refactor(dotnet): normalize factor input dates

2026-07-13 00:20:46 +09:00
parent 29929d76d3
commit 6475ecd3b0
2 changed files with 39 additions and 2 deletions
@@ -26,8 +26,8 @@ namespace QuantEngine.Core.Domain
                return new FactorOutputs(0, 0, 0, 0, 0, 1.0, 0);
            }

-            var sortedStock = stockBars.OrderBy(b => b.TradeDate).ToList();
-            var sortedIndex = indexBars?.OrderBy(b => b.TradeDate).ToList() ?? new List<PriceHistoryDailyRecord>();
+            var sortedStock = NormalizeBars(stockBars);
+            var sortedIndex = NormalizeBars(indexBars);
            return new FactorOutputs(
                CalculateMomentum(sortedStock, 20),
                CalculateMomentum(sortedStock, 60),
@@ -38,6 +38,20 @@ namespace QuantEngine.Core.Domain
                CalculateRs20D(sortedStock, sortedIndex));
        }

+        private static List<PriceHistoryDailyRecord> NormalizeBars(List<PriceHistoryDailyRecord>? bars)
+        {
+            if (bars == null || bars.Count == 0)
+            {
+                return new List<PriceHistoryDailyRecord>();
+            }
+
+            return bars
+                .OrderBy(b => b.TradeDate)
+                .GroupBy(b => b.TradeDate)
+                .Select(g => g.Last())
+                .ToList();
+        }
+
        private static double CalculateMomentum(List<PriceHistoryDailyRecord> bars, int period)
        {
            if (bars.Count <= period) return 0.0;