jackyu66gitandCursor
081a57a90e
独立 wyckoff 引擎 + 按需 include_wyckoff；主站 Lightweight 绘制区间/阶段/事件/VP。 Co-authored-by: Cursor <cursoragent@cursor.com>
73 lines
2.0 KiB
Python
73 lines
2.0 KiB
Python
"""区间内 Volume Profile。"""
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from __future__ import annotations
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from typing import Any, Dict, List
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import numpy as np
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import pandas as pd
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def compute_volume_profile(
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df: pd.DataFrame,
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start_idx: int,
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end_idx: int,
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bin_count: int = 50,
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value_area_pct: float = 0.70,
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) -> Dict[str, Any]:
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seg = df.iloc[start_idx : end_idx + 1]
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if seg.empty:
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return {"bins": [], "poc": None, "vah": None, "val": None, "bin_count": bin_count}
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typical = (seg["high"].astype(float) + seg["low"].astype(float) + seg["close"].astype(float)) / 3.0
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vol = seg["volume"].astype(float).fillna(0.0)
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lo = float(seg["low"].min())
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hi = float(seg["high"].max())
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if not np.isfinite(lo) or not np.isfinite(hi) or hi <= lo:
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mid = float(seg["close"].iloc[-1])
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return {
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"bins": [{"price": mid, "volume": float(vol.sum())}],
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"poc": mid,
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"vah": mid,
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"val": mid,
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"bin_count": 1,
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}
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edges = np.linspace(lo, hi, bin_count + 1)
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# 右开最后一桶闭合
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idx = np.clip(np.digitize(typical.values, edges) - 1, 0, bin_count - 1)
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vols = np.zeros(bin_count, dtype=float)
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for i, v in zip(idx, vol.values):
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vols[i] += float(v)
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centers = (edges[:-1] + edges[1:]) / 2.0
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poc_i = int(np.argmax(vols)) if vols.sum() > 0 else bin_count // 2
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poc = float(centers[poc_i])
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# Value Area：从 POC 向两侧扩展直到累计 >= value_area_pct
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total = float(vols.sum()) or 1.0
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target = total * value_area_pct
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left = right = poc_i
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acc = float(vols[poc_i])
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while acc < target and (left > 0 or right < bin_count - 1):
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left_v = vols[left - 1] if left > 0 else -1.0
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right_v = vols[right + 1] if right < bin_count - 1 else -1.0
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if right_v >= left_v and right < bin_count - 1:
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right += 1
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acc += float(vols[right])
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elif left > 0:
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left -= 1
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acc += float(vols[left])
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else:
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break
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bins: List[Dict[str, float]] = [
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{"price": float(centers[i]), "volume": float(vols[i])} for i in range(bin_count)
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]
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return {
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"bins": bins,
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"poc": poc,
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"vah": float(centers[right]),
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"val": float(centers[left]),
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"bin_count": bin_count,
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}
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