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继续编写PF

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This commit is contained in:
fasiondog 2018-03-18 23:00:57 +08:00
parent 8ba61f9e2c
commit 02178463e1
5 changed files with 112 additions and 6 deletions
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2
libs/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp
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@ -28,12 +28,14 @@ HKU_API std::ostream & operator<<(std::ostream& os, const AFPtr& af) {
AllocateFundsBase::AllocateFundsBase(): m_name("AllocateMoneyBase") {
setParam<bool>("adjust_hold_sys", false); //是否调整之前已经持仓策略的持仓
setParam<int>("max_sys_num", 10); //最大系统实例数
setParam<int>("freq", KQuery::DAY); //调仓频率
}
AllocateFundsBase::AllocateFundsBase(const string& name)
: m_name("AllocateMoneyBase") {
setParam<bool>("adjust_hold_sys", false);
setParam<int>("max_sys_num", 10); //最大系统实例数
setParam<int>("freq", KQuery::DAY); //调仓频率
}
AllocateFundsBase::~AllocateFundsBase() {

100
libs/hikyuu/trade_sys/portfolio/Portfolio.cpp
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@ -110,8 +110,11 @@ void Portfolio::run(const KQuery& query) {
}
}
SystemList pre_selected_list; //上一次的选中标的列表
SystemList pre_ac_list; //上一轮实际获得分配资金的系统列表
SystemList cur_hold_sys_list;
DatetimeList datelist = StockManager::instance().getTradingCalendar(query);
DatetimeList::const_iterator date_iter = datelist.begin();
for(; date_iter != datelist.end(); ++date_iter) {
@ -120,8 +123,92 @@ void Portfolio::run(const KQuery& query) {
continue;
}
/*
* 资金分配频率应该小于等于选择频率
*
* （由于有些系统可能是延迟操作，所以有多种情况）
*
* 如果当前时刻选择标的发生变化（此时也一定是资金调整分配的时刻）
* 收集当前仍旧有持仓的系统
* 回收上一次选中的标的中已没有持仓系统的资金
* 执行资金分配算法（其中非强制分配的，已有持仓系统如果有剩余现金被取出参与资金重新分配；
* 而强制分配的，已有持仓的系统剩余资金被取出参与重分配同时被强制发出
* 卖出信号，其中延迟操作的系统卖出操作将在下一时刻才会执行卖出操作）
*
* 如果当前时刻选择标的没有发生变化
* 收集当前仍旧有持仓的系统
* 如果是调仓时刻
* 如果非选中标的的已有持仓策略变成了空仓，则重新执行分配算法分配空仓后多余的资金
* 否则不执行调仓策略
* 如果不是调仓时刻
* 如果是强制调仓，则执行调仓操作
*/
cur_hold_sys_list.clear();
#if 1
//如果当前时刻选择标的发生变化（此时也一定是资金调整分配的时刻）
if (m_se->changed(*date_iter)) {
//收集当前仍旧有持仓的系统,并回收上一次选中的标的中已没有持仓系统的资金
sys_iter = pre_ac_list.begin();
for (; sys_iter != pre_ac_list.end(); ++sys_iter) {
SYSPtr& sys = *sys_iter;
TMPtr& tm = sys->getTM();
if (tm->getStockNumber() != 0) {
cur_hold_sys_list.push_back(sys);
}
}
std::cout << *date_iter << " " << m_tm_shadow->currentCash() << std::endl;
//计算当前时刻选择的系统实例
SystemList selected_list = m_se->_getSelectedSystemList(*date_iter);
SystemList ac_list = m_af->getAllocatedSystemList(*date_iter,
selected_list, cur_hold_sys_list);
std::cout << selected_list.size() << " " << ac_list.size() << std::endl;
std::cout << m_se << std::endl;
for (sys_iter = ac_list.begin(); sys_iter != ac_list.end(); ++sys_iter) {
SYSPtr& sys = *sys_iter;
sys->runMoment(*date_iter);
//同步交易记录
TradeRecordList tr_list = sys->getTM()->getTradeList(*date_iter, Null<Datetime>());
auto tr_iter = tr_list.begin();
for (; tr_iter != tr_list.end(); ++tr_iter) {
m_tm_shadow->addTradeRecord(*tr_iter);
}
}
//同步总账户和影子账户交易记录
TradeRecordList tr_list = m_tm_shadow->getTradeList(*date_iter, Null<Datetime>());
auto tr_iter = tr_list.begin();
for (; tr_iter != tr_list.end(); ++tr_iter) {
if (tr_iter->business == BUSINESS_CHECKIN
|| tr_iter->business == BUSINESS_CHECKOUT) {
continue;
}
m_tm->addTradeRecord(*tr_iter);
}
swap(pre_ac_list, ac_list);
if (m_tm->currentCash() != m_tm_shadow->currentCash()) {
HKU_INFO("m_tm->currentCash() != m_tm_shadow->currentCash()");
HKU_INFO(m_tm->currentCash() << " == " << m_tm_shadow->currentCash());
}
}
#endif
#if 0
//计算当前时刻选择的系统实例
SystemList selected_list = m_se->getSelectedSystemList(*date_iter);
if (selected_list.empty()) {
continue;
}
//获取上一轮分配资金的系统中仍旧有持仓或存在延迟请求的系统
std::set<SYSPtr> selected_sets;
@ -129,13 +216,14 @@ void Portfolio::run(const KQuery& query) {
selected_sets.insert(*sys_iter);
}
SystemList cur_hold_sys_list;
//SystemList cur_hold_sys_list;
auto hold_iter = pre_ac_list.begin();
for (; hold_iter != pre_ac_list.end(); ++hold_iter) {
SYSPtr& sys = *hold_iter;
if (selected_sets.find(sys) != selected_sets.end()) {
TMPtr& tm = sys->getTM();
if (sys->haveDelayRequest() || tm->have(sys->getStock())) {
if (tm->getStockNumber() != 0) {
//if (sys->haveDelayRequest() || tm->have(sys->getStock())) {
cur_hold_sys_list.push_back(sys);
}
}
@ -143,6 +231,9 @@ void Portfolio::run(const KQuery& query) {
SystemList ac_list = m_af->getAllocatedSystemList(*date_iter,
selected_list, cur_hold_sys_list);
if (ac_list.empty()) {
continue;
}
for (sys_iter = ac_list.begin(); sys_iter != ac_list.end(); ++sys_iter) {
SYSPtr& sys = *sys_iter;
@ -170,10 +261,11 @@ void Portfolio::run(const KQuery& query) {
swap(pre_ac_list, ac_list);
if (m_tm->currentCash() != m_tm_shadow->currentCash()) {
/*if (m_tm->currentCash() != m_tm_shadow->currentCash()) {
HKU_INFO("m_tm->currentCash() != m_tm_shadow->currentCash()");
HKU_INFO(m_tm->currentCash() << " == " << m_tm_shadow->currentCash());
}
}*/
#endif
}
}

1
libs/hikyuu/trade_sys/selector/SelectorBase.cpp
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@ -72,6 +72,7 @@ SelectorPtr SelectorBase::clone() {
p->m_params = m_params;
p->m_name = m_name;
p->m_query = m_query;
p->m_pre_datetime = m_pre_datetime;
p->m_pre_selected_list = m_pre_selected_list;

11
libs/hikyuu/trade_sys/selector/SelectorBase.h
View File

@ -60,8 +60,17 @@ public:
virtual SelectorPtr _clone() = 0;
void setQuery(KQuery query) {
m_query = query;
}
KQuery getQuery() const {
return m_query;
}
protected:
string m_name;
KQuery m_query;
SystemList m_sys_list;
Datetime m_pre_datetime;
@ -78,6 +87,7 @@ private:
string name_str(GBToUTF8(m_name));
ar & boost::serialization::make_nvp("name", name_str);
ar & BOOST_SERIALIZATION_NVP(m_params);
ar & BOOST_SERIALIZATION_NVP(m_query);
ar & BOOST_SERIALIZATION_NVP(m_sys_list);
ar & BOOST_SERIALIZATION_NVP(m_pre_datetime);
ar & BOOST_SERIALIZATION_NVP(m_pre_selected_list);
@ -87,6 +97,7 @@ private:
void load(Archive & ar, const unsigned int version) {
ar & boost::serialization::make_nvp("name", m_name);
ar & BOOST_SERIALIZATION_NVP(m_params);
ar & BOOST_SERIALIZATION_NVP(m_query);
ar & BOOST_SERIALIZATION_NVP(m_sys_list);
ar & BOOST_SERIALIZATION_NVP(m_pre_datetime);
ar & BOOST_SERIALIZATION_NVP(m_pre_selected_list);

4
test/libs/hikyuu/trade_sys/portfolio/test_PF_for_delay_and_no_adjust.cpp
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@ -67,7 +67,7 @@ BOOST_AUTO_TEST_CASE( test_PF_for_delay_and_no_adjust) {
TradeRecordList tr2 = tm->getTradeList();
BOOST_CHECK(tr1.size() == tr2.size());
/*std::cout << tr1.size() << std::endl;
std::cout << tr1.size() << std::endl;
for (auto iter = tr1.begin(); iter != tr1.end(); ++iter) {
std::cout << *iter << std::endl;
}
@ -81,7 +81,7 @@ BOOST_AUTO_TEST_CASE( test_PF_for_delay_and_no_adjust) {
std::cout << sys->getTM()->currentCash() << std::endl;
std::cout << tm->currentCash() << std::endl;
*/
}