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https://gitee.com/fasiondog/hikyuu.git
synced 2024-12-05 05:17:47 +08:00
买空/卖空支持（continue）
This commit is contained in:
fasiondog
parent
87ffded746
commit
17ae2a3261
@ -10,46 +10,16 @@
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namespace hku {
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PositionRecord::PositionRecord(PositionRecord&& rv) {
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stock = rv.stock;
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takeDatetime = rv.takeDatetime;
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cleanDatetime = rv.cleanDatetime;
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number = rv.number;
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stoploss = rv.stoploss;
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goalPrice = rv.goalPrice;
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totalNumber = rv.totalNumber;
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buyMoney = rv.buyMoney;
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totalCost = rv.totalCost;
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totalRisk = rv.totalRisk;
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sellMoney = rv.sellMoney;
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contracts = std::move(rv.contracts);
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}
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PositionRecord& PositionRecord::operator=(PositionRecord&& rv) {
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HKU_IF_RETURN(this == &rv, *this);
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stock = rv.stock;
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takeDatetime = rv.takeDatetime;
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cleanDatetime = rv.cleanDatetime;
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number = rv.number;
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stoploss = rv.stoploss;
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goalPrice = rv.goalPrice;
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totalNumber = rv.totalNumber;
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buyMoney = rv.buyMoney;
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totalCost = rv.totalCost;
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totalRisk = rv.totalRisk;
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sellMoney = rv.sellMoney;
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contracts = std::move(rv.contracts);
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return *this;
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}
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PositionRecord::PositionRecord(const Stock& stock, const Datetime& takeDatetime,
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const Datetime& cleanDatetime, double number, price_t stoploss,
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price_t goalPrice, double totalNumber, price_t totalMoney,
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price_t totalCost, price_t totalRisk, price_t sellMoney)
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const Datetime& cleanDatetime, double number, price_t avgPrice,
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price_t stoploss, price_t goalPrice, double totalNumber,
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price_t totalMoney, price_t totalCost, price_t totalRisk,
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price_t sellMoney)
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: stock(stock),
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takeDatetime(takeDatetime),
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cleanDatetime(cleanDatetime),
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number(number),
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avgPrice(avgPrice),
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stoploss(stoploss),
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goalPrice(goalPrice),
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totalNumber(totalNumber),
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@ -64,57 +34,48 @@ void PositionRecord::addTradeRecord(const TradeRecord& tr, const MarginRecord& m
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takeDatetime = tr.datetime;
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}
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switch (tr.business) {
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case BUSINESS_BUY:
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number += tr.number;
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case BUSINESS_BUY: {
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double new_number = number + tr.number;
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if (new_number == 0.0) {
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cleanDatetime = tr.datetime;
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} else {
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avgPrice = std::fabs((tr.realPrice * tr.number + avgPrice * number) / new_number);
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number = new_number;
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stoploss = tr.stoploss;
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goalPrice = tr.goalPrice;
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totalNumber += tr.number;
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buyMoney =
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roundEx(tr.realPrice * tr.number * stock.unit() + buyMoney, stock.precision());
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totalCost = roundEx(tr.cost.total + totalCost, stock.precision());
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totalRisk = roundEx(totalRisk + (tr.realPrice - tr.stoploss) * number * stock.unit(),
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roundEx(tr.realPrice * tr.number * stock.unit() * tr.margin_ratio + buyMoney,
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stock.precision());
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totalCost = roundEx(tr.cost.total + totalCost, stock.precision());
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totalRisk =
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roundEx(totalRisk + (tr.realPrice - tr.stoploss) * number * stock.unit(),
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stock.precision());
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break;
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case BUSINESS_SELL:
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number -= tr.number;
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if (number == 0.0) {
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cleanDatetime = tr.datetime;
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}
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} break;
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case BUSINESS_SELL: {
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double new_number = number - tr.number;
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if (new_number == 0.0) {
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cleanDatetime = tr.datetime;
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} else {
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avgPrice = std::fabs((tr.realPrice * tr.number - avgPrice * number) / new_number);
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}
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number = new_number;
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stoploss = tr.stoploss;
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goalPrice = tr.goalPrice;
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totalCost = roundEx(tr.cost.total + totalCost, stock.precision());
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totalRisk = roundEx(totalRisk + (tr.realPrice - tr.stoploss) * number * stock.unit(),
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stock.precision());
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sellMoney =
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roundEx(sellMoney + tr.realPrice * tr.number * stock.unit(), stock.precision());
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break;
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} break;
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default:
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HKU_ERROR("The business({}) should not appear here!", getBusinessName(tr.business));
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break;
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}
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contracts.emplace_back(tr.datetime, tr.business, tr.realPrice, tr.number, 0.0, margin);
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}
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std::tuple<price_t, price_t> PositionRecord::getProfit(Datetime datetime) {
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price_t profit = 0.0; // 浮动盈亏
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price_t margin = 0.0; // 维持保证金
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size_t pos = stock.getPos(datetime);
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if (pos != 0 && pos != Null<size_t>()) {
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for (auto& contract : contracts) {
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auto k = stock.getKRecord(pos - 1);
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contract.profit = (k.closePrice - contract.price) * number * stock.unit();
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profit += contract.profit;
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margin += k.closePrice * number * stock.unit() * contract.margin.initRatio *
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contract.margin.maintainRatio;
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}
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} else {
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for (auto& contract : contracts) {
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profit += contract.profit;
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margin += contract.price * contract.number * stock.unit() * contract.margin.initRatio *
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contract.margin.maintainRatio;
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}
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}
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return std::make_tuple(profit, margin);
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}
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string PositionRecord::toString() const {
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@ -128,17 +89,12 @@ string PositionRecord::toString() const {
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precision = stock.precision();
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}
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price_t costPrice = 0.0;
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if (number != 0.0) {
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costPrice = roundEx((buyMoney - sellMoney) / number, precision);
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}
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string strip(", ");
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std::stringstream os;
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os << std::fixed;
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os.precision(precision);
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os << "Position(" << market << strip << code << strip << name << strip << takeDatetime << strip
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<< cleanDatetime << strip << number << strip << costPrice << strip << stoploss << strip
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<< cleanDatetime << strip << number << strip << avgPrice << strip << stoploss << strip
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<< goalPrice << strip << totalNumber << strip << buyMoney << strip << totalCost << strip
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<< totalRisk << strip << sellMoney << ")";
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os.unsetf(std::ostream::floatfield);
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@ -149,7 +105,8 @@ string PositionRecord::toString() const {
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bool HKU_API operator==(const PositionRecord& d1, const PositionRecord& d2) {
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return d1.stock == d2.stock && d1.takeDatetime == d2.takeDatetime &&
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d1.cleanDatetime == d2.cleanDatetime && fabs(d1.number - d2.number) < 0.00001 &&
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fabs(d1.stoploss - d2.stoploss) < 0.0001 && fabs(d1.goalPrice - d2.goalPrice) < 0.0001 &&
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fabs(d1.avgPrice - d2.avgPrice) < 0.0001 && fabs(d1.stoploss - d2.stoploss) < 0.0001 &&
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fabs(d1.goalPrice - d2.goalPrice) < 0.0001 &&
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fabs(d1.totalNumber - d2.totalNumber) < 0.00001 &&
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fabs(d1.buyMoney - d2.buyMoney) < 0.0001 && fabs(d1.totalCost - d2.totalCost) < 0.0001 &&
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fabs(d1.sellMoney - d2.sellMoney) < 0.0001;
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@ -19,39 +19,6 @@
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namespace hku {
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struct ContractRecord {
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ContractRecord() = default;
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ContractRecord(const Datetime& datetime, BUSINESS business, price_t price, double number,
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price_t profit, const MarginRecord& margin)
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: datetime(datetime),
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business(business),
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price(price),
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number(number),
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profit(profit),
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margin(margin) {}
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Datetime datetime; // 交易日期
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BUSINESS business; // 业务类型
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price_t price; // 成交价格
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double number; // 成交数量
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price_t profit; // 浮动盈亏
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MarginRecord margin; // 保证金比例
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#if HKU_SUPPORT_SERIALIZATION
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private:
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friend class boost::serialization::access;
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template <class Archive>
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void serialize(Archive& ar, const unsigned int version) {
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ar& BOOST_SERIALIZATION_NVP(datetime);
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ar& BOOST_SERIALIZATION_NVP(business);
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ar& BOOST_SERIALIZATION_NVP(price);
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ar& BOOST_SERIALIZATION_NVP(number);
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ar& BOOST_SERIALIZATION_NVP(profit);
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ar& BOOST_SERIALIZATION_NVP(margin);
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}
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#endif /* HKU_SUPPORT_SERIALIZATION */
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};
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/**
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* 持仓记录
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* @ingroup TradeManagerClass
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@ -59,14 +26,10 @@ private:
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class HKU_API PositionRecord {
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public:
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PositionRecord() = default;
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PositionRecord(const PositionRecord&) = default;
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PositionRecord(PositionRecord&& rv);
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PositionRecord& operator=(const PositionRecord&) = default;
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PositionRecord& operator=(PositionRecord&& rv);
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PositionRecord(const Stock& stock, const Datetime& takeDatetime, const Datetime& cleanDatetime,
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double number, price_t stoploss, price_t goalPrice, double totalNumber,
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price_t buyMoney, price_t totalCost, price_t totalRisk, price_t sellMoney);
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double number, price_t avgPrice, price_t stoploss, price_t goalPrice,
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double totalNumber, price_t buyMoney, price_t totalCost, price_t totalRisk,
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price_t sellMoney);
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/** 仅用于python的__str__ */
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string toString() const;
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@ -81,6 +44,7 @@ public:
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Datetime takeDatetime; ///< 初次建仓日期
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Datetime cleanDatetime; ///< 平仓日期，当前持仓记录中为Null<Datetime>()
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double number = 0.0; ///< 当前持仓数量
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price_t avgPrice = 0.0; ///< 平均买入/卖出价格
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price_t stoploss = 0.0; ///< 当前止损价
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price_t goalPrice = 0.0; ///< 当前的目标价格
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double totalNumber = 0.0; ///< 累计持仓数量
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@ -89,8 +53,6 @@ public:
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price_t totalRisk = 0.0; ///< 累计交易风险 = 各次 （买入价格-止损)*买入数量, 不包含交易成本
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price_t sellMoney = 0.0; ///< 累计卖出资金
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std::list<ContractRecord> contracts;
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//===================
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//序列化支持
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//===================
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@ -106,6 +68,7 @@ private:
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ar& bs::make_nvp("takeDatetime", take);
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ar& bs::make_nvp("cleanDatetime", clean);
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ar& BOOST_SERIALIZATION_NVP(number);
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ar& BOOST_SERIALIZATION_NVP(avgPrice);
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ar& BOOST_SERIALIZATION_NVP(stoploss);
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ar& BOOST_SERIALIZATION_NVP(goalPrice);
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ar& BOOST_SERIALIZATION_NVP(totalNumber);
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@ -113,7 +76,6 @@ private:
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ar& BOOST_SERIALIZATION_NVP(totalCost);
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ar& BOOST_SERIALIZATION_NVP(totalRisk);
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ar& BOOST_SERIALIZATION_NVP(sellMoney);
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ar& BOOST_SERIALIZATION_NVP(contracts);
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}
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template <class Archive>
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@ -126,6 +88,7 @@ private:
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takeDatetime = Datetime(take);
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cleanDatetime = Datetime(clean);
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ar& BOOST_SERIALIZATION_NVP(number);
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ar& BOOST_SERIALIZATION_NVP(avgPrice);
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ar& BOOST_SERIALIZATION_NVP(stoploss);
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ar& BOOST_SERIALIZATION_NVP(goalPrice);
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ar& BOOST_SERIALIZATION_NVP(totalNumber);
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@ -133,7 +96,6 @@ private:
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ar& BOOST_SERIALIZATION_NVP(totalCost);
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ar& BOOST_SERIALIZATION_NVP(totalRisk);
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ar& BOOST_SERIALIZATION_NVP(sellMoney);
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ar& BOOST_SERIALIZATION_NVP(contracts);
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}
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BOOST_SERIALIZATION_SPLIT_MEMBER()
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@ -318,13 +318,12 @@ TradeRecord TradeManager::buy(const Datetime& datetime, const Stock& stock, pric
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HKU_ERROR_IF_RETURN(datetime < lastDatetime(), result,
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"{} {} datetime must be >= lastDatetime({})!", datetime,
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stock.market_code(), lastDatetime());
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HKU_ERROR_IF_RETURN(number == 0.0 || (!getParam<bool>("support_margin") && number <= 0.0),
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result, "{} {} Invalid buy numer: {}!", datetime, stock.market_code(),
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number);
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HKU_ERROR_IF_RETURN(std::fabs(number) < stock.minTradeNumber(), result,
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HKU_ERROR_IF_RETURN(number <= 0.0, result, "{} {} Invalid buy numer: {}!", datetime,
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stock.market_code(), number);
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HKU_ERROR_IF_RETURN(number < stock.minTradeNumber(), result,
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"{} {} Buy number({}) must be >= minTradeNumber({})!", datetime,
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stock.market_code(), number, stock.minTradeNumber());
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HKU_ERROR_IF_RETURN(std::fabs(number) > stock.maxTradeNumber(), result,
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HKU_ERROR_IF_RETURN(number != MAX_DOUBLE && number > stock.maxTradeNumber(), result,
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"{} {} Buy number({}) must be <= maxTradeNumber({})!", datetime,
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stock.market_code(), number, stock.maxTradeNumber());
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@ -387,6 +386,11 @@ TradeRecord TradeManager::buy(const Datetime& datetime, const Stock& stock, pric
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} else {
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PositionRecord& position = pos_iter->second;
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position.addTradeRecord(result, margin);
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if (position.number == 0.0) {
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m_position_history.push_back(position);
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//删除当前持仓
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m_position.erase(stock.id());
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}
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}
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if (result.datetime > m_broker_last_datetime) {
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@ -413,7 +417,7 @@ TradeRecord TradeManager::sell(const Datetime& datetime, const Stock& stock, pri
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HKU_ERROR_IF_RETURN(datetime < lastDatetime(), result,
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"{} {} datetime must be >= lastDatetime({})!", datetime,
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stock.market_code(), lastDatetime());
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HKU_ERROR_IF_RETURN(number == 0.0, result, "{} {} number is zero!", datetime,
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HKU_ERROR_IF_RETURN(number <= 0.0, result, "{} {} number is zero!", datetime,
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stock.market_code());
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// 对于分红扩股造成不满足最小交易量整数倍的情况，只能通过number=MAX_DOUBLE的方式全仓卖出
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@ -737,29 +741,6 @@ void TradeManager::updateWithWeight(const Datetime& datetime) {
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m_trade_list.push_back(new_trade_buffer[i]);
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}
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if (getParam<bool>("support_margin")) {
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price_t total_profit = 0.0;
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price_t total_maintain_margin = 0.0;
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for (; position_iter != m_position.end(); ++position_iter) {
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auto [profit, margin] = position_iter->second.getProfit(datetime);
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total_profit += profit;
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total_maintain_margin += margin;
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}
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bool will_margin_closeout = false;
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if (total_profit < 0.0 && m_cash < total_maintain_margin) {
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if (getParam<bool>("auto_checkin")) {
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checkin(datetime, roundEx(total_maintain_margin - m_cash, precision));
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} else {
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will_margin_closeout = true;
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}
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}
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if (will_margin_closeout) {
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// 执行强平操作
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}
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}
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m_last_update_datetime = datetime;
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}
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@ -996,8 +977,8 @@ bool TradeManager::_add_buy_tr(const TradeRecord& tr) {
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position_map_type::iterator pos_iter = m_position.find(tr.stock.id());
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if (pos_iter == m_position.end()) {
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m_position[tr.stock.id()] = PositionRecord(
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tr.stock, tr.datetime, Null<Datetime>(), tr.number, tr.stoploss, tr.goalPrice, tr.number,
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money, tr.cost.total,
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tr.stock, tr.datetime, Null<Datetime>(), tr.number, tr.realPrice, tr.stoploss,
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tr.goalPrice, tr.number, money, tr.cost.total,
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roundEx((tr.realPrice - tr.stoploss) * tr.number * tr.stock.unit(), precision), 0.0);
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} else {
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PositionRecord& position = pos_iter->second;
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@ -19,8 +19,8 @@ using namespace hku;
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void export_PositionRecord() {
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class_<PositionRecord>("PositionRecord", "持仓记录", init<>())
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.def(init<const Stock&, const Datetime&, const Datetime&, double, price_t, price_t, double,
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price_t, price_t, price_t, price_t>())
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.def(init<const Stock&, const Datetime&, const Datetime&, double, price_t, price_t, price_t,
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double, price_t, price_t, price_t, price_t>())
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.def("__str__", &PositionRecord::toString)
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.def("__repr__", &PositionRecord::toString)
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@ -30,6 +30,7 @@ void export_PositionRecord() {
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.def_readwrite("clean_datetime", &PositionRecord::cleanDatetime,
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"平仓日期，当前持仓记录中为 constant.null_datetime")
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.def_readwrite("number", &PositionRecord::number, "当前持仓数量（float）")
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.def_readwrite("avg_price", &PositionRecord::avgPrice, "平均买入/卖出价格(float)")
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.def_readwrite("stoploss", &PositionRecord::stoploss, "当前止损价（float）")
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.def_readwrite("goal_price", &PositionRecord::goalPrice, "当前的目标价格（float）")
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.def_readwrite("total_number", &PositionRecord::totalNumber, "累计持仓数量（float）")
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