jack/Chan
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
b286cb01378bf94c0c83479b36066dbf30d466aa
Chan/chanlun/pipeline/builders/seg.py
T
UbuntuandCursor 206b27fe72 refactor: 以自实现指标替换 talib 与 technical 依赖 
chanlun/indicators/ta.py 接口兼容 talib.abstract，实现代码实际用到的
SMA/MA/EMA/RSI/ATR/MACD/BBANDS；chanlun/pipeline/resample.py 替代
technical.util.resample_to_interval。调用点只改 import，逻辑未动。

暖机长度与平滑种子按 TA-Lib 的约定实现，差一根 K 线就会让下游所有
笔/线段/中枢整体位移。其中 MACD 需特别处理：TA-Lib 让快慢两条 EMA
在同一根 K 线出首值，因而快线的种子取 x[slow-fast:slow] 的均值，而非
从 fastperiod-1 一路递推——两者在百元价位上相差约 0.17。

BBANDS 是有意的分歧：TA-Lib 用 sumsq/n - mean² 求方差，短窗口远离零
时灾难性抵消（timeperiod=2 误差 8.7e-7），本实现用 rolling std，对 50
位精度基准误差为 0。项目实际使用的周期两者一致到 1e-10。

顺带清理 12 个文件中 16 处从未调用的 talib/technical 导入。

验证：9440 组随机对拨；真实 K 线端到端比对 add_indicators 全部 33 个
指标列，NaN 模式一致、MACD 柱符号 100% 相同；屏蔽两个包后 60 个模块
均可导入。新增 test_ta_compat.py 将输出逐 bar 钉在 TA-Lib 上，但该文件
在 TA-Lib 缺失时静默跳过，改动 ta.py 需在装有 TA-Lib 的环境复跑。

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-08-27 02:01:43 +08:00

316 lines
12 KiB
Python
Raw Blame History

"""TF_DF builder mixin — 由 split_tfdf_builders 自动生成，逻辑与原 TF_DF 一致。"""
from __future__ import annotations
from datetime import timedelta
from decimal import Decimal
import numpy as np
import pandas as pd
from pandas import DataFrame
from chanlun.core.ChanBI import ChanBI
from chanlun.core.ChanBIZS import ChanBIZS
from chanlun.core.ChanBSP import ChanBSP
from chanlun.core.ChanEnum import (
Chan_BI_DIR,
Chan_BSP_DIR,
Chan_BSP_TYPE,
Chan_FX_TYPE,
Chan_K_DIR,
Chan_KLC_FX,
Chan_KLC_STATE,
Chan_KLINE_DIR,
Chan_KLU_PATTERN,
Chan_PRICE_TREND,
Chan_SEG_DIR,
Chan_ZS_DIR,
)
from chanlun.core.ChanKLC import ChanKLC
from chanlun.core.ChanKLU import ChanKLU
from chanlun.core.ChanSBI import ChanSBI
from chanlun.core.ChanSEG import ChanSEG
from chanlun.core.ChanZS import ChanZS, ChanZS_Big
from chanlun.indicators.ChanMACD import ChanMACD
class SegBuilderMixin:
def get_seg_list(self, bi_list):
seg_list = []
up_bi_list = []
down_bi_list = []
last_up_bi = None
last_down_bi = None
last_up_sbi = None
last_down_sbi = None
last_seg = None
up_sbi_list = []
down_sbi_list = []
look_for_bottom = False
look_for_top = False
for bi in bi_list:
#print(len(up_sbi_list), len(down_sbi_list))
if len(seg_list) > 0:
# Last seg is up
if last_seg.dir == Chan_SEG_DIR.UP:
if bi.dir == Chan_BI_DIR.DOWN:
if len(down_sbi_list) > 1:
# Check down sbi inclusion
included = last_down_sbi.check_bi_included(bi)
if not included:
down_sbi = ChanSBI(bi, len(down_sbi_list), bi.dir)
last_down_sbi.set_next(down_sbi)
last_down_sbi.set_end_bi(last_down_bi)
down_sbi.set_pre(last_down_sbi)
down_sbi_list.append(down_sbi)
fx = last_down_sbi.check_fx()
# Found top
if fx == Chan_FX_TYPE.TOP:
if look_for_top:
seg_list[-2].set_sure(bi)
look_for_top = False
#print(bi.start_time, look_for_top, "UP 1")
# Has gap and search for bottom fx
if last_down_sbi.has_fx_gap:
look_for_bottom = True
last_seg.pre_set_end_bi(bi_list[last_down_sbi.start_bi.index - 1])
seg = ChanSEG(last_down_sbi.start_bi, len(seg_list), Chan_SEG_DIR.DOWN, bi)
seg_list.append(seg)
last_seg.set_next(seg)
seg.set_pre(last_seg)
last_seg = seg
up_sbi_list = []
last_up_sbi = ChanSBI(last_up_bi, len(up_sbi_list), last_up_bi.dir)
up_sbi_list.append(last_up_sbi)
#up_sbi_list.append(last_up_sbi)
#print(last_up_bi.start_time, last_up_sbi.start_bi.start_time, "Reset up sbi list 1")
#print(bi.start_time, look_for_top, "UP 2")
# No gap end SEG
else:
if look_for_bottom:
look_for_bottom = False
last_seg.set_start_bi(last_down_sbi.start_bi)
seg_list[-2].set_end_bi(bi_list[last_down_sbi.start_bi.index - 1], bi)
up_sbi_list = []
last_up_sbi = ChanSBI(last_up_bi, len(up_sbi_list), last_up_bi.dir)
up_sbi_list.append(last_up_sbi)
last_seg.add_bi(bi)
#up_sbi_list.append(last_up_sbi)
#print(last_up_bi.start_time, last_up_sbi.start_bi.start_time, "Reset up sbi list 2")
#print(bi.start_time, look_for_top, "UP 3")
else:
last_seg.set_end_bi(bi_list[last_down_sbi.start_bi.index - 1], bi)
seg = ChanSEG(last_down_sbi.start_bi, len(seg_list), Chan_SEG_DIR.DOWN, bi)
seg_list.append(seg)
last_seg.set_next(seg)
seg.set_pre(last_seg)
last_seg = seg
#print(last_down_sbi.end_bi.start_time, "Normal UP SEG", last_up_sbi.start_bi.start_time, bi.start_time)
#l_up_sbi = up_sbi_list[-1]
up_sbi_list = []
last_up_sbi = ChanSBI(last_up_bi, len(up_sbi_list), last_up_bi.dir)
up_sbi_list.append(last_up_sbi)
#up_sbi_list.append(last_up_sbi)
#print(last_up_bi.start_time, last_up_sbi.start_bi.start_time, "Reset up sbi list 3")
last_down_sbi = down_sbi
last_seg.add_bi(bi)
else:
if len(down_sbi_list) == 1:
included = last_down_sbi.check_bi_included(bi)
if not included:
down_sbi = ChanSBI(bi, len(down_sbi_list), bi.dir)
last_down_sbi.set_next(down_sbi)
last_down_sbi.set_end_bi(last_down_bi)
down_sbi.set_pre(last_down_sbi)
down_sbi_list.append(down_sbi)
last_down_sbi = down_sbi
#print(bi.start_time, look_for_top, "UP 4")
last_seg.add_bi(bi)
else:
last_down_sbi = ChanSBI(bi, len(down_sbi_list), bi.dir)
down_sbi_list.append(last_down_sbi)
last_seg.add_bi(bi)
#print(bi.start_time, look_for_top, "UP 5")
else:
if last_up_sbi:
included = last_up_sbi.check_bi_included(bi)
if not included:
up_sbi = ChanSBI(bi, len(up_sbi_list), bi.dir)
last_up_sbi.set_next(up_sbi)
last_up_sbi.set_end_bi(last_up_bi)
up_sbi.set_pre(last_up_sbi)
up_sbi_list.append(up_sbi)
last_up_sbi = up_sbi
#print(bi.start_time, look_for_top, "UP 6")
last_seg.add_bi(bi)
# Last seg is down
else:
if bi.dir == Chan_BI_DIR.UP:
if len(up_sbi_list) > 1:
# Check down sbi inclusion
included = last_up_sbi.check_bi_included(bi)
if not included:
up_sbi = ChanSBI(bi, len(up_sbi_list), bi.dir)
last_up_sbi.set_next(up_sbi)
last_up_sbi.set_end_bi(last_up_bi)
up_sbi.set_pre(last_up_sbi)
up_sbi_list.append(up_sbi)
fx = last_up_sbi.check_fx()
# Found bottom
if fx == Chan_FX_TYPE.BOTTOM:
if look_for_bottom:
seg_list[-2].set_sure(bi)
look_for_bottom = False
#print(bi.start_time, look_for_top, "DOWN 1")
# Has gap and search for bottom fx
if last_up_sbi.has_fx_gap:
look_for_top = True
last_seg.pre_set_end_bi(bi_list[last_up_sbi.start_bi.index - 1])
seg = ChanSEG(last_up_sbi.start_bi, len(seg_list), Chan_SEG_DIR.UP, bi)
seg_list.append(seg)
last_seg.set_next(seg)
seg.set_pre(last_seg)
last_seg = seg
down_sbi_list = []
last_down_sbi = ChanSBI(last_down_bi, len(down_sbi_list), last_down_bi.dir)
down_sbi_list.append(last_down_sbi)
#down_sbi_list.append(last_down_sbi)
#print(last_down_bi.start_time, last_down_sbi.start_bi.start_time, "Reset down sbi list 1")
#print(bi.start_time, look_for_top, "DOWN 2")
# No gap end SEG
else:
if look_for_top:
look_for_top = False
last_seg.set_start_bi(last_up_sbi.start_bi)
seg_list[-2].set_end_bi(bi_list[last_up_sbi.start_bi.index - 1], bi)
down_sbi_list = []
last_down_sbi = ChanSBI(last_down_bi, len(down_sbi_list), last_down_bi.dir)
down_sbi_list.append(last_down_sbi)
last_seg.add_bi(bi)
#down_sbi_list.append(last_down_sbi)
#print(last_down_bi.start_time, last_down_sbi.start_bi.start_time, "Reset down sbi list 2")
#print(bi.start_time, look_for_top, "DOWN 3")
else:
last_seg.set_end_bi(bi_list[last_up_sbi.start_bi.index - 1], bi)
seg = ChanSEG(last_up_sbi.start_bi, len(seg_list), Chan_SEG_DIR.UP, bi)
#print(last_up_sbi.start_bi.start_time)
last_seg.set_next(seg)
seg.set_pre(last_seg)
seg_list.append(seg)
last_seg = seg
#print(last_up_sbi.end_bi.start_time, "Normal DOWN SEG", last_down_sbi.start_bi.start_time, bi.start_time)
down_sbi_list = []
last_down_sbi = ChanSBI(last_down_bi, len(down_sbi_list), last_down_bi.dir)
down_sbi_list.append(last_down_sbi)
#down_sbi_list.append(last_down_sbi)
#print(last_down_bi.start_time, last_down_sbi.start_bi.start_time, "Reset down sbi list 3")
last_up_sbi = up_sbi
last_seg.add_bi(bi)
else:
if len(up_sbi_list) == 1:
#last_up_sbi = up_sbi_list[-1]
included = last_up_sbi.check_bi_included(bi)
if not included:
up_sbi = ChanSBI(bi, len(up_sbi_list), bi.dir)
last_up_sbi.set_next(up_sbi)
last_up_sbi.set_end_bi(last_up_bi)
up_sbi.set_pre(last_up_sbi)
up_sbi_list.append(up_sbi)
last_up_sbi = up_sbi
last_seg.add_bi(bi)
#print(bi.start_time, look_for_top, "DOWN 4")
else:
last_up_sbi = ChanSBI(bi, len(up_sbi_list), bi.dir)
up_sbi_list.append(last_up_sbi)
last_seg.add_bi(bi)
#print(bi.start_time, look_for_top, "DOWN 5")
else:
if last_down_sbi:
included = last_down_sbi.check_bi_included(bi)
if not included:
down_sbi = ChanSBI(bi, len(down_sbi_list), bi.dir)
last_down_sbi.set_next(down_sbi)
last_down_sbi.set_end_bi(last_down_bi)
down_sbi.set_pre(last_down_sbi)
down_sbi_list.append(down_sbi)
last_down_sbi = down_sbi
last_seg.add_bi(bi)
#print(bi.start_time, look_for_top, look_for_bottom, "DOWN 6")
# len(seg_list) = 0
else:
if bi.check_overlap():
if bi.dir == Chan_BI_DIR.UP:
seg = ChanSEG(bi, len(seg_list), Chan_SEG_DIR.UP, bi)
last_up_bi = bi
last_up_sbi = ChanSBI(bi, len(up_sbi_list), bi.dir)
seg_list.append(seg)
last_seg = seg
#print(bi.start_time, 'Create first UP SEG')
else:
seg = ChanSEG(bi, len(seg_list), Chan_SEG_DIR.DOWN, bi)
last_down_bi = bi
last_down_sbi = ChanSBI(bi, len(down_sbi_list), bi.dir)
seg_list.append(seg)
last_seg = seg
#print(bi.start_time, 'Create first DOWN SEG')
if bi.dir == Chan_BI_DIR.UP:
last_up_bi = bi
up_bi_list.append(bi)
else:
last_down_bi = bi
down_bi_list.append(bi)
"""
if len(seg_list) > 1:
seg = seg_list[-1]
last_seg = seg_list[-2]
last_seg_bi = last_seg.bi_list[-3]
bi_index = seg.start_bi.index
for i in range(bi_index, len(bi_list) - 1):
# last seg is down
if seg.dir == Chan_SEG_DIR.UP:
if bi_list[i].dir == Chan_BI_DIR.UP:
last_seg_peak = last_seg_bi.high
if bi_list[i].high > last_seg_peak:
# The confirmed
print("Last UP seg is broken, create a new seg. 1")
seg.pre_set_end_bi(bi_list[i])
seg = ChanSEG(bi_list[i+1], len(seg_list), Chan_SEG_DIR.DOWN, bi)
seg_list.append(seg)
last_seg = seg_list[-2]
if len(last_seg.bi_list) > 3:
last_seg_bi = last_seg.bi_list[-3]
else:
if bi_list[i].dir == Chan_BI_DIR.DOWN:
last_seg_peak = last_seg_bi.low
if bi_list[i].low < last_seg_peak:
print("Last DOWN seg is broken, create a new seg. 1")
seg.pre_set_end_bi(bi_list[i])
seg = ChanSEG(bi_list[i+1], len(seg_list), Chan_SEG_DIR.UP, bi)
seg_list.append(seg)
last_seg = seg_list[-2]
if len(last_seg.bi_list) > 3:
last_seg_bi = last_seg.bi_list[-3]
else:
if len(seg_list) == 1:
last_seg = seg_list[-1]
bi_index = last_seg.bi_list[0].index
for i in range(bi_index, len(bi_list) - 1):
if i > bi_index + 2:
last_seg_peak = bi_list[i-2].high
# last seg is down
if last_seg.dir == Chan_SEG_DIR.DOWN:
if bi_list[i].dir == Chan_BI_DIR.UP:
if bi_list[i].high > last_seg_peak:
print("Last seg is broken, create a new seg. 2")
last_seg.pre_set_end_bi(bi_list[i-1])
seg = ChanSEG(bi_list[i], len(seg_list), Chan_SEG_DIR.UP, bi)
seg_list.append(seg)
last_seg = seg
last_seg_bi = bi_list[i]
break
"""
#self.cal_bi_zs(seg_list)
return seg_list
Reference in New Issue View Git Blame Copy Permalink