crypto_quant/core/statistics.py

from core.db_manager import query_data_by_symbol_bar
from pandas import DataFrame
import logging
import os
import re
import pandas as pd

logging.basicConfig(
    level=logging.INFO, format="%(asctime)s - %(levelname)s - %(message)s"
)


class Statistics:
    def __init__(self, output_folder: str = "./output"):
        self.output_folder = output_folder
        os.makedirs(self.output_folder, exist_ok=True)

    def detect_volume_spike(
        self,
        data: DataFrame,
        threshold: float = 2.0,
        window: int = 50,
        check_price: bool = False,
        only_output_huge_volume: bool = False,
        output_excel: bool = False,
    ):
        """
        detect_volume_spike的函数逻辑：
        1. 根据window滑动行情数据
        2. 每一个window的最新的volume是否高于该window的volume的均值+2倍标准差，如果满足条件，则增加一列：huge_volume，值为1
        3. 如果check_price为True，则检查:
        a. 每一个window的close是否处于该window的80%分位数及以上
        b. 每一个window的close是否处于该window的20%分位数及以上

        Args:
            data: 包含成交量数据的DataFrame
            threshold: 标准差倍数，默认为2.0（即成交量超过均值+2倍标准差）
            window: 计算移动窗口的大小，默认50个周期
            check_price: 是否检查价格处于windows内的80%分位数以上，或20%分位数以下，默认False
        Returns:
            DataFrame: 包含异常检测结果的DataFrame
        """
        if data is None or len(data) == 0:
            logging.warning("数据为空，无法进行成交量异常检测")
            return None

        if "volume" not in data.columns:
            logging.error("数据中缺少volume列")
            return None

        # 按时间戳排序
        data = data.sort_values(by="timestamp", ascending=True).copy()

        # 计算移动窗口的成交量均值和标准差
        data["volume_ma"] = data["volume"].rolling(window=window, min_periods=1).mean()
        data["volume_std"] = data["volume"].rolling(window=window, min_periods=1).std()

        # 计算成交量阈值（均值 + threshold倍标准差）
        data["volume_threshold"] = data["volume_ma"] + threshold * data["volume_std"]

        # 判断当前成交量是否超过阈值
        data["huge_volume"] = (data["volume"] > data["volume_threshold"]).astype(int)

        # 计算成交量比率
        data["volume_ratio"] = data["volume"] / data["volume_ma"]

        # 计算异常强度
        data["spike_intensity"] = data["volume_ratio"] - 1

        # 如果check_price为True，检查价格分位数
        if check_price:
            if "close" not in data.columns:
                logging.error("数据中缺少close列，无法进行价格检查")
                return data

            # 计算移动窗口的收盘价分位数
            data["close_80_percentile"] = (
                data["close"].rolling(window=window, min_periods=1).quantile(0.8)
            )
            data["close_20_percentile"] = (
                data["close"].rolling(window=window, min_periods=1).quantile(0.2)
            )

            # 检查收盘价是否在80%分位数及以上或20%分位数及以下
            data["price_high"] = (data["close"] >= data["close_80_percentile"]).astype(
                int
            )
            data["price_low"] = (data["close"] <= data["close_20_percentile"]).astype(
                int
            )

            # 综合判断：成交量异常且价格处于极端位置
            data["volume_price_spike"] = (
                (data["huge_volume"] == 1)
                & ((data["price_high"] == 1) | (data["price_low"] == 1))
            ).astype(int)
        
        if only_output_huge_volume:
            data = data[data["huge_volume"] == 1]

        if output_excel:
            # 检查数据是否为空
            if len(data) == 0:
                logging.warning("数据为空，无法导出Excel文件")
                return data
                
            start_date = data["date_time"].iloc[0]
            end_date = data["date_time"].iloc[-1]
            # remove punctuation from start_date and end_date
            start_date = re.sub(r"[\:\-\s]", "", str(start_date))
            end_date = re.sub(r"[\:\-\s]", "", str(end_date))
            symbol = data["symbol"].iloc[0]
            bar = data["bar"].iloc[0]
            file_name = f"volume_spike_{symbol}_{bar}_{start_date}_{end_date}.xlsx"
            with pd.ExcelWriter(os.path.join(self.output_folder, file_name)) as writer:
                data.to_excel(writer, sheet_name="volume_spike", index=False)

        return data