hikyuu2/hikyuu_pywrap/trade_sys/_MoneyManager.cpp

/*
 * _MoneyManager.cpp
 *
 *  Created on: 2013-3-13
 *      Author: fasiondog
 */

#include <boost/python.hpp>
#include <hikyuu/trade_sys/moneymanager/build_in.h>
#include "../_Parameter.h"
#include "../pickle_support.h"

using namespace boost::python;
using namespace hku;

class MoneyManagerWrap : public MoneyManagerBase, public wrapper<MoneyManagerBase> {
public:
    MoneyManagerWrap() : MoneyManagerBase() {}
    MoneyManagerWrap(const string& name) : MoneyManagerBase(name) {}

    void buyNotify(const TradeRecord& record) {
        if (override buyNotify = this->get_override("buyNotify")) {
            buyNotify(record);
            return;
        }
        MoneyManagerBase::buyNotify(record);
    }

    void default_buyNotify(const TradeRecord& record) {
        MoneyManagerBase::buyNotify(record);
    }

    void sellNotify(const TradeRecord& record) {
        if (override sellNotify = this->get_override("sellNotify")) {
            sellNotify(record);
            return;
        }
        MoneyManagerBase::sellNotify(record);
    }

    void default_sellNotify(const TradeRecord& record) {
        MoneyManagerBase::sellNotify(record);
    }

    double _getSellNumber(const Datetime& datetime, const Stock& stock, price_t price, price_t risk,
                          SystemPart from) {
        if (override _getSellNumber = this->get_override("_getSellNumber")) {
            return _getSellNumber(datetime, stock, price, risk, from);
        }
        return MoneyManagerBase::_getSellNumber(datetime, stock, price, risk, from);
    }

    double default_getSellNumber(const Datetime& datetime, const Stock& stock, price_t price,
                                 price_t risk, SystemPart from) {
        return MoneyManagerBase::_getSellNumber(datetime, stock, price, risk, from);
    }

    double _getBuyNumber(const Datetime& datetime, const Stock& stock, price_t price, price_t risk,
                         SystemPart from) {
        return this->get_override("_getBuyNumber")(datetime, stock, price, risk, from);
    }

    double _getSellShortNumber(const Datetime& datetime, const Stock& stock, price_t price,
                               price_t risk, SystemPart from) {
        if (override _getSellShortNumber = this->get_override("_getSellShortNumber")) {
            return _getSellShortNumber(datetime, stock, price, risk, from);
        }
        return MoneyManagerBase::_getSellShortNumber(datetime, stock, price, risk, from);
    }

    double default_getSellShortNumber(const Datetime& datetime, const Stock& stock, price_t price,
                                      price_t risk, SystemPart from) {
        return MoneyManagerBase::_getSellShortNumber(datetime, stock, price, risk, from);
    }

    double getBuyShortNumber(const Datetime& datetime, const Stock& stock, price_t price,
                             price_t risk, SystemPart from) {
        if (override _getBuyShortNumber = this->get_override("_getBuyShortNumber")) {
            return _getBuyShortNumber(datetime, stock, price, risk, from);
        }
        return MoneyManagerBase::_getBuyShortNumber(datetime, stock, price, risk, from);
    }

    double default_getBuyShortNumber(const Datetime& datetime, const Stock& stock, price_t price,
                                     price_t risk, SystemPart from) {
        return MoneyManagerBase::_getBuyShortNumber(datetime, stock, price, risk, from);
    }

    void _reset() {
        if (override func = get_override("_reset")) {
            func();
        } else {
            MoneyManagerBase::_reset();
        }
    }

    void default_reset() {
        this->MoneyManagerBase::_reset();
    }

    MoneyManagerPtr _clone() {
        return this->get_override("_clone")();
    }
};

string (MoneyManagerBase::*mm_get_name)() const = &MoneyManagerBase::name;
void (MoneyManagerBase::*mm_set_name)(const string&) = &MoneyManagerBase::name;

void export_MoneyManager() {
    class_<MoneyManagerWrap, boost::noncopyable>("MoneyManagerBase", R"(资金管理策略基类

公共参数：

    - auto-checkin=False (bool) : 当账户现金不足以买入资金管理策略指示的买入数量时，自动向账户中补充存入（checkin）足够的现金。
    - max-stock=20000 (int) : 最大持有的证券种类数量（即持有几只股票，而非各个股票的持仓数）
    - disable_ev_force_clean_position=False (bool) : 禁用市场环境失效时强制清仓
    - disable_cn_force_clean_position=False (bool) : 禁用系统有效条件失效时强制清仓

自定义资金管理策略接口：

    - buyNotify : 【可选】接收实际买入通知，预留用于多次增减仓处理
    - sellNotify : 【可选】接收实际卖出通知，预留用于多次增减仓处理
    - _getBuyNumber : 【必须】获取指定交易对象可买入的数量
    - _getSellNumber : 【可选】获取指定交易对象可卖出的数量，如未重载，默认为卖出全部已持仓数量
    - _reset : 【可选】重置私有属性
    - _clone : 【必须】克隆接口)",
                                                 init<>())
      .def(init<const string&>())
      .def(self_ns::str(self))
      .def(self_ns::repr(self))

      .add_property("name", mm_get_name, mm_set_name, "名称")

      .def("getParam", &MoneyManagerBase::getParam<boost::any>, R"(get_param(self, name)

    获取指定的参数

    :param str name: 参数名称
    :return: 参数值
    :raises out_of_range: 无此参数)")

      .def("setParam", &MoneyManagerBase::setParam<object>, R"(set_param(self, name, value)

    设置参数

    :param str name: 参数名称
    :param value: 参数值
    :raises logic_error: Unsupported type! 不支持的参数类型)")

      .def("haveParam", &MoneyManagerBase::haveParam, "是否存在指定参数")

      .def("setTM", &MoneyManagerBase::setTM)
      .def("getTM", &MoneyManagerBase::getTM)
      .def("setQuery", &MoneyManagerBase::setQuery)
      .def("getQuery", &MoneyManagerBase::getQuery)
      .def("reset", &MoneyManagerBase::reset)
      .def("clone", &MoneyManagerBase::clone)
      .def("buyNotify", &MoneyManagerBase::buyNotify, &MoneyManagerWrap::default_buyNotify)
      .def("sellNotify", &MoneyManagerBase::sellNotify, &MoneyManagerWrap::default_sellNotify)

      .def("getBuyNumber", &MoneyManagerBase::getBuyNumber)
      .def("getSellNumber", &MoneyManagerBase::getSellNumber)
      .def("getSellShortNumber", &MoneyManagerBase::getSellShortNumber)
      .def("getBuyShortNumber", &MoneyManagerBase::getBuyShortNumber)

      .def("_getBuyNumber", pure_virtual(&MoneyManagerBase::_getBuyNumber))
      .def("_getSellNumber", &MoneyManagerBase::_getSellNumber,
           &MoneyManagerWrap::default_getSellNumber)
      .def("_getSellShortNumber", &MoneyManagerBase::_getSellShortNumber,
           &MoneyManagerWrap::default_getSellShortNumber)
      .def("_getBuyShortNumber", &MoneyManagerBase::_getBuyShortNumber,
           &MoneyManagerWrap::default_getBuyShortNumber)
      .def("_reset", &MoneyManagerBase::_reset, &MoneyManagerWrap::default_reset)
      .def("_clone", pure_virtual(&MoneyManagerBase::_clone))
#if HKU_PYTHON_SUPPORT_PICKLE
      .def_pickle(name_init_pickle_suite<MoneyManagerBase>())
#endif
      ;

    register_ptr_to_python<MoneyManagerPtr>();

    def("MM_Nothing", MM_Nothing);
    def("MM_FixedRisk", MM_FixedRisk, (arg("risk") = 1000.00));
    def("MM_FixedCapital", MM_FixedCapital, (arg("capital") = 10000.00));
    def("MM_FixedCount", MM_FixedCount, (arg("n") = 100));
    def("MM_FixedPercent", MM_FixedPercent, (arg("p") = 0.03));
    def("MM_FixedUnits", MM_FixedUnits, (arg("n") = 33));
    def("MM_WilliamsFixedRisk", MM_WilliamsFixedRisk, (arg("p") = 0.1, arg("max_loss") = 1000.0));
}