买空/卖空支持(continue)

hikyuu_cpp/hikyuu/trade_manage/ContractRecord.h

@@ -0,0 +1,46 @@
+/*
+ *  Copyright (c) 2022 hikyuu.org
+ *
+ *  Created on: 2022-09-18
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "hikyuu/DataType.h"
+#include "hikyuu/Stock.h"
+
+#if HKU_SUPPORT_SERIALIZATION
+#include <boost/serialization/nvp.hpp>
+#endif
+
+namespace hku {
+
+struct ContractRecord {
+    ContractRecord() = default;
+    ContractRecord(const Stock& stk, const Datetime& datetime, price_t price, double number,
+                   double marginRatio)
+    : stock(stk), datetime(datetime), price(price), number(number), marginRatio(marginRatio) {}
+
+    Stock stock;
+    Datetime datetime;   // 交易日期
+    price_t price;       // 成交价格
+    double number;       // 成交数量
+    double marginRatio;  // 保证金比例
+    price_t profit;      // 上次结算时盈亏
+
+private:
+#if HKU_SUPPORT_SERIALIZATION
+private:
+    friend class boost::serialization::access;
+    template <class Archive>
+    void serialize(Archive& ar, const unsigned int version) {
+        ar& BOOST_SERIALIZATION_NVP(datetime);
+        ar& BOOST_SERIALIZATION_NVP(price);
+        ar& BOOST_SERIALIZATION_NVP(number);
+        ar& BOOST_SERIALIZATION_NVP(marginRatio);
+    }
+#endif
+};
+
+}  // namespace hku

hikyuu_cpp/hikyuu/trade_manage/PositionRecord.cpp

@@ -10,24 +10,6 @@
 
 namespace hku {
 
-PositionRecord::PositionRecord(const Stock& stock, const Datetime& takeDatetime,
-                               const Datetime& cleanDatetime, double number, price_t avgPrice,
-                               price_t stoploss, price_t goalPrice, double totalNumber,
-                               price_t totalMoney, price_t totalCost, price_t totalRisk,
-                               price_t sellMoney)
-: stock(stock),
-  takeDatetime(takeDatetime),
-  cleanDatetime(cleanDatetime),
-  number(number),
-  avgPrice(avgPrice),
-  stoploss(stoploss),
-  goalPrice(goalPrice),
-  totalNumber(totalNumber),
-  buyMoney(totalMoney),
-  totalCost(totalCost),
-  totalRisk(totalRisk),
-  sellMoney(sellMoney) {}
-
 PositionRecord::PositionRecord(PositionRecord&& rv)
 : stock(rv.stock),
   takeDatetime(rv.takeDatetime),
@@ -111,7 +93,7 @@ price_t PositionRecord::addTradeRecord(const TradeRecord& tr) {
         totalNumber += tr.number;
         buyMoney = roundEx(tr.realPrice * tr.number * stock.unit() * tr.marginRatio + buyMoney,
                            stock.precision());
-        contracts.emplace_back(tr.datetime, tr.realPrice, tr.number, tr.marginRatio);
+        contracts.emplace_back(stock, tr.datetime, tr.realPrice, tr.number, tr.marginRatio);
     } else {
         sellMoney = roundEx(sellMoney + tr.realPrice * tr.number * stock.unit(), stock.precision());
         price_t frozen_cash = 0.0;

hikyuu_cpp/hikyuu/trade_manage/PositionRecord.h

@@ -10,6 +10,7 @@
 #define POSITIONRECORD_H_
 
 #include "TradeRecord.h"
+#include "ContractRecord.h"
 
 #if HKU_SUPPORT_SERIALIZATION
 #include <boost/serialization/split_member.hpp>
@@ -18,30 +19,6 @@
 
 namespace hku {
 
-struct ContractRecord {
-    ContractRecord() = default;
-    ContractRecord(const Datetime& datetime, price_t price, double number, double marginRatio)
-    : datetime(datetime), price(price), number(number), marginRatio(marginRatio) {}
-
-    Datetime datetime;    // 交易日期
-    price_t price;        // 成交价格
-    double number;        // 成交数量
-    price_t marginRatio;  // 保证金比例
-
-private:
-#if HKU_SUPPORT_SERIALIZATION
-private:
-    friend class boost::serialization::access;
-    template <class Archive>
-    void serialize(Archive& ar, const unsigned int version) {
-        ar& BOOST_SERIALIZATION_NVP(datetime);
-        ar& BOOST_SERIALIZATION_NVP(price);
-        ar& BOOST_SERIALIZATION_NVP(number);
-        ar& BOOST_SERIALIZATION_NVP(marginRatio);
-    }
-#endif
-};
-
 /**
  * 持仓记录
  * @ingroup TradeManagerClass
@@ -51,10 +28,6 @@ public:
     PositionRecord() = default;
     PositionRecord(const PositionRecord&) = default;
     PositionRecord(PositionRecord&& rv);
-    PositionRecord(const Stock& stock, const Datetime& takeDatetime, const Datetime& cleanDatetime,
-                   double number, price_t avgPrice, price_t stoploss, price_t goalPrice,
-                   double totalNumber, price_t buyMoney, price_t totalCost, price_t totalRisk,
-                   price_t sellMoney);
 
     PositionRecord& operator=(const PositionRecord&) = default;
     PositionRecord& operator=(PositionRecord&& rv);
@@ -66,7 +39,7 @@ public:
     price_t addTradeRecord(const TradeRecord& tr);
 
     /**
-     * 计算指定时刻前一交易日结算的盈利
+     * 计算指定时刻前一交易日结算的持仓盈利
      * @note 按日结算
      */
     price_t getProfitOfPreDay(Datetime datetime);
@@ -83,6 +56,7 @@ public:
     price_t totalCost = 0.0;   ///< 累计交易总成本
     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
     price_t sellMoney = 0.0;  ///< 累计卖出资金
+    // Datetime preSettleDate;   ///< 上一次结算日期
 
     bool isShort = false;
     std::list<ContractRecord> contracts;

hikyuu_cpp/hikyuu/trade_manage/TradeManager.cpp

@@ -353,7 +353,7 @@ TradeRecord TradeManager::buy(const Datetime& datetime, const Stock& stock, pric
 
     // 账户资金精度及保证金比例
     int precision = getParam<int>("precision");
-    double marginRatio = getMarginRatio(datetime, stock);
+    auto marginRatio = getMarginRatio(datetime, stock);
     CostRecord cost = getBuyCost(datetime, stock, realPrice, number);
 
     // 买入资产价值
@@ -748,6 +748,23 @@ void TradeManager::updateWithWeight(const Datetime& datetime) {
     m_last_update_datetime = datetime;
 }
 
+void TradeManager::_updateSettleByDay(const Datetime& datetime) {
+    HKU_IF_RETURN(m_contracts.empty(), void());
+
+    auto iter = m_contracts.begin();
+
+    // 假定同一账户操作的开闭市时间相同，从第一个证券获取闭市时间
+    if (m_market_close_time == Null<TimeDelta>()) {
+        m_market_close_time =
+          StockManager::instance().getMarketInfo(iter->stock.market()).closeTime2();
+    }
+
+    price_t profit = 0.0;
+    price_t need_maintain_money = 0.0;
+    for (; iter != m_contracts.end(); ++iter) {
+    }
+}
+
 void TradeManager::_saveAction(const TradeRecord& record) {
     HKU_IF_RETURN(getParam<bool>("save_action") == false, void());
     std::stringstream buf(std::stringstream::out);
@@ -980,10 +997,9 @@ bool TradeManager::_add_buy_tr(const TradeRecord& tr) {
     //更新当前持仓记录
     position_map_type::iterator pos_iter = m_position.find(tr.stock.id());
     if (pos_iter == m_position.end()) {
-        m_position[tr.stock.id()] = PositionRecord(
-          tr.stock, tr.datetime, Null<Datetime>(), tr.number, tr.realPrice, tr.stoploss,
-          tr.goalPrice, tr.number, money, tr.cost.total,
-          roundEx((tr.realPrice - tr.stoploss) * tr.number * tr.stock.unit(), precision), 0.0);
+        PositionRecord position;
+        position.addTradeRecord(tr);
+        m_position[tr.stock.id()] = position;
     } else {
         PositionRecord& position = pos_iter->second;
         position.number += tr.number;

hikyuu_cpp/hikyuu/trade_manage/TradeManager.h

@@ -15,6 +15,7 @@
 #include "TradeRecord.h"
 #include "PositionRecord.h"
 #include "FundsRecord.h"
+#include "ContractRecord.h"
 #include "OrderBrokerBase.h"
 #include "crt/TC_Zero.h"
 
@@ -239,6 +240,9 @@ private:
     //以脚本的形式保存交易动作，便于修正和校准
     void _saveAction(const TradeRecord&);
 
+    // 更新当前时刻前一结算日权益
+    void _updateSettleByDay(const Datetime& datetime);
+
     bool _add_init_tr(const TradeRecord&);
     bool _add_buy_tr(const TradeRecord&);
     bool _add_sell_tr(const TradeRecord&);
@@ -264,6 +268,10 @@ private:
     position_map_type m_position;  //当前持仓交易对象的持仓记录 ["sh000001"-> ]
     PositionRecordList m_position_history;  //持仓历史记录
 
+    TimeDelta m_market_close_time;       // 缓存市场闭市时间
+    list<ContractRecord> m_contracts;    // 记录当前持仓的合约
+    map<Datetime, FundsRecord> m_funds;  // 记录每日结算资产
+
     list<string> m_actions;  //记录交易动作，便于修改或校准实盘时的交易
 
 //==================================================
@@ -287,6 +295,7 @@ private:
         ar& bs::make_nvp<PositionRecordList>("m_position", position);
         ar& BOOST_SERIALIZATION_NVP(m_position_history);
         ar& BOOST_SERIALIZATION_NVP(m_trade_list);
+        ar& BOOST_SERIALIZATION_NVP(m_contracts);
         ar& BOOST_SERIALIZATION_NVP(m_actions);
     }
 
@@ -309,6 +318,7 @@ private:
         }
         ar& BOOST_SERIALIZATION_NVP(m_position_history);
         ar& BOOST_SERIALIZATION_NVP(m_trade_list);
+        ar& BOOST_SERIALIZATION_NVP(m_contracts);
         ar& BOOST_SERIALIZATION_NVP(m_actions);
     }
 

hikyuu_pywrap/trade_manage/_PositionRecord.cpp

@@ -19,9 +19,6 @@ using namespace hku;
 
 void export_PositionRecord() {
     class_<PositionRecord>("PositionRecord", "持仓记录", init<>())
-      .def(init<const Stock&, const Datetime&, const Datetime&, double, price_t, price_t, price_t,
-                double, price_t, price_t, price_t, price_t>())
-
       .def("__str__", &PositionRecord::toString)
       .def("__repr__", &PositionRecord::toString)