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Add volume moving averages to platform runtime

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This commit is contained in:
boris
2026-04-22 00:45:55 -07:00
parent 6d3017ca56
commit f809399f8e
2 changed files with 74 additions and 0 deletions
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30
crates/fidc-core/src/data.rs
View File

@@ -311,10 +311,12 @@ struct SymbolPriceSeries {
closes: Vec<f64>,
prev_closes: Vec<f64>,
last_prices: Vec<f64>,
volumes: Vec<f64>,
open_prefix: Vec<f64>,
close_prefix: Vec<f64>,
prev_close_prefix: Vec<f64>,
last_prefix: Vec<f64>,
volume_prefix: Vec<f64>,
}
impl SymbolPriceSeries {
@@ -327,10 +329,12 @@ impl SymbolPriceSeries {
let closes = sorted.iter().map(|row| row.close).collect::<Vec<_>>();
let prev_closes = sorted.iter().map(|row| row.prev_close).collect::<Vec<_>>();
let last_prices = sorted.iter().map(|row| row.last_price).collect::<Vec<_>>();
let volumes = sorted.iter().map(|row| row.volume as f64).collect::<Vec<_>>();
let open_prefix = prefix_sums(&opens);
let close_prefix = prefix_sums(&closes);
let prev_close_prefix = prefix_sums(&prev_closes);
let last_prefix = prefix_sums(&last_prices);
let volume_prefix = prefix_sums(&volumes);
Self {
dates,
@@ -338,10 +342,12 @@ impl SymbolPriceSeries {
closes,
prev_closes,
last_prices,
volumes,
open_prefix,
close_prefix,
prev_close_prefix,
last_prefix,
volume_prefix,
}
}
@@ -396,6 +402,19 @@ impl SymbolPriceSeries {
Some(sum / lookback as f64)
}
fn decision_volume_moving_average(&self, date: NaiveDate, lookback: usize) -> Option<f64> {
if lookback == 0 {
return None;
}
let end = self.decision_end_index(date)?;
if end < lookback {
return None;
}
let start = end - lookback;
let sum = self.volume_prefix[end] - self.volume_prefix[start];
Some(sum / lookback as f64)
}
fn end_index(&self, date: NaiveDate) -> Option<usize> {
match self.dates.binary_search(&date) {
Ok(idx) => Some(idx + 1),
@@ -797,6 +816,17 @@ impl DataSet {
.and_then(|series| series.decision_close_moving_average(date, lookback))
}
pub fn market_decision_volume_moving_average(
&self,
date: NaiveDate,
symbol: &str,
lookback: usize,
) -> Option<f64> {
self.market_series_by_symbol
.get(symbol)
.and_then(|series| series.decision_volume_moving_average(date, lookback))
}
pub fn market_moving_average(
&self,
date: NaiveDate,

44
crates/fidc-core/src/platform_expr_strategy.rs
View File

@@ -173,6 +173,10 @@ struct StockExpressionState {
stock_ma10: f64,
stock_ma20: f64,
stock_ma30: f64,
stock_volume_ma5: f64,
stock_volume_ma10: f64,
stock_volume_ma20: f64,
stock_volume_ma60: f64,
extra_factors: BTreeMap<String, f64>,
}
@@ -772,6 +776,22 @@ impl PlatformExprStrategy {
.data
.market_decision_close_moving_average(date, symbol, 30)
.unwrap_or(stock_ma20);
let stock_volume_ma5 = ctx
.data
.market_decision_volume_moving_average(date, symbol, 5)
.unwrap_or(market.volume as f64);
let stock_volume_ma10 = ctx
.data
.market_decision_volume_moving_average(date, symbol, 10)
.unwrap_or(stock_volume_ma5);
let stock_volume_ma20 = ctx
.data
.market_decision_volume_moving_average(date, symbol, 20)
.unwrap_or(stock_volume_ma10);
let stock_volume_ma60 = ctx
.data
.market_decision_volume_moving_average(date, symbol, 60)
.unwrap_or(stock_volume_ma20);
Ok(StockExpressionState {
symbol: symbol.to_string(),
@@ -807,6 +827,10 @@ impl PlatformExprStrategy {
stock_ma10,
stock_ma20,
stock_ma30,
stock_volume_ma5,
stock_volume_ma10,
stock_volume_ma20,
stock_volume_ma60,
extra_factors: factor.extra_factors.clone(),
})
}
@@ -920,6 +944,14 @@ impl PlatformExprStrategy {
scope.push("ma10", stock.stock_ma10);
scope.push("ma20", stock.stock_ma20);
scope.push("ma30", stock.stock_ma30);
scope.push("stock_volume_ma5", stock.stock_volume_ma5);
scope.push("stock_volume_ma10", stock.stock_volume_ma10);
scope.push("stock_volume_ma20", stock.stock_volume_ma20);
scope.push("stock_volume_ma60", stock.stock_volume_ma60);
scope.push("volume_ma5", stock.stock_volume_ma5);
scope.push("volume_ma10", stock.stock_volume_ma10);
scope.push("volume_ma20", stock.stock_volume_ma20);
scope.push("volume_ma60", stock.stock_volume_ma60);
let mut factors = Map::new();
factors.insert("symbol".into(), Dynamic::from(stock.symbol.clone()));
factors.insert("market_cap".into(), Dynamic::from(stock.market_cap));
@@ -960,6 +992,14 @@ impl PlatformExprStrategy {
factors.insert("ma10".into(), Dynamic::from(stock.stock_ma10));
factors.insert("ma20".into(), Dynamic::from(stock.stock_ma20));
factors.insert("ma30".into(), Dynamic::from(stock.stock_ma30));
factors.insert("stock_volume_ma5".into(), Dynamic::from(stock.stock_volume_ma5));
factors.insert("stock_volume_ma10".into(), Dynamic::from(stock.stock_volume_ma10));
factors.insert("stock_volume_ma20".into(), Dynamic::from(stock.stock_volume_ma20));
factors.insert("stock_volume_ma60".into(), Dynamic::from(stock.stock_volume_ma60));
factors.insert("volume_ma5".into(), Dynamic::from(stock.stock_volume_ma5));
factors.insert("volume_ma10".into(), Dynamic::from(stock.stock_volume_ma10));
factors.insert("volume_ma20".into(), Dynamic::from(stock.stock_volume_ma20));
factors.insert("volume_ma60".into(), Dynamic::from(stock.stock_volume_ma60));
for (key, value) in &stock.extra_factors {
factors.insert(key.clone().into(), Dynamic::from(*value));
}
@@ -1288,6 +1328,10 @@ impl PlatformExprStrategy {
"ma5" => Some(stock.stock_ma5),
"ma10" => Some(stock.stock_ma10),
"ma20" => Some(stock.stock_ma20),
"stock_volume_ma5" | "volume_ma5" => Some(stock.stock_volume_ma5),
"stock_volume_ma10" | "volume_ma10" => Some(stock.stock_volume_ma10),
"stock_volume_ma20" | "volume_ma20" => Some(stock.stock_volume_ma20),
"stock_volume_ma60" | "volume_ma60" => Some(stock.stock_volume_ma60),
"allow_buy" => Some(if stock.allow_buy { 1.0 } else { 0.0 }),
"allow_sell" => Some(if stock.allow_sell { 1.0 } else { 0.0 }),
"paused" => Some(if stock.paused { 1.0 } else { 0.0 }),