# -*- coding: utf-8 -*-
"""
author: zengbin93
email: zeng_bin8888@163.com
create_dt: 2021/3/10 11:21
describe: 缠论分型、笔的识别
"""
import os
import webbrowser
import numpy as np
from loguru import logger
from typing import List, Callable
from collections import OrderedDict
from czsc.enum import Mark, Direction
from czsc.objects import BI, FX, RawBar, NewBar
from czsc.utils.echarts_plot import kline_pro
from czsc import envs
logger.disable('czsc.analyze')
[docs]def remove_include(k1: NewBar, k2: NewBar, k3: RawBar):
"""去除包含关系：输入三根k线，其中k1和k2为没有包含关系的K线，k3为原始K线"""
if k1.high < k2.high:
direction = Direction.Up
elif k1.high > k2.high:
direction = Direction.Down
else:
k4 = NewBar(symbol=k3.symbol, id=k3.id, freq=k3.freq, dt=k3.dt, open=k3.open,
close=k3.close, high=k3.high, low=k3.low, vol=k3.vol, amount=k3.amount, elements=[k3])
return False, k4
# 判断 k2 和 k3 之间是否存在包含关系，有则处理
if (k2.high <= k3.high and k2.low >= k3.low) or (k2.high >= k3.high and k2.low <= k3.low):
if direction == Direction.Up:
high = max(k2.high, k3.high)
low = max(k2.low, k3.low)
dt = k2.dt if k2.high > k3.high else k3.dt
elif direction == Direction.Down:
high = min(k2.high, k3.high)
low = min(k2.low, k3.low)
dt = k2.dt if k2.low < k3.low else k3.dt
else:
raise ValueError
open_, close = (high, low) if k3.open > k3.close else (low, high)
vol = k2.vol + k3.vol
amount = k2.amount + k3.amount
# 这里有一个隐藏Bug，len(k2.elements) 在一些及其特殊的场景下会有超大的数量，具体问题还没找到；
# 临时解决方案是直接限定len(k2.elements)<=100
elements = [x for x in k2.elements[:100] if x.dt != k3.dt] + [k3]
k4 = NewBar(symbol=k3.symbol, id=k2.id, freq=k2.freq, dt=dt, open=open_,
close=close, high=high, low=low, vol=vol, amount=amount, elements=elements)
return True, k4
else:
k4 = NewBar(symbol=k3.symbol, id=k3.id, freq=k3.freq, dt=k3.dt, open=k3.open,
close=k3.close, high=k3.high, low=k3.low, vol=k3.vol, amount=k3.amount, elements=[k3])
return False, k4
[docs]def check_fx(k1: NewBar, k2: NewBar, k3: NewBar):
"""查找分型"""
fx = None
if k1.high < k2.high > k3.high and k1.low < k2.low > k3.low:
fx = FX(symbol=k1.symbol, dt=k2.dt, mark=Mark.G, high=k2.high,
low=k2.low, fx=k2.high, elements=[k1, k2, k3])
if k1.low > k2.low < k3.low and k1.high > k2.high < k3.high:
fx = FX(symbol=k1.symbol, dt=k2.dt, mark=Mark.D, high=k2.high,
low=k2.low, fx=k2.low, elements=[k1, k2, k3])
return fx
[docs]def check_fxs(bars: List[NewBar]) -> List[FX]:
"""输入一串无包含关系K线，查找其中所有分型"""
fxs = []
for i in range(1, len(bars)-1):
fx = check_fx(bars[i-1], bars[i], bars[i+1])
if isinstance(fx, FX):
# 默认情况下，fxs本身是顶底交替的，但是对于一些特殊情况下不是这样; 临时强制要求fxs序列顶底交替
if len(fxs) >= 2 and fx.mark == fxs[-1].mark:
logger.error(f"check_fxs错误: {bars[i].dt}，{fx.mark}，{fxs[-1].mark}")
else:
fxs.append(fx)
return fxs
[docs]def check_bi(bars: List[NewBar], benchmark=None):
"""输入一串无包含关系K线，查找其中的一笔
:param bars: 无包含关系K线列表
:param benchmark: 当下笔能量的比较基准
:return:
"""
min_bi_len = envs.get_min_bi_len()
fxs = check_fxs(bars)
if len(fxs) < 2:
return None, bars
fx_a = fxs[0]
try:
if fxs[0].mark == Mark.D:
direction = Direction.Up
fxs_b = [x for x in fxs if x.mark == Mark.G and x.dt > fx_a.dt and x.fx > fx_a.fx]
if not fxs_b:
return None, bars
fx_b = fxs_b[0]
for fx in fxs_b[1:]:
if fx.high >= fx_b.high:
fx_b = fx
elif fxs[0].mark == Mark.G:
direction = Direction.Down
fxs_b = [x for x in fxs if x.mark == Mark.D and x.dt > fx_a.dt and x.fx < fx_a.fx]
if not fxs_b:
return None, bars
fx_b = fxs_b[0]
for fx in fxs_b[1:]:
if fx.low <= fx_b.low:
fx_b = fx
else:
raise ValueError
except Exception as e:
logger.exception(f"笔识别错误: {e}")
return None, bars
bars_a = [x for x in bars if fx_a.elements[0].dt <= x.dt <= fx_b.elements[2].dt]
bars_b = [x for x in bars if x.dt >= fx_b.elements[0].dt]
# 判断fx_a和fx_b价格区间是否存在包含关系
ab_include = (fx_a.high > fx_b.high and fx_a.low < fx_b.low) or (fx_a.high < fx_b.high and fx_a.low > fx_b.low)
# 判断当前笔的涨跌幅是否超过benchmark的一定比例
if benchmark and abs(fx_a.fx - fx_b.fx) > benchmark * envs.get_bi_change_th():
power_enough = True
else:
power_enough = False
# 成笔的条件：1）顶底分型之间没有包含关系；2）笔长度大于等于min_bi_len 或 当前笔的涨跌幅已经够大
if (not ab_include) and (len(bars_a) >= min_bi_len or power_enough):
fxs_ = [x for x in fxs if fx_a.elements[0].dt <= x.dt <= fx_b.elements[2].dt]
bi = BI(symbol=fx_a.symbol, fx_a=fx_a, fx_b=fx_b, fxs=fxs_, direction=direction, bars=bars_a)
return bi, bars_b
else:
return None, bars
[docs]class CZSC:
def __init__(self,
bars: List[RawBar],
get_signals = None,
max_bi_num=envs.get_max_bi_num(),
):
"""
:param bars: K线数据
:param max_bi_num: 最大允许保留的笔数量
:param get_signals: 自定义的信号计算函数
"""
self.verbose = envs.get_verbose()
self.max_bi_num = max_bi_num
self.bars_raw: List[RawBar] = [] # 原始K线序列
self.bars_ubi: List[NewBar] = [] # 未完成笔的无包含K线序列
self.bi_list: List[BI] = []
self.symbol = bars[0].symbol
self.freq = bars[0].freq
self.get_signals = get_signals
self.signals = None
# cache 是信号计算过程的缓存容器，需要信号计算函数自行维护
self.cache = OrderedDict()
for bar in bars:
self.update(bar)
def __repr__(self):
return "<CZSC~{}~{}>".format(self.symbol, self.freq.value)
def __update_bi(self):
bars_ubi = self.bars_ubi
if len(bars_ubi) < 3:
return
# 查找笔
if not self.bi_list:
# 第一笔的查找
fxs = check_fxs(bars_ubi)
if not fxs:
return
fx_a = fxs[0]
fxs_a = [x for x in fxs if x.mark == fx_a.mark]
for fx in fxs_a:
if (fx_a.mark == Mark.D and fx.low <= fx_a.low) \
or (fx_a.mark == Mark.G and fx.high >= fx_a.high):
fx_a = fx
bars_ubi = [x for x in bars_ubi if x.dt >= fx_a.elements[0].dt]
bi, bars_ubi_ = check_bi(bars_ubi)
if isinstance(bi, BI):
self.bi_list.append(bi)
self.bars_ubi = bars_ubi_
return
if self.verbose and len(bars_ubi) > 100:
logger.info(f"{self.symbol} - {self.freq} - {bars_ubi[-1].dt} 未完成笔延伸数量: {len(bars_ubi)}")
if envs.get_bi_change_th() > 0.5 and len(self.bi_list) >= 5:
price_seq = [x.power_price for x in self.bi_list[-5:]]
benchmark = min(self.bi_list[-1].power_price, sum(price_seq) / len(price_seq))
else:
benchmark = None
bi, bars_ubi_ = check_bi(bars_ubi, benchmark)
self.bars_ubi = bars_ubi_
if isinstance(bi, BI):
self.bi_list.append(bi)
# 后处理：如果当前笔被破坏，将当前笔的bars与bars_ubi进行合并，并丢弃
last_bi = self.bi_list[-1]
bars_ubi = self.bars_ubi
if (last_bi.direction == Direction.Up and bars_ubi[-1].high > last_bi.high) \
or (last_bi.direction == Direction.Down and bars_ubi[-1].low < last_bi.low):
# 当前笔被破坏，将当前笔的bars与bars_ubi进行合并，并丢弃，这里容易出错，多一根K线就可能导致错误
# 必须是 -2，因为最后一根无包含K线有可能是未完成的
self.bars_ubi = last_bi.bars[:-2] + [x for x in bars_ubi if x.dt >= last_bi.bars[-2].dt]
self.bi_list.pop(-1)
[docs] def update(self, bar: RawBar):
"""更新分析结果
:param bar: 单根K线对象
"""
# 更新K线序列
if not self.bars_raw or bar.dt != self.bars_raw[-1].dt:
self.bars_raw.append(bar)
last_bars = [bar]
else:
# 当前 bar 是上一根 bar 的时间延伸
self.bars_raw[-1] = bar
last_bars = self.bars_ubi.pop(-1).raw_bars
assert bar.dt == last_bars[-1].dt
last_bars[-1] = bar
# 去除包含关系
bars_ubi = self.bars_ubi
for bar in last_bars:
if len(bars_ubi) < 2:
bars_ubi.append(NewBar(symbol=bar.symbol, id=bar.id, freq=bar.freq, dt=bar.dt,
open=bar.open, close=bar.close, amount=bar.amount,
high=bar.high, low=bar.low, vol=bar.vol, elements=[bar]))
else:
k1, k2 = bars_ubi[-2:]
has_include, k3 = remove_include(k1, k2, bar)
if has_include:
bars_ubi[-1] = k3
else:
bars_ubi.append(k3)
self.bars_ubi = bars_ubi
# 更新笔
self.__update_bi()
# 根据最大笔数量限制完成 bi_list, bars_raw 序列的数量控制
self.bi_list = self.bi_list[-self.max_bi_num:]
if self.bi_list:
sdt = self.bi_list[0].fx_a.elements[0].dt
s_index = 0
for i, bar in enumerate(self.bars_raw):
if bar.dt >= sdt:
s_index = i
break
self.bars_raw = self.bars_raw[s_index:]
# 如果有信号计算函数，则进行信号计算
if self.get_signals:
self.signals = self.get_signals(c=self)
else:
self.signals = OrderedDict()
[docs] def to_echarts(self, width: str = "1400px", height: str = '580px', bs=[]):
"""绘制K线分析图
:param width: 宽
:param height: 高
:param bs: 交易标记，默认为空
:return:
"""
kline = [x.__dict__ for x in self.bars_raw]
if len(self.bi_list) > 0:
bi = [{'dt': x.fx_a.dt, "bi": x.fx_a.fx} for x in self.bi_list] + \
[{'dt': self.bi_list[-1].fx_b.dt, "bi": self.bi_list[-1].fx_b.fx}]
fx = [{'dt': x.dt, "fx": x.fx} for x in self.fx_list]
else:
bi = []
fx = []
chart = kline_pro(kline, bi=bi, fx=fx, width=width, height=height, bs=bs,
title="{}-{}".format(self.symbol, self.freq.value))
return chart
[docs] def to_plotly(self):
"""使用 plotly 绘制K线分析图"""
import pandas as pd
from czsc.utils.plotly_plot import KlineChart
bi_list = self.bi_list
df = pd.DataFrame(self.bars_raw)
kline = KlineChart(n_rows=3, title="{}-{}".format(self.symbol, self.freq.value))
kline.add_kline(df, name="")
kline.add_sma(df, ma_seq=(5, 10, 21), row=1, visible=True, line_width=1.2)
kline.add_sma(df, ma_seq=(34, 55, 89, 144), row=1, visible=False, line_width=1.2)
kline.add_vol(df, row=2)
kline.add_macd(df, row=3)
if len(bi_list) > 0:
bi1 = [{'dt': x.fx_a.dt, "bi": x.fx_a.fx, "text": x.fx_a.mark.value} for x in bi_list]
bi2 = [{'dt': bi_list[-1].fx_b.dt, "bi": bi_list[-1].fx_b.fx, "text": bi_list[-1].fx_b.mark.value[0]}]
bi = pd.DataFrame(bi1 + bi2)
fx = pd.DataFrame([{'dt': x.dt, "fx": x.fx} for x in self.fx_list])
kline.add_scatter_indicator(fx['dt'], fx['fx'], name="分型", row=1, line_width=2)
kline.add_scatter_indicator(bi['dt'], bi['bi'], name="笔", text=bi['text'], row=1, line_width=2)
return kline.fig
[docs] def open_in_browser(self, width: str = "1400px", height: str = '580px'):
"""直接在浏览器中打开分析结果
:param width: 图表宽度
:param height: 图表高度
:return:
"""
home_path = os.path.expanduser("~")
file_html = os.path.join(home_path, "temp_czsc.html")
chart = self.to_echarts(width, height)
chart.render(file_html)
webbrowser.open(file_html)
@property
def last_bi_extend(self):
"""判断最后一笔是否在延伸中，True 表示延伸中"""
if self.bi_list[-1].direction == Direction.Up \
and max([x.high for x in self.bars_ubi]) > self.bi_list[-1].high:
return True
if self.bi_list[-1].direction == Direction.Down \
and min([x.low for x in self.bars_ubi]) < self.bi_list[-1].low:
return True
return False
@property
def finished_bis(self) -> List[BI]:
"""已完成的笔"""
if not self.bi_list:
return []
if len(self.bars_ubi) < 5:
return self.bi_list[:-1]
return self.bi_list
@property
def ubi_fxs(self) -> List[FX]:
"""bars_ubi 中的分型"""
if not self.bars_ubi:
return []
else:
return check_fxs(self.bars_ubi)
@property
def ubi(self):
"""Unfinished Bi，未完成的笔"""
ubi_fxs = self.ubi_fxs
if not self.bars_ubi or not self.bi_list or not ubi_fxs:
return None
bars_raw = [y for x in self.bars_ubi for y in x.raw_bars]
# 获取最高点和最低点，以及对应的时间
high_bar = max(bars_raw, key=lambda x: x.high)
low_bar = min(bars_raw, key=lambda x: x.low)
direction = Direction.Up if self.bi_list[-1].direction == Direction.Down else Direction.Down
bi = {
"symbol": self.symbol,
"direction": direction,
"high": high_bar.high,
"low": low_bar.low,
"high_bar": high_bar,
"low_bar": low_bar,
"bars": self.bars_ubi,
"raw_bars": bars_raw,
"fxs": ubi_fxs,
"fx_a": ubi_fxs[0],
}
return bi
@property
def fx_list(self) -> List[FX]:
"""分型列表，包括 bars_ubi 中的分型"""
fxs = []
for bi_ in self.bi_list:
fxs.extend(bi_.fxs[1:])
ubi = self.ubi_fxs
for x in ubi:
if not fxs or x.dt > fxs[-1].dt:
fxs.append(x)
return fxs