2015-01-07 01:26:14 +08:00
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/*
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* _Stoploss.cpp
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*
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* Created on: 2013-3-21
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* Author: fasiondog
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*/
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#include <boost/python.hpp>
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#include <hikyuu/trade_sys/stoploss/build_in.h>
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2016-04-18 19:54:42 +08:00
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#include "../_Parameter.h"
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2015-01-07 01:26:14 +08:00
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#include "../pickle_support.h"
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using namespace boost::python;
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using namespace hku;
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class StoplossWrap : public StoplossBase, public wrapper<StoplossBase> {
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public:
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2020-07-15 00:23:48 +08:00
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StoplossWrap() : StoplossBase() {}
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StoplossWrap(const string& name) : StoplossBase(name) {}
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2015-01-07 01:26:14 +08:00
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virtual ~StoplossWrap() {}
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void _reset() {
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2016-04-03 00:08:31 +08:00
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if (override func = this->get_override("_reset")) {
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func();
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} else {
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StoplossBase::_reset();
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}
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}
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void default_reset() {
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this->StoplossBase::_reset();
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2015-01-07 01:26:14 +08:00
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}
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StoplossPtr _clone() {
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return this->get_override("_clone")();
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}
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void _calculate() {
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this->get_override("_calculate")();
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2015-01-07 01:26:14 +08:00
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}
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price_t getPrice(const Datetime& datetime, price_t price) {
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2021-02-13 00:02:58 +08:00
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return this->get_override("get_price")(datetime, price);
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2015-01-07 01:26:14 +08:00
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}
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price_t getShortPrice(const Datetime& datetime, price_t price) {
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if (override getShortPrice = get_override("get_short_price")) {
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2015-01-07 01:26:14 +08:00
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return getShortPrice(datetime, price);
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}
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return StoplossBase::getShortPrice(datetime, price);
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}
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price_t default_getShortPrice(const Datetime& datetime, price_t price) {
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return this->StoplossBase::getShortPrice(datetime, price);
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}
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};
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2017-06-17 16:59:15 +08:00
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string (StoplossBase::*st_get_name)() const = &StoplossBase::name;
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void (StoplossBase::*st_set_name)(const string&) = &StoplossBase::name;
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void export_Stoploss() {
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class_<StoplossWrap, boost::noncopyable>("StoplossBase", R"(止损/止赢算法基类
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自定义止损/止赢策略接口:
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- _calculate : 【必须】子类计算接口
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- _clone : 【必须】克隆接口
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- _reset : 【可选】重载私有变量)",
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init<>())
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.def(init<const string&>())
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.def(self_ns::str(self))
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2020-08-26 00:25:45 +08:00
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.def(self_ns::repr(self))
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2020-07-15 00:23:48 +08:00
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.add_property("name", st_get_name, st_set_name, "名称")
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.add_property("to", &StoplossBase::getTO, &StoplossBase::setTO, "设置或获取交易对象")
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.add_property("tm", &StoplossBase::getTM, &StoplossBase::setTM, "设置或获取交易管理实例")
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.def("get_param", &StoplossBase::getParam<boost::any>, R"(get_param(self, name)
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获取指定的参数
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:param str name: 参数名称
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:return: 参数值
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:raises out_of_range: 无此参数)")
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.def("set_param", &StoplossBase::setParam<object>, R"(set_param(self, name, value)
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设置参数
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:param str name: 参数名称
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:param value: 参数值
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:raises logic_error: Unsupported type! 不支持的参数类型)")
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.def("have_param", &StoplossBase::haveParam, "是否存在指定参数")
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.def("get_price", pure_virtual(&StoplossBase::getPrice), R"(get_price(self, datetime, price)
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【重载接口】获取本次预期交易(买入)时的计划止损价格,如果不存在止损价,则返回0。用于系统在交易执行前向止损策略模块查询本次交易的计划止损价。
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.. note::
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一般情况下,止损/止赢的算法可以互换,但止损的getPrice可以传入计划交易的价格,比如以买入价格的30%做为止损。而止赢则不考虑传入的price参数,即认为price为0.0。实际上,即使止损也不建议使用price参数,如可以使用前日最低价的30%作为止损,则不需要考虑price参数。
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:param Datetime datetime: 交易时间
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:param float price: 计划买入的价格
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:return: 止损价格
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:rtype: float)")
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//.def("getShortPrice", &StoplossBase::getShortPrice, &StoplossWrap::default_getShortPrice)
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.def("reset", &StoplossBase::reset, "复位操作")
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.def("clone", &StoplossBase::clone, "克隆操作")
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.def("_calculate", pure_virtual(&StoplossBase::_calculate), "【重载接口】子类计算接口")
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.def("_reset", &StoplossBase::_reset, &StoplossWrap::default_reset,
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"【重载接口】子类复位接口,复位内部私有变量")
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.def("_clone", pure_virtual(&StoplossBase::_clone), "【重载接口】子类克隆接口")
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2015-01-07 01:26:14 +08:00
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#if HKU_PYTHON_SUPPORT_PICKLE
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2020-07-15 00:23:48 +08:00
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.def_pickle(name_init_pickle_suite<StoplossBase>())
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2015-01-07 01:26:14 +08:00
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#endif
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;
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2015-01-07 01:26:14 +08:00
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register_ptr_to_python<StoplossPtr>();
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2020-07-15 00:23:48 +08:00
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def("ST_FixedPercent", ST_FixedPercent, (arg("p") = 0.03), R"(ST_FixedPercent([p=0.03])
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固定百分比止损策略,即当价格低于买入价格的某一百分比时止损
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:param float p: 百分比(0,1]
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:return: 止损/止赢策略实例)");
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2015-01-07 01:26:14 +08:00
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2020-07-15 00:23:48 +08:00
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def("ST_Indicator", ST_Indicator, (arg("op"), arg("kpart") = "CLOSE"),
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R"(ST_Indicator(op[, kpart="CLOSE"])
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2015-01-07 01:26:14 +08:00
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2020-07-15 00:23:48 +08:00
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使用技术指标作为止损价。如使用10日EMA作为止损:::
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ST_Indicator(OP(EMA(n=10)))
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:param Indicator op:
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:param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
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:return: 止损/止赢策略实例)");
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def("ST_Saftyloss", ST_Saftyloss, (arg("n1") = 10, arg("n2") = 3, arg("p") = 2.0),
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R"(ST_Saftyloss([n1=10, n2=3, p=2.0])
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参见《走进我的交易室》(2007年 地震出版社) 亚历山大.艾尔德(Alexander Elder) P202
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计算说明:在回溯周期内(一般为10到20天),将所有向下穿越的长度相加除以向下穿越的次数,
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得到噪音均值(即回溯期内所有最低价低于前一日最低价的长度除以次数),并用今日
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最低价减去(前日噪音均值乘以一个倍数)得到该止损线。为了抵消波动并且保证止损线的
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上移,在上述结果的基础上再取起N日(一般为3天)内的最高值
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:param int n1: 计算平均噪音的回溯时间窗口,默认为10天
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:param int n2: 对初步止损线去n2日内的最高值,默认为3
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:param double p: 噪音系数,默认为2
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:return: 止损/止赢策略实例)");
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}
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