dateMovingAvgs) - 1; i >= 0; i-- { // 日付の古い順
dm := dateMovingAvgs[i]
date := dm.Date
ms := dm.MovingAvgs
tm := TrendMovingAvgs{
M5: ms.M5,
M20: ms.M20,
M60: ms.M60,
M100: ms.M100,
}
closes := extractCloses(date, dateCloses)
reversedPastTrends := makeReversePastTrends(pastTrends, longTermThresholdDays)
latestTrendList := calculateTrendList(closes, tm, reversedPastTrends, longTermThresholdDays)
dateTrendLists = append(dateTrendLists, DateTrendList{date: date, trendList: latestTrendList})
pastTrends = append(pastTrends, latestTrendList.trend)
}
// 最後に日付の降順にする
for i, j := 0, len(dateTrendLists)-1; i < j; i, j = i+1, j-1 {
dateTrendLists[i], dateTrendLists[j] = dateTrendLists[j], dateTrendLists[i]
}
return dateTrendLists
}
func extractCloses(date string, dateCloses []DateClose) []float64 {
var closes []float64
for _, dateClose := range dateCloses {
if date < dateClose.Date {
continue
}
closes = append(closes, dateClose.Close)
if len(closes) == maxContinuationDays+1 { // 直近のmaxContinuationDays+1件とったらおしまい(continuationDaysをmaxContinuationDaysまで取るため)
break
}
}
return closes
}
// このpastTrendsは日付の古い順に入っているので、逆順のSliceを作る
// longTermThresholdDaysに達したら打ち切る
func makeReversePastTrends(pastTrends []Trend, longTermThresholdDays int) []Trend {
tmpTrends := make([]Trend, 0, len(pastTrends))
for j := len(pastTrends) - 1; j >= 0; j-- {
tmpTrends = append(tmpTrends, pastTrends[j])
if len(tmpTrends) >= longTermThresholdDays {
return tmpTrends
}
}
return tmpTrends
}