Add persisted technical indicator calculation
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@ -0,0 +1,49 @@
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package com.yangwale.backtestify.entity;
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import lombok.AllArgsConstructor;
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import lombok.Builder;
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import lombok.Getter;
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import lombok.NoArgsConstructor;
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import lombok.Setter;
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import java.math.BigDecimal;
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/**
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* K线指标记录，映射各周期同结构的 t_indicator_* 表。
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*/
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@Getter
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@Setter
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@Builder
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@NoArgsConstructor
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@AllArgsConstructor
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public class KLineIndicator {
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private Integer instrumentId;
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private Long kTime;
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private BigDecimal ma5;
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private BigDecimal ma10;
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private BigDecimal ma20;
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private BigDecimal ma60;
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private BigDecimal bollMb;
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private BigDecimal bollUp;
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private BigDecimal bollDn;
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private BigDecimal ema6;
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private BigDecimal ema12;
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private BigDecimal ema20;
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private BigDecimal macdDif;
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private BigDecimal macdDea;
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private BigDecimal macdBar;
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private BigDecimal rsi6;
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private BigDecimal rsi12;
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private BigDecimal kdjK;
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private BigDecimal kdjD;
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private BigDecimal kdjJ;
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private Long createAt;
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}
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@ -15,7 +15,7 @@ public class KLineRecord {
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private Integer instrumentId;
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/** Unix时间戳，秒级 */
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private Long timestamp;
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private Long kTime;
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private Integer open;
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@ -0,0 +1,77 @@
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package com.yangwale.backtestify.mapper;
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import com.yangwale.backtestify.entity.KLineIndicator;
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import org.apache.ibatis.annotations.Insert;
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import org.apache.ibatis.annotations.Mapper;
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import org.apache.ibatis.annotations.Param;
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import org.apache.ibatis.annotations.Select;
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import java.util.List;
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@Mapper
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public interface IndicatorMapper {
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@Select("""
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SELECT instrument_id, k_time,
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ma5, ma10, ma20, ma60,
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boll_mb, boll_up, boll_dn,
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ema6, ema12, ema20,
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macd_dif, macd_dea, macd_bar,
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rsi6, rsi12,
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kdj_k, kdj_d, kdj_j,
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create_at
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FROM ${tableName}
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WHERE instrument_id = #{instrumentId}
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ORDER BY k_time DESC
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LIMIT 1
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""")
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KLineIndicator selectLatest(@Param("tableName") String tableName,
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@Param("instrumentId") Integer instrumentId);
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@Insert("""
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<script>
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INSERT INTO ${tableName}
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(instrument_id, k_time,
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ma5, ma10, ma20, ma60,
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boll_mb, boll_up, boll_dn,
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ema6, ema12, ema20,
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macd_dif, macd_dea, macd_bar,
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rsi6, rsi12,
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kdj_k, kdj_d, kdj_j,
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create_at)
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VALUES
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<foreach collection="records" item="item" separator=",">
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(#{item.instrumentId}, #{item.kTime},
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#{item.ma5}, #{item.ma10}, #{item.ma20}, #{item.ma60},
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#{item.bollMb}, #{item.bollUp}, #{item.bollDn},
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#{item.ema6}, #{item.ema12}, #{item.ema20},
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#{item.macdDif}, #{item.macdDea}, #{item.macdBar},
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#{item.rsi6}, #{item.rsi12},
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#{item.kdjK}, #{item.kdjD}, #{item.kdjJ},
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#{item.createAt})
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</foreach>
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ON DUPLICATE KEY UPDATE
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ma5 = VALUES(ma5),
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ma10 = VALUES(ma10),
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ma20 = VALUES(ma20),
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ma60 = VALUES(ma60),
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boll_mb = VALUES(boll_mb),
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boll_up = VALUES(boll_up),
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boll_dn = VALUES(boll_dn),
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ema6 = VALUES(ema6),
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ema12 = VALUES(ema12),
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ema20 = VALUES(ema20),
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macd_dif = VALUES(macd_dif),
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macd_dea = VALUES(macd_dea),
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macd_bar = VALUES(macd_bar),
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rsi6 = VALUES(rsi6),
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rsi12 = VALUES(rsi12),
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kdj_k = VALUES(kdj_k),
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kdj_d = VALUES(kdj_d),
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kdj_j = VALUES(kdj_j),
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create_at = VALUES(create_at)
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</script>
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""")
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int upsertBatch(@Param("tableName") String tableName,
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@Param("records") List<KLineIndicator> records);
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}
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@ -12,25 +12,61 @@ import java.util.List;
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public interface KLineMapper {
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@Select("""
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SELECT instrument_id, timestamp, open, high, low, close,
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SELECT instrument_id, k_time, open, high, low, close,
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volume, turnover, open_interest
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FROM ${tableName}
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WHERE instrument_id = #{instrumentId}
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AND timestamp BETWEEN #{startTimestamp} AND #{endTimestamp}
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ORDER BY timestamp ASC
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AND k_time BETWEEN #{startTimestamp} AND #{endTimestamp}
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ORDER BY k_time ASC
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""")
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List<KLineRecord> selectRange(@Param("tableName") String tableName,
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@Param("instrumentId") Integer instrumentId,
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@Param("startTimestamp") long startTimestamp,
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@Param("endTimestamp") long endTimestamp);
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@Select("""
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SELECT instrument_id, k_time, open, high, low, close,
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volume, turnover, open_interest
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FROM ${tableName}
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WHERE instrument_id = #{instrumentId}
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ORDER BY k_time ASC
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""")
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List<KLineRecord> selectAll(@Param("tableName") String tableName,
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@Param("instrumentId") Integer instrumentId);
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@Select("""
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SELECT instrument_id, k_time, open, high, low, close,
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volume, turnover, open_interest
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FROM ${tableName}
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WHERE instrument_id = #{instrumentId}
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AND k_time > #{afterTimestamp}
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ORDER BY k_time ASC
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""")
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List<KLineRecord> selectAfter(@Param("tableName") String tableName,
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@Param("instrumentId") Integer instrumentId,
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@Param("afterTimestamp") long afterTimestamp);
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@Select("""
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SELECT instrument_id, k_time, open, high, low, close,
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volume, turnover, open_interest
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FROM ${tableName}
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WHERE instrument_id = #{instrumentId}
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AND k_time < #{beforeTimestamp}
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ORDER BY k_time DESC
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LIMIT #{limit}
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""")
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List<KLineRecord> selectBefore(@Param("tableName") String tableName,
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@Param("instrumentId") Integer instrumentId,
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@Param("beforeTimestamp") long beforeTimestamp,
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@Param("limit") int limit);
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@Insert("""
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<script>
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INSERT INTO ${tableName}
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(instrument_id, timestamp, open, high, low, close, volume, turnover, open_interest)
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(instrument_id, k_time, open, high, low, close, volume, turnover, open_interest)
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VALUES
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<foreach collection="records" item="item" separator=",">
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(#{item.instrumentId}, #{item.timestamp}, #{item.open}, #{item.high}, #{item.low}, #{item.close},
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(#{item.instrumentId}, #{item.kTime}, #{item.open}, #{item.high}, #{item.low}, #{item.close},
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#{item.volume}, #{item.turnover}, #{item.openInterest})
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</foreach>
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ON DUPLICATE KEY UPDATE
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@ -84,7 +84,7 @@ public class MysqlMarketDataProvider implements MarketDataProvider {
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private KLineData toKLineData(KLineRecord record, int priceScale) {
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return KLineData.builder()
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.time(LocalDateTime.ofInstant(Instant.ofEpochSecond(record.getTimestamp()), ZONE_ID))
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.time(LocalDateTime.ofInstant(Instant.ofEpochSecond(record.getKTime()), ZONE_ID))
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.open(PriceScaleConverter.toRaw(record.getOpen(), priceScale))
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.high(PriceScaleConverter.toRaw(record.getHigh(), priceScale))
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.low(PriceScaleConverter.toRaw(record.getLow(), priceScale))
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@ -0,0 +1,21 @@
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package com.yangwale.backtestify.service.market.indicator;
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/**
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* 指标历史重建及增量更新入口。
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*/
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public interface IndicatorCalculationService {
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/**
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* 计算指定合约、周期的全部历史K线指标并批量写入。
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*
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* @return 数据库受影响行数
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*/
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int rebuild(String period, Integer instrumentId);
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/**
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* 从指标表最新时间点之后计算新增K线，只写入新增指标。
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*
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* @return 数据库受影响行数
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*/
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int updateIncremental(String period, Integer instrumentId);
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}
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@ -0,0 +1,19 @@
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package com.yangwale.backtestify.service.market.indicator;
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import com.yangwale.backtestify.entity.KLineIndicator;
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import com.yangwale.backtestify.entity.KLineRecord;
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import java.util.List;
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/**
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* K线技术指标计算边界。
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*/
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public interface IndicatorCalculator {
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List<KLineIndicator> calculate(List<KLineRecord> kLines, int priceScale);
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List<KLineIndicator> calculateIncremental(List<KLineRecord> history,
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List<KLineRecord> additions,
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KLineIndicator previousIndicator,
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int priceScale);
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}
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@ -0,0 +1,275 @@
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package com.yangwale.backtestify.service.market.indicator;
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import com.yangwale.backtestify.entity.KLineIndicator;
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import com.yangwale.backtestify.entity.KLineRecord;
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import org.springframework.stereotype.Component;
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import java.math.BigDecimal;
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import java.math.MathContext;
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import java.math.RoundingMode;
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import java.time.Instant;
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import java.util.ArrayList;
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import java.util.Comparator;
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import java.util.List;
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/**
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* MA、BOLL、EMA、MACD、RSI、KDJ 的统一计算器。
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*
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* <p>价格类指标保留 6 位小数，摆动类指标保留 4 位小数，与指标表字段精度一致。</p>
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*/
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@Component
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public class TechnicalIndicatorCalculator implements IndicatorCalculator {
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private static final MathContext MC = MathContext.DECIMAL128;
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private static final BigDecimal TWO = BigDecimal.valueOf(2);
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private static final BigDecimal FIFTY = BigDecimal.valueOf(50);
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private static final BigDecimal HUNDRED = BigDecimal.valueOf(100);
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@Override
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public List<KLineIndicator> calculate(List<KLineRecord> kLines, int priceScale) {
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validate(kLines, priceScale);
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return calculateRows(List.of(), kLines, new State(), priceScale);
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}
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@Override
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public List<KLineIndicator> calculateIncremental(List<KLineRecord> history,
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List<KLineRecord> additions,
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KLineIndicator previousIndicator,
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int priceScale) {
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validate(history, priceScale);
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validate(additions, priceScale);
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if (additions.isEmpty()) {
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return List.of();
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}
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if (previousIndicator == null) {
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List<KLineRecord> all = new ArrayList<>(history.size() + additions.size());
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all.addAll(history);
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all.addAll(additions);
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List<KLineIndicator> calculated = calculate(all, priceScale);
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return List.copyOf(calculated.subList(calculated.size() - additions.size(), calculated.size()));
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}
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State state = State.from(previousIndicator);
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return calculateRows(history, additions, state, priceScale);
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}
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private List<KLineIndicator> calculateRows(List<KLineRecord> history,
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List<KLineRecord> rows,
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State state,
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int priceScale) {
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List<PriceBar> window = new ArrayList<>(history.size() + rows.size());
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for (KLineRecord record : history) {
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window.add(toPriceBar(record, priceScale));
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}
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List<KLineIndicator> result = new ArrayList<>(rows.size());
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long createAt = Instant.now().getEpochSecond();
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for (KLineRecord record : rows) {
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PriceBar current = toPriceBar(record, priceScale);
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window.add(current);
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BigDecimal ma5 = movingAverage(window, 5);
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BigDecimal ma10 = movingAverage(window, 10);
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BigDecimal ma20 = movingAverage(window, 20);
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BigDecimal ma60 = movingAverage(window, 60);
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BigDecimal bollMb = null;
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BigDecimal bollUp = null;
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BigDecimal bollDn = null;
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if (window.size() >= 20) {
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bollMb = price(movingAverageRaw(window, 20));
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BigDecimal standardDeviation = standardDeviation(window, 20);
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bollUp = price(bollMb.add(standardDeviation.multiply(TWO, MC), MC));
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bollDn = price(bollMb.subtract(standardDeviation.multiply(TWO, MC), MC));
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}
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state.ema6 = ema(current.close(), state.ema6, 6);
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state.ema12 = ema(current.close(), state.ema12, 12);
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state.ema20 = ema(current.close(), state.ema20, 20);
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state.ema26 = ema(current.close(), state.ema26, 26);
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BigDecimal dif = state.ema12.subtract(state.ema26, MC);
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state.dea = state.dea == null
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? dif
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: state.dea.multiply(BigDecimal.valueOf(0.8), MC)
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.add(dif.multiply(BigDecimal.valueOf(0.2), MC), MC);
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BigDecimal macdBar = price(dif.subtract(state.dea, MC).multiply(TWO, MC));
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BigDecimal rsi6 = rsi(window, 6);
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BigDecimal rsi12 = rsi(window, 12);
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BigDecimal rsv = rsv(window, 9);
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state.k = state.k.multiply(BigDecimal.valueOf(2), MC)
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.add(rsv, MC).divide(BigDecimal.valueOf(3), MC);
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state.d = state.d.multiply(BigDecimal.valueOf(2), MC)
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.add(state.k, MC).divide(BigDecimal.valueOf(3), MC);
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BigDecimal j = oscillator(state.k.multiply(BigDecimal.valueOf(3), MC)
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.subtract(state.d.multiply(BigDecimal.valueOf(2), MC), MC));
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result.add(KLineIndicator.builder()
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.instrumentId(record.getInstrumentId())
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.kTime(record.getKTime())
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.ma5(ma5)
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.ma10(ma10)
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.ma20(ma20)
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.ma60(ma60)
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.bollMb(bollMb)
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.bollUp(bollUp)
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.bollDn(bollDn)
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.ema6(price(state.ema6))
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.ema12(price(state.ema12))
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.ema20(price(state.ema20))
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.macdDif(price(dif))
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.macdDea(price(state.dea))
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.macdBar(macdBar)
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.rsi6(rsi6)
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.rsi12(rsi12)
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.kdjK(oscillator(state.k))
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.kdjD(oscillator(state.d))
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.kdjJ(j)
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.createAt(createAt)
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.build());
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}
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return result;
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}
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private BigDecimal movingAverage(List<PriceBar> values, int period) {
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return values.size() < period ? null : price(movingAverageRaw(values, period));
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}
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private BigDecimal movingAverageRaw(List<PriceBar> values, int period) {
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BigDecimal sum = BigDecimal.ZERO;
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for (int i = values.size() - period; i < values.size(); i++) {
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sum = sum.add(values.get(i).close(), MC);
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}
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return sum.divide(BigDecimal.valueOf(period), MC);
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}
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private BigDecimal standardDeviation(List<PriceBar> values, int period) {
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BigDecimal mean = movingAverageRaw(values, period);
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BigDecimal squareSum = BigDecimal.ZERO;
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for (int i = values.size() - period; i < values.size(); i++) {
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BigDecimal difference = values.get(i).close().subtract(mean, MC);
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squareSum = squareSum.add(difference.multiply(difference, MC), MC);
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}
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return squareSum.divide(BigDecimal.valueOf(period), MC).sqrt(MC);
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}
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private BigDecimal ema(BigDecimal close, BigDecimal previous, int period) {
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if (previous == null) {
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return close;
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}
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BigDecimal multiplier = TWO.divide(BigDecimal.valueOf(period + 1L), MC);
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return close.subtract(previous, MC).multiply(multiplier, MC).add(previous, MC);
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}
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private BigDecimal rsi(List<PriceBar> values, int period) {
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if (values.size() <= period) {
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return null;
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}
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BigDecimal gains = BigDecimal.ZERO;
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BigDecimal losses = BigDecimal.ZERO;
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int start = values.size() - period;
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for (int i = start; i < values.size(); i++) {
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BigDecimal change = values.get(i).close().subtract(values.get(i - 1).close(), MC);
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if (change.signum() > 0) {
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gains = gains.add(change, MC);
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} else {
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losses = losses.add(change.abs(), MC);
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}
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}
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if (gains.signum() == 0 && losses.signum() == 0) {
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return oscillator(FIFTY);
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}
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if (losses.signum() == 0) {
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return oscillator(HUNDRED);
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}
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return oscillator(gains.divide(gains.add(losses, MC), MC).multiply(HUNDRED, MC));
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}
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private BigDecimal rsv(List<PriceBar> values, int period) {
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int start = Math.max(0, values.size() - period);
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BigDecimal highest = values.get(start).high();
|
||||
BigDecimal lowest = values.get(start).low();
|
||||
for (int i = start + 1; i < values.size(); i++) {
|
||||
highest = highest.max(values.get(i).high());
|
||||
lowest = lowest.min(values.get(i).low());
|
||||
}
|
||||
BigDecimal range = highest.subtract(lowest, MC);
|
||||
if (range.signum() == 0) {
|
||||
return FIFTY;
|
||||
}
|
||||
return values.getLast().close().subtract(lowest, MC)
|
||||
.divide(range, MC)
|
||||
.multiply(HUNDRED, MC);
|
||||
}
|
||||
|
||||
private PriceBar toPriceBar(KLineRecord record, int priceScale) {
|
||||
BigDecimal divisor = BigDecimal.valueOf(priceScale);
|
||||
return new PriceBar(
|
||||
BigDecimal.valueOf(record.getHigh()).divide(divisor, MC),
|
||||
BigDecimal.valueOf(record.getLow()).divide(divisor, MC),
|
||||
BigDecimal.valueOf(record.getClose()).divide(divisor, MC));
|
||||
}
|
||||
|
||||
private BigDecimal price(BigDecimal value) {
|
||||
return value.setScale(6, RoundingMode.HALF_UP);
|
||||
}
|
||||
|
||||
private BigDecimal oscillator(BigDecimal value) {
|
||||
return value.setScale(4, RoundingMode.HALF_UP);
|
||||
}
|
||||
|
||||
private void validate(List<KLineRecord> records, int priceScale) {
|
||||
if (records == null) {
|
||||
throw new IllegalArgumentException("K线列表不能为空");
|
||||
}
|
||||
if (priceScale <= 0) {
|
||||
throw new IllegalArgumentException("价格缩放倍数必须大于0");
|
||||
}
|
||||
if (records.stream().anyMatch(record -> record == null
|
||||
|| record.getKTime() == null
|
||||
|| record.getHigh() == null
|
||||
|| record.getLow() == null
|
||||
|| record.getClose() == null)) {
|
||||
throw new IllegalArgumentException("K线时间及高低收价格不能为空");
|
||||
}
|
||||
if (!records.equals(records.stream()
|
||||
.sorted(Comparator.comparing(KLineRecord::getKTime))
|
||||
.toList())) {
|
||||
throw new IllegalArgumentException("K线必须按时间升序排列");
|
||||
}
|
||||
}
|
||||
|
||||
private record PriceBar(BigDecimal high, BigDecimal low, BigDecimal close) {
|
||||
}
|
||||
|
||||
private static final class State {
|
||||
private BigDecimal ema6;
|
||||
private BigDecimal ema12;
|
||||
private BigDecimal ema20;
|
||||
private BigDecimal ema26;
|
||||
private BigDecimal dea;
|
||||
private BigDecimal k = oscillatorValue(FIFTY);
|
||||
private BigDecimal d = oscillatorValue(FIFTY);
|
||||
|
||||
private static State from(KLineIndicator previous) {
|
||||
State state = new State();
|
||||
state.ema6 = previous.getEma6();
|
||||
state.ema12 = previous.getEma12();
|
||||
state.ema20 = previous.getEma20();
|
||||
state.ema26 = previous.getEma12().subtract(previous.getMacdDif(), MC)
|
||||
.setScale(6, RoundingMode.HALF_UP);
|
||||
state.dea = previous.getMacdDea() != null
|
||||
? previous.getMacdDea()
|
||||
: previous.getMacdDif();
|
||||
state.k = previous.getKdjK();
|
||||
state.d = previous.getKdjD();
|
||||
return state;
|
||||
}
|
||||
|
||||
private static BigDecimal oscillatorValue(BigDecimal value) {
|
||||
return value.setScale(4, RoundingMode.HALF_UP);
|
||||
}
|
||||
}
|
||||
}
|
||||
@ -0,0 +1,92 @@
|
||||
package com.yangwale.backtestify.service.market.indicator.impl;
|
||||
|
||||
import com.yangwale.backtestify.common.BusinessException;
|
||||
import com.yangwale.backtestify.common.ErrorCode;
|
||||
import com.yangwale.backtestify.entity.InstrumentDictionary;
|
||||
import com.yangwale.backtestify.entity.KLineIndicator;
|
||||
import com.yangwale.backtestify.entity.KLineRecord;
|
||||
import com.yangwale.backtestify.mapper.IndicatorMapper;
|
||||
import com.yangwale.backtestify.mapper.InstrumentDictionaryMapper;
|
||||
import com.yangwale.backtestify.mapper.KLineMapper;
|
||||
import com.yangwale.backtestify.service.market.indicator.IndicatorCalculationService;
|
||||
import com.yangwale.backtestify.service.market.indicator.IndicatorCalculator;
|
||||
import com.yangwale.backtestify.service.market.repository.KLineTableResolver;
|
||||
import lombok.RequiredArgsConstructor;
|
||||
import org.springframework.stereotype.Service;
|
||||
import org.springframework.transaction.annotation.Transactional;
|
||||
|
||||
import java.util.ArrayList;
|
||||
import java.util.Collections;
|
||||
import java.util.List;
|
||||
|
||||
@Service
|
||||
@RequiredArgsConstructor
|
||||
public class IndicatorCalculationServiceImpl implements IndicatorCalculationService {
|
||||
|
||||
private static final int CONTEXT_SIZE = 60;
|
||||
private static final int WRITE_BATCH_SIZE = 500;
|
||||
|
||||
private final InstrumentDictionaryMapper instrumentMapper;
|
||||
private final KLineMapper kLineMapper;
|
||||
private final IndicatorMapper indicatorMapper;
|
||||
private final KLineTableResolver tableResolver;
|
||||
private final IndicatorCalculator calculator;
|
||||
|
||||
@Override
|
||||
@Transactional(rollbackFor = Exception.class)
|
||||
public int rebuild(String period, Integer instrumentId) {
|
||||
InstrumentDictionary instrument = requireInstrument(instrumentId);
|
||||
String kLineTable = tableResolver.resolve(period);
|
||||
String indicatorTable = tableResolver.resolveIndicator(period);
|
||||
List<KLineRecord> kLines = kLineMapper.selectAll(kLineTable, instrumentId);
|
||||
if (kLines.isEmpty()) {
|
||||
return 0;
|
||||
}
|
||||
List<KLineIndicator> indicators = calculator.calculate(kLines, instrument.getPriceScale());
|
||||
return upsertBatches(indicatorTable, indicators);
|
||||
}
|
||||
|
||||
@Override
|
||||
@Transactional(rollbackFor = Exception.class)
|
||||
public int updateIncremental(String period, Integer instrumentId) {
|
||||
InstrumentDictionary instrument = requireInstrument(instrumentId);
|
||||
String kLineTable = tableResolver.resolve(period);
|
||||
String indicatorTable = tableResolver.resolveIndicator(period);
|
||||
KLineIndicator previous = indicatorMapper.selectLatest(indicatorTable, instrumentId);
|
||||
if (previous == null) {
|
||||
return rebuild(period, instrumentId);
|
||||
}
|
||||
|
||||
List<KLineRecord> additions = kLineMapper.selectAfter(
|
||||
kLineTable, instrumentId, previous.getKTime());
|
||||
if (additions.isEmpty()) {
|
||||
return 0;
|
||||
}
|
||||
|
||||
List<KLineRecord> history = new ArrayList<>(kLineMapper.selectBefore(
|
||||
kLineTable, instrumentId, additions.getFirst().getKTime(), CONTEXT_SIZE));
|
||||
Collections.reverse(history);
|
||||
List<KLineIndicator> indicators = calculator.calculateIncremental(
|
||||
history, additions, previous, instrument.getPriceScale());
|
||||
return upsertBatches(indicatorTable, indicators);
|
||||
}
|
||||
|
||||
private InstrumentDictionary requireInstrument(Integer instrumentId) {
|
||||
InstrumentDictionary instrument = instrumentMapper.selectById(instrumentId);
|
||||
if (instrument == null) {
|
||||
throw new BusinessException(ErrorCode.CONTRACT_NOT_FOUND,
|
||||
"合约不存在, instrumentId=" + instrumentId);
|
||||
}
|
||||
return instrument;
|
||||
}
|
||||
|
||||
private int upsertBatches(String tableName, List<KLineIndicator> indicators) {
|
||||
int affectedRows = 0;
|
||||
for (int start = 0; start < indicators.size(); start += WRITE_BATCH_SIZE) {
|
||||
int end = Math.min(start + WRITE_BATCH_SIZE, indicators.size());
|
||||
affectedRows += indicatorMapper.upsertBatch(
|
||||
tableName, List.copyOf(indicators.subList(start, end)));
|
||||
}
|
||||
return affectedRows;
|
||||
}
|
||||
}
|
||||
@ -15,13 +15,15 @@ public class KLineTableResolver {
|
||||
|
||||
private static final Map<String, String> TABLES = Map.of(
|
||||
"1m", "t_kline_1m",
|
||||
"3m", "t_kline_3m",
|
||||
"5m", "t_kline_5m",
|
||||
"15m", "t_kline_15m",
|
||||
"30m", "t_kline_30m",
|
||||
"1h", "t_kline_1h",
|
||||
"4h", "t_kline_4h",
|
||||
"1d", "t_kline_1d",
|
||||
"1w", "t_kline_1w"
|
||||
"1w", "t_kline_1w",
|
||||
"1mo", "t_kline_1mo"
|
||||
);
|
||||
|
||||
public String resolve(String period) {
|
||||
@ -33,6 +35,11 @@ public class KLineTableResolver {
|
||||
return tableName;
|
||||
}
|
||||
|
||||
public String resolveIndicator(String period) {
|
||||
String kLineTable = resolve(period);
|
||||
return kLineTable.replace("t_kline_", "t_indicator_");
|
||||
}
|
||||
|
||||
public Set<String> supportedPeriods() {
|
||||
return TABLES.keySet();
|
||||
}
|
||||
|
||||
@ -12,6 +12,7 @@ import com.yangwale.backtestify.mapper.MarketDataSyncLogMapper;
|
||||
import com.yangwale.backtestify.service.market.client.CnQuotationClient;
|
||||
import com.yangwale.backtestify.service.market.client.CnQuotationModels;
|
||||
import com.yangwale.backtestify.service.market.convert.PriceScaleConverter;
|
||||
import com.yangwale.backtestify.service.market.indicator.IndicatorCalculationService;
|
||||
import com.yangwale.backtestify.service.market.repository.KLineTableResolver;
|
||||
import lombok.RequiredArgsConstructor;
|
||||
import lombok.extern.slf4j.Slf4j;
|
||||
@ -41,6 +42,7 @@ public class MarketDataSyncService {
|
||||
private final KLineMapper kLineMapper;
|
||||
private final MarketDataSyncLogMapper syncLogMapper;
|
||||
private final KLineTableResolver tableResolver;
|
||||
private final IndicatorCalculationService indicatorCalculationService;
|
||||
|
||||
@Scheduled(cron = "${market-data.sync.cron:0 0 6 * * ?}", zone = "${market-data.sync.zone:Asia/Shanghai}")
|
||||
public void syncYesterdayMainContracts() {
|
||||
@ -111,6 +113,7 @@ public class MarketDataSyncService {
|
||||
.toList();
|
||||
if (!records.isEmpty()) {
|
||||
count = kLineMapper.upsertBatch(tableResolver.resolve(period), records);
|
||||
indicatorCalculationService.updateIncremental(period, instrument.getId());
|
||||
}
|
||||
saveLog("KLINE", period, instrument.getContractCode(), syncDate, "SUCCESS", count, null, start);
|
||||
} catch (Exception e) {
|
||||
@ -148,7 +151,7 @@ public class MarketDataSyncService {
|
||||
try {
|
||||
return KLineRecord.builder()
|
||||
.instrumentId(instrument.getId())
|
||||
.timestamp(item.u())
|
||||
.kTime(item.u())
|
||||
.open(PriceScaleConverter.toScaled(item.o(), instrument.getPriceScale()))
|
||||
.high(PriceScaleConverter.toScaled(item.h(), instrument.getPriceScale()))
|
||||
.low(PriceScaleConverter.toScaled(item.l(), instrument.getPriceScale()))
|
||||
|
||||
@ -0,0 +1,125 @@
|
||||
package com.yangwale.backtestify.service.market.indicator;
|
||||
|
||||
import com.yangwale.backtestify.entity.InstrumentDictionary;
|
||||
import com.yangwale.backtestify.entity.KLineIndicator;
|
||||
import com.yangwale.backtestify.entity.KLineRecord;
|
||||
import com.yangwale.backtestify.mapper.IndicatorMapper;
|
||||
import com.yangwale.backtestify.mapper.InstrumentDictionaryMapper;
|
||||
import com.yangwale.backtestify.mapper.KLineMapper;
|
||||
import com.yangwale.backtestify.service.market.indicator.impl.IndicatorCalculationServiceImpl;
|
||||
import com.yangwale.backtestify.service.market.repository.KLineTableResolver;
|
||||
import org.junit.jupiter.api.BeforeEach;
|
||||
import org.junit.jupiter.api.Test;
|
||||
import org.junit.jupiter.api.extension.ExtendWith;
|
||||
import org.mockito.Mock;
|
||||
import org.mockito.junit.jupiter.MockitoExtension;
|
||||
|
||||
import java.util.List;
|
||||
|
||||
import static org.junit.jupiter.api.Assertions.assertEquals;
|
||||
import static org.mockito.ArgumentMatchers.anyList;
|
||||
import static org.mockito.Mockito.never;
|
||||
import static org.mockito.Mockito.verify;
|
||||
import static org.mockito.Mockito.when;
|
||||
|
||||
@ExtendWith(MockitoExtension.class)
|
||||
class IndicatorCalculationServiceImplTest {
|
||||
|
||||
@Mock
|
||||
private InstrumentDictionaryMapper instrumentMapper;
|
||||
@Mock
|
||||
private KLineMapper kLineMapper;
|
||||
@Mock
|
||||
private IndicatorMapper indicatorMapper;
|
||||
@Mock
|
||||
private IndicatorCalculator calculator;
|
||||
|
||||
private IndicatorCalculationService service;
|
||||
|
||||
@BeforeEach
|
||||
void setUp() {
|
||||
service = new IndicatorCalculationServiceImpl(
|
||||
instrumentMapper,
|
||||
kLineMapper,
|
||||
indicatorMapper,
|
||||
new KLineTableResolver(),
|
||||
calculator);
|
||||
}
|
||||
|
||||
@Test
|
||||
void rebuildCalculatesAndUpsertsAllHistoricalRows() {
|
||||
InstrumentDictionary instrument = instrument(7, 100);
|
||||
List<KLineRecord> kLines = List.of(kLine(1), kLine(2));
|
||||
List<KLineIndicator> indicators = List.of(indicator(1), indicator(2));
|
||||
when(instrumentMapper.selectById(7)).thenReturn(instrument);
|
||||
when(kLineMapper.selectAll("t_kline_1d", 7)).thenReturn(kLines);
|
||||
when(calculator.calculate(kLines, 100)).thenReturn(indicators);
|
||||
when(indicatorMapper.upsertBatch("t_indicator_1d", indicators)).thenReturn(2);
|
||||
|
||||
int count = service.rebuild("1d", 7);
|
||||
|
||||
assertEquals(2, count);
|
||||
verify(indicatorMapper).upsertBatch("t_indicator_1d", indicators);
|
||||
}
|
||||
|
||||
@Test
|
||||
void incrementalLoadsContextButOnlyUpsertsRowsAfterLatestIndicator() {
|
||||
InstrumentDictionary instrument = instrument(7, 100);
|
||||
KLineIndicator previous = indicator(100);
|
||||
List<KLineRecord> additions = List.of(kLine(101), kLine(102));
|
||||
List<KLineRecord> descendingContext = List.of(kLine(100), kLine(99));
|
||||
List<KLineIndicator> calculated = List.of(indicator(101), indicator(102));
|
||||
when(instrumentMapper.selectById(7)).thenReturn(instrument);
|
||||
when(indicatorMapper.selectLatest("t_indicator_1d", 7)).thenReturn(previous);
|
||||
when(kLineMapper.selectAfter("t_kline_1d", 7, 100L)).thenReturn(additions);
|
||||
when(kLineMapper.selectBefore("t_kline_1d", 7, 101L, 60)).thenReturn(descendingContext);
|
||||
when(calculator.calculateIncremental(
|
||||
List.of(descendingContext.get(1), descendingContext.get(0)),
|
||||
additions,
|
||||
previous,
|
||||
100)).thenReturn(calculated);
|
||||
when(indicatorMapper.upsertBatch("t_indicator_1d", calculated)).thenReturn(2);
|
||||
|
||||
int count = service.updateIncremental("1d", 7);
|
||||
|
||||
assertEquals(2, count);
|
||||
verify(indicatorMapper).upsertBatch("t_indicator_1d", calculated);
|
||||
}
|
||||
|
||||
@Test
|
||||
void incrementalDoesNothingWhenNoNewKLinesExist() {
|
||||
when(instrumentMapper.selectById(7)).thenReturn(instrument(7, 100));
|
||||
when(indicatorMapper.selectLatest("t_indicator_1d", 7)).thenReturn(indicator(100));
|
||||
when(kLineMapper.selectAfter("t_kline_1d", 7, 100L)).thenReturn(List.of());
|
||||
|
||||
assertEquals(0, service.updateIncremental("1d", 7));
|
||||
|
||||
verify(calculator, never()).calculateIncremental(anyList(), anyList(), org.mockito.ArgumentMatchers.any(), org.mockito.ArgumentMatchers.anyInt());
|
||||
verify(indicatorMapper, never()).upsertBatch(org.mockito.ArgumentMatchers.anyString(), anyList());
|
||||
}
|
||||
|
||||
private InstrumentDictionary instrument(int id, int priceScale) {
|
||||
InstrumentDictionary instrument = new InstrumentDictionary();
|
||||
instrument.setId(id);
|
||||
instrument.setPriceScale(priceScale);
|
||||
return instrument;
|
||||
}
|
||||
|
||||
private KLineRecord kLine(long time) {
|
||||
return KLineRecord.builder()
|
||||
.instrumentId(7)
|
||||
.kTime(time)
|
||||
.open(100)
|
||||
.high(101)
|
||||
.low(99)
|
||||
.close(100)
|
||||
.build();
|
||||
}
|
||||
|
||||
private KLineIndicator indicator(long time) {
|
||||
return KLineIndicator.builder()
|
||||
.instrumentId(7)
|
||||
.kTime(time)
|
||||
.build();
|
||||
}
|
||||
}
|
||||
@ -0,0 +1,82 @@
|
||||
package com.yangwale.backtestify.service.market.indicator;
|
||||
|
||||
import com.yangwale.backtestify.entity.InstrumentDictionary;
|
||||
import com.yangwale.backtestify.entity.KLineIndicator;
|
||||
import com.yangwale.backtestify.entity.KLineRecord;
|
||||
import com.yangwale.backtestify.mapper.IndicatorMapper;
|
||||
import com.yangwale.backtestify.mapper.InstrumentDictionaryMapper;
|
||||
import com.yangwale.backtestify.mapper.KLineMapper;
|
||||
import org.junit.jupiter.api.Test;
|
||||
import org.springframework.beans.factory.annotation.Autowired;
|
||||
import org.springframework.boot.test.context.SpringBootTest;
|
||||
import org.springframework.transaction.annotation.Transactional;
|
||||
|
||||
import java.math.BigDecimal;
|
||||
import java.util.ArrayList;
|
||||
import java.util.List;
|
||||
|
||||
import static org.junit.jupiter.api.Assertions.assertEquals;
|
||||
import static org.junit.jupiter.api.Assertions.assertTrue;
|
||||
|
||||
@SpringBootTest
|
||||
@Transactional
|
||||
class IndicatorPersistenceIntegrationTest {
|
||||
|
||||
@Autowired
|
||||
private InstrumentDictionaryMapper instrumentMapper;
|
||||
@Autowired
|
||||
private KLineMapper kLineMapper;
|
||||
@Autowired
|
||||
private IndicatorMapper indicatorMapper;
|
||||
@Autowired
|
||||
private IndicatorCalculationService indicatorService;
|
||||
|
||||
@Test
|
||||
void rebuildAndIncrementalUpdatePersistCalculatedIndicators() {
|
||||
InstrumentDictionary instrument = new InstrumentDictionary();
|
||||
instrument.setExchangeId("TEST");
|
||||
instrument.setSymbol("ti");
|
||||
instrument.setContractCode("ti2601");
|
||||
instrument.setPriceScale(100);
|
||||
instrument.setIsMain(0);
|
||||
instrumentMapper.insert(instrument);
|
||||
|
||||
List<KLineRecord> history = records(instrument.getId(), 1, 20);
|
||||
assertTrue(kLineMapper.upsertBatch("t_kline_1m", history) > 0);
|
||||
assertTrue(indicatorService.rebuild("1m", instrument.getId()) > 0);
|
||||
|
||||
KLineIndicator historicalLatest = indicatorMapper.selectLatest(
|
||||
"t_indicator_1m", instrument.getId());
|
||||
assertEquals(20L, historicalLatest.getKTime());
|
||||
assertEquals(new BigDecimal("10.500000"), historicalLatest.getMa20());
|
||||
assertEquals(new BigDecimal("100.0000"), historicalLatest.getRsi12());
|
||||
|
||||
assertTrue(kLineMapper.upsertBatch(
|
||||
"t_kline_1m", records(instrument.getId(), 21, 22)) > 0);
|
||||
assertTrue(indicatorService.updateIncremental("1m", instrument.getId()) > 0);
|
||||
|
||||
KLineIndicator incrementalLatest = indicatorMapper.selectLatest(
|
||||
"t_indicator_1m", instrument.getId());
|
||||
assertEquals(22L, incrementalLatest.getKTime());
|
||||
assertEquals(new BigDecimal("12.500000"), incrementalLatest.getMa20());
|
||||
}
|
||||
|
||||
private List<KLineRecord> records(int instrumentId, int from, int to) {
|
||||
List<KLineRecord> result = new ArrayList<>();
|
||||
for (int value = from; value <= to; value++) {
|
||||
int scaledClose = value * 100;
|
||||
result.add(KLineRecord.builder()
|
||||
.instrumentId(instrumentId)
|
||||
.kTime((long) value)
|
||||
.open(scaledClose)
|
||||
.high(scaledClose + 100)
|
||||
.low(scaledClose - 100)
|
||||
.close(scaledClose)
|
||||
.volume(100L)
|
||||
.turnover(1000L)
|
||||
.openInterest(50L)
|
||||
.build());
|
||||
}
|
||||
return result;
|
||||
}
|
||||
}
|
||||
@ -0,0 +1,159 @@
|
||||
package com.yangwale.backtestify.service.market.indicator;
|
||||
|
||||
import com.yangwale.backtestify.entity.KLineIndicator;
|
||||
import com.yangwale.backtestify.entity.KLineRecord;
|
||||
import org.junit.jupiter.api.Test;
|
||||
|
||||
import java.math.BigDecimal;
|
||||
import java.util.ArrayList;
|
||||
import java.util.List;
|
||||
|
||||
import static org.junit.jupiter.api.Assertions.assertEquals;
|
||||
import static org.junit.jupiter.api.Assertions.assertNull;
|
||||
import static org.junit.jupiter.api.Assertions.assertTrue;
|
||||
|
||||
class TechnicalIndicatorCalculatorTest {
|
||||
|
||||
private final TechnicalIndicatorCalculator calculator = new TechnicalIndicatorCalculator();
|
||||
|
||||
@Test
|
||||
void calculatesMaBollEmaAndMacdUsingConfiguredIndustryPeriods() {
|
||||
List<KLineIndicator> values = calculator.calculate(sequence(1, 60), 1);
|
||||
|
||||
assertNull(values.get(3).getMa5());
|
||||
assertDecimal("3.000000", values.get(4).getMa5());
|
||||
assertDecimal("5.500000", values.get(9).getMa10());
|
||||
assertDecimal("10.500000", values.get(19).getMa20());
|
||||
assertDecimal("30.500000", values.get(59).getMa60());
|
||||
|
||||
assertNull(values.get(18).getBollMb());
|
||||
assertDecimal("10.500000", values.get(19).getBollMb());
|
||||
assertDecimal("22.032563", values.get(19).getBollUp());
|
||||
assertDecimal("-1.032563", values.get(19).getBollDn());
|
||||
|
||||
assertDecimal("1.000000", values.getFirst().getEma6());
|
||||
assertDecimal("1.285714", values.get(1).getEma6());
|
||||
assertDecimal("1.153846", values.get(1).getEma12());
|
||||
assertDecimal("1.095238", values.get(1).getEma20());
|
||||
assertDecimal("0.000000", values.getFirst().getMacdDif());
|
||||
assertDecimal("0.000000", values.getFirst().getMacdDea());
|
||||
assertDecimal("0.000000", values.getFirst().getMacdBar());
|
||||
assertDecimal("0.079772", values.get(1).getMacdDif());
|
||||
assertDecimal("0.015954", values.get(1).getMacdDea());
|
||||
assertDecimal("0.127635", values.get(1).getMacdBar());
|
||||
}
|
||||
|
||||
@Test
|
||||
void calculatesSimpleMovingAverageRsiAndHandlesFlatPrices() {
|
||||
List<KLineIndicator> mixed = calculator.calculate(records(
|
||||
1, 2, 1, 3, 2, 4, 3, 5, 4, 6, 5, 7, 6), 1);
|
||||
|
||||
assertNull(mixed.get(5).getRsi6());
|
||||
assertDecimal("62.5000", mixed.get(6).getRsi6());
|
||||
assertNull(mixed.get(11).getRsi12());
|
||||
assertDecimal("64.7059", mixed.get(12).getRsi12());
|
||||
|
||||
List<KLineIndicator> flat = calculator.calculate(records(
|
||||
10, 10, 10, 10, 10, 10, 10, 10, 10, 10, 10, 10, 10), 1);
|
||||
assertDecimal("50.0000", flat.get(6).getRsi6());
|
||||
assertDecimal("50.0000", flat.get(12).getRsi12());
|
||||
}
|
||||
|
||||
@Test
|
||||
void initializesAndSmoothsKdjFromFifty() {
|
||||
List<KLineIndicator> values = calculator.calculate(records(1, 2), 1);
|
||||
|
||||
assertDecimal("50.0000", values.getFirst().getKdjK());
|
||||
assertDecimal("50.0000", values.getFirst().getKdjD());
|
||||
assertDecimal("50.0000", values.getFirst().getKdjJ());
|
||||
assertDecimal("55.5556", values.get(1).getKdjK());
|
||||
assertDecimal("51.8519", values.get(1).getKdjD());
|
||||
assertDecimal("62.9630", values.get(1).getKdjJ());
|
||||
}
|
||||
|
||||
@Test
|
||||
void incrementalCalculationMatchesFullHistoryAndOnlyReturnsNewRows() {
|
||||
List<KLineRecord> all = sequence(1, 70);
|
||||
List<KLineIndicator> full = calculator.calculate(all, 1);
|
||||
List<KLineRecord> history = all.subList(0, 60);
|
||||
List<KLineRecord> additions = all.subList(60, 70);
|
||||
|
||||
List<KLineIndicator> incremental = calculator.calculateIncremental(
|
||||
history.subList(history.size() - 60, history.size()),
|
||||
additions,
|
||||
full.get(59),
|
||||
1);
|
||||
|
||||
assertEquals(10, incremental.size());
|
||||
for (int i = 0; i < incremental.size(); i++) {
|
||||
KLineIndicator expected = full.get(60 + i);
|
||||
KLineIndicator actual = incremental.get(i);
|
||||
assertEquals(expected.getKTime(), actual.getKTime());
|
||||
assertEquals(expected.getMa60(), actual.getMa60());
|
||||
assertEquals(expected.getBollUp(), actual.getBollUp());
|
||||
assertClose(expected.getEma20(), actual.getEma20(), new BigDecimal("0.000002"));
|
||||
assertClose(expected.getMacdBar(), actual.getMacdBar(), new BigDecimal("0.000002"));
|
||||
assertEquals(expected.getRsi12(), actual.getRsi12());
|
||||
assertClose(expected.getKdjJ(), actual.getKdjJ(), new BigDecimal("0.0002"));
|
||||
}
|
||||
}
|
||||
|
||||
@Test
|
||||
void incrementalMacdUsesPreviousDifWhenPreviousDeaIsMissing() {
|
||||
KLineIndicator previous = KLineIndicator.builder()
|
||||
.instrumentId(7)
|
||||
.kTime(1L)
|
||||
.ema6(new BigDecimal("10"))
|
||||
.ema12(new BigDecimal("10"))
|
||||
.ema20(new BigDecimal("10"))
|
||||
.macdDif(new BigDecimal("2"))
|
||||
.macdDea(null)
|
||||
.kdjK(new BigDecimal("50"))
|
||||
.kdjD(new BigDecimal("50"))
|
||||
.build();
|
||||
|
||||
KLineIndicator actual = calculator.calculateIncremental(
|
||||
List.of(),
|
||||
records(13),
|
||||
previous,
|
||||
1).getFirst();
|
||||
|
||||
assertDecimal("2.018234", actual.getMacdDea());
|
||||
}
|
||||
|
||||
private List<KLineRecord> sequence(int from, int to) {
|
||||
List<Integer> closes = new ArrayList<>();
|
||||
for (int value = from; value <= to; value++) {
|
||||
closes.add(value);
|
||||
}
|
||||
return records(closes.stream().mapToInt(Integer::intValue).toArray());
|
||||
}
|
||||
|
||||
private List<KLineRecord> records(int... closes) {
|
||||
List<KLineRecord> records = new ArrayList<>();
|
||||
for (int i = 0; i < closes.length; i++) {
|
||||
int close = closes[i];
|
||||
records.add(KLineRecord.builder()
|
||||
.instrumentId(7)
|
||||
.kTime((long) i + 1)
|
||||
.open(close)
|
||||
.high(close + 1)
|
||||
.low(close - 1)
|
||||
.close(close)
|
||||
.volume(100L)
|
||||
.turnover(1000L)
|
||||
.openInterest(50L)
|
||||
.build());
|
||||
}
|
||||
return records;
|
||||
}
|
||||
|
||||
private void assertDecimal(String expected, BigDecimal actual) {
|
||||
assertEquals(new BigDecimal(expected), actual);
|
||||
}
|
||||
|
||||
private void assertClose(BigDecimal expected, BigDecimal actual, BigDecimal tolerance) {
|
||||
assertTrue(expected.subtract(actual).abs().compareTo(tolerance) <= 0,
|
||||
() -> "expected " + expected + " but was " + actual);
|
||||
}
|
||||
}
|
||||
@ -13,6 +13,7 @@ class KLineTableResolverTest {
|
||||
@Test
|
||||
void resolvesSupportedRealMarketPeriods() {
|
||||
assertEquals("t_kline_1m", resolver.resolve("1m"));
|
||||
assertEquals("t_kline_3m", resolver.resolve("3m"));
|
||||
assertEquals("t_kline_5m", resolver.resolve("5m"));
|
||||
assertEquals("t_kline_15m", resolver.resolve("15m"));
|
||||
assertEquals("t_kline_30m", resolver.resolve("30m"));
|
||||
@ -20,10 +21,15 @@ class KLineTableResolverTest {
|
||||
assertEquals("t_kline_4h", resolver.resolve("4h"));
|
||||
assertEquals("t_kline_1d", resolver.resolve("1d"));
|
||||
assertEquals("t_kline_1w", resolver.resolve("1w"));
|
||||
assertEquals("t_kline_1mo", resolver.resolve("1mo"));
|
||||
assertEquals("t_indicator_1m", resolver.resolveIndicator("1m"));
|
||||
assertEquals("t_indicator_3m", resolver.resolveIndicator("3m"));
|
||||
assertEquals("t_indicator_1d", resolver.resolveIndicator("1d"));
|
||||
assertEquals("t_indicator_1mo", resolver.resolveIndicator("1mo"));
|
||||
}
|
||||
|
||||
@Test
|
||||
void rejects3mBecauseRealMarketDoesNotProvideIt() {
|
||||
assertThrows(BusinessException.class, () -> resolver.resolve("3m"));
|
||||
void rejectsUnknownPeriod() {
|
||||
assertThrows(BusinessException.class, () -> resolver.resolve("2h"));
|
||||
}
|
||||
}
|
||||
|
||||
@ -0,0 +1,85 @@
|
||||
package com.yangwale.backtestify.service.market.sync;
|
||||
|
||||
import com.baomidou.mybatisplus.core.conditions.Wrapper;
|
||||
import com.yangwale.backtestify.config.MarketDataProperties;
|
||||
import com.yangwale.backtestify.entity.InstrumentDictionary;
|
||||
import com.yangwale.backtestify.entity.KLineRecord;
|
||||
import com.yangwale.backtestify.entity.MarketDataSyncLog;
|
||||
import com.yangwale.backtestify.mapper.InstrumentDictionaryMapper;
|
||||
import com.yangwale.backtestify.mapper.KLineMapper;
|
||||
import com.yangwale.backtestify.mapper.MarketDataSyncLogMapper;
|
||||
import com.yangwale.backtestify.service.market.client.CnQuotationClient;
|
||||
import com.yangwale.backtestify.service.market.client.CnQuotationModels;
|
||||
import com.yangwale.backtestify.service.market.indicator.IndicatorCalculationService;
|
||||
import com.yangwale.backtestify.service.market.repository.KLineTableResolver;
|
||||
import org.junit.jupiter.api.Test;
|
||||
|
||||
import java.util.List;
|
||||
|
||||
import static org.mockito.ArgumentMatchers.any;
|
||||
import static org.mockito.ArgumentMatchers.anyList;
|
||||
import static org.mockito.ArgumentMatchers.eq;
|
||||
import static org.mockito.Mockito.mock;
|
||||
import static org.mockito.Mockito.verify;
|
||||
import static org.mockito.Mockito.when;
|
||||
|
||||
class MarketDataSyncServiceTest {
|
||||
|
||||
@Test
|
||||
void calculatesIncrementalIndicatorsAfterKLinesArePersisted() {
|
||||
MarketDataProperties properties = new MarketDataProperties();
|
||||
properties.getSync().setPeriods(List.of("1d"));
|
||||
InstrumentDictionaryMapper instrumentMapper = mock(InstrumentDictionaryMapper.class);
|
||||
KLineMapper kLineMapper = mock(KLineMapper.class);
|
||||
MarketDataSyncLogMapper syncLogMapper = mock(MarketDataSyncLogMapper.class);
|
||||
IndicatorCalculationService indicatorService = mock(IndicatorCalculationService.class);
|
||||
InstrumentDictionary instrument = new InstrumentDictionary();
|
||||
instrument.setId(7);
|
||||
instrument.setExchangeId("SHFE");
|
||||
instrument.setContractCode("rb2610");
|
||||
instrument.setPriceScale(100);
|
||||
instrument.setIsMain(1);
|
||||
when(instrumentMapper.selectList(any(Wrapper.class))).thenReturn(List.of(instrument));
|
||||
when(kLineMapper.upsertBatch(eq("t_kline_1d"), anyList())).thenReturn(1);
|
||||
|
||||
MarketDataSyncService service = new MarketDataSyncService(
|
||||
properties,
|
||||
new FakeQuotationClient(properties),
|
||||
instrumentMapper,
|
||||
kLineMapper,
|
||||
syncLogMapper,
|
||||
new KLineTableResolver(),
|
||||
indicatorService) {
|
||||
@Override
|
||||
public void refreshMainContracts() {
|
||||
// Contract refresh is outside this test's synchronization seam.
|
||||
}
|
||||
};
|
||||
|
||||
service.syncIncrementalForMainContracts();
|
||||
|
||||
verify(kLineMapper).upsertBatch(eq("t_kline_1d"), anyList());
|
||||
verify(indicatorService).updateIncremental("1d", 7);
|
||||
verify(syncLogMapper, org.mockito.Mockito.atLeastOnce()).insert(any(MarketDataSyncLog.class));
|
||||
}
|
||||
|
||||
private static final class FakeQuotationClient extends CnQuotationClient {
|
||||
|
||||
private FakeQuotationClient(MarketDataProperties properties) {
|
||||
super(properties);
|
||||
}
|
||||
|
||||
@Override
|
||||
public List<CnQuotationModels.GoodsItem> listMainContracts() {
|
||||
return List.of();
|
||||
}
|
||||
|
||||
@Override
|
||||
public List<CnQuotationModels.KChartItem> getKChartByDate(
|
||||
String excode, String code, String period, long date, String direction) {
|
||||
return List.of(new CnQuotationModels.KChartItem(
|
||||
null, "100.00", "101.00", "99.00", "100.50",
|
||||
"10", "1000", date + 1, "20", null));
|
||||
}
|
||||
}
|
||||
}
|
||||
@ -14,7 +14,7 @@ CREATE TABLE IF NOT EXISTS t_instrument_dictionary (
|
||||
|
||||
CREATE TABLE IF NOT EXISTS t_kline_1m (
|
||||
instrument_id SMALLINT NOT NULL,
|
||||
timestamp INT NOT NULL,
|
||||
k_time INT NOT NULL,
|
||||
open INT NOT NULL,
|
||||
high INT NOT NULL,
|
||||
low INT NOT NULL,
|
||||
@ -22,11 +22,11 @@ CREATE TABLE IF NOT EXISTS t_kline_1m (
|
||||
volume INT NOT NULL DEFAULT 0,
|
||||
turnover BIGINT NOT NULL DEFAULT 0,
|
||||
open_interest INT NOT NULL DEFAULT 0,
|
||||
PRIMARY KEY (instrument_id, timestamp)
|
||||
PRIMARY KEY (instrument_id, k_time)
|
||||
);
|
||||
CREATE TABLE IF NOT EXISTS t_kline_5m (
|
||||
instrument_id SMALLINT NOT NULL,
|
||||
timestamp INT NOT NULL,
|
||||
k_time INT NOT NULL,
|
||||
open INT NOT NULL,
|
||||
high INT NOT NULL,
|
||||
low INT NOT NULL,
|
||||
@ -34,11 +34,11 @@ CREATE TABLE IF NOT EXISTS t_kline_5m (
|
||||
volume INT NOT NULL DEFAULT 0,
|
||||
turnover BIGINT NOT NULL DEFAULT 0,
|
||||
open_interest INT NOT NULL DEFAULT 0,
|
||||
PRIMARY KEY (instrument_id, timestamp)
|
||||
PRIMARY KEY (instrument_id, k_time)
|
||||
);
|
||||
CREATE TABLE IF NOT EXISTS t_kline_15m (
|
||||
instrument_id SMALLINT NOT NULL,
|
||||
timestamp INT NOT NULL,
|
||||
k_time INT NOT NULL,
|
||||
open INT NOT NULL,
|
||||
high INT NOT NULL,
|
||||
low INT NOT NULL,
|
||||
@ -46,11 +46,11 @@ CREATE TABLE IF NOT EXISTS t_kline_15m (
|
||||
volume INT NOT NULL DEFAULT 0,
|
||||
turnover BIGINT NOT NULL DEFAULT 0,
|
||||
open_interest INT NOT NULL DEFAULT 0,
|
||||
PRIMARY KEY (instrument_id, timestamp)
|
||||
PRIMARY KEY (instrument_id, k_time)
|
||||
);
|
||||
CREATE TABLE IF NOT EXISTS t_kline_30m (
|
||||
instrument_id SMALLINT NOT NULL,
|
||||
timestamp INT NOT NULL,
|
||||
k_time INT NOT NULL,
|
||||
open INT NOT NULL,
|
||||
high INT NOT NULL,
|
||||
low INT NOT NULL,
|
||||
@ -58,11 +58,11 @@ CREATE TABLE IF NOT EXISTS t_kline_30m (
|
||||
volume INT NOT NULL DEFAULT 0,
|
||||
turnover BIGINT NOT NULL DEFAULT 0,
|
||||
open_interest INT NOT NULL DEFAULT 0,
|
||||
PRIMARY KEY (instrument_id, timestamp)
|
||||
PRIMARY KEY (instrument_id, k_time)
|
||||
);
|
||||
CREATE TABLE IF NOT EXISTS t_kline_1h (
|
||||
instrument_id SMALLINT NOT NULL,
|
||||
timestamp INT NOT NULL,
|
||||
k_time INT NOT NULL,
|
||||
open INT NOT NULL,
|
||||
high INT NOT NULL,
|
||||
low INT NOT NULL,
|
||||
@ -70,11 +70,11 @@ CREATE TABLE IF NOT EXISTS t_kline_1h (
|
||||
volume INT NOT NULL DEFAULT 0,
|
||||
turnover BIGINT NOT NULL DEFAULT 0,
|
||||
open_interest INT NOT NULL DEFAULT 0,
|
||||
PRIMARY KEY (instrument_id, timestamp)
|
||||
PRIMARY KEY (instrument_id, k_time)
|
||||
);
|
||||
CREATE TABLE IF NOT EXISTS t_kline_4h (
|
||||
instrument_id SMALLINT NOT NULL,
|
||||
timestamp INT NOT NULL,
|
||||
k_time INT NOT NULL,
|
||||
open INT NOT NULL,
|
||||
high INT NOT NULL,
|
||||
low INT NOT NULL,
|
||||
@ -82,11 +82,11 @@ CREATE TABLE IF NOT EXISTS t_kline_4h (
|
||||
volume INT NOT NULL DEFAULT 0,
|
||||
turnover BIGINT NOT NULL DEFAULT 0,
|
||||
open_interest INT NOT NULL DEFAULT 0,
|
||||
PRIMARY KEY (instrument_id, timestamp)
|
||||
PRIMARY KEY (instrument_id, k_time)
|
||||
);
|
||||
CREATE TABLE IF NOT EXISTS t_kline_1d (
|
||||
instrument_id SMALLINT NOT NULL,
|
||||
timestamp INT NOT NULL,
|
||||
k_time INT NOT NULL,
|
||||
open INT NOT NULL,
|
||||
high INT NOT NULL,
|
||||
low INT NOT NULL,
|
||||
@ -94,11 +94,11 @@ CREATE TABLE IF NOT EXISTS t_kline_1d (
|
||||
volume INT NOT NULL DEFAULT 0,
|
||||
turnover BIGINT NOT NULL DEFAULT 0,
|
||||
open_interest INT NOT NULL DEFAULT 0,
|
||||
PRIMARY KEY (instrument_id, timestamp)
|
||||
PRIMARY KEY (instrument_id, k_time)
|
||||
);
|
||||
CREATE TABLE IF NOT EXISTS t_kline_1w (
|
||||
instrument_id SMALLINT NOT NULL,
|
||||
timestamp INT NOT NULL,
|
||||
k_time INT NOT NULL,
|
||||
open INT NOT NULL,
|
||||
high INT NOT NULL,
|
||||
low INT NOT NULL,
|
||||
@ -106,9 +106,41 @@ CREATE TABLE IF NOT EXISTS t_kline_1w (
|
||||
volume INT NOT NULL DEFAULT 0,
|
||||
turnover BIGINT NOT NULL DEFAULT 0,
|
||||
open_interest INT NOT NULL DEFAULT 0,
|
||||
PRIMARY KEY (instrument_id, timestamp)
|
||||
PRIMARY KEY (instrument_id, k_time)
|
||||
);
|
||||
|
||||
CREATE TABLE IF NOT EXISTS t_indicator_1m (
|
||||
instrument_id SMALLINT NOT NULL,
|
||||
k_time INT NOT NULL,
|
||||
ma5 DECIMAL(18,6),
|
||||
ma10 DECIMAL(18,6),
|
||||
ma20 DECIMAL(18,6),
|
||||
ma60 DECIMAL(18,6),
|
||||
boll_mb DECIMAL(18,6),
|
||||
boll_up DECIMAL(18,6),
|
||||
boll_dn DECIMAL(18,6),
|
||||
ema6 DECIMAL(18,6),
|
||||
ema12 DECIMAL(18,6),
|
||||
ema20 DECIMAL(18,6),
|
||||
macd_dif DECIMAL(18,6),
|
||||
macd_dea DECIMAL(18,6),
|
||||
macd_bar DECIMAL(18,6),
|
||||
rsi6 DECIMAL(10,4),
|
||||
rsi12 DECIMAL(10,4),
|
||||
kdj_k DECIMAL(10,4),
|
||||
kdj_d DECIMAL(10,4),
|
||||
kdj_j DECIMAL(10,4),
|
||||
create_at INT,
|
||||
PRIMARY KEY (instrument_id, k_time)
|
||||
);
|
||||
CREATE TABLE IF NOT EXISTS t_indicator_5m AS SELECT * FROM t_indicator_1m WHERE 1 = 0;
|
||||
CREATE TABLE IF NOT EXISTS t_indicator_15m AS SELECT * FROM t_indicator_1m WHERE 1 = 0;
|
||||
CREATE TABLE IF NOT EXISTS t_indicator_30m AS SELECT * FROM t_indicator_1m WHERE 1 = 0;
|
||||
CREATE TABLE IF NOT EXISTS t_indicator_1h AS SELECT * FROM t_indicator_1m WHERE 1 = 0;
|
||||
CREATE TABLE IF NOT EXISTS t_indicator_4h AS SELECT * FROM t_indicator_1m WHERE 1 = 0;
|
||||
CREATE TABLE IF NOT EXISTS t_indicator_1d AS SELECT * FROM t_indicator_1m WHERE 1 = 0;
|
||||
CREATE TABLE IF NOT EXISTS t_indicator_1w AS SELECT * FROM t_indicator_1m WHERE 1 = 0;
|
||||
|
||||
CREATE TABLE IF NOT EXISTS t_market_data_sync_log (
|
||||
id BIGINT AUTO_INCREMENT PRIMARY KEY,
|
||||
sync_type VARCHAR(32) NOT NULL,
|
||||
|
||||
Loading…
Reference in New Issue
Block a user