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analysisRXSJ.R
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setwd("C:\\xtang\\workspace\\mystockAnalysis")
library(sqldf)
library(RCurl)
library(quantmod)
library(plyr)
library(logging)
library(futile.logger)
library(base)
flog.threshold(INFO)
#file <- readRXSJFile("C:\\xtang\\workspace\\R\\stockAnalysis\\rxsj\\000001.txt")
#partingDataDF[order(as.Date(partingDataDF$日期,format="%d/%m/%Y")),]
Sys.setenv(http_proxy="http://child-prc.intel.com:913")
historyTradeLink <- "http://market.finance.sina.com.cn/downxls.php?date=2015-09-21&symbol=sz300205"
#download.file(historyTradeLink,destfile=".\\test.xlsx")
#读取日线数据
rxsj_col_names <- c("日期","开盘","最高","最低","收盘","成交量","成交额")
rxsj_colClasses <- c("Date","numeric","numeric","numeric","numeric","numeric","numeric")
readRXSJFile <- function(filename) {
lines <- length(readLines(filename))
#print(lines-3)
fileDF <- read.csv(filename,sep=",", header=FALSE,skip=2,nrows=(lines-3),col.names=rxsj_col_names,colClasses=rxsj_colClasses)
return(fileDF)
}
getAllRXSJFiles <- function() {
wd <- getwd()
filePath <- paste(wd,"//rxsj",sep="")
files <- list.files(filePath)
return(files)
}
calculateTopParting <- function(origData,startDate,endDate) {
flog.debug("--------------------------------------------------------------------")
flog.debug(paste("calculate date between",startDate,"and",endDate))
startDateInds <- shiftDateToRightIfNA(origData,startDate)
endDateInds <- shiftDateToLeftIfNA(origData,endDate)
startDate <- origData[startDateInds,]$日期
endDate <- origData[endDateInds,]$日期
flog.debug(paste("after shift,calculate date between",
startDate,"and",endDate))
partingDataDF <- data.frame(
日期 = as.Date(character("0")),
开盘 = numeric(0),
最高 = numeric(0),
最低 = numeric(0),
收盘 = numeric(0),
成交量 = numeric(0),
成交额 = numeric(0))
sDate <- as.Date(startDate)
start <- -1
eDate <- as.Date(endDate)
end <- -1
if ((sDate + 2) > eDate) {
flog.debug(paste("the start date",startDate,"is less than",endDate,"- 3 "))
return(NULL)
}
len <- nrow(origData)
lastDate <- as.Date(origData[len,1])
flog.debug(paste("lastDate",lastDate))
while(eDate > sDate) {
end <- which(origData$日期 == eDate)
if(length(end)!=0) {
if(eDate != as.Date(endDate)) {
flog.warn(paste("WARNING:shift end date from",endDate,"to",eDate))
}
break
}
eDate <- eDate-1
}
# shiftDate2LeftIfNa(origData,eDate,sDate)
# flog.debug(paste("after shift to left the eDdate is",eDate))
flog.debug(paste("1 sDate",sDate,"eDate",eDate))
while(sDate < eDate) {
start <- which(origData$日期 == sDate)
if(length(start)!=0) {
if(sDate != as.Date(startDate)) {
flog.warn(paste("WARNING:shift start date from",startDate,"to",sDate))
}
break
}
sDate <- sDate + 1
}
flog.debug(paste("2 sDate",sDate,"eDate",eDate))
# shiftDate2RightIfNa(origData,sDate,eDate)
# flog.debug(paste("after shift to right the sDdate is",sDate))
if(sDate == eDate) {
flog.debug(paste("can not find start date",startDate))
return(NULL)
}
#subset according to duration
subData <- subset(origData,origData$日期>=sDate & origData$日期<= eDate,na.rm = TRUE)
flog.debug(paste("length subdata:",nrow(subData)))
#get high price in the duration
highestPrice <- max(subData$最高,na.rm = TRUE)
flog.debug(paste("highestPrice:",highestPrice))
#subset according to the high price
highestDataInds <- which(subData$最高==highestPrice)
print(subData[highestDataInds,])
highestData <- subData[highestDataInds,]
# if the highest price reaches most left or most right, it is not the parting
highDate <- as.Date(highestData[1,1])
flog.debug(paste("highDate:",highDate))
flog.debug(paste("subData[1,1]:",subData[1,1]))
flog.debug(paste("subData[,1]:",subData[length(subData[,1]),1]))
if(highDate == subData[length(subData[,1]),1]) {
flog.info(paste("the highest price date reaches most right. most left:",subData[1,1],"highDate:",highDate,"most right:",subData[length(subData[,1]),1]))
#pathToLeftFirstLowestPrice(subData,)
return(calculateTopParting(subData,sDate,highDate-1))
}
if(highDate == subData[1,1]) {
flog.info(paste("the highest price date reaches most left. most left:",subData[1,1],"highDate:",highDate,"most right:",subData[length(subData[,1]),1]))
#return(calculateTopParting(id,subData,sDate-1,highDate))
return(calculateTopParting(subData,highDate+1,eDate))
}
#check if the highest price date is already record
inds <- which(partingDataDF$日期==highDate)
if(length(inds) == 0) {
partingDataDF <- rbind(partingDataDF,highestData)
partingDataDF <- partingDataDF[order(as.Date(partingDataDF$日期,format="%d/%m/%Y")),]
flog.debug(paste("partingDataDF$日期",partingDataDF[1,1]))
flog.info(paste("insert highest date",highDate))
} else {
flog.error(paste("find the same high date",highDate,"between",sDate,"and",eDate))
return(NULL)
}
newDf <- calculateTopParting(subData,sDate,highDate-1)
if (!is.null(newDf) && nrow(newDf) != 0) {
partingDataDF <- rbind(partingDataDF,newDf)
partingDataDF <- partingDataDF[order(as.Date(partingDataDF$日期,format="%d/%m/%Y")),]
}
newDf <- calculateTopParting(subData,highDate+1,eDate)
if(!is.null(newDf) && nrow(newDf) != 0) {
partingDataDF <- rbind(partingDataDF,newDf)
partingDataDF <- partingDataDF[order(as.Date(partingDataDF$日期,format="%d/%m/%Y")),]
}
return(partingDataDF)
}
calculateBottomParting <- function(origData,startDate,endDate) {
flog.debug("--------------------------------------------------------------------")
flog.debug(paste("calculate bottom parting date between",startDate,"and",endDate))
startDateInds <- shiftDateToRightIfNA(origData,startDate)
endDateInds <- shiftDateToLeftIfNA(origData,endDate)
startDate <- origData[startDateInds,]$日期
endDate <- origData[endDateInds,]$日期
flog.debug(paste("after shift,calculate date between",
startDate,"and",endDate))
partingDataDF <- data.frame(
日期 = as.Date(character("0")),
开盘 = numeric(0),
最高 = numeric(0),
最低 = numeric(0),
收盘 = numeric(0),
成交量 = numeric(0),
成交额 = numeric(0))
sDate <- as.Date(startDate)
start <- -1
eDate <- as.Date(endDate)
end <- -1
if ((sDate + 2) > eDate) {
flog.debug(paste("the start date",startDate,"is less than",endDate,"- 3 "))
return(NULL)
}
len <- nrow(origData)
lastDate <- as.Date(origData[len,1])
flog.debug(paste("lastDate",lastDate))
while(eDate > sDate) {
end <- which(origData$日期 == eDate)
if(length(end)!=0) {
if(eDate != as.Date(endDate)) {
flog.warn(paste("WARNING:shift end date from",endDate,"to",eDate))
}
break
}
eDate <- eDate-1
}
# shiftDate2LeftIfNa(origData,eDate,sDate)
# flog.debug(paste("after shift to left the eDdate is",eDate))
flog.debug(paste("1 sDate",sDate,"eDate",eDate))
while(sDate < eDate) {
start <- which(origData$日期 == sDate)
if(length(start)!=0) {
if(sDate != as.Date(startDate)) {
flog.warn(paste("WARNING:shift start date from",startDate,"to",sDate))
}
break
}
sDate <- sDate + 1
}
flog.debug(paste("2 sDate",sDate,"eDate",eDate))
# shiftDate2RightIfNa(origData,sDate,eDate)
# flog.debug(paste("after shift to right the sDdate is",sDate))
if(sDate == eDate) {
flog.debug(paste("can not find start date",startDate))
return(NULL)
}
#subset according to duration
subData <- subset(origData,origData$日期>=sDate & origData$日期<= eDate,na.rm = TRUE)
flog.debug(paste("length subdata:",nrow(subData)))
#get low price in the duration
lowestPrice <- min(subData$最低,na.rm = TRUE)
#subset according to the low price
lowestData <- subset(subData,subData$最低==lowestPrice)
lowDate <- lowestData[1,1]
# if the lowest price reaches most left or most right, it is not the parting
lowDate <- as.Date(lowestData[1,1])
flog.debug(paste("lowDate:",lowDate))
flog.debug(paste("subData[1,1]:",subData[1,1]))
flog.debug(paste("subData[,1]:",subData[length(subData[,1]),1]))
if(lowDate == subData[length(subData[,1]),1]) {
flog.info(paste("the lowest price date reaches most right. most left:",subData[1,1],"lowDate:",lowDate,"most right:",subData[length(subData[,1]),1]))
return(calculateBottomParting(subData,sDate,lowDate-1))
}
if(lowDate == subData[1,1]) {
flog.info(paste("the lowest price date reaches most left. most left:",subData[1,1],"lowDate:",lowDate,"most right:",subData[length(subData[,1]),1]))
return(calculateBottomParting(subData,lowDate+1,eDate))
}
#check if the lowest price date is already record
inds <- which(partingDataDF$日期==lowDate)
if(length(inds) == 0) {
partingDataDF <- rbind(partingDataDF,lowestData)
partingDataDF <- partingDataDF[order(as.Date(partingDataDF$日期,format="%d/%m/%Y")),]
flog.debug(paste("partingDataDF$日期",partingDataDF$日期))
flog.info(paste("insert lowest date",lowDate))
} else {
flog.error(paste("find the same low date",lowDate,"between",sDate,"and",eDate))
return(NULL)
}
newDf <- calculateBottomParting(subData,sDate,lowDate-1)
print("-------------2 bottom newDf")
print(newDf)
if(!is.null(newDf) && nrow(newDf) != 0) {
partingDataDF <- rbind(partingDataDF,newDf)
partingDataDF <- partingDataDF[order(as.Date(partingDataDF$日期,format="%d/%m/%Y")),]
}
newDf <- calculateBottomParting(subData,lowDate+1,eDate)
print("-------------2.1 bottom newDf")
print(newDf)
if (!is.null(newDf) && nrow(newDf) != 0) {
partingDataDF <- rbind(partingDataDF,newDf)
partingDataDF <- partingDataDF[order(as.Date(partingDataDF$日期,format="%d/%m/%Y")),]
}
return(partingDataDF)
}
validateBottomPartingType <- function(totalDataDF,bottom) {
botLeftDate <- bottom[1,1] - 1
oLeftDate <- botLeftDate
inds <- -1
while(botLeftDate > totalDataDF[1,1]) {
inds <- which(totalDataDF$日期 == botLeftDate)
if(length(inds)!=0) {
if(botLeftDate != as.Date(oLeftDate)) {
flog.warn(paste("WARNING:shift left date from",oLeftDate,"to",botLeftDate))
}
break
}
botLeftDate <- botLeftDate-1
}
if(length(inds) == 0) {
flog.warn(paste("the bottom left date",botLeftDate,"is not found in total data"))
return(FALSE)
}
botLeftLowPrice <- totalDataDF$最低[inds]
botRightDate <- bottom[1,1] + 1
oRightDate <- botRightDate
inds <- -1
while(botRightDate < totalDataDF[nrow(totalDataDF),1]) {
inds <- which(totalDataDF$日期 == botRightDate)
if(length(inds)!=0) {
if(botRightDate != as.Date(oRightDate)) {
flog.warn(paste("WARNING:shift left date from",oRightDate,"to",botRightDate))
}
break
}
botRightDate <- botRightDate+1
}
if(length(inds) == 0) {
flog.warn(paste("the bottom right date",botRightDate,"is not found in total data"))
return(FALSE)
}
botRightLowPrice <- totalDataDF$最低[inds]
bottomLowPrice <- bottom$最低[1]
flog.debug(paste("check botLeftLowPrice",botLeftLowPrice,"bottomLowPrice",bottomLowPrice,"botRightDate",botRightDate))
if(min(botLeftLowPrice,bottomLowPrice,botRightLowPrice) != bottomLowPrice) {
flog.error(paste("the bottomLowDate",bottom[1,1],"is not the bottom parting, check failed!"))
return(FALSE)
}
return(TRUE)
}
validateLowPriceBetweenTwoBtm <- function(totalDataDF,leftBot,rightBot) {
leftBotDate <- leftBot[1,1]
inds <- which(totalDataDF$日期 == leftBotDate)
if(length(inds) == 0) {
flog.warn(paste("the leftBotDate date",leftBotDate,"is not found in total data"))
return(FALSE)
}
rightBotDate <- rightBot[1,1]
inds <- which(totalDataDF$日期 == rightBotDate)
if(length(inds) == 0) {
flog.warn(paste("the rightBotDate date",rightBot,"is not found in total data"))
return(FALSE)
}
df <- calculateBottomParting(totalDataDF,leftBotDate,rightBotDate)
if(!is.null(df)) {
flog.error(paste("there is another bottom parting",df[1,1],"between",leftBotDate,"and",rightBotDate,", check failed!"))
return(FALSE)
}
return(TRUE)
}
validateBottomParting <- function(totalDataDF,bottomPartingDF) {
for(i in 1:nrow(bottomPartingDF)) {
bot1 <- bottomPartingDF[i,]
bot1Date <- bot1[1,1]
flog.debug(paste("check bottom parting",bot1Date))
inds <- which(totalDataDF$日期 == bot1Date)
if(length(inds) == 0) {
flog.warn(paste("the bottom parting",bot1Date,"is not found in total data"))
return(FALSE)
}
i <- i + 1
if(i >nrow(bottomPartingDF)) {
break
}
bot2 <- bottomPartingDF[i,]
bot2Date <- bot2[1,1]
flog.debug(paste("check bottom parting",bot2Date))
inds <- which(totalDataDF$日期 == bot2Date)
if(length(inds) == 0) {
flog.warn(paste("the bottom parting",bot2Date,"is not found in total data"))
return(FALSE)
}
if(!(validateBottomPartingType(totalDataDF,bot1)
&& validateLowPriceBetweenTwoBtm(totalDataDF,bot1,bot2))) {
flog.error(paste("check bottom parting",bot1Date,"failed"))
return(FALSE)
}
}
return(TRUE)
}
findParting <- function(df,startDate=NULL,endDate=NULL) {
if(is.null(startDate)) {
startDate <- df[1,]$日期
}
if(is.null(endDate)) {
endDate <- df[nrow(df),]$日期
}
topParting <- calculateTopParting(df,startDate,endDate)
# print("---------- top parting--------------")
# print(topParting)
if (!is.null(topParting)) {
topParting <- addOneColToDF(topParting,"收盘",c(TRUE),"顶分型")
}
bottomParting <- calculateBottomParting(df,startDate,endDate)
if(!is.null(bottomParting)) {
bottomParting <- addOneColToDF(bottomParting,"收盘",c(FALSE),"顶分型")
}
# print("----------bottomParting -------------")
# print(bottomParting)
#
# print("--------------df-----------------------")
# print(df)
partingDataDF <- rbind(topParting,bottomParting)
# print("----------partingDataDF -------------")
# print(partingDataDF)
if(!is.null(partingDataDF)) {
partingDataDF <- partingDataDF[order(as.Date(partingDataDF$日期,format="%d/%m/%Y")),]
}
return(partingDataDF)
}
shiftDateToLeftIfNA <- function(df,date) {
inds <- -1
oDate <- date
while(date >= df[1,1]) {
inds <- which(df$日期 == date)
if(length(inds)!=0) {
if(date != as.Date(oDate)) {
flog.warn(paste("WARNING:shift date to left from",oDate,"to",date))
}
return(inds)
}
date <- date-1
}
return(inds)
}
shiftDateToRightIfNA <- function(df,date) {
inds <- -1
oDate <- date
while(date <= df[nrow(df),1]) {
inds <- which(df$日期 == date)
if(length(inds)!=0) {
if(date != as.Date(oDate)) {
flog.warn(paste("WARNING:shift date to right from",oDate,"to",date))
}
return(inds)
}
date <- date+1
}
return(inds)
}
#根据分型数据处理包含关系
processInclusion <- function(partingDataDF=data.frame(),origDataDF=data.frame(),startDate=NULL,endDate=NULL) {
if(is.null(startDate)) {
startDate <- origDataDF[1,1]
}
if (is.null(endDate)) {
endDate <- origDataDF[nrow(origDataDF),1]
}
flog.debug(paste("check date between",startDate,"and",endDate))
startInds <- which(origDataDF$日期 == startDate)
if(length(startInds) == 0) {
flog.error(paste("can not find sart date",startDate))
return(NULL)
}
endInds <- which(origDataDF$日期 == endDate)
if(length(endInds) == 0) {
flog.error(paste("can not find end date",endDate))
return(NULL)
}
emptyDF <- data.frame(
日期 = as.Date(character("0")),
开盘 = numeric(0),
最高 = numeric(0),
最低 = numeric(0),
收盘 = numeric(0),
顶分型 = logical(),
成交量 = numeric(0),
成交额 = numeric(0))
#regionData <- subset(origDataDF,origDataDF$日期 >= startDate && origDataDF$日期 <= endDate)
for(i in 1:nrow(partingDataDF)) {
candiInds <- c()
combinedDataDF <- emptyDF
date <- partingDataDF[i,1]
highestPrice <- partingDataDF[i,3]
lowestPrice <- partingDataDF[i,4]
isTopParting <- partingDataDF[i,6]
flog.debug(paste("check",date,"by",highestPrice,"and",lowestPrice,"with isTopParting",isTopParting))
inds <- which(origDataDF$日期 == date)
if (length(inds) == 0) {
flog.error(paste("can not find date",date))
return(NULL)
}
if (length(inds) > 1) {
flog.error(paste("find more than one date",inds))
return(NULL)
}
flog.debug(paste("inds",inds,"startInds",startInds,"endInds",endInds))
#subData <- subset(origDataDF, origDataDF$最低 >= lowestPrice & origDataDF$最高 <= highestPrice)
subData <- subset(origDataDF, (origDataDF$最低 >= lowestPrice & origDataDF$最高 <= highestPrice) |
(origDataDF$收盘 >= 2293 & origDataDF$开盘 <= 2347) | (origDataDF$开盘 >= 2293 & origDataDF$收盘 <= 2347))
# subDataPlots <- which(origDataDF$日期 == subData$日期)
# flog.debug(paste("subDataPlots:",subDataPlots))
#print(subData)
if (nrow(subData) > 1) {
j <- 1
subDataPlots <- c()
while(j < nrow(subData)) {
sbdp <- which(origDataDF$日期 == subData[j,]$日期)
if(length(sbdp) == 0) {
flog.error(paste("can not find",subData[j,]$日期))
return(NULL)
}
flog.debug(paste("sbdp",sbdp,"date",origDataDF[sbdp,1],"highprice",origDataDF[sbdp,3],"lowprice",origDataDF[sbdp,4]))
subDataPlots <- c(subDataPlots,sbdp)
j<-j+1
}
#flog.debug(paste("subDataPlots:",subDataPlots))
#print(subDataPlots)
if(length(subDataPlots) > 1) {
partingPlot <- which(subData$日期 == date)
flog.debug(paste("partingPlot",partingPlot,"for date",date))
testPlot <- inds - 1
while(testPlot %in% subDataPlots) {
flog.debug(paste("add left candidate plot",testPlot))
candiInds <- c(candiInds,testPlot)
combinedDataDF <- rbind(combinedDataDF,origDataDF[testPlot,])
testPlot <- testPlot - 1
}
testPlot <- inds + 1
while(testPlot %in% subDataPlots) {
flog.debug(paste("add right candidate plot",testPlot))
candiInds <- c(candiInds,testPlot)
combinedDataDF <- rbind(combinedDataDF,origDataDF[testPlot,])
testPlot <- testPlot + 1
}
flog.debug(paste("candidate inds:",candiInds,"for",inds))
if(length(candiInds) > 0) {
combinedDataDF <- combinedDataDF[order(as.Date(combinedDataDF$日期,format="%d/%m/%Y")),]
print(combinedDataDF)
if(isTopParting) {
highestLowPrice <- max(combinedDataDF[,4])
flog.warn(paste("set the date",origDataDF[inds,1]," original low price",origDataDF[inds,4],"to",highestLowPrice))
origDataDF[inds,4] <- highestLowPrice
} else {
lowestHighPrice <- min(combinedDataDF[,3])
flog.warn(paste("set the date",origDataDF[inds,1]," original high price",origDataDF[inds,3],"to",lowestHighPrice))
origDataDF[inds,3] <- lowestHighPrice
}
for(i in 1:length(candiInds)) {
flog.warn(paste("set the date",as.Date(origDataDF[candiInds[i],1]),"value to NA"))
origDataDF[candiInds[i],2:ncol(origDataDF)] <- NA
flog.debug(origDataDF[candiInds[i],])
}# end for
}#end if
}#end if
}#end if
i <- i + 1
}
origDataDF <- na.omit(origDataDF)
return(origDataDF)
}
#清除连续相同的分型，比如顶分型-顶分型，底分型-底分型
elimSameParting <- function(partingDF) {
firstIndex <- 1
first <- partingDF[firstIndex,]
secondIndex <- 2
second <- partingDF[secondIndex,]
print(partingDF[nrow(partingDF),1])
flog.debug(paste("check",first$日期,"and",second$日期,"with end date",partingDF[nrow(partingDF),1]))
while(!is.na(second$日期) && second$日期 <= partingDF[nrow(partingDF),1]) {
flog.debug(paste("check",first$日期,"and",second$日期))
if (first$顶分型 == second$顶分型) {
if(first$顶分型) {
if(first$最高 > second$最高) {
flog.warn(paste("remove top parting",second$日期))
partingDF[secondIndex,2:ncol(partingDF)] <- NA
secondIndex <- secondIndex + 1
second <- partingDF[secondIndex,]
} else {
flog.warn(paste("remove top parting",first$日期))
partingDF[firstIndex,2:ncol(partingDF)] <- NA
firstIndex <- secondIndex
first <- partingDF[firstIndex,]
secondIndex <- secondIndex + 1
second <- partingDF[secondIndex,]
}
}#end if(first$顶分型)
else { # it is 底分型
if(first$最低 < second$最低) {
flog.warn(paste("remove bottom parting",second$日期))
partingDF[secondIndex,2:ncol(partingDF)] <- NA
secondIndex <- secondIndex + 1
second <- partingDF[secondIndex,]
} else {
flog.warn(paste("remove bottom parting",first$日期))
partingDF[firstIndex,2:ncol(partingDF)] <- NA
firstIndex <- secondIndex
first <- partingDF[firstIndex,]
secondIndex <- secondIndex + 1
second <- partingDF[secondIndex,]
}
}#end else { # it is 底分型
}#end if (first$顶分型 == second$顶分型)
else {
firstIndex <- secondIndex
first <- partingDF[firstIndex,]
secondIndex <- secondIndex + 1
second <- partingDF[secondIndex,]
}
}#end while
partingDF <- na.omit(partingDF)
return(partingDF)
}
#消除不是笔的分型,
#partingDF:通过elimSameParting消除了连续相同分型的分型数据
#combinedData:通过processInclusion处理了包含关系的原始数据
caculatePartingLinePot <- function(partingDF,combinedData) {
lastLinePartingIndex <- 1
lastLineParting <- partingDF[lastLinePartingIndex,]
nextIndex <- 2
nextParting <- partingDF[nextIndex,]
#print(partingDF[nrow(partingDF),1])
flog.debug(paste("caculatePartingLinePot:check",lastLineParting$日期,"and",nextParting$日期,"with end date",partingDF[nrow(partingDF),1]))
emptyDF <- data.frame(
日期 = as.Date(character("0")),
开盘 = numeric(0),
最高 = numeric(0),
最低 = numeric(0),
收盘 = numeric(0),
顶分型 = logical(),
成交量 = numeric(0),
成交额 = numeric(0))
linePartingDF <- emptyDF
linePartingDF <- rbind(linePartingDF,lastLineParting)
while(!is.na(nextParting$日期) && nextParting$日期 <= partingDF[nrow(partingDF),1]) {
flog.debug(paste("caculatePartingLinePot:check",lastLineParting$日期,"and",nextParting$日期))
lastLinePartingPlotInOrigData <- which(combinedData$日期 == lastLineParting$日期)
if(length(lastLinePartingPlotInOrigData) == 0) {
flog.error(paste("can not find lastLineParting date",lastLineParting$日期))
return(NULL)
}
nextPlotInOrigData <- which(combinedData$日期 == nextParting$日期)
if(length(nextPlotInOrigData) == 0) {
flog.error(paste("can not find nextParting date",nextParting$日期))
return(NULL)
}
flog.debug(paste("lastLinePartingPlotInOrigData",lastLinePartingPlotInOrigData,"nextPlotInOrigData",nextPlotInOrigData))
if(abs(lastLinePartingPlotInOrigData - nextPlotInOrigData) > 3 && lastLineParting$顶分型!=nextParting$顶分型) {
if (lastLineParting$顶分型 && lastLineParting$最高 > nextParting$最高) {
linePartingDF <- rbind(linePartingDF,nextParting)
lastLinePartingIndex <- nextIndex
lastLineParting <- partingDF[lastLinePartingIndex,]
} else if (!lastLineParting$顶分型 && lastLineParting$最高 < nextParting$最高) {
linePartingDF <- rbind(linePartingDF,nextParting)
lastLinePartingIndex <- nextIndex
lastLineParting <- partingDF[lastLinePartingIndex,]
}
nextIndex <- nextIndex+1
nextParting <- partingDF[nextIndex,]
} else if (abs(lastLinePartingPlotInOrigData - nextPlotInOrigData) >3 && lastLineParting$顶分型==nextParting$顶分型) {
if (lastLineParting$顶分型 && lastLineParting$最高 < nextParting$最高) {
linePartingDF <- rbind(linePartingDF,nextParting)
lastLinePartingIndex <- nextIndex
lastLineParting <- partingDF[lastLinePartingIndex,]
} else if (!lastLineParting$顶分型 && lastLineParting$最低>nextParting$最低) {
linePartingDF <- rbind(linePartingDF,nextParting)
lastLinePartingIndex <- nextIndex
lastLineParting <- partingDF[lastLinePartingIndex,]
}
nextIndex <- nextIndex+1
nextParting <- partingDF[nextIndex,]
} else if (abs(lastLinePartingPlotInOrigData - nextPlotInOrigData) <=3 && lastLineParting$顶分型!=nextParting$顶分型) {
nextIndex <- nextIndex+1
nextParting <- partingDF[nextIndex,]
} else if (abs(lastLinePartingPlotInOrigData - nextPlotInOrigData) <=3 && lastLineParting$顶分型==nextParting$顶分型) {
if (lastLineParting$顶分型&&lastLineParting$最高<nextParting$最高) {
linePartingDF <- rbind(linePartingDF,nextParting)
lastLinePartingIndex <- nextIndex
lastLineParting <- partingDF[lastLinePartingIndex,]
nextIndex <- nextIndex+1
nextParting <- partingDF[nextIndex,]
} else if (!lastLineParting$顶分型&&lastLineParting$最低>nextParting$最低) {
linePartingDF <- rbind(linePartingDF,nextParting)
lastLinePartingIndex <- nextIndex
lastLineParting <- partingDF[lastLinePartingIndex,]
nextIndex <- nextIndex+1
nextParting <- partingDF[nextIndex,]
} else {
nextIndex <- nextIndex+1
nextParting <- partingDF[nextIndex,]
}
} else {
nextIndex <- nextIndex+1
nextParting <- partingDF[nextIndex,]
}
}
return(linePartingDF)
}
removeUnexpectedCandidate <- function(candidates,origData) {
if(nrow(candidates) == 1) {
return(na.omit(candidates))
}
for(i in 1:nrow(candidates)) {
candidate <- candidates[i,]
isTopParting <- candidate$顶分型
candDate <- candidate$日期
if(isTopParting) {
highDateInds <- which(origData$日期 == candDate)
leftHightDateInds <- highDateInds - 1
rightHightDateInds <- highDateInds + 1
if (!(origData[leftHightDateInds,]$最低 < candidate$最低
&& origData[rightHightDateInds,]$最低 < candidate$最低)) {
candidates[i,2:ncol(candidate)] <- NA
}
} else {
lowDateInds <- which(origData$日期 == candDate)
leftLowDateInds <- lowDateInds - 1
rightLowDateInds <- lowDateInds + 1
if (!(origData[leftLowDateInds,]$最高 > candidate$最高
&& origData[rightLowDateInds,]$最高 > candidate$最高)) {
candidates[i,2:ncol(candidate)] <- NA
}
}
}
candidates <- na.omit(candidates)
return(candidates)
}
caculateLineStructure <- function(id,startDate=NULL,endDate=NULL) {
path <- getwd()
fileName <- paste(path,"//rxsj//",id,".txt",sep="")
flog.debug(paste("get file path",fileName))
data <- readRXSJFile(fileName)
if(is.null(startDate)) {
startDate <- data[1,]$日期
}
if(is.null(endDate)) {
end <- data[nrow(data),]$日期
}
data <- subset(data,data$日期 >= startDate & data$日期 <= endDate)
startDateIndex <- which(data$日期==startDate)
startData <- data[startDateIndex,]
combinedOrigData <- concludeInclusion(data)
secondPDF <- findParting(combinedOrigData,startDate,endDate)
if(is.null(secondPDF)) {
flog.warn(paste("the firstCandidate is null,maybe there is no parting from",startDate,"to",endDate,"please check the following data"))
print(data)
return(NULL)
}
#parting <- elimSameParting(firstPDf)
#combinedOrigData <- processInclusion(firstCandidate,data,startDate,endDate)
# secondPDF <- findParting(combinedOrigData,startDate,endDate)
# if(is.null(secondPDF)) {
# flog.warn(paste("the secondPDF is null,maybe after combined, there is no parting from",startDate,"to",endDate,"please check the following combined data"))
# print(combinedOrigData)
# return(NULL)
# }
secondPDF <- removeUnexpectedCandidate(secondPDF,combinedOrigData)
parting <- elimSameParting(secondPDF)
lineParting <- caculatePartingLinePot(parting,combinedOrigData)
linePot <- elimSameParting(lineParting)
lineStruct <- transformLinePot2LineStructure(linePot,startData)
return(lineStruct)
}
# caculateLineStructure <- function(id,startDate=NULL,endDate=NULL) {
# path <- getwd()
# fileName <- paste(path,"//rxsj//",id,".txt",sep="")
# flog.debug(paste("get file path",fileName))
# data <- readRXSJFile(fileName)
#
# if(is.null(startDate)) {
# startDate <- data[1,]$日期
# }
#
# if(is.null(endDate)) {
# end <- data[nrow(data),]$日期
# }
#
# startDateIndex <- which(data$日期==startDate)
# startData <- data[startDateIndex,]
#
# firstCandidate <- findParting(data,startDate,endDate)
# if(is.null(firstCandidate)) {
# flog.warn(paste("the firstCandidate is null,maybe there is no parting from",startDate,"to",endDate,"please check the following data"))
# print(data)
# return(NULL)
# }
# #parting <- elimSameParting(firstPDf)
# #combinedOrigData <- processInclusion(firstCandidate,data,startDate,endDate)
# combinedOrigData <- concludeInclusion(data)
#
# secondPDF <- findParting(combinedOrigData,startDate,endDate)
# if(is.null(secondPDF)) {
# flog.warn(paste("the secondPDF is null,maybe after combined, there is no parting from",startDate,"to",endDate,"please check the following combined data"))
# print(combinedOrigData)
# return(NULL)
# }
# secondPDF <- removeUnexpectedCandidate(secondPDF,combinedOrigData)
# parting <- elimSameParting(secondPDF)
#
# lineParting <- caculatePartingLinePot(parting,combinedOrigData)
# linePot <- elimSameParting(lineParting)
#
# lineStruct <- transformLinePot2LineStructure(linePot,startData)
#
# return(lineStruct)
# }
#将分笔的点结构转换成笔的表示形势
transformLinePot2LineStructure <- function(caculatedLinePot,startRow) {
lineStructure <- data.frame(
日期 = as.Date(character("0")),
最高 = numeric(0),
最低 = numeric(0),
向上 = logical())
j <- 1
for(i in 2:nrow(caculatedLinePot)) {
first <- caculatedLinePot[i-1,]
second <- caculatedLinePot[i,]
date <- first$日期
if(first$顶分型 && !second$顶分型) {
if(j == 1) {
lineStructure <- rbind(lineStructure,data.frame(
日期=startRow$日期,最高=startRow$最高,最低=startRow$最低,向上=TRUE))
}
lineStructure <- rbind(lineStructure,data.frame(
日期=date,最高=first$最高,最低=second$最低,向上=FALSE))
} else if (!first$顶分型 && second$顶分型) {
if(j == 1) {
lineStructure <- rbind(lineStructure,data.frame(
日期=startRow$日期,最高=startRow$最高,最低=startRow$最低,向上=FALSE))
}
lineStructure <- rbind(lineStructure,data.frame(
日期=date,最高=second$最高,最低=first$最低,向上=TRUE))
} else {
flog.error(paste("the line pot is error"))
return(NULL)
}
j <- j + 1
i <- i + 1
}
return(lineStructure)
}
#将笔的结构“伪装”成交易数据
fakeLineStruce2Kline <- function(lineStructure) {
lineStructure <- addOneColToDF(lineStructure,"日期",0,"开盘")
lineStructure <- addOneColToDF(lineStructure,"最低",0,"收盘")
lineStructure <- addOneColToDF(lineStructure,"收盘",0,"成交量")
lineStructure <- addOneColToDF(lineStructure,"收盘",0,"成交额")
applyFun <- function(x) {
print(x$日期)
if(x$向上) {
x$开盘 <- x$最低
x$收盘 <- x$最高
} else {
x$开盘 <- x$最高
x$收盘 <- x$最低
}
print(x)
}
lineStructure <- adply(lineStructure,1, applyFun)
lineStructure <- lineStructure[,-which(names(lineStructure)=="向上")]
return(lineStructure)
}
concludeUpCharactSequence <- function(lineStructure) {
return(adply(lineStruct,1, function(x) if(!x$向上) return(x)))
}
concludeDownCharactSequence <- function(lineStructure) {
return(adply(lineStruct,1, function(x) if(x$向上) return(x)))
}
#lineStruct <- caculateLineStructure("000001","2013-06-25","2015-09-22")
concludeSegment <- function(lineStruct) {
segment <- data.frame(
日期 = as.Date(character("0")),
开盘 = numeric(0),
最高 = numeric(0),
最低 = numeric(0),
收盘 = numeric(0),
顶分型 = logical(),
isUpSeq = logical(),
成交额 = numeric(0),
成交量 = numeric(0))
#segment <- rbind(segment,lineStruct[1,])
upSeq <- concludeUpCharactSequence(lineStruct)
starndarUpSeq <- concludeInclusion(upSeq)
fakeUpKLine <- fakeLineStruce2Kline(starndarUpSeq)
upSeqParting <- findParting(fakeUpKLine)
downSeq <- concludeDownCharactSequence(lineStruct)
starndarDownSeq <- concludeInclusion(downSeq)
fakeDownKLine <- fakeLineStruce2Kline(starndarDownSeq)
downSeqParting <- findParting(fakeDownKLine)
# stardSeq <- rbind(starndarUpSeq,starndarDownSeq)
# stardSeq <- stardSeq[order(as.Date(stardSeq$日期,format="%d/%m/%Y")),]
# fakeStardSeqKLine <- fakeLineStruce2Kline(stardSeq)
# drawKline(fakeStardSeqKLine)
print("####starndarUpSeq:")
print(starndarUpSeq)
print("####starndarDownSeq:")
print(starndarDownSeq)
print("####upSeqParting:")
print(upSeqParting)
print("####downSeqParting:")
print(downSeqParting)
upSeqParting<-addOneColToDF(upSeqParting,"顶分型",TRUE,"isUpSeq")
downSeqParting<-addOneColToDF(downSeqParting,"顶分型",FALSE,"isUpSeq")
seqParting <- rbind(upSeqParting,downSeqParting)
seqParting <- seqParting[order(as.Date(seqParting$日期,format="%d/%m/%Y")),]
print(seqParting)