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@@ -14,6 +14,7 @@ import (
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"sort"
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"strconv"
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"strings"
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+ "sync"
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"time"
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)
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@@ -1632,3 +1633,275 @@ func RemoveCorrelationRelate(chartInfoId int) (err error) {
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}
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return
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}
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+
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+
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+func CalculateCorrelationMatrix(req data_manage.CalculateCorrelationMatrixPars) (resp data_manage.FactorEdbSeriesCorrelationMatrixResp, chartMappings []*data_manage.FactorEdbSeriesChartMapping, err error) {
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+ if req.BaseEdbInfoId <= 0 {
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+ err = fmt.Errorf("请选择标的指标")
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+ return
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+ }
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+ if len(req.SeriesIds) == 0 {
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+ err = fmt.Errorf("请选择因子指标系列")
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+ return
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+ }
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+ if req.Correlation.LeadValue <= 0 {
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+ err = fmt.Errorf("分析周期不允许设置为负数或0")
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+ return
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+ }
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+ if req.Correlation.LeadUnit == "" {
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+ err = fmt.Errorf("请选择分析周期频度")
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+ return
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+ }
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+ leadUnitDays, ok := utils.FrequencyDaysMap[req.Correlation.LeadUnit]
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+ if !ok {
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+ err = fmt.Errorf("错误的分析周期频度: %s", req.Correlation.LeadUnit)
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+ return
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+ }
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+
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+ if req.Correlation.CalculateUnit == "" {
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+ err = fmt.Errorf("请选择计算窗口频度")
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+ return
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+ }
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+ calculateUnitDays, ok := utils.FrequencyDaysMap[req.Correlation.CalculateUnit]
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+ if !ok {
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+ err = fmt.Errorf("计算窗口频度有误: %s", req.Correlation.CalculateUnit)
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+ return
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+ }
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+ leadDays := 2 * req.Correlation.LeadValue * leadUnitDays
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+ calculateDays := req.Correlation.CalculateValue * calculateUnitDays
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+ if calculateDays < leadDays {
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+ err = fmt.Errorf("计算窗口必须≥2*分析周期")
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+ return
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+ }
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+
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+
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+ baseEdb, e := data_manage.GetEdbInfoById(req.BaseEdbInfoId)
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+ if e != nil {
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+ err = fmt.Errorf("获取标的指标失败, %v", e)
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+ return
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+ }
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+ dataListA := make([]*data_manage.EdbDataList, 0)
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+ {
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+
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+ startDate := time.Now().AddDate(0, 0, -calculateDays).Format(utils.FormatDate)
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+ endDate := time.Now().Format(utils.FormatDate)
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+ startDateTime, _ := time.ParseInLocation(utils.FormatDate, startDate, time.Local)
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+ startDate = startDateTime.AddDate(0, 0, 1).Format(utils.FormatDate)
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+ switch baseEdb.EdbInfoType {
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+ case 0:
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+ dataListA, e = data_manage.GetEdbDataList(baseEdb.Source, baseEdb.SubSource, baseEdb.EdbInfoId, startDate, endDate)
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+ case 1:
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+ _, dataListA, _, _, e, _ = data.GetPredictDataListByPredictEdbInfoId(baseEdb.EdbInfoId, startDate, endDate, false)
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+ default:
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+ err = fmt.Errorf("标的指标类型异常: %d", baseEdb.EdbInfoType)
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+ return
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+ }
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+ if e != nil {
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+ err = fmt.Errorf("获取标的指标数据失败, %v", e)
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+ return
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+ }
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+ }
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+
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+
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+ seriesIdItem := make(map[int]*data_manage.FactorEdbSeries)
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+ {
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+ ob := new(data_manage.FactorEdbSeries)
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+ cond := fmt.Sprintf(" AND %s IN (%s)", ob.Cols().PrimaryId, utils.GetOrmInReplace(len(req.SeriesIds)))
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+ pars := make([]interface{}, 0)
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+ pars = append(pars, req.SeriesIds)
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+ items, e := ob.GetItemsByCondition(cond, pars, []string{}, fmt.Sprintf("%s ASC", ob.Cols().PrimaryId))
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+ if e != nil {
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+ err = fmt.Errorf("获取因子指标系列失败, %v", e)
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+ return
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+ }
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+ for _, v := range items {
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+ seriesIdItem[v.FactorEdbSeriesId] = v
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+ }
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+ }
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+
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+
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+ edbMappings := make([]*data_manage.FactorEdbSeriesMapping, 0)
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+ edbInfoIds := make([]int, 0)
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+ {
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+ ob := new(data_manage.FactorEdbSeriesMapping)
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+ cond := fmt.Sprintf(" AND %s IN (%s)", ob.Cols().FactorEdbSeriesId, utils.GetOrmInReplace(len(req.SeriesIds)))
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+ pars := make([]interface{}, 0)
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+ pars = append(pars, req.SeriesIds)
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+ order := fmt.Sprintf("%s ASC, %s ASC", ob.Cols().FactorEdbSeriesId, ob.Cols().EdbInfoId)
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+ items, e := ob.GetItemsByCondition(cond, pars, []string{}, order)
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+ if e != nil {
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+ err = fmt.Errorf("获取系列指标失败, %v", e)
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+ return
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+ }
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+ for _, v := range items {
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+ edbInfoIds = append(edbInfoIds, v.EdbInfoId)
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+ }
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+ edbMappings = items
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+ }
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+ edbIdItem := make(map[int]*data_manage.EdbInfo)
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+ edbItems, e := data_manage.GetEdbInfoByIdList(edbInfoIds)
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+ if e != nil {
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+ err = fmt.Errorf("获取因子指标信息失败, %v", e)
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+ return
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+ }
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+ for _, v := range edbItems {
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+ edbIdItem[v.EdbInfoId] = v
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+ }
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+
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+ calculateDataOb := new(data_manage.FactorEdbSeriesCalculateData)
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+
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+ calculateWorkers := make(chan struct{}, 10)
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+ wg := sync.WaitGroup{}
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+ edbExists := make(map[string]bool)
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+ chartKeyMap := make(map[string]*data_manage.FactorEdbSeriesChartMapping)
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+ for _, v := range edbMappings {
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+ existsKey := fmt.Sprintf("%d-%d", v.FactorEdbSeriesId, v.EdbInfoId)
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+ if edbExists[existsKey] {
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+ continue
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+ }
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+ edbExists[existsKey] = true
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+
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+ edbItem := edbIdItem[v.EdbInfoId]
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+ if edbItem == nil {
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+ continue
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+ }
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+ seriesItem := seriesIdItem[v.FactorEdbSeriesId]
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+ if seriesItem == nil {
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+ continue
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+ }
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+
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+ wg.Add(1)
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+ go func(mapping *data_manage.FactorEdbSeriesMapping, edb *data_manage.EdbInfo, series *data_manage.FactorEdbSeries) {
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+ defer func() {
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+ wg.Done()
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+ <-calculateWorkers
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+ }()
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+ calculateWorkers <- struct{}{}
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+
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+ var item data_manage.FactorEdbSeriesCorrelationMatrixItem
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+ item.SeriesId = series.FactorEdbSeriesId
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+ item.EdbInfoId = edb.EdbInfoId
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+ item.EdbCode = edb.EdbCode
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+ item.EdbName = edb.EdbName
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+
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+
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+ edbList := make([]*data_manage.ChartEdbInfoMapping, 0)
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+ edbList = append(edbList, &data_manage.ChartEdbInfoMapping{
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+ EdbInfoId: edb.EdbInfoId,
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+ EdbInfoCategoryType: edb.EdbInfoType,
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+ EdbType: edb.EdbType,
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+ Source: edb.Source,
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+ SourceName: edb.SourceName,
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+ })
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+ sourceNameList, sourceNameEnList := data.GetEdbSourceByEdbInfoIdList(edbList)
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+ item.SourceName = strings.Join(sourceNameList, ",")
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+ item.SourceNameEn = strings.Join(sourceNameEnList, ",")
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+
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+
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+ dataListB := make([]*data_manage.EdbDataList, 0)
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+ if series.CalculateState == data_manage.FactorEdbSeriesCalculated {
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+ cond := fmt.Sprintf(" AND %s = ? AND %s = ?", calculateDataOb.Cols().FactorEdbSeriesId, calculateDataOb.Cols().EdbInfoId)
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+ pars := make([]interface{}, 0)
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+ pars = append(pars, mapping.FactorEdbSeriesId, mapping.EdbInfoId)
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+ dataItems, e := calculateDataOb.GetItemsByCondition(cond, pars, []string{calculateDataOb.Cols().DataTime, calculateDataOb.Cols().Value}, fmt.Sprintf("%s ASC", calculateDataOb.Cols().DataTime))
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+ if e != nil {
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+ item.Msg = fmt.Sprintf("计算失败")
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+ item.ErrMsg = fmt.Sprintf("获取计算数据失败, err: %v", e)
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+ resp.Fail = append(resp.Fail, item)
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+ return
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+ }
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+ dataListB = data_manage.TransEdbSeriesCalculateData2EdbDataList(dataItems)
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+ } else {
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+ switch edb.EdbInfoType {
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+ case 0:
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+ dataListB, e = data_manage.GetEdbDataList(edb.Source, edb.SubSource, edb.EdbInfoId, "", "")
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+ case 1:
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+ _, dataListB, _, _, e, _ = data.GetPredictDataListByPredictEdbInfoId(edb.EdbInfoId, "", "", false)
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+ default:
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+ item.Msg = fmt.Sprintf("计算失败")
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+ item.ErrMsg = fmt.Sprintf("指标类型异常, edbType: %d", edb.EdbInfoType)
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+ resp.Fail = append(resp.Fail, item)
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+ return
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+ }
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+ }
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+
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+
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+ xEdbIdValue, yDataList, e := CalculateCorrelation(req.Correlation.LeadValue, req.Correlation.LeadUnit, baseEdb.Frequency, edb.Frequency, dataListA, dataListB)
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+ if e != nil {
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+ item.Msg = fmt.Sprintf("计算失败")
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+ item.ErrMsg = fmt.Sprintf("相关性计算失败, err: %v", e)
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+ resp.Fail = append(resp.Fail, item)
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+ return
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+ }
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+
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+
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+ yData := yDataList[0].Value
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+ yLen := len(yData)
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+ values := make([]data_manage.FactorEdbSeriesCorrelationMatrixValues, len(xEdbIdValue))
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+ for k, x := range xEdbIdValue {
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+ var y float64
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+ if k >= 0 && k < yLen {
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+ y = yData[k]
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+ }
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+ y = utils.SubFloatToFloat(y, 2)
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+ values[k] = data_manage.FactorEdbSeriesCorrelationMatrixValues{
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+ XData: x, YData: y,
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+ }
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+ }
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+
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+
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+ newMapping := new(data_manage.FactorEdbSeriesChartMapping)
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+ newMapping.CalculateType = data_manage.FactorEdbSeriesChartCalculateTypeCorrelation
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+
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+
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+ var calculatePars data_manage.FactorEdbSeriesChartCalculateCorrelationReq
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+ calculatePars.BaseEdbInfoId = req.BaseEdbInfoId
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+ calculatePars.LeadValue = req.Correlation.LeadValue
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+ calculatePars.LeadUnit = req.Correlation.LeadUnit
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+ calculatePars.CalculateValue = req.Correlation.CalculateValue
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+ calculatePars.CalculateUnit = req.Correlation.CalculateUnit
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+ bc, e := json.Marshal(calculatePars)
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+ if e != nil {
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+ item.Msg = fmt.Sprintf("计算失败")
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+ item.ErrMsg = fmt.Sprintf("计算参数JSON格式化失败, err: %v", e)
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+ resp.Fail = append(resp.Fail, item)
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+ return
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+ }
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+ newMapping.CalculatePars = string(bc)
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+
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+
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+ bv, e := json.Marshal(values)
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+ if e != nil {
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+ item.Msg = fmt.Sprintf("计算失败")
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+ item.ErrMsg = fmt.Sprintf("计算结果JSON格式化失败, err: %v", e)
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+ resp.Fail = append(resp.Fail, item)
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+ return
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+ }
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+ newMapping.CalculateData = string(bv)
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+ newMapping.FactorEdbSeriesId = mapping.FactorEdbSeriesId
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+ newMapping.EdbInfoId = mapping.EdbInfoId
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+ newMapping.CreateTime = time.Now().Local()
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+ newMapping.ModifyTime = time.Now().Local()
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+ chartKeyMap[existsKey] = newMapping
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+
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+
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+ sort.Sort(data_manage.FactorEdbSeriesCorrelationMatrixOrder(values))
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+ item.Msg = "计算成功"
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+ item.Values = values
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+ resp.Success = append(resp.Success, item)
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+ }(v, edbItem, seriesItem)
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+ }
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+ wg.Wait()
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+
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+
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+ chartMappings = make([]*data_manage.FactorEdbSeriesChartMapping, 0)
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+ for _, v := range edbMappings {
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+ k := fmt.Sprintf("%d-%d", v.FactorEdbSeriesId, v.EdbInfoId)
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+ item := chartKeyMap[k]
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+ if item == nil {
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+ continue
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+ }
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+ chartMappings = append(chartMappings, item)
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+ }
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+ return
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+}
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