Signal add Cycle

hikyuu_cpp/hikyuu/trade_sys/portfolio/Portfolio.cpp

@@ -173,15 +173,18 @@ void Portfolio::run(const KQuery& query, int adjust_cycle, bool force) {
     HKU_IF_RETURN(datelist.empty(), void());
 
     size_t cur_adjust_ix = 0;
+    Datetime cur_cycle_end;
     for (size_t i = 0, total = datelist.size(); i < total; i++) {
         bool adjust = false;
         if (i == cur_adjust_ix) {
             adjust = true;
             cur_adjust_ix += adjust_cycle;
+            cur_cycle_end =
+              cur_adjust_ix < total ? datelist[cur_adjust_ix] : datelist.back() + Seconds(1);
         }
 
         const auto& date = datelist[i];
-        _runMoment(date, adjust);
+        _runMoment(date, cur_cycle_end, adjust);
     }
 
     m_need_calculate = false;
@@ -191,7 +194,7 @@ void Portfolio::run(const KQuery& query, int adjust_cycle, bool force) {
     m_tmp_will_remove_sys = SystemWeightList();
 }
 
-void Portfolio::_runMoment(const Datetime& date, bool adjust) {
+void Portfolio::_runMoment(const Datetime& date, const Datetime& nextCycle, bool adjust) {
     // 当前日期小于账户建立日期，直接忽略
     HKU_IF_RETURN(date < m_cash_tm->initDatetime(), void());
 
@@ -295,44 +298,6 @@ void Portfolio::_runMoment(const Datetime& date, bool adjust) {
 
     m_delay_adjust_sys_list.swap(tmp_continue_adjust_sys_list);
 
-//---------------------------------------------------------------
-// 遍历当前运行中的子系统，如果已没有分配资金和持仓，则回收
-//---------------------------------------------------------------
-#if 0
-    m_tmp_will_remove_sys.clear();
-    for (auto& running_sys : m_running_sys_set) {
-        Stock stock = running_sys->getStock();
-        TMPtr sub_tm = running_sys->getTM();
-        PositionRecord position = sub_tm->getPosition(date, stock);
-        price_t cash = sub_tm->currentCash();
-
-        price_t min_cash = 1.0;
-        KRecord krecord = stock.getKRecord(date);
-        if (krecord.isValid()) {
-            min_cash = krecord.openPrice * stock.minTradeNumber();
-        }
-
-        // 如果系统的剩余资金小于交易一手的资金，则回收资金??? TODO 放到 AF 中进行处理不足一手的
-        if (cash != 0 && cash <= min_cash) {
-            sub_tm->checkout(date, cash);
-            m_cash_tm->checkin(date, cash);
-            HKU_INFO_IF(trace, "Recycle cash ({:<.2f}) from {}, current cash: {}", cash,
-                        running_sys->name(), m_cash_tm->currentCash());
-            // 如果已经没有持仓，则回收
-            if (position.number <= 0.0) {
-                m_tmp_will_remove_sys.emplace_back(running_sys, 0.);
-                HKU_INFO_IF(trace, "[PF] Recycle running sys: {}", running_sys->name());
-            }
-        }
-    }
-
-    // 依据待移除列表将系统从运行中系统列表里删除
-    for (auto& sub_sys : m_tmp_will_remove_sys) {
-        HKU_INFO_IF(trace, "Recycling system {}", sub_sys.sys->name());
-        m_running_sys_set.erase(sub_sys.sys);
-    }
-#endif
-
     //---------------------------------------------------
     // 调仓日，进行资金分配调整
     //---------------------------------------------------
@@ -395,6 +360,11 @@ void Portfolio::_runMoment(const Datetime& date, bool adjust) {
     //----------------------------------------------------------------------------
     for (auto& sub_sys : m_running_sys_set) {
         HKU_TRACE_IF(trace, "run: {}", sub_sys->name());
+        if (adjust) {
+            auto sg = sub_sys->getSG();
+            sg->startCycle(date, nextCycle);
+        }
+
         auto tr = sub_sys->runMoment(date);
         if (!tr.isNull()) {
             HKU_INFO_IF(trace, "[PF] {}", tr);
@@ -449,9 +419,13 @@ void Portfolio::_runMoment(const Datetime& date, bool adjust) {
 #endif
             // clang-format off
             HKU_INFO("+------------+------------+------------+--------------+--------------+-------------+-------------+");
-            if (++count >= getParam<int>("trace_max_num")) {
-                HKU_INFO("+ ... ... more                                                                                   +");
-                HKU_INFO("+------------+------------+------------+--------------+--------------+-------------+-------------+");
+            count++;
+            int trace_max_num = getParam<int>("trace_max_num");
+            if (count >= trace_max_num) {
+                if (count > trace_max_num) {
+                    HKU_INFO("+ ... ... more                                                                                   +");
+                    HKU_INFO("+------------+------------+------------+--------------+--------------+-------------+-------------+");
+                }
                 break;
             }
             // clang-format on

hikyuu_cpp/hikyuu/trade_sys/portfolio/Portfolio.h

@@ -101,7 +101,7 @@ private:
     /** 运行前准备 */
     void _readyForRun();
 
-    void _runMoment(const Datetime& date, bool adjust);
+    void _runMoment(const Datetime& date, const Datetime& nextCycle, bool adjust);
 
 protected:
     string m_name;

hikyuu_cpp/hikyuu/trade_sys/signal/SignalBase.cpp

@@ -25,17 +25,21 @@ HKU_API std::ostream& operator<<(std::ostream& os, const SignalPtr& sg) {
 }
 
 SignalBase::SignalBase() : m_name("SignalBase"), m_hold_long(false), m_hold_short(false) {
-    setParam<bool>("alternate", true);              // 买入卖出信号交替出现
-    setParam<bool>("support_borrow_stock", false);  // 支持发出空头信号
+    initParam();
 }
 
 SignalBase::SignalBase(const string& name) : m_name(name), m_hold_long(false), m_hold_short(false) {
-    setParam<bool>("alternate", true);
-    setParam<bool>("support_borrow_stock", false);
+    initParam();
 }
 
 SignalBase::~SignalBase() {}
 
+void SignalBase::initParam() {
+    setParam<bool>("cycle", false);                 // 仅在指定周期范围内计算
+    setParam<bool>("alternate", true);              // 买入卖出信号交替出现
+    setParam<bool>("support_borrow_stock", false);  // 支持发出空头信号
+}
+
 void SignalBase::baseCheckParam(const string& name) const {}
 void SignalBase::paramChanged() {}
 
@@ -66,7 +70,12 @@ SignalPtr SignalBase::clone() {
 void SignalBase::setTO(const KData& kdata) {
     HKU_IF_RETURN(m_kdata == kdata, void());
     m_kdata = kdata;
-    if (!kdata.empty()) {
+    bool cycle = getParam<bool>("cycle");
+    if (!cycle) {
+        m_cycle_start = Datetime::min();
+        m_cycle_end = Datetime::max();
+    }
+    if (!cycle && !kdata.empty()) {
         _calculate();
     }
 }
@@ -80,6 +89,17 @@ void SignalBase::reset() {
     _reset();
 }
 
+void SignalBase::startCycle(const Datetime& start, const Datetime& close) {
+    HKU_IF_RETURN(!getParam<bool>("cycle"), void());
+    HKU_ASSERT(start != Null<Datetime>() && close != Null<Datetime>() && start < close);
+    HKU_CHECK(start >= m_cycle_end, "curretn start: {}, pre cycle end: {}", start, m_cycle_end);
+    m_cycle_start = start;
+    m_cycle_end = close;
+    if (!m_kdata.empty()) {
+        _calculate();
+    }
+}
+
 DatetimeList SignalBase::getBuySignal() const {
     DatetimeList result(m_buySig.size());
     std::copy(m_buySig.begin(), m_buySig.end(), result.begin());

hikyuu_cpp/hikyuu/trade_sys/signal/SignalBase.h

@@ -84,6 +84,10 @@ public:
      */
     const KData& getTO() const;
 
+    void startCycle(const Datetime& start, const Datetime& end);
+    const Datetime& getCycleStart() const;
+    const Datetime& getCycleEnd() const;
+
     /** 复位操作 */
     void reset();
 
@@ -106,6 +110,9 @@ public:
     /** 子类计算接口，在setTO中调用 */
     virtual void _calculate() = 0;
 
+private:
+    void initParam();
+
 protected:
     string m_name;
     KData m_kdata;
@@ -118,6 +125,9 @@ protected:
     std::set<Datetime> m_buySig;
     std::set<Datetime> m_sellSig;
 
+    Datetime m_cycle_start{Datetime::min()};
+    Datetime m_cycle_end{Datetime::min()};
+
 //============================================
 // 序列化支持
 //============================================
@@ -218,6 +228,14 @@ inline bool SignalBase::shouldSell(const Datetime& datetime) const {
     return m_sellSig.count(datetime) ? true : false;
 }
 
+inline const Datetime& SignalBase::getCycleStart() const {
+    return m_cycle_start;
+}
+
+inline const Datetime& SignalBase::getCycleEnd() const {
+    return m_cycle_end;
+}
+
 } /* namespace hku */
 
 #if FMT_VERSION >= 90000

hikyuu_cpp/hikyuu/trade_sys/signal/build_in.h

@@ -12,6 +12,7 @@
 #include "crt/SG_AllwaysBuy.h"
 #include "crt/SG_Cross.h"
 #include "crt/SG_CrossGold.h"
+#include "crt/SG_Cycle.h"
 #include "crt/SG_Flex.h"
 #include "crt/SG_Single.h"
 #include "crt/SG_Bool.h"

hikyuu_cpp/hikyuu/trade_sys/signal/crt/SG_Cycle.h

@@ -0,0 +1,16 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-04-01
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../SignalBase.h"
+
+namespace hku {
+
+SignalPtr HKU_API SG_Cycle();
+
+}

hikyuu_cpp/hikyuu/trade_sys/signal/imp/CycleSignal.cpp

@@ -0,0 +1,35 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-30
+ *      Author: fasiondog
+ */
+
+#include "CycleSignal.h"
+
+#if HKU_SUPPORT_SERIALIZATION
+BOOST_CLASS_EXPORT(hku::CycleSignal)
+#endif
+
+namespace hku {
+
+CycleSignal::CycleSignal() : SignalBase("SG_AllwaysBuy") {
+    setParam<bool>("cycle", true);
+}
+
+void CycleSignal::_checkParam(const string& name) const {
+    if ("cycle" == name) {
+        bool cycle = getParam<bool>(name);
+        HKU_CHECK(cycle, "param cycle must be true!");
+    }
+}
+
+void CycleSignal::_calculate() {
+    _addBuySignal(getCycleStart());
+}
+
+SignalPtr HKU_API SG_Cycle() {
+    return make_shared<CycleSignal>();
+}
+
+}  // namespace hku

hikyuu_cpp/hikyuu/trade_sys/signal/imp/CycleSignal.h

@@ -0,0 +1,25 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-04-01
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../SignalBase.h"
+
+namespace hku {
+
+class CycleSignal : public SignalBase {
+    SIGNAL_IMP(CycleSignal)
+    SIGNAL_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    CycleSignal();
+    virtual ~CycleSignal() = default;
+
+    virtual void _checkParam(const string& name) const override;
+};
+
+}

hikyuu_pywrap/trade_sys/_Signal.cpp

@@ -209,4 +209,5 @@ void export_Signal(py::module& m) {
       )");
 
     m.def("SG_AllwaysBuy", SG_AllwaysBuy);
+    m.def("SG_Cycle", SG_Cycle);
 }