因子分享-成交量加权波动率因子
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成交量加权波动因子通过成交量加权的方式，衡量了股票价格的波动幅度，反映了市场参与者对价格变化的敏感程度。
核心特征：
1.成交量加权：赋予高成交量时段更大权重
2.相对波动：基于开盘价计算波动幅度，消除绝对价格影响
其计算公式为：
因子值 = Σ[(当日最高价 - 当日最低价)/开盘价 × 成交量] / Σ[成交量]
核心部分代码如下：
sql = f"""
SELECT
date::DATE::DATETIME AS date,
instrument,
-- 计算成交量加权波动率
SUM((high - low) / open * volume) / SUM(volume) AS factor
FROM {datasource}
GROUP BY date::DATE, instrument
"""
# Data is queried with a 10-day lookback buffer for rolling calculations
lookback_days = 10
query_start_date = pd.to_datetime(start_date) - pd.Timedelta(days=lookback_days)
df = dai.query(sql, filters={'date': [query_start_date, end_date]}).df()
# Final output is filtered to the exact date range requested
df = df[df['date'].between(start_date, end_date)]
return df
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