mirror of
https://gitee.com/fasiondog/hikyuu.git
synced 2024-12-03 12:27:48 +08:00
trade_sys finish
This commit is contained in:
fasiondog
parent
5e3d64ca2e
commit
3da11e708b
@ -37,7 +37,7 @@ public:
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virtual ~OrderBrokerBase();
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/** 获取名称 */
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string name() const;
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const string& name() const;
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/** 设置名称 */
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void name(const string& name);
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@ -106,7 +106,7 @@ HKU_API std::ostream& operator<<(std::ostream& os, const OrderBrokerBase&);
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/** @ingroup OrderBroker */
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HKU_API std::ostream& operator<<(std::ostream& os, const OrderBrokerPtr&);
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inline string OrderBrokerBase::name() const {
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inline const string& OrderBrokerBase::name() const {
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return m_name;
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}
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@ -98,7 +98,7 @@ public:
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SignalPtr clone();
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/** 获取名称 */
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string name() const;
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const string& name() const;
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/** 设置名称 */
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void name(const string& name);
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@ -208,7 +208,7 @@ inline KData SignalBase::getTO() const {
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return m_kdata;
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}
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inline string SignalBase::name() const {
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inline const string& SignalBase::name() const {
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return m_name;
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}
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@ -39,7 +39,7 @@ public:
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KData getTO() const;
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/** 获取名称 */
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string name() const;
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const string& name() const;
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/** 设置名称 */
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void name(const string& name);
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@ -150,7 +150,7 @@ typedef shared_ptr<SlippageBase> SPPtr;
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HKU_API std::ostream& operator<<(std::ostream&, const SlippageBase&);
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HKU_API std::ostream& operator<<(std::ostream&, const SlippagePtr&);
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inline string SlippageBase::name() const {
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inline const string& SlippageBase::name() const {
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return m_name;
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}
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@ -35,7 +35,7 @@ public:
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virtual ~StoplossBase();
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/** 获取名称 */
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string name() const;
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const string& name() const;
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/** 设置名称 */
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void name(const string& name);
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@ -171,7 +171,7 @@ typedef shared_ptr<StoplossBase> TPPtr;
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HKU_API std::ostream& operator<<(std::ostream& os, const StoplossBase&);
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HKU_API std::ostream& operator<<(std::ostream& os, const StoplossPtr&);
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inline string StoplossBase::name() const {
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inline const string& StoplossBase::name() const {
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return m_name;
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}
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@ -42,7 +42,8 @@ void export_OrderBroker(py::module& m) {
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.def("__repr__", to_py_str<OrderBrokerBase>)
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.def_property("name", py::overload_cast<void>(&OrderBrokerBase::name, py::const_),
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py::overload_cast<const string&>(&OrderBrokerBase::name), "名称（可读写）")
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py::overload_cast<const string&>(&OrderBrokerBase::name),
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py::return_value_policy::copy, "名称（可读写）")
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.def("buy", &OrderBrokerBase::buy, R"(buy(self, datetime, market, code, price, num)
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@ -242,9 +242,6 @@ FundsRecord (TradeManagerBase::*getFunds_2)(const Datetime&,
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TradeCostPtr (TradeManagerBase::*get_costFunc)() const = &TradeManagerBase::costFunc;
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void (TradeManagerBase::*set_costFunc)(const TradeCostPtr&) = &TradeManagerBase::costFunc;
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const string& (TradeManagerBase::*tm_get_name)() const = &TradeManagerBase::name;
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void (TradeManagerBase::*tm_set_name)(const string&) = &TradeManagerBase::name;
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TradeRecordList (TradeManagerBase::*_getTradeList_1)() const = &TradeManagerBase::getTradeList;
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TradeRecordList (TradeManagerBase::*_getTradeList_2)(const Datetime&, const Datetime&) const =
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&TradeManagerBase::getTradeList;
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@ -269,9 +266,10 @@ void export_TradeManager(py::module& m) {
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.def("__str__", &TradeManagerBase::str)
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.def("__repr__", &TradeManagerBase::str)
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// .def_property("name", make_function(tm_get_name,
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// return_value_policy<copy_const_reference>()),
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// tm_set_name, "名称")
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.def_property("name", py::overload_cast<>(&TradeManagerBase::name, py::const_),
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py::overload_cast<const string&>(&TradeManagerBase::name),
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py::return_value_policy::copy, "名称")
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.def_property_readonly("init_cash", &TradeManagerBase::initCash, "（只读）初始资金")
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.def_property_readonly("current_cash", &TradeManagerBase::currentCash, "（只读）当前资金")
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.def_property_readonly("init_datetime", &TradeManagerBase::initDatetime,
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@ -5,95 +5,67 @@
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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/selector/build_in.h>
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#include "../_Parameter.h"
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#include "../pybind_utils.h"
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#include "../pickle_support.h"
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using namespace boost::python;
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namespace py = pybind11;
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using namespace hku;
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class SelectorWrap : public SelectorBase, public wrapper<SelectorBase> {
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class PySelectorBase : public SelectorBase {
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PY_CLONE(PySelectorBase, SelectorBase)
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public:
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SelectorWrap() : SelectorBase() {}
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SelectorWrap(const string& name) : SelectorBase(name) {}
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virtual ~SelectorWrap() {}
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using SelectorBase::SelectorBase;
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void _reset() {
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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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SelectorBase::_reset();
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}
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void _reset() override {
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PYBIND11_OVERLOAD(void, SelectorBase, _reset, );
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}
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void default_reset() {
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this->SelectorBase::_reset();
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void _calculate() override {
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PYBIND11_OVERLOAD_PURE(void, SelectorBase, _calculate, );
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}
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bool isMatchAF(const AFPtr& af) {
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return this->get_override("is_match_af")(af);
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SystemList getSelectedOnOpen(Datetime date) override {
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PYBIND11_OVERLOAD_PURE_NAME(SystemList, SelectorBase, "get_selected_on_open",
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getSelectedOnOpen, date);
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}
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SystemList getSelectedOnOpen(Datetime date) {
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return this->get_override("get_selected_on_open")(date);
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SystemList getSelectedOnClose(Datetime date) override {
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PYBIND11_OVERLOAD_PURE_NAME(SystemList, SelectorBase, "get_selected_on_close",
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getSelectedOnClose, date);
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}
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SystemList getSelectedOnClose(Datetime date) {
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return this->get_override("get_selected_on_close")(date);
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}
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SelectorPtr _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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bool isMatchAF(const AFPtr& af) override {
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PYBIND11_OVERLOAD_PURE_NAME(bool, SelectorBase, "is_match_af", isMatchAF, af);
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}
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};
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const string& (SelectorBase::*se_get_name)() const = &SelectorBase::name;
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void (SelectorBase::*se_set_name)(const string&) = &SelectorBase::name;
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SelectorPtr (*SE_Fixed_1)() = SE_Fixed;
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SelectorPtr py_SE_Fixed(py::list stock_list, const SystemPtr& sys) {
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return SE_Fixed(python_list_to_vector<StockList>(stock_list), sys);
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}
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SEPtr (*SE_Signal_1)() = SE_Signal;
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SelectorPtr py_SE_Signal(py::list stock_list, const SystemPtr& sys) {
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return SE_Signal(python_list_to_vector<StockList>(stock_list), sys);
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}
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bool py_se_add_stock_list(SelectorBase& se, py::list stock_list, const SystemPtr& protoSys) {
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return se.addStockList(python_list_to_vector<StockList>(stock_list), protoSys);
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}
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void export_Selector() {
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class_<SelectorWrap, boost::noncopyable>(
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"SelectorBase",
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void export_Selector(py::module& m) {
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py::class_<SelectorBase, SEPtr, PySelectorBase>(
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m, "SelectorBase",
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R"(选择器策略基类，实现标的、系统策略的评估和选取算法，自定义选择器策略子类接口：
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- get_selected_on_open - 【必须】获取指定时刻开盘时选择的系统实例列表
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- get_selected_on_close - 【必须】获取指定时刻收盘时选择的系统实例列表
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- _calculate - 【必须】计算接口
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- _reset - 【可选】重置私有属性
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- _clone - 【必须】克隆接口)",
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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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.def(self_ns::repr(self))
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.add_property("name", make_function(se_get_name, return_value_policy<copy_const_reference>()),
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se_set_name, "算法名称")
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.add_property("proto_sys_list",
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make_function(&SelectorBase::getProtoSystemList,
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return_value_policy<copy_const_reference>()),
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"原型系统列表")
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.add_property("real_sys_list",
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make_function(&SelectorBase::getRealSystemList,
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return_value_policy<copy_const_reference>()),
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"由 PF 运行时设定的实际运行系统列表")
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- _clone - 【必须】克隆接口)")
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.def(py::init<>())
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.def(py::init<const string&>(), R"(初始化构造函数
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:param str name: 名称)")
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.def("__str__", to_py_str<SelectorBase>)
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.def("__repr__", to_py_str<SelectorBase>)
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.def_property("name", py::overload_cast<void>(&SelectorBase::name, py::const_),
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py::overload_cast<const string&>(&SelectorBase::name),
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py::return_value_policy::copy, "算法名称")
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.def_property_readonly("proto_sys_list", &SelectorBase::getProtoSystemList,
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py::return_value_policy::copy, "原型系统列表")
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.def_property_readonly("real_sys_list", &SelectorBase::getRealSystemList,
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py::return_value_policy::copy, "由 PF 运行时设定的实际运行系统列表")
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.def("get_param", &SelectorBase::getParam<boost::any>, R"(get_param(self, name)
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@ -103,7 +75,7 @@ void export_Selector() {
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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", &SelectorBase::setParam<object>, R"(set_param(self, name, value)
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.def("set_param", &SelectorBase::setParam<boost::any>, R"(set_param(self, name, value)
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设置参数
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@ -117,7 +89,7 @@ void export_Selector() {
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.def("clone", &SelectorBase::clone, "克隆操作")
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.def("remove_all", &SelectorBase::removeAll, "清除所有已加入的原型系统")
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.def("add_stock", &SelectorBase::addStock, (arg("stock"), arg("sys")),
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.def("add_stock", &SelectorBase::addStock, py::arg("stock"), py::arg("sys"),
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R"(add_stock(self, stock, sys)
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加入初始标的及其对应的系统策略原型
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@ -125,7 +97,7 @@ void export_Selector() {
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:param Stock stock: 加入的初始标的
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:param System sys: 系统策略原型)")
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.def("add_stock_list", py_se_add_stock_list, (arg("stk_list"), arg("sys")),
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.def("add_stock_list", &SelectorBase::addStockList, py::arg("stk_list"), py::arg("sys"),
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R"(add_stock_list(self, stk_list, sys)
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加入初始标的列表及其系统策略原型
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@ -133,17 +105,16 @@ void export_Selector() {
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:param StockList stk_list: 加入的初始标的列表
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:param System sys: 系统策略原型)")
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.def("_reset", &SelectorBase::_reset, &SelectorWrap::default_reset, "子类复位操作实现")
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.def("_clone", pure_virtual(&SelectorBase::_clone), "子类克隆操作实现接口")
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.def("_calculate", pure_virtual(&SelectorBase::_calculate), "【重载接口】子类计算接口")
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.def("_reset", &SelectorBase::_reset, "子类复位操作实现")
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.def("_calculate", &SelectorBase::_calculate, "【重载接口】子类计算接口")
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.def("is_match_af", pure_virtual(&SelectorBase::isMatchAF), R"(is_match_af(self)
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.def("is_match_af", &SelectorBase::isMatchAF, R"(is_match_af(self)
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【重载接口】判断是否和 AF 匹配
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:param AllocateFundsBase af: 资产分配算法)")
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.def("get_selected_on_open", pure_virtual(&SelectorBase::getSelectedOnOpen),
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.def("get_selected_on_open", &SelectorBase::getSelectedOnOpen,
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R"(get_selected_on_open(self, datetime)
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【重载接口】获取指定时刻开盘时选取的系统实例
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@ -152,7 +123,7 @@ void export_Selector() {
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:return: 选取的系统实例列表
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:rtype: SystemList)")
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.def("get_selected_on_close", pure_virtual(&SelectorBase::getSelectedOnClose),
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.def("get_selected_on_close", &SelectorBase::getSelectedOnClose,
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R"(get_selected_on_close(self, datetime)
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【重载接口】获取指定时刻收盘时选取的系统实例
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@ -161,15 +132,11 @@ void export_Selector() {
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:return: 选取的系统实例列表
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:rtype: SystemList)")
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#if HKU_PYTHON_SUPPORT_PICKLE
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.def_pickle(name_init_pickle_suite<SelectorBase>())
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#endif
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;
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DEF_PICKLE(SEPtr);
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register_ptr_to_python<SelectorPtr>();
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def("SE_Fixed", SE_Fixed_1);
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def("SE_Fixed", py_SE_Fixed, R"(SE_Fixed([stk_list, sys])
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m.def("SE_Fixed", py::overload_cast<void>(SE_Fixed));
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m.def("SE_Fixed", py::overload_cast<const StockList&, const SystemPtr&>(SE_Fixed),
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R"(SE_Fixed([stk_list, sys])
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固定选择器，即始终选择初始划定的标的及其系统策略原型
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@ -177,8 +144,9 @@ void export_Selector() {
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:param System sys: 系统策略原型
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:return: SE选择器实例)");
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def("SE_Signal", SE_Signal_1);
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def("SE_Signal", py_SE_Signal, R"(SE_Signal([stk_list, sys])
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m.def("SE_Signal", py::overload_cast<void>(SE_Signal));
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m.def("SE_Signal", py::overload_cast<const StockList&, const SystemPtr&>(SE_Signal),
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R"(SE_Signal([stk_list, sys])
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信号选择器，仅依靠系统买入信号进行选中
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@ -5,45 +5,29 @@
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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/signal/build_in.h>
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#include "../_Parameter.h"
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#include "../pickle_support.h"
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#include "../pybind_utils.h"
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using namespace boost::python;
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namespace py = pybind11;
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using namespace hku;
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class SignalWrap : public SignalBase, public wrapper<SignalBase> {
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class PySignalBase : public SignalBase {
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PY_CLONE(PySignalBase, SignalBase)
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public:
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SignalWrap() : SignalBase() {}
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SignalWrap(const string& name) : SignalBase(name) {}
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using SignalBase::SignalBase;
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void _reset() {
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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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SignalBase::_reset();
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}
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void _calculate() override {
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PYBIND11_OVERLOAD_PURE(void, SignalBase, _calculate, );
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}
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void default_reset() {
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this->SignalBase::_reset();
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}
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SignalPtr _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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void _reset() override {
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PYBIND11_OVERLOAD(void, SignalBase, _reset, );
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}
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};
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string (SignalBase::*sg_get_name)() const = &SignalBase::name;
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void (SignalBase::*sg_set_name)(const string&) = &SignalBase::name;
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void export_Signal() {
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class_<SignalWrap, boost::noncopyable>("SignalBase", R"(信号指示器基类
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void export_Signal(py::module& m) {
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py::class_<SignalBase, SGPtr, PySignalBase>(m, "SignalBase", R"(信号指示器基类
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信号指示器负责产生买入、卖出信号。
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公共参数：
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@ -54,15 +38,18 @@ void export_Signal() {
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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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- _reset : 【可选】重载私有变量)")
|
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|
||||
.def(self_ns::str(self))
|
||||
.def(self_ns::repr(self))
|
||||
.def(py::init<>())
|
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.def(py::init<const string&>())
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|
||||
.add_property("name", sg_get_name, sg_set_name, "名称")
|
||||
.add_property("to", &SignalBase::getTO, &SignalBase::setTO, "设置或获取交易对象")
|
||||
.def("__str__", to_py_str<SignalBase>)
|
||||
.def("__repr__", to_py_str<SignalBase>)
|
||||
|
||||
.def_property("name", py::overload_cast<void>(&SignalBase::name, py::const_),
|
||||
py::overload_cast<const string&>(&SignalBase::name),
|
||||
py::return_value_policy::copy, "名称")
|
||||
.def_property("to", &SignalBase::getTO, &SignalBase::setTO, "设置或获取交易对象")
|
||||
|
||||
.def("get_param", &SignalBase::getParam<boost::any>, R"(get_param(self, name)
|
||||
|
||||
@ -72,7 +59,7 @@ void export_Signal() {
|
||||
:return: 参数值
|
||||
:raises out_of_range: 无此参数)")
|
||||
|
||||
.def("set_param", &SignalBase::setParam<object>, R"(set_param(self, name, value)
|
||||
.def("set_param", &SignalBase::setParam<boost::any>, R"(set_param(self, name, value)
|
||||
|
||||
设置参数
|
||||
|
||||
@ -131,20 +118,13 @@ void export_Signal() {
|
||||
|
||||
.def("reset", &SignalBase::reset, "复位操作")
|
||||
.def("clone", &SignalBase::clone, "克隆操作")
|
||||
.def("_calculate", pure_virtual(&SignalBase::_calculate), "【重载接口】子类计算接口")
|
||||
.def("_reset", &SignalBase::_reset, &SignalWrap::default_reset,
|
||||
"【重载接口】子类复位接口，复位内部私有变量")
|
||||
.def("_clone", pure_virtual(&SignalBase::_clone), "【重载接口】子类克隆接口")
|
||||
.def("_calculate", &SignalBase::_calculate, "【重载接口】子类计算接口")
|
||||
.def("_reset", &SignalBase::_reset, "【重载接口】子类复位接口，复位内部私有变量")
|
||||
|
||||
#if HKU_PYTHON_SUPPORT_PICKLE
|
||||
.def_pickle(name_init_pickle_suite<SignalBase>())
|
||||
#endif
|
||||
;
|
||||
DEF_PICKLE(SGPtr);
|
||||
|
||||
register_ptr_to_python<SignalPtr>();
|
||||
|
||||
def("SG_Bool", SG_Bool, (arg("buy"), arg("sell")),
|
||||
R"(SG_Bool(buy, sell)
|
||||
m.def("SG_Bool", SG_Bool, py::arg("buy"), py::arg("sell"),
|
||||
R"(SG_Bool(buy, sell)
|
||||
|
||||
布尔信号指示器，使用运算结果为类似bool数组的Indicator分别作为买入、卖出指示。
|
||||
|
||||
@ -152,8 +132,9 @@ void export_Signal() {
|
||||
:param Indicator sell: 卖出指示（结果Indicator中相应位置>0则代表卖出）
|
||||
:return: 信号指示器)");
|
||||
|
||||
def("SG_Single", SG_Single, (arg("ind"), arg("filter_n") = 10, arg("filter_p") = 0.1),
|
||||
R"(SG_Single(ind[, filter_n = 10, filter_p = 0.1])
|
||||
m.def("SG_Single", SG_Single, py::arg("ind"), py::arg("filter_n") = 10,
|
||||
py::arg("filter_p") = 0.1,
|
||||
R"(SG_Single(ind[, filter_n = 10, filter_p = 0.1])
|
||||
|
||||
生成单线拐点信号指示器。使用《精明交易者》 [BOOK1]_ 中给出的曲线拐点算法判断曲线趋势，公式见下::
|
||||
|
||||
@ -168,8 +149,9 @@ void export_Signal() {
|
||||
:param float filter_p: 过滤器百分比
|
||||
:return: 信号指示器)");
|
||||
|
||||
def("SG_Single2", SG_Single2, (arg("ind"), arg("filter_n") = 10, arg("filter_p") = 0.1),
|
||||
R"(SG_Single2(ind[, filter_n = 10, filter_p = 0.1])
|
||||
m.def("SG_Single2", SG_Single2, py::arg("ind"), py::arg("filter_n") = 10,
|
||||
py::arg("filter_p") = 0.1,
|
||||
R"(SG_Single2(ind[, filter_n = 10, filter_p = 0.1])
|
||||
|
||||
生成单线拐点信号指示器2 [BOOK1]_::
|
||||
|
||||
@ -183,8 +165,8 @@ void export_Signal() {
|
||||
:param float filter_p: 过滤器百分比
|
||||
:return: 信号指示器)");
|
||||
|
||||
def("SG_Cross", SG_Cross, (arg("fast"), arg("slow")),
|
||||
R"(SG_Cross(fast, slow)
|
||||
m.def("SG_Cross", SG_Cross, py::arg("fast"), py::arg("slow"),
|
||||
R"(SG_Cross(fast, slow)
|
||||
|
||||
双线交叉指示器，当快线从下向上穿越慢线时，买入；当快线从上向下穿越慢线时，卖出。如：5日MA上穿10日MA时买入，5日MA线下穿MA10日线时卖出::
|
||||
|
||||
@ -194,8 +176,8 @@ void export_Signal() {
|
||||
:param Indicator slow: 慢线
|
||||
:return: 信号指示器)");
|
||||
|
||||
def("SG_CrossGold", SG_CrossGold, (arg("fast"), arg("slow")),
|
||||
R"(SG_CrossGold(fast, slow)
|
||||
m.def("SG_CrossGold", SG_CrossGold, py::arg("fast"), py::arg("slow"),
|
||||
R"(SG_CrossGold(fast, slow)
|
||||
|
||||
金叉指示器，当快线从下向上穿越慢线且快线和慢线的方向都是向上时为金叉，买入；
|
||||
当快线从上向下穿越慢线且快线和慢线的方向都是向下时死叉，卖出。::
|
||||
@ -206,8 +188,8 @@ void export_Signal() {
|
||||
:param Indicator slow: 慢线
|
||||
:return: 信号指示器)");
|
||||
|
||||
def("SG_Flex", SG_Flex, (arg("op"), arg("slow_n")),
|
||||
R"(SG_Flex(ind, slow_n)
|
||||
m.def("SG_Flex", SG_Flex, py::arg("op"), py::arg("slow_n"),
|
||||
R"(SG_Flex(ind, slow_n)
|
||||
|
||||
使用自身的EMA(slow_n)作为慢线，自身作为快线，快线向上穿越慢线买入，快线向下穿越慢线卖出。
|
||||
|
||||
@ -215,8 +197,8 @@ void export_Signal() {
|
||||
:param int slow_n: 慢线EMA周期
|
||||
:return: 信号指示器)");
|
||||
|
||||
def("SG_Band", SG_Band, (arg("ind"), arg("lower"), arg("upper")),
|
||||
R"(SG_Band(ind, lower, upper)
|
||||
m.def("SG_Band", SG_Band, py::arg("ind"), py::arg("lower"), py::arg("upper"),
|
||||
R"(SG_Band(ind, lower, upper)
|
||||
指标区间指示器, 当指标超过上轨时，买入；
|
||||
当指标低于下轨时，卖出。::
|
||||
|
||||
|
||||
@ -5,55 +5,40 @@
|
||||
* Author: fasiondog
|
||||
*/
|
||||
|
||||
#include <boost/python.hpp>
|
||||
#include <hikyuu/trade_sys/slippage/SlippageBase.h>
|
||||
#include <hikyuu/trade_sys/slippage/build_in.h>
|
||||
#include "../_Parameter.h"
|
||||
#include "../pickle_support.h"
|
||||
#include "../pybind_utils.h"
|
||||
|
||||
using namespace boost::python;
|
||||
namespace py = pybind11;
|
||||
using namespace hku;
|
||||
|
||||
class SlippageWrap : public SlippageBase, public wrapper<SlippageBase> {
|
||||
class PySlippageBase : public SlippageBase {
|
||||
PY_CLONE(PySlippageBase, SlippageBase)
|
||||
|
||||
public:
|
||||
SlippageWrap() : SlippageBase() {}
|
||||
SlippageWrap(const string& name) : SlippageBase(name) {}
|
||||
virtual ~SlippageWrap() {}
|
||||
using SlippageBase::SlippageBase;
|
||||
|
||||
void _reset() {
|
||||
if (override func = get_override("_reset")) {
|
||||
func();
|
||||
} else {
|
||||
SlippageBase::_reset();
|
||||
}
|
||||
void _calculate() override {
|
||||
PYBIND11_OVERLOAD_PURE(void, SlippageBase, _calculate, );
|
||||
}
|
||||
|
||||
void default_reset() {
|
||||
this->SlippageBase::_reset();
|
||||
void _reset() override {
|
||||
PYBIND11_OVERLOAD(void, SlippageBase, _reset, );
|
||||
}
|
||||
|
||||
SlippagePtr _clone() {
|
||||
return this->get_override("_clone")();
|
||||
price_t getRealBuyPrice(const Datetime& datetime, price_t planPrice) override {
|
||||
PYBIND11_OVERLOAD_PURE_NAME(price_t, SlippageBase, "get_real_buy_price", getRealBuyPrice,
|
||||
datetime, planPrice);
|
||||
}
|
||||
|
||||
void _calculate() {
|
||||
this->get_override("_calculate");
|
||||
}
|
||||
|
||||
price_t getRealBuyPrice(const Datetime& datetime, price_t price) {
|
||||
return this->get_override("get_real_buy_price")(datetime, price);
|
||||
}
|
||||
|
||||
price_t getRealSellPrice(const Datetime& datetime, price_t price) {
|
||||
return this->get_override("get_real_sell_price")(datetime, price);
|
||||
price_t getRealSellPrice(const Datetime& datetime, price_t planPrice) override {
|
||||
PYBIND11_OVERLOAD_PURE_NAME(price_t, SlippageBase, "get_real_sell_price", getRealSellPrice,
|
||||
datetime, planPrice);
|
||||
}
|
||||
};
|
||||
|
||||
string (SlippageBase::*sp_get_name)() const = &SlippageBase::name;
|
||||
void (SlippageBase::*sp_set_name)(const string&) = &SlippageBase::name;
|
||||
|
||||
void export_Slippage() {
|
||||
class_<SlippageWrap, boost::noncopyable>("SlippageBase", R"(移滑价差算法基类
|
||||
void export_Slippage(py::module& m) {
|
||||
py::class_<SlippageBase, SPPtr, PySlippageBase>(m, "SlippageBase", R"(移滑价差算法基类
|
||||
|
||||
自定义移滑价差接口：
|
||||
|
||||
@ -61,14 +46,20 @@ void export_Slippage() {
|
||||
- getRealSellPrice : 【必须】计算实际卖出价格
|
||||
- _calculate : 【必须】子类计算接口
|
||||
- _clone : 【必须】克隆接口
|
||||
- _reset : 【可选】重载私有变量)",
|
||||
init<>())
|
||||
.def(init<const string&>())
|
||||
.def(self_ns::str(self))
|
||||
.def(self_ns::repr(self))
|
||||
- _reset : 【可选】重载私有变量)")
|
||||
|
||||
.add_property("name", sp_get_name, sp_set_name, "名称")
|
||||
.add_property("to", &SlippageBase::getTO, &SlippageBase::setTO, "设置或获取交易对象")
|
||||
.def(py::init<>())
|
||||
.def(py::init<const string&>(), R"(初始化构造函数
|
||||
|
||||
:param str name: 名称)")
|
||||
|
||||
.def("__str__", to_py_str<SlippageBase>)
|
||||
.def("__repr__", to_py_str<SlippageBase>)
|
||||
|
||||
.def_property("name", py::overload_cast<void>(&SlippageBase::name, py::const_),
|
||||
py::overload_cast<const string&>(&SlippageBase::name),
|
||||
py::return_value_policy::copy, "名称")
|
||||
.def_property("to", &SlippageBase::getTO, &SlippageBase::setTO, "关联交易对象")
|
||||
|
||||
.def("get_param", &SlippageBase::getParam<boost::any>, R"(get_param(self, name)
|
||||
|
||||
@ -78,7 +69,7 @@ void export_Slippage() {
|
||||
:return: 参数值
|
||||
:raises out_of_range: 无此参数)")
|
||||
|
||||
.def("set_param", &SlippageBase::setParam<object>, R"(set_param(self, name, value)
|
||||
.def("set_param", &SlippageBase::setParam<boost::any>, R"(set_param(self, name, value)
|
||||
|
||||
设置参数
|
||||
|
||||
@ -88,7 +79,7 @@ void export_Slippage() {
|
||||
|
||||
.def("have_param", &SlippageBase::haveParam, "是否存在指定参数")
|
||||
|
||||
.def("get_real_buy_price", pure_virtual(&SlippageBase::getRealBuyPrice),
|
||||
.def("get_real_buy_price", &SlippageBase::getRealBuyPrice,
|
||||
R"(get_real_buy_price(self, datetime, price)
|
||||
|
||||
【重载接口】计算实际买入价格
|
||||
@ -98,7 +89,7 @@ void export_Slippage() {
|
||||
:return: 实际买入价格
|
||||
:rtype: float)")
|
||||
|
||||
.def("get_real_sell_price", pure_virtual(&SlippageBase::getRealSellPrice),
|
||||
.def("get_real_sell_price", &SlippageBase::getRealSellPrice,
|
||||
R"(get_real_sell_price(self, datetime, price)
|
||||
|
||||
【重载接口】计算实际卖出价格
|
||||
@ -110,21 +101,20 @@ void export_Slippage() {
|
||||
|
||||
.def("reset", &SlippageBase::reset, "复位操作")
|
||||
.def("clone", &SlippageBase::clone, "克隆操作")
|
||||
.def("_calculate", pure_virtual(&SlippageBase::_calculate), "【重载接口】子类计算接口")
|
||||
.def("_reset", &SlippageBase::_reset, &SlippageWrap::default_reset,
|
||||
"【重载接口】子类复位接口，复位内部私有变量")
|
||||
.def("_clone", pure_virtual(&SlippageBase::_clone), "【重载接口】子类克隆接口");
|
||||
.def("_calculate", &SlippageBase::_calculate, "【重载接口】子类计算接口")
|
||||
.def("_reset", &SlippageBase::_reset, "【重载接口】子类复位接口，复位内部私有变量")
|
||||
|
||||
register_ptr_to_python<SlippagePtr>();
|
||||
DEF_PICKLE(SPPtr);
|
||||
|
||||
def("SP_FixedPercent", SP_FixedPercent, (arg("p") = 0.001), R"(SP_FixedPercent([p=0.001])
|
||||
m.def("SP_FixedPercent", SP_FixedPercent, py::arg("p") = 0.001,
|
||||
R"(SP_FixedPercent([p=0.001])
|
||||
|
||||
固定百分比移滑价差算法，买入实际价格 = 计划买入价格 * (1 + p)，卖出实际价格 = 计划卖出价格 * (1 - p)
|
||||
|
||||
:param float p: 偏移的固定百分比
|
||||
:return: 移滑价差算法实例)");
|
||||
|
||||
def("SP_FixedValue", SP_FixedValue, (arg("value") = 0.01), R"(SP_FixedValuet([p=0.001])
|
||||
m.def("SP_FixedValue", SP_FixedValue, py::arg("value") = 0.01, R"(SP_FixedValuet([p=0.001])
|
||||
|
||||
固定价格移滑价差算法，买入实际价格 = 计划买入价格 + 偏移价格，卖出实际价格 = 计划卖出价格 - 偏移价格
|
||||
|
||||
|
||||
@ -5,74 +5,57 @@
|
||||
* Author: fasiondog
|
||||
*/
|
||||
|
||||
#include <boost/python.hpp>
|
||||
#include <hikyuu/trade_sys/stoploss/build_in.h>
|
||||
#include "../_Parameter.h"
|
||||
#include "../pickle_support.h"
|
||||
#include "../pybind_utils.h"
|
||||
|
||||
using namespace boost::python;
|
||||
namespace py = pybind11;
|
||||
using namespace hku;
|
||||
|
||||
class StoplossWrap : public StoplossBase, public wrapper<StoplossBase> {
|
||||
class PyStoplossBase : public StoplossBase {
|
||||
PY_CLONE(PyStoplossBase, StoplossBase)
|
||||
|
||||
public:
|
||||
StoplossWrap() : StoplossBase() {}
|
||||
StoplossWrap(const string& name) : StoplossBase(name) {}
|
||||
virtual ~StoplossWrap() {}
|
||||
using StoplossBase::StoplossBase;
|
||||
|
||||
void _reset() {
|
||||
if (override func = this->get_override("_reset")) {
|
||||
func();
|
||||
} else {
|
||||
StoplossBase::_reset();
|
||||
}
|
||||
void _calculate() override {
|
||||
PYBIND11_OVERLOAD_PURE(void, StoplossBase, _calculate, );
|
||||
}
|
||||
|
||||
void default_reset() {
|
||||
this->StoplossBase::_reset();
|
||||
void _reset() override {
|
||||
PYBIND11_OVERLOAD(void, StoplossBase, _reset, );
|
||||
}
|
||||
|
||||
StoplossPtr _clone() {
|
||||
return this->get_override("_clone")();
|
||||
price_t getPrice(const Datetime& datetime, price_t price) override {
|
||||
PYBIND11_OVERLOAD_PURE_NAME(price_t, StoplossBase, "get_price", getPrice, datetime, price);
|
||||
}
|
||||
|
||||
void _calculate() {
|
||||
this->get_override("_calculate")();
|
||||
}
|
||||
|
||||
price_t getPrice(const Datetime& datetime, price_t price) {
|
||||
return this->get_override("get_price")(datetime, price);
|
||||
}
|
||||
|
||||
price_t getShortPrice(const Datetime& datetime, price_t price) {
|
||||
if (override getShortPrice = get_override("get_short_price")) {
|
||||
return getShortPrice(datetime, price);
|
||||
}
|
||||
return StoplossBase::getShortPrice(datetime, price);
|
||||
}
|
||||
|
||||
price_t default_getShortPrice(const Datetime& datetime, price_t price) {
|
||||
return this->StoplossBase::getShortPrice(datetime, price);
|
||||
price_t getShortPrice(const Datetime& datetime, price_t price) override {
|
||||
PYBIND11_OVERLOAD_NAME(price_t, StoplossBase, "get_short_price", getShortPrice, datetime,
|
||||
price);
|
||||
}
|
||||
};
|
||||
|
||||
string (StoplossBase::*st_get_name)() const = &StoplossBase::name;
|
||||
void (StoplossBase::*st_set_name)(const string&) = &StoplossBase::name;
|
||||
|
||||
void export_Stoploss() {
|
||||
class_<StoplossWrap, boost::noncopyable>("StoplossBase", R"(止损/止赢算法基类
|
||||
void export_Stoploss(py::module& m) {
|
||||
py::class_<StoplossBase, StoplossPtr, PyStoplossBase>(m, "StoplossBase",
|
||||
R"(止损/止赢算法基类
|
||||
自定义止损/止赢策略接口：
|
||||
|
||||
- _calculate : 【必须】子类计算接口
|
||||
- _clone : 【必须】克隆接口
|
||||
- _reset : 【可选】重载私有变量)",
|
||||
init<>())
|
||||
.def(init<const string&>())
|
||||
.def(self_ns::str(self))
|
||||
.def(self_ns::repr(self))
|
||||
- _reset : 【可选】重载私有变量)")
|
||||
.def(py::init<>())
|
||||
.def(py::init<const string&>(), R"(初始化构造函数
|
||||
|
||||
:param str name: 名称)")
|
||||
|
||||
.add_property("name", st_get_name, st_set_name, "名称")
|
||||
.add_property("to", &StoplossBase::getTO, &StoplossBase::setTO, "设置或获取交易对象")
|
||||
.add_property("tm", &StoplossBase::getTM, &StoplossBase::setTM, "设置或获取交易管理实例")
|
||||
.def("__str__", to_py_str<StoplossBase>)
|
||||
.def("__repr__", to_py_str<StoplossBase>)
|
||||
|
||||
.def_property("name", py::overload_cast<void>(&StoplossBase::name, py::const_),
|
||||
py::overload_cast<const string&>(&StoplossBase::name),
|
||||
py::return_value_policy::copy, "名称")
|
||||
.def_property("tm", &StoplossBase::getTM, &StoplossBase::setTM, "关联交易管理实例")
|
||||
.def_property("to", &StoplossBase::getTO, &StoplossBase::setTO, "关联交易对象")
|
||||
|
||||
.def("get_param", &StoplossBase::getParam<boost::any>, R"(get_param(self, name)
|
||||
|
||||
@ -82,7 +65,7 @@ void export_Stoploss() {
|
||||
:return: 参数值
|
||||
:raises out_of_range: 无此参数)")
|
||||
|
||||
.def("set_param", &StoplossBase::setParam<object>, R"(set_param(self, name, value)
|
||||
.def("set_param", &StoplossBase::setParam<boost::any>, R"(set_param(self, name, value)
|
||||
|
||||
设置参数
|
||||
|
||||
@ -92,7 +75,7 @@ void export_Stoploss() {
|
||||
|
||||
.def("have_param", &StoplossBase::haveParam, "是否存在指定参数")
|
||||
|
||||
.def("get_price", pure_virtual(&StoplossBase::getPrice), R"(get_price(self, datetime, price)
|
||||
.def("get_price", &StoplossBase::getPrice, R"(get_price(self, datetime, price)
|
||||
|
||||
【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。
|
||||
|
||||
@ -104,31 +87,24 @@ void export_Stoploss() {
|
||||
:return: 止损价格
|
||||
:rtype: float)")
|
||||
|
||||
//.def("getShortPrice", &StoplossBase::getShortPrice, &StoplossWrap::default_getShortPrice)
|
||||
.def("get_short_price", &StoplossBase::getShortPrice)
|
||||
|
||||
.def("reset", &StoplossBase::reset, "复位操作")
|
||||
.def("clone", &StoplossBase::clone, "克隆操作")
|
||||
.def("_calculate", pure_virtual(&StoplossBase::_calculate), "【重载接口】子类计算接口")
|
||||
.def("_reset", &StoplossBase::_reset, &StoplossWrap::default_reset,
|
||||
"【重载接口】子类复位接口，复位内部私有变量")
|
||||
.def("_clone", pure_virtual(&StoplossBase::_clone), "【重载接口】子类克隆接口")
|
||||
.def("_calculate", &StoplossBase::_calculate, "【重载接口】子类计算接口")
|
||||
.def("_reset", &StoplossBase::_reset, "【重载接口】子类复位接口，复位内部私有变量")
|
||||
|
||||
#if HKU_PYTHON_SUPPORT_PICKLE
|
||||
.def_pickle(name_init_pickle_suite<StoplossBase>())
|
||||
#endif
|
||||
;
|
||||
DEF_PICKLE(StoplossPtr);
|
||||
|
||||
register_ptr_to_python<StoplossPtr>();
|
||||
|
||||
def("ST_FixedPercent", ST_FixedPercent, (arg("p") = 0.03), R"(ST_FixedPercent([p=0.03])
|
||||
m.def("ST_FixedPercent", ST_FixedPercent, py::arg("p") = 0.03, R"(ST_FixedPercent([p=0.03])
|
||||
|
||||
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
|
||||
|
||||
:param float p: 百分比(0,1]
|
||||
:return: 止损/止赢策略实例)");
|
||||
|
||||
def("ST_Indicator", ST_Indicator, (arg("op"), arg("kpart") = "CLOSE"),
|
||||
R"(ST_Indicator(op[, kpart="CLOSE"])
|
||||
m.def("ST_Indicator", ST_Indicator, py::arg("op"), py::arg("kpart") = "CLOSE",
|
||||
R"(ST_Indicator(op[, kpart="CLOSE"])
|
||||
|
||||
使用技术指标作为止损价。如使用10日EMA作为止损：::
|
||||
|
||||
@ -138,8 +114,8 @@ void export_Stoploss() {
|
||||
:param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
|
||||
:return: 止损/止赢策略实例)");
|
||||
|
||||
def("ST_Saftyloss", ST_Saftyloss, (arg("n1") = 10, arg("n2") = 3, arg("p") = 2.0),
|
||||
R"(ST_Saftyloss([n1=10, n2=3, p=2.0])
|
||||
m.def("ST_Saftyloss", ST_Saftyloss, py::arg("n1") = 10, py::arg("n2") = 3, py::arg("p") = 2.0,
|
||||
R"(ST_Saftyloss([n1=10, n2=3, p=2.0])
|
||||
|
||||
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
|
||||
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，
|
||||
|
||||
@ -5,36 +5,28 @@
|
||||
* Author: fasiondog
|
||||
*/
|
||||
|
||||
#include <boost/python.hpp>
|
||||
#include <hikyuu/trade_sys/system/build_in.h>
|
||||
#include <boost/python/suite/indexing/vector_indexing_suite.hpp>
|
||||
#include "../_Parameter.h"
|
||||
#include "../pickle_support.h"
|
||||
#include "../pybind_utils.h"
|
||||
|
||||
using namespace boost::python;
|
||||
namespace py = pybind11;
|
||||
using namespace hku;
|
||||
|
||||
#if defined(_MSC_VER)
|
||||
#pragma warning(disable : 4267)
|
||||
#endif
|
||||
|
||||
BOOST_PYTHON_MEMBER_FUNCTION_OVERLOADS(run_overload, run, 2, 3);
|
||||
|
||||
const string& (System::*sys_get_name)() const = &System::name;
|
||||
void (System::*sys_set_name)(const string&) = &System::name;
|
||||
|
||||
void (System::*run_1)(const KQuery&, bool) = &System::run;
|
||||
void (System::*run_2)(const KData&, bool) = &System::run;
|
||||
void (System::*run_3)(const Stock&, const KQuery&, bool reset) = &System::run;
|
||||
|
||||
TradeRecord (System::*runMoment_1)(const Datetime&) = &System::runMoment;
|
||||
|
||||
void export_System() {
|
||||
def(
|
||||
"SYS_Simple", SYS_Simple,
|
||||
(arg("tm") = TradeManagerPtr(), arg("mm") = MoneyManagerPtr(), arg("ev") = EnvironmentPtr(),
|
||||
arg("cn") = ConditionPtr(), arg("sg") = SignalPtr(), arg("st") = StoplossPtr(),
|
||||
arg("tp") = StoplossPtr(), arg("pg") = ProfitGoalPtr(), arg("sp") = SlippagePtr()),
|
||||
void export_System(py::module& m) {
|
||||
m.def(
|
||||
"SYS_Simple", SYS_Simple, py::arg("tm") = TradeManagerPtr(),
|
||||
py::arg("mm") = MoneyManagerPtr(), py::arg("ev") = EnvironmentPtr(),
|
||||
py::arg("cn") = ConditionPtr(), py::arg("sg") = SignalPtr(), py::arg("st") = StoplossPtr(),
|
||||
py::arg("tp") = StoplossPtr(), py::arg("pg") = ProfitGoalPtr(), py::arg("sp") = SlippagePtr(),
|
||||
R"(SYS_Simple([tm=None, mm=None, ev=None, cn=None, sg=None, st=None, tp=None, pg=None, sp=None])
|
||||
|
||||
创建简单系统实例（每次交易不进行多次加仓或减仓，即每次买入后在卖出时全部卖出）， 系统实例在运行时(调用run方法），至少需要一个配套的交易管理实例、一个资金管理策略
|
||||
@ -65,7 +57,7 @@ void export_System() {
|
||||
:param SlippageBase sp: 移滑价差算法
|
||||
:return: system实例)");
|
||||
|
||||
def("get_system_part_name", getSystemPartName, R"(get_system_part_name(part)
|
||||
m.def("get_system_part_name", getSystemPartName, R"(get_system_part_name(part)
|
||||
|
||||
获取部件的字符串名称
|
||||
|
||||
@ -82,21 +74,22 @@ void export_System() {
|
||||
:param int part: System.Part 枚举值
|
||||
:rtype: str)");
|
||||
|
||||
def("get_system_part_enum", getSystemPartEnum, R"(get_system_part_enum(part_name)
|
||||
m.def("get_system_part_enum", getSystemPartEnum, R"(get_system_part_enum(part_name)
|
||||
|
||||
根据系统部件的字符串名称获取相应的枚举值
|
||||
|
||||
:param str part_name: 系统部件的字符串名称，参见：:py:func:`getSystemPartName`
|
||||
:rtype: System.Part)");
|
||||
|
||||
class_<TradeRequest>(
|
||||
"TradeRequest",
|
||||
R"(交易请求记录。系统内部在实现延迟操作时登记的交易请求信息。暴露该结构的主要目的是用于在“delay”模式（延迟到下一个bar开盘时进行交易）的情况下，系统实际已知下一个Bar将要进行交易，此时可通过 :py:meth:`System.getBuyTradeRequest` 、 :py:meth:`System.getSellTradeRequest` 来获知下一个BAR是否需要买入/卖出。主要用于提醒或打印下一个Bar需要进行操作。对于系统本身的运行没有影响。)",
|
||||
init<>())
|
||||
|
||||
//.def(self_ns::str(self))
|
||||
//.def(self_ns::repr(self))
|
||||
py::class_<TradeRequest>(
|
||||
m, "TradeRequest",
|
||||
R"(交易请求记录。系统内部在实现延迟操作时登记的交易请求信息。暴露该结构的主要目的是用于
|
||||
在“delay”模式（延迟到下一个bar开盘时进行交易）的情况下，系统实际已知下一个Bar将要
|
||||
进行交易，此时可通过 System.getBuyTradeRequest() 、 System.getSellTradeRequest()
|
||||
来获知下一个BAR是否需要买入/卖出。主要用于提醒或打印下一个Bar需要进行操作。对于系统
|
||||
本身的运行没有影响。)")
|
||||
|
||||
.def(py::init<>())
|
||||
.def_readwrite("valid", &TradeRequest::valid, "该交易请求记录是否有效（True | False）")
|
||||
.def_readwrite("business", &TradeRequest::business,
|
||||
"交易业务类型，参见：:py:class:`hikyuu.trade_manage.BUSINESS`")
|
||||
@ -105,17 +98,11 @@ void export_System() {
|
||||
.def_readwrite("part", &TradeRequest::from,
|
||||
"发出交易请求的来源，参见：:py:class:`System.Part`")
|
||||
.def_readwrite("count", &TradeRequest::count, "因操作失败，连续延迟的次数")
|
||||
#if HKU_PYTHON_SUPPORT_PICKLE
|
||||
.def_pickle(normal_pickle_suite<TradeRequest>())
|
||||
#endif
|
||||
;
|
||||
DEF_PICKLE(TradeRequest);
|
||||
|
||||
class_<SystemList>("SystemList").def(vector_indexing_suite<SystemList>());
|
||||
|
||||
scope in_System =
|
||||
class_<System>(
|
||||
"System",
|
||||
R"(系统基类。需要扩展或实现更复杂的系统交易行为，可从此类继承。
|
||||
py::class_<System, SystemPtr>(
|
||||
m, "System",
|
||||
R"(系统基类。需要扩展或实现更复杂的系统交易行为，可从此类继承。
|
||||
|
||||
系统是指针对单个交易对象的完整策略，包括环境判断、系统有效条件、资金管理、止损、止盈、盈利目标、移滑价差的完整策略，用于模拟回测。
|
||||
|
||||
@ -128,29 +115,30 @@ void export_System() {
|
||||
- tp_delay_n=3 (int) : 止盈延迟开始的天数，即止盈策略判断从实际交易几天后开始生效
|
||||
- ignore_sell_sg=False (bool) : 忽略卖出信号，只使用止损/止赢等其他方式卖出
|
||||
- ev_open_position=False (bool): 是否使用市场环境判定进行初始建仓
|
||||
- cn_open_position=False (bool): 是否使用系统有效性条件进行初始建仓)",
|
||||
init<const string&>())
|
||||
.def(init<const TradeManagerPtr&, const MoneyManagerPtr&, const EnvironmentPtr&,
|
||||
const ConditionPtr&, const SignalPtr&, const StoplossPtr&, const StoplossPtr&,
|
||||
const ProfitGoalPtr&, const SlippagePtr&, const string&>())
|
||||
.def(self_ns::str(self))
|
||||
.def(self_ns::repr(self))
|
||||
- cn_open_position=False (bool): 是否使用系统有效性条件进行初始建仓)")
|
||||
|
||||
.add_property("name",
|
||||
make_function(sys_get_name, return_value_policy<copy_const_reference>()),
|
||||
sys_set_name, "系统名称")
|
||||
.add_property("tm", &System::getTM, &System::setTM, "关联的交易管理实例")
|
||||
.add_property("to", &System::getTO, &System::setTO, "交易对象 KData")
|
||||
.add_property("mm", &System::getMM, &System::setMM, "资金管理策略")
|
||||
.add_property("ev", &System::getEV, &System::setEV, "市场环境判断策略")
|
||||
.add_property("cn", &System::getCN, &System::setCN, "系统有效条件")
|
||||
.add_property("sg", &System::getSG, &System::setSG, "信号指示器")
|
||||
.add_property("st", &System::getST, &System::setST, "止损策略")
|
||||
.add_property("tp", &System::getTP, &System::setTP, "止盈策略")
|
||||
.add_property("pg", &System::getPG, &System::setPG, "盈利目标策略")
|
||||
.add_property("sp", &System::getSP, &System::setSP, "移滑价差算法")
|
||||
.def(py::init<const string&>())
|
||||
.def(py::init<const TradeManagerPtr&, const MoneyManagerPtr&, const EnvironmentPtr&,
|
||||
const ConditionPtr&, const SignalPtr&, const StoplossPtr&, const StoplossPtr&,
|
||||
const ProfitGoalPtr&, const SlippagePtr&, const string&>())
|
||||
.def("__str__", to_py_str<System>)
|
||||
.def("__repr__", to_py_str<System>)
|
||||
|
||||
.def("get_param", &System::getParam<boost::any>, R"(get_param(self, name)
|
||||
.def_property("name", py::overload_cast<void>(&System::name, py::const_),
|
||||
py::overload_cast<const string&>(&System::name), py::return_value_policy::copy,
|
||||
"系统名称")
|
||||
.def_property("tm", &System::getTM, &System::setTM, "关联的交易管理实例")
|
||||
.def_property("to", &System::getTO, &System::setTO, "交易对象 KData")
|
||||
.def_property("mm", &System::getMM, &System::setMM, "资金管理策略")
|
||||
.def_property("ev", &System::getEV, &System::setEV, "市场环境判断策略")
|
||||
.def_property("cn", &System::getCN, &System::setCN, "系统有效条件")
|
||||
.def_property("sg", &System::getSG, &System::setSG, "信号指示器")
|
||||
.def_property("st", &System::getST, &System::setST, "止损策略")
|
||||
.def_property("tp", &System::getTP, &System::setTP, "止盈策略")
|
||||
.def_property("pg", &System::getPG, &System::setPG, "盈利目标策略")
|
||||
.def_property("sp", &System::getSP, &System::setSP, "移滑价差算法")
|
||||
|
||||
.def("get_param", &System::getParam<boost::any>, R"(get_param(self, name)
|
||||
|
||||
获取指定的参数
|
||||
|
||||
@ -158,7 +146,7 @@ void export_System() {
|
||||
:return: 参数值
|
||||
:raises out_of_range: 无此参数)")
|
||||
|
||||
.def("set_param", &System::setParam<object>, R"(set_param(self, name, value)
|
||||
.def("set_param", &System::setParam<boost::any>, R"(set_param(self, name, value)
|
||||
|
||||
设置参数
|
||||
|
||||
@ -166,56 +154,55 @@ void export_System() {
|
||||
:param value: 参数值
|
||||
:raises logic_error: Unsupported type! 不支持的参数类型)")
|
||||
|
||||
.def("have_param", &System::haveParam, "是否存在指定参数")
|
||||
.def("have_param", &System::haveParam, "是否存在指定参数")
|
||||
|
||||
.def("get_stock", &System::getStock, R"(get_stock(self)
|
||||
.def("get_stock", &System::getStock, R"(get_stock(self)
|
||||
|
||||
获取关联的证券
|
||||
|
||||
:rtype: Stock)")
|
||||
|
||||
.def("get_trade_record_list", &System::getTradeRecordList,
|
||||
return_value_policy<copy_const_reference>(), R"(get_trade_record_list(self)
|
||||
.def("get_trade_record_list", &System::getTradeRecordList, py::return_value_policy::copy,
|
||||
R"(get_trade_record_list(self)
|
||||
|
||||
获取实际执行的交易记录，和 TM 的区别是不包含权息调整带来的交易记录
|
||||
|
||||
:rtype: TradeRecordList)")
|
||||
|
||||
.def("get_buy_trade_request", &System::getBuyTradeRequest,
|
||||
return_value_policy<copy_const_reference>(), R"(get_buy_trade_request(self)
|
||||
.def("get_buy_trade_request", &System::getBuyTradeRequest, py::return_value_policy::copy,
|
||||
R"(get_buy_trade_request(self)
|
||||
|
||||
获取买入请求，“delay”模式下查看下一时刻是否存在买入操作
|
||||
|
||||
:rtype: TradeRequest)")
|
||||
|
||||
.def("get_sell_trade_request", &System::getSellTradeRequest,
|
||||
return_value_policy<copy_const_reference>(), R"(get_sell_trade_request(self)
|
||||
.def("get_sell_trade_request", &System::getSellTradeRequest, py::return_value_policy::copy,
|
||||
R"(get_sell_trade_request(self)
|
||||
|
||||
获取卖出请求，“delay”模式下查看下一时刻是否存在卖出操作
|
||||
|
||||
:rtype: TradeRequest)")
|
||||
|
||||
/*.def("getSellShortTradeRequest", &System::getSellShortTradeRequest,
|
||||
return_value_policy<copy_const_reference>())
|
||||
.def("getBuyShortTradeRequest", &System::getBuyShortTradeRequest,
|
||||
return_value_policy<copy_const_reference>())*/
|
||||
.def("get_sell_short_trade_request", &System::getSellShortTradeRequest,
|
||||
py::return_value_policy::copy)
|
||||
.def("get_buy_short_trade_request", &System::getBuyShortTradeRequest,
|
||||
py::return_value_policy::copy)
|
||||
|
||||
.def("reset", &System::reset, R"(reset(self, with_tm, with_ev)
|
||||
.def("reset", &System::reset, R"(reset(self, with_tm, with_ev)
|
||||
|
||||
复位操作。TM、EV是和具体系统无关的策略组件，可以在不同的系统中进行共享，复位将引起系统运行时被重新清空并计算。尤其是在共享TM时需要注意！
|
||||
|
||||
:param bool with_tm: 是否复位TM组件
|
||||
:param bool with_ev: 是否复位EV组件)")
|
||||
|
||||
.def("clone", &System::clone, R"(clone(self)
|
||||
.def("clone", &System::clone, R"(clone(self)
|
||||
|
||||
克隆操作。)")
|
||||
|
||||
//.def("run", &System::run, run_overload(args("stock", "query", "reset")))
|
||||
.def("run", run_1, (arg("query"), arg("reset") = true))
|
||||
.def("run", run_2, (arg("kdata"), arg("reset") = true))
|
||||
.def("run", run_3, (arg("stock"), arg("query"), arg("reset") = true),
|
||||
R"(run(self, stock, query[, reset=True])
|
||||
.def("run", run_1, py::arg("query"), py::arg("reset") = true)
|
||||
.def("run", run_2, py::arg("kdata"), py::arg("reset") = true)
|
||||
.def("run", run_3, py::arg("stock"), py::arg("query"), py::arg("reset") = true,
|
||||
R"(run(self, stock, query[, reset=True])
|
||||
|
||||
运行系统，执行回测
|
||||
|
||||
@ -223,14 +210,11 @@ void export_System() {
|
||||
:param Query query: K线数据查询条件
|
||||
:param bool reset: 是否同时复位所有组件，尤其是tm实例)")
|
||||
|
||||
.def("ready", &System::readyForRun)
|
||||
.def("ready", &System::readyForRun)
|
||||
|
||||
#if HKU_PYTHON_SUPPORT_PICKLE
|
||||
.def_pickle(name_init_pickle_suite<System>())
|
||||
#endif
|
||||
;
|
||||
DEF_PICKLE(System);
|
||||
|
||||
enum_<SystemPart>("Part")
|
||||
py::enum_<SystemPart>(m, "Part")
|
||||
.value("ENVIRONMENT", PART_ENVIRONMENT)
|
||||
.value("CONDITION", PART_CONDITION)
|
||||
.value("SIGNAL", PART_SIGNAL)
|
||||
@ -241,6 +225,4 @@ void export_System() {
|
||||
.value("SLIPPAGE", PART_SLIPPAGE)
|
||||
.value("ALLOCATEFUNDS", PART_ALLOCATEFUNDS)
|
||||
.value("INVALID", PART_INVALID);
|
||||
|
||||
register_ptr_to_python<SystemPtr>();
|
||||
}
|
||||
|
||||
@ -12,12 +12,12 @@ namespace py = pybind11;
|
||||
void export_Environment(py::module& m);
|
||||
void export_Condition(py::module& m);
|
||||
void export_MoneyManager(py::module& m);
|
||||
// void export_Signal(py::module& m);
|
||||
// void export_Stoploss(py::module& m);
|
||||
void export_Signal(py::module& m);
|
||||
void export_Stoploss(py::module& m);
|
||||
void export_ProfitGoal(py::module& m);
|
||||
// void export_Slippage(py::module& m);
|
||||
// void export_System(py::module& m);
|
||||
// void export_Selector(py::module& m);
|
||||
void export_Slippage(py::module& m);
|
||||
void export_System(py::module& m);
|
||||
void export_Selector(py::module& m);
|
||||
void export_Portfolio(py::module& m);
|
||||
void export_AllocateFunds(py::module& m);
|
||||
|
||||
@ -25,12 +25,12 @@ void export_trade_sys_main(py::module& m) {
|
||||
export_Environment(m);
|
||||
export_Condition(m);
|
||||
export_MoneyManager(m);
|
||||
// export_Signal(m);
|
||||
// export_Stoploss(m);
|
||||
export_Signal(m);
|
||||
export_Stoploss(m);
|
||||
export_ProfitGoal(m);
|
||||
// export_Slippage(m);
|
||||
// export_System(m);
|
||||
// export_Selector(m);
|
||||
export_Slippage(m);
|
||||
export_System(m);
|
||||
export_Selector(m);
|
||||
export_AllocateFunds(m);
|
||||
export_Portfolio(m);
|
||||
}
|
||||
|
||||
@ -44,14 +44,8 @@ target("core")
|
||||
add_files("./global/*.cpp")
|
||||
add_files("./trade_instance/*.cpp")
|
||||
add_files("./trade_manage/*.cpp")
|
||||
add_files("./trade_sys/trade_sys_main.cpp")
|
||||
add_files("./trade_sys/_AllocateFunds.cpp")
|
||||
add_files("./trade_sys/_Condition.cpp")
|
||||
add_files("./trade_sys/_Environment.cpp")
|
||||
add_files("./trade_sys/_MoneyManager.cpp")
|
||||
add_files("./trade_sys/_Portfolio.cpp")
|
||||
add_files("./trade_sys/_ProfitGoal.cpp")
|
||||
-- add_files("./trade_sys/_ProfitGoal.cpp")
|
||||
add_files("./trade_sys/*.cpp")
|
||||
|
||||
|
||||
add_rpathdirs("$ORIGIN", "$ORIGIN/lib", "$ORIGIN/../lib")
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user