mirror of
https://gitee.com/fasiondog/hikyuu.git
synced 2024-11-29 18:39:10 +08:00
规整 python 接口
This commit is contained in:
fasiondog
parent
320605423e
commit
5049b9cffa
@ -57,6 +57,7 @@ from .extend import *
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from .deprecated import *
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from .indicator import *
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from .trade_manage import *
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from .trade_sys import *
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__version__ = get_version()
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@ -30,9 +30,8 @@
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#===============================================================================
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#TradeManager.buy等方法默认参数使用了Part，这里必须先导入，否则报初始化错误
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from hikyuu import Datetime, Query, QueryByDate, StockManager, System
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from hikyuu import Datetime, Query, QueryByDate, StockManager, System, getSystemPartName
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from hikyuu.util.slice import list_getitem
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from hikyuu.trade_sys.system import getSystemPartName
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BUSINESS.INIT = BUSINESS.BUSINESS_INIT
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BUSINESS.BUY = BUSINESS.BUSINESS_BUY
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@ -24,8 +24,4 @@
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# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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# SOFTWARE.
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__all__ = ['system', 'environment', 'condition', 'moneymanager', 'signal',
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'stoploss', 'profitgoal', 'slippage', 'selector', 'portfolio',
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'allocatefunds']
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from .trade_sys import *
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@ -1,38 +0,0 @@
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#!/usr/bin/python
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# -*- coding: utf8 -*-
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# cp936
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#
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# The MIT License (MIT)
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#
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# Copyright (c) 2010-2017 fasiondog
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#
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# Permission is hereby granted, free of charge, to any person obtaining a copy
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# of this software and associated documentation files (the "Software"), to deal
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# in the Software without restriction, including without limitation the rights
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# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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# copies of the Software, and to permit persons to whom the Software is
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# furnished to do so, subject to the following conditions:
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#
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# The above copyright notice and this permission notice shall be included in all
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# copies or substantial portions of the Software.
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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# SOFTWARE.
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from hikyuu.cpp.core import (AllocateFundsBase, SystemWeight, SystemWeightList, AF_EqualWeight)
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from hikyuu.util.slice import list_getitem
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SystemWeightList.__getitem__ = list_getitem
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#------------------------------------------------------------------
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# add doc-string
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#------------------------------------------------------------------
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#------------------------------------------------------------------
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# add doc-string for build_in func
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#------------------------------------------------------------------
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@ -1,63 +0,0 @@
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#!/usr/bin/python
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# -*- coding: utf8 -*-
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# cp936
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#
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# The MIT License (MIT)
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#
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# Copyright (c) 2010-2017 fasiondog
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#
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# Permission is hereby granted, free of charge, to any person obtaining a copy
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# of this software and associated documentation files (the "Software"), to deal
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# in the Software without restriction, including without limitation the rights
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# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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# copies of the Software, and to permit persons to whom the Software is
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# furnished to do so, subject to the following conditions:
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#
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# The above copyright notice and this permission notice shall be included in all
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# copies or substantial portions of the Software.
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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# SOFTWARE.
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from hikyuu.cpp.core import ConditionBase, CN_OPLine
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def cn_init(self, name, params):
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super(self.__class__, self).__init__(name)
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self._name = name
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self._params = params
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for k, v in params.items():
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self.setParam(k, v)
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def crtCN(func, params={}, name='crtCN'):
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"""
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快速创建自定义不带私有属性的系统有效条件
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:param func: 系统有效条件函数
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:param {} params: 参数字典
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:param str name: 自定义名称
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:return: 自定义系统有效条件实例
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"""
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meta_x = type(name, (ConditionBase, ), {'__init__': cn_init})
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meta_x._clone = lambda self: meta_x(self._name, self._params)
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meta_x._calculate = func
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return meta_x(name, params)
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#------------------------------------------------------------------
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# add doc-string
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#------------------------------------------------------------------
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ConditionBase.__init__.__doc__ = """
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__init__(self[, name="ConditionBase"])
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初始化构造函数
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:param str name: 名称
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"""
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@ -1,63 +0,0 @@
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#!/usr/bin/python
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# -*- coding: utf8 -*-
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# cp936
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#
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# The MIT License (MIT)
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#
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# Copyright (c) 2010-2017 fasiondog
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#
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# Permission is hereby granted, free of charge, to any person obtaining a copy
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# of this software and associated documentation files (the "Software"), to deal
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# in the Software without restriction, including without limitation the rights
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# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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# copies of the Software, and to permit persons to whom the Software is
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# furnished to do so, subject to the following conditions:
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#
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# The above copyright notice and this permission notice shall be included in all
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# copies or substantial portions of the Software.
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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# SOFTWARE.
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from hikyuu.cpp.core import EnvironmentBase, EV_TwoLine
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def ev_init(self, name, params):
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super(self.__class__, self).__init__(name)
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self._name = name
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self._params = params
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for k, v in params.items():
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self.setParam(k, v)
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def crtEV(func, params={}, name='crtEV'):
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"""
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快速创建自定义不带私有属性的市场环境判断策略
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:param func: 市场环境判断策略函数
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:param {} params: 参数字典
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:param str name: 自定义名称
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:return: 自定义市场环境判断策略实例
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"""
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meta_x = type(name, (EnvironmentBase, ), {'__init__': ev_init})
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meta_x._clone = lambda self: meta_x(self._name, self._params)
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meta_x._calculate = func
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return meta_x(name, params)
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#------------------------------------------------------------------
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# add doc-string
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#------------------------------------------------------------------
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EnvironmentBase.__init__.__doc__ = """
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__init__(self[, name='EnvironmentBase'])
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初始化构造函数
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:param str name: 名称
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"""
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@ -1,66 +0,0 @@
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#!/usr/bin/python
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# -*- coding: utf8 -*-
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# cp936
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#
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# The MIT License (MIT)
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#
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# Copyright (c) 2010-2017 fasiondog
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#
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# Permission is hereby granted, free of charge, to any person obtaining a copy
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# of this software and associated documentation files (the "Software"), to deal
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# in the Software without restriction, including without limitation the rights
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# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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# copies of the Software, and to permit persons to whom the Software is
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# furnished to do so, subject to the following conditions:
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#
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# The above copyright notice and this permission notice shall be included in all
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# copies or substantial portions of the Software.
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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# SOFTWARE.
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from hikyuu.cpp.core import (
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MoneyManagerBase, MM_Nothing, MM_FixedRisk, MM_FixedCapital, MM_FixedCount, MM_FixedPercent,
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MM_FixedUnits, MM_WilliamsFixedRisk
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)
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def mm_init(self, name, params):
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super(self.__class__, self).__init__(name)
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self._name = name
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self._params = params
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for k, v in params.items():
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self.setParam(k, v)
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def crtMM(func, params={}, name='crtMM'):
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"""
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快速创建自定义不带私有属性的资金管理策略
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:param func: 资金管理策略计算函数
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:param {} params: 参数字典
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:param str name: 自定义名称
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:return: 自定义资金管理策略实例
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"""
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meta_x = type(name, (MoneyManagerBase, ), {'__init__': mm_init})
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meta_x._clone = lambda self: meta_x(self._name, self._params)
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meta_x._calculate = func
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return meta_x(name, params)
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#------------------------------------------------------------------
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# add doc-string
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#------------------------------------------------------------------
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MoneyManagerBase.__init__.__doc__ = """
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__init__(self[, name="MoneyManagerBase])
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初始化构造函数
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:param str name: 名称
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"""
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@ -1,61 +0,0 @@
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#!/usr/bin/python
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# -*- coding: utf8 -*-
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# cp936
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#
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# The MIT License (MIT)
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#
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# Copyright (c) 2010-2017 fasiondog
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#
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# Permission is hereby granted, free of charge, to any person obtaining a copy
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# of this software and associated documentation files (the "Software"), to deal
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# in the Software without restriction, including without limitation the rights
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# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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# copies of the Software, and to permit persons to whom the Software is
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# furnished to do so, subject to the following conditions:
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#
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# The above copyright notice and this permission notice shall be included in all
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# copies or substantial portions of the Software.
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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# SOFTWARE.
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from hikyuu.cpp.core import (Portfolio, PF_Simple)
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#------------------------------------------------------------------
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# add doc-string
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#------------------------------------------------------------------
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Portfolio.__doc__ = """实现多标的、多策略的投资组合"""
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Portfolio.name.__doc__ = """名称"""
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Portfolio.tm.__doc__ = """关联的交易管理实例"""
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Portfolio.se.__doc__ = """选择器策略"""
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Portfolio.run.__doc__ = """
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run(self, query)
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运行投资组合策略
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:param Query query: 查询条件
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"""
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#------------------------------------------------------------------
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# add doc-string for build_in func
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#------------------------------------------------------------------
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PF_Simple.__doc__ = """
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PF_Simple([tm, sys, se])
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创建一个多标的、单系统策略的投资组合
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:param TradeManager tm: 交易管理
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:param System sys: 系统策略
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:param SelectorBase se: 选择器
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"""
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@ -1,63 +0,0 @@
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#!/usr/bin/python
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# -*- coding: utf8 -*-
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# cp936
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#
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# The MIT License (MIT)
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#
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# Copyright (c) 2010-2017 fasiondog
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#
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# Permission is hereby granted, free of charge, to any person obtaining a copy
|
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# of this software and associated documentation files (the "Software"), to deal
|
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# in the Software without restriction, including without limitation the rights
|
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# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
|
||||
# copies of the Software, and to permit persons to whom the Software is
|
||||
# furnished to do so, subject to the following conditions:
|
||||
#
|
||||
# The above copyright notice and this permission notice shall be included in all
|
||||
# copies or substantial portions of the Software.
|
||||
#
|
||||
# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
|
||||
# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
|
||||
# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
|
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# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
|
||||
# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
|
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# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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# SOFTWARE.
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from hikyuu.cpp.core import (ProfitGoalBase, PG_NoGoal, PG_FixedPercent, PG_FixedHoldDays)
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def pg_init(self, name, params):
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super(self.__class__, self).__init__(name)
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self._name = name
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self._params = params
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for k, v in params.items():
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self.setParam(k, v)
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def crtPG(func, params={}, name='crtPG'):
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"""
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快速创建自定义不带私有属性的盈利目标策略
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:param func: 盈利目标策略函数
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:param {} params: 参数字典
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:param str name: 自定义名称
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:return: 盈利目标策略实例
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"""
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meta_x = type(name, (ProfitGoalBase, ), {'__init__': pg_init})
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meta_x._clone = lambda self: meta_x(self._name, self._params)
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meta_x._calculate = func
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return meta_x(name, params)
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#------------------------------------------------------------------
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# add doc-string
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#------------------------------------------------------------------
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ProfitGoalBase.__init__.__doc__ = """
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__init__(self[, name="ProfitGoalBase"])
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初始化构造函数
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:param str name: 名称
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"""
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@ -1,136 +0,0 @@
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#!/usr/bin/python
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# -*- coding: utf8 -*-
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# cp936
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#
|
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# The MIT License (MIT)
|
||||
#
|
||||
# Copyright (c) 2010-2017 fasiondog
|
||||
#
|
||||
# Permission is hereby granted, free of charge, to any person obtaining a copy
|
||||
# of this software and associated documentation files (the "Software"), to deal
|
||||
# in the Software without restriction, including without limitation the rights
|
||||
# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
|
||||
# copies of the Software, and to permit persons to whom the Software is
|
||||
# furnished to do so, subject to the following conditions:
|
||||
#
|
||||
# The above copyright notice and this permission notice shall be included in all
|
||||
# copies or substantial portions of the Software.
|
||||
#
|
||||
# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
|
||||
# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
|
||||
# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
|
||||
# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
|
||||
# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
|
||||
# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
|
||||
# SOFTWARE.
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from hikyuu.cpp.core import (SelectorBase, SE_Fixed)
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#------------------------------------------------------------------
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# add doc-string
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#------------------------------------------------------------------
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SelectorBase.__doc__ = """
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选择器策略基类，实现标的、系统策略的评估和选取算法
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公共参数：
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freq (int | 1) 变化频度，选股的变化周期，以Bar为单位
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自定义选择器策略接口：
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SelectorBase.getSelectedSystemList - 【必须】获取指定时刻选择的系统实例列表
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SelectorBase._reset - 【可选】重置私有属性
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SelectorBase._clone - 【必须】克隆接口
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"""
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SelectorBase.name.__doc__ = """名称"""
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SelectorBase.__init__.__doc__ = """
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__init__(self[, name="SelectorBase])
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||||
初始化构造函数
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||||
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:param str name: 名称
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"""
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SelectorBase.getParam.__doc__ = """
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getParam(self, name)
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获取指定的参数
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:param str name: 参数名称
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:return: 参数值
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:raises out_of_range: 无此参数
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"""
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SelectorBase.setParam.__doc__ = """
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setParam(self, name, value)
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设置参数
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:param str name: 参数名称
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:param value: 参数值
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:type value: int | bool | float | string
|
||||
:raises logic_error: Unsupported type! 不支持的参数类型
|
||||
"""
|
||||
|
||||
SelectorBase.addStock.__doc__ = """
|
||||
addStock(self, stock, sys)
|
||||
|
||||
加入初始标的及其对应的系统策略原型
|
||||
|
||||
:param Stock stock: 加入的初始标的
|
||||
:param System sys: 系统策略原型
|
||||
"""
|
||||
|
||||
SelectorBase.addStockList.__doc__ = """
|
||||
addStockList(self, stk_list, sys)
|
||||
|
||||
加入初始标的列表及其系统策略原型
|
||||
|
||||
:param StockList stk_list: 加入的初始标的列表
|
||||
:param System sys: 系统策略原型
|
||||
"""
|
||||
|
||||
SelectorBase.clear.__doc__ = """
|
||||
clear(self)
|
||||
|
||||
清除已加入的所有交易系统实例
|
||||
"""
|
||||
|
||||
SelectorBase.getSelectedSystemList.__doc__ = """
|
||||
getSelectedSystemList(self, datetime)
|
||||
|
||||
【重载接口】获取指定时刻选取的标的及其权重
|
||||
|
||||
:param Datetime datetime: 指定时刻
|
||||
:return: 选取的系统交易实例列表
|
||||
:rtype: SystemList
|
||||
"""
|
||||
|
||||
SelectorBase._reset.__doc__ = """
|
||||
_reset(self)
|
||||
|
||||
【重载接口】子类复位接口，复位内部私有变量
|
||||
"""
|
||||
|
||||
SelectorBase._clone.__doc__ = """
|
||||
_clone(self)
|
||||
|
||||
【重载接口】子类克隆接口
|
||||
"""
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# add doc-string for build_in func
|
||||
#------------------------------------------------------------------
|
||||
|
||||
SE_Fixed.__doc__ = """
|
||||
SE_Fixed([stocklist, sys])
|
||||
|
||||
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
|
||||
|
||||
:param StockList stocklist: 初始划定的标的
|
||||
:param System sys: 系统策略原型
|
||||
:return: SE选择器实例
|
||||
"""
|
||||
@ -1,63 +0,0 @@
|
||||
#!/usr/bin/python
|
||||
# -*- coding: utf8 -*-
|
||||
# cp936
|
||||
#
|
||||
# The MIT License (MIT)
|
||||
#
|
||||
# Copyright (c) 2010-2017 fasiondog
|
||||
#
|
||||
# Permission is hereby granted, free of charge, to any person obtaining a copy
|
||||
# of this software and associated documentation files (the "Software"), to deal
|
||||
# in the Software without restriction, including without limitation the rights
|
||||
# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
|
||||
# copies of the Software, and to permit persons to whom the Software is
|
||||
# furnished to do so, subject to the following conditions:
|
||||
#
|
||||
# The above copyright notice and this permission notice shall be included in all
|
||||
# copies or substantial portions of the Software.
|
||||
#
|
||||
# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
|
||||
# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
|
||||
# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
|
||||
# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
|
||||
# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
|
||||
# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
|
||||
# SOFTWARE.
|
||||
|
||||
from hikyuu.cpp.core import (
|
||||
SignalBase, SG_Bool, SG_Single, SG_Single2, SG_Cross, SG_CrossGold, SG_Flex
|
||||
)
|
||||
|
||||
|
||||
def sig_init(self, name, params):
|
||||
super(self.__class__, self).__init__(name)
|
||||
self._name = name
|
||||
self._params = params
|
||||
for k, v in params.items():
|
||||
self.setParam(k, v)
|
||||
|
||||
|
||||
def crtSG(func, params={}, name='crtSG'):
|
||||
"""
|
||||
快速创建自定义不带私有属性的信号指示器
|
||||
|
||||
:param func: 信号策略函数
|
||||
:param {} params: 参数字典
|
||||
:param str name: 自定义名称
|
||||
:return: 自定义信号指示器实例
|
||||
"""
|
||||
meta_x = type(name, (SignalBase, ), {'__init__': sig_init})
|
||||
meta_x._clone = lambda self: meta_x(self._name, self._params)
|
||||
meta_x._calculate = func
|
||||
return meta_x(name, params)
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# add doc-string
|
||||
#------------------------------------------------------------------
|
||||
|
||||
SignalBase.__init__.__doc__ = """
|
||||
__init__(self[, name="SignalBase"])
|
||||
|
||||
:param str name: 名称
|
||||
"""
|
||||
@ -1,63 +0,0 @@
|
||||
#!/usr/bin/python
|
||||
# -*- coding: utf8 -*-
|
||||
# cp936
|
||||
#
|
||||
# The MIT License (MIT)
|
||||
#
|
||||
# Copyright (c) 2010-2017 fasiondog
|
||||
#
|
||||
# Permission is hereby granted, free of charge, to any person obtaining a copy
|
||||
# of this software and associated documentation files (the "Software"), to deal
|
||||
# in the Software without restriction, including without limitation the rights
|
||||
# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
|
||||
# copies of the Software, and to permit persons to whom the Software is
|
||||
# furnished to do so, subject to the following conditions:
|
||||
#
|
||||
# The above copyright notice and this permission notice shall be included in all
|
||||
# copies or substantial portions of the Software.
|
||||
#
|
||||
# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
|
||||
# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
|
||||
# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
|
||||
# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
|
||||
# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
|
||||
# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
|
||||
# SOFTWARE.
|
||||
|
||||
from hikyuu.cpp.core import (SlippageBase, SL_FixedPercent, SL_FixedValue)
|
||||
|
||||
|
||||
def sl_init(self, name, params):
|
||||
super(self.__class__, self).__init__(name)
|
||||
self._name = name
|
||||
self._params = params
|
||||
for k, v in params.items():
|
||||
self.setParam(k, v)
|
||||
|
||||
|
||||
def crtSL(func, params={}, name='crtSL'):
|
||||
"""
|
||||
快速创建自定义不带私有属性的移滑价差算法
|
||||
|
||||
:param func: 移滑价差算法函数
|
||||
:param {} params: 参数字典
|
||||
:param str name: 自定义名称
|
||||
:return: 移滑价差算法实例
|
||||
"""
|
||||
meta_x = type(name, (SlippageBase, ), {'__init__': sl_init})
|
||||
meta_x._clone = lambda self: meta_x(self._name, self._params)
|
||||
meta_x._calculate = func
|
||||
return meta_x(name, params)
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# add doc-string
|
||||
#------------------------------------------------------------------
|
||||
|
||||
SlippageBase.__init__.__doc__ = """
|
||||
__init__(self[, name="SlippageBase"])
|
||||
|
||||
初始化构造函数
|
||||
|
||||
:param str name: 名称
|
||||
"""
|
||||
@ -1,67 +0,0 @@
|
||||
#!/usr/bin/python
|
||||
# -*- coding: utf8 -*-
|
||||
# cp936
|
||||
#
|
||||
# The MIT License (MIT)
|
||||
#
|
||||
# Copyright (c) 2010-2017 fasiondog
|
||||
#
|
||||
# Permission is hereby granted, free of charge, to any person obtaining a copy
|
||||
# of this software and associated documentation files (the "Software"), to deal
|
||||
# in the Software without restriction, including without limitation the rights
|
||||
# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
|
||||
# copies of the Software, and to permit persons to whom the Software is
|
||||
# furnished to do so, subject to the following conditions:
|
||||
#
|
||||
# The above copyright notice and this permission notice shall be included in all
|
||||
# copies or substantial portions of the Software.
|
||||
#
|
||||
# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
|
||||
# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
|
||||
# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
|
||||
# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
|
||||
# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
|
||||
# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
|
||||
# SOFTWARE.
|
||||
|
||||
import hikyuu.cpp.core as csys
|
||||
|
||||
StoplossBase = csys.StoplossBase
|
||||
|
||||
ST_FixedPercent = csys.ST_FixedPercent
|
||||
ST_Indicator = csys.ST_Indicator
|
||||
ST_Saftyloss = csys.ST_Saftyloss
|
||||
|
||||
|
||||
def st_init(self, name, params):
|
||||
super(self.__class__, self).__init__(name)
|
||||
self._name = name
|
||||
self._params = params
|
||||
for k, v in params.items():
|
||||
self.setParam(k, v)
|
||||
|
||||
|
||||
def crtST(func, params={}, name='crtST'):
|
||||
"""
|
||||
快速创建自定义不带私有属性的止损/止盈策略
|
||||
|
||||
:param func: 止损/止盈策略函数
|
||||
:param {} params: 参数字典
|
||||
:param str name: 自定义名称
|
||||
:return: 止损/止盈策略实例
|
||||
"""
|
||||
meta_x = type(name, (StoplossBase, ), {'__init__': st_init})
|
||||
meta_x._clone = lambda self: meta_x(self._name, self._params)
|
||||
meta_x._calculate = func
|
||||
return meta_x(name, params)
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# add doc-string
|
||||
#------------------------------------------------------------------
|
||||
|
||||
StoplossBase.__init__.__doc__ = """
|
||||
__init__(self[, name="StoplossBase"])
|
||||
|
||||
:param str name: 名称
|
||||
"""
|
||||
@ -1,122 +0,0 @@
|
||||
#!/usr/bin/python
|
||||
# -*- coding: utf8 -*-
|
||||
# cp936
|
||||
#
|
||||
# The MIT License (MIT)
|
||||
#
|
||||
# Copyright (c) 2010-2017 fasiondog
|
||||
#
|
||||
# Permission is hereby granted, free of charge, to any person obtaining a copy
|
||||
# of this software and associated documentation files (the "Software"), to deal
|
||||
# in the Software without restriction, including without limitation the rights
|
||||
# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
|
||||
# copies of the Software, and to permit persons to whom the Software is
|
||||
# furnished to do so, subject to the following conditions:
|
||||
#
|
||||
# The above copyright notice and this permission notice shall be included in all
|
||||
# copies or substantial portions of the Software.
|
||||
#
|
||||
# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
|
||||
# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
|
||||
# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
|
||||
# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
|
||||
# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
|
||||
# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
|
||||
# SOFTWARE.
|
||||
|
||||
from hikyuu.cpp.core import (System, SystemList, getSystemPartName, getSystemPartEnum, TradeRequest)
|
||||
from hikyuu.cpp.core import SYS_Simple as cpp_SYS_Simple
|
||||
from hikyuu.util.slice import list_getitem
|
||||
|
||||
System.ENVIRONMENT = System.Part.ENVIRONMENT
|
||||
System.CONDITION = System.Part.CONDITION
|
||||
System.SIGNAL = System.Part.SIGNAL
|
||||
System.STOPLOSS = System.Part.STOPLOSS
|
||||
System.TAKEPROFIT = System.Part.TAKEPROFIT
|
||||
System.MONEYMANAGER = System.Part.MONEYMANAGER
|
||||
System.PROFITGOAL = System.Part.PROFITGOAL
|
||||
System.SLIPPAGE = System.Part.SLIPPAGE
|
||||
System.INVALID = System.Part.INVALID
|
||||
|
||||
SystemList.__getitem__ = list_getitem
|
||||
SystemList.__str__ = lambda self: str(list(self))
|
||||
SystemList.__repr__ = lambda self: repr(list(self))
|
||||
|
||||
#SystemPart = System.Part
|
||||
|
||||
|
||||
def 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
|
||||
和一个信号指示器），可以在创建系统实例后进行指定。如果出现调用run时没有任何输出，
|
||||
且没有正确结果的时候，可能是未设置tm、sg、mm。进行回测时，使用 run 方法，如::
|
||||
|
||||
#创建模拟交易账户进行回测，初始资金30万
|
||||
my_tm = crtTM(initCash = 300000)
|
||||
|
||||
#创建信号指示器（以5日EMA为快线，5日EMA自身的10日EMA最为慢线，快线向上穿越
|
||||
#慢线时买入，反之卖出）
|
||||
my_sg = SG_Flex(OP(EMA(n=5)), slow_n=10)
|
||||
|
||||
#固定每次买入1000股
|
||||
my_mm = MM_FixedCount(1000)
|
||||
|
||||
#创建交易系统并运行
|
||||
sys = SYS_Simple(tm = my_tm, sg = my_sg, mm = my_mm)
|
||||
sys.run(sm['sz000001'], Query(-150))
|
||||
|
||||
:param TradeManager tm: 交易管理实例
|
||||
:param MoneyManager mm: 资金管理策略
|
||||
:param EnvironmentBase ev: 市场环境判断策略
|
||||
:param ConditionBase cn: 系统有效条件
|
||||
:param SignalBase sg: 信号指示器
|
||||
:param StoplossBase st: 止损策略
|
||||
:param StoplossBase tp: 止盈策略
|
||||
:param ProfitGoalBase pg: 盈利目标策略
|
||||
:param SlippageBase sp: 移滑价差算法
|
||||
:return: system实例
|
||||
"""
|
||||
sys_ins = cpp_SYS_Simple()
|
||||
if tm:
|
||||
sys_ins.tm = tm
|
||||
if mm:
|
||||
sys_ins.mm = mm
|
||||
if ev:
|
||||
sys_ins.ev = ev
|
||||
if cn:
|
||||
sys_ins.cn = cn
|
||||
if sg:
|
||||
sys_ins.sg = sg
|
||||
if st:
|
||||
sys_ins.st = st
|
||||
if tp:
|
||||
sys_ins.tp = tp
|
||||
if pg:
|
||||
sys_ins.pg = pg
|
||||
if sp:
|
||||
sys_ins.sp = sp
|
||||
return sys_ins
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# add doc-string
|
||||
#------------------------------------------------------------------
|
||||
|
||||
System.Part.__doc__ = """
|
||||
系统部件枚举值，系统的买入/卖出等操作可由这些部件触发，用于标识实际交易指令的来源，
|
||||
参见：:py:class:`TradeRecord`。
|
||||
|
||||
实际使用中，可使用 System.ENVIRONMENT 的简化方式 代替 System.Part.ENVIRONMENT，
|
||||
其他与此类似。
|
||||
|
||||
- System.Part.ENVIRONMENT - 市场环境判断策略
|
||||
- System.Part.CONDITION - 系统有效条件
|
||||
- System.Part.SIGNAL - 信号指示器
|
||||
- System.Part.STOPLOSS - 止损策略
|
||||
- System.Part.TAKEPROFIT - 止盈策略
|
||||
- System.Part.MONEYMANAGER - 资金管理策略
|
||||
- System.Part.PROFITGOAL - 盈利目标策略
|
||||
- System.Part.SLIPPAGE - 移滑价差算法
|
||||
- System.Part.INVALID - 无效值边界，大于等于该值时为无效部件
|
||||
"""
|
||||
366
hikyuu/trade_sys/trade_sys.py
Normal file
366
hikyuu/trade_sys/trade_sys.py
Normal file
@ -0,0 +1,366 @@
|
||||
# -*- coding: utf8 -*-
|
||||
|
||||
from hikyuu.util.slice import list_getitem
|
||||
from hikyuu.cpp.core import SYS_Simple as cpp_SYS_Simple
|
||||
from hikyuu.cpp.core import (
|
||||
System, SystemList, SystemWeight, SystemWeightList, ConditionBase, EnvironmentBase,
|
||||
MoneyManagerBase, ProfitGoalBase, SelectorBase, SignalBase, SlippageBase, StoplossBase
|
||||
)
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# System
|
||||
#------------------------------------------------------------------
|
||||
|
||||
System.Part.__doc__ = """
|
||||
系统部件枚举值，系统的买入/卖出等操作可由这些部件触发，用于标识实际交易指令的来源，
|
||||
参见：:py:class:`TradeRecord`。
|
||||
|
||||
实际使用中，可使用 System.ENVIRONMENT 的简化方式 代替 System.Part.ENVIRONMENT，
|
||||
其他与此类似。
|
||||
|
||||
- System.Part.ENVIRONMENT - 市场环境判断策略
|
||||
- System.Part.CONDITION - 系统有效条件
|
||||
- System.Part.SIGNAL - 信号指示器
|
||||
- System.Part.STOPLOSS - 止损策略
|
||||
- System.Part.TAKEPROFIT - 止盈策略
|
||||
- System.Part.MONEYMANAGER - 资金管理策略
|
||||
- System.Part.PROFITGOAL - 盈利目标策略
|
||||
- System.Part.SLIPPAGE - 移滑价差算法
|
||||
- System.Part.INVALID - 无效值边界，大于等于该值时为无效部件
|
||||
"""
|
||||
|
||||
System.ENVIRONMENT = System.Part.ENVIRONMENT
|
||||
System.CONDITION = System.Part.CONDITION
|
||||
System.SIGNAL = System.Part.SIGNAL
|
||||
System.STOPLOSS = System.Part.STOPLOSS
|
||||
System.TAKEPROFIT = System.Part.TAKEPROFIT
|
||||
System.MONEYMANAGER = System.Part.MONEYMANAGER
|
||||
System.PROFITGOAL = System.Part.PROFITGOAL
|
||||
System.SLIPPAGE = System.Part.SLIPPAGE
|
||||
System.INVALID = System.Part.INVALID
|
||||
|
||||
SystemList.__getitem__ = list_getitem
|
||||
SystemList.__str__ = lambda self: str(list(self))
|
||||
SystemList.__repr__ = lambda self: repr(list(self))
|
||||
|
||||
|
||||
def 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
|
||||
和一个信号指示器），可以在创建系统实例后进行指定。如果出现调用run时没有任何输出，
|
||||
且没有正确结果的时候，可能是未设置tm、sg、mm。进行回测时，使用 run 方法，如::
|
||||
|
||||
#创建模拟交易账户进行回测，初始资金30万
|
||||
my_tm = crtTM(initCash = 300000)
|
||||
|
||||
#创建信号指示器（以5日EMA为快线，5日EMA自身的10日EMA最为慢线，快线向上穿越
|
||||
#慢线时买入，反之卖出）
|
||||
my_sg = SG_Flex(OP(EMA(n=5)), slow_n=10)
|
||||
|
||||
#固定每次买入1000股
|
||||
my_mm = MM_FixedCount(1000)
|
||||
|
||||
#创建交易系统并运行
|
||||
sys = SYS_Simple(tm = my_tm, sg = my_sg, mm = my_mm)
|
||||
sys.run(sm['sz000001'], Query(-150))
|
||||
|
||||
:param TradeManager tm: 交易管理实例
|
||||
:param MoneyManager mm: 资金管理策略
|
||||
:param EnvironmentBase ev: 市场环境判断策略
|
||||
:param ConditionBase cn: 系统有效条件
|
||||
:param SignalBase sg: 信号指示器
|
||||
:param StoplossBase st: 止损策略
|
||||
:param StoplossBase tp: 止盈策略
|
||||
:param ProfitGoalBase pg: 盈利目标策略
|
||||
:param SlippageBase sp: 移滑价差算法
|
||||
:return: system实例
|
||||
"""
|
||||
sys_ins = cpp_SYS_Simple()
|
||||
if tm:
|
||||
sys_ins.tm = tm
|
||||
if mm:
|
||||
sys_ins.mm = mm
|
||||
if ev:
|
||||
sys_ins.ev = ev
|
||||
if cn:
|
||||
sys_ins.cn = cn
|
||||
if sg:
|
||||
sys_ins.sg = sg
|
||||
if st:
|
||||
sys_ins.st = st
|
||||
if tp:
|
||||
sys_ins.tp = tp
|
||||
if pg:
|
||||
sys_ins.pg = pg
|
||||
if sp:
|
||||
sys_ins.sp = sp
|
||||
return sys_ins
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# allocatefunds
|
||||
#------------------------------------------------------------------
|
||||
|
||||
SystemWeightList.__getitem__ = list_getitem
|
||||
SystemWeightList.__str__ = lambda self: str(list(self))
|
||||
SystemWeightList.__repr__ = lambda self: repr(list(self))
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# condition
|
||||
#------------------------------------------------------------------
|
||||
|
||||
ConditionBase.__init__.__doc__ = """
|
||||
__init__(self[, name="ConditionBase"])
|
||||
|
||||
初始化构造函数
|
||||
|
||||
:param str name: 名称
|
||||
"""
|
||||
|
||||
|
||||
def cn_init(self, name, params):
|
||||
super(self.__class__, self).__init__(name)
|
||||
self._name = name
|
||||
self._params = params
|
||||
for k, v in params.items():
|
||||
self.setParam(k, v)
|
||||
|
||||
|
||||
def crtCN(func, params={}, name='crtCN'):
|
||||
"""
|
||||
快速创建自定义不带私有属性的系统有效条件
|
||||
|
||||
:param func: 系统有效条件函数
|
||||
:param {} params: 参数字典
|
||||
:param str name: 自定义名称
|
||||
:return: 自定义系统有效条件实例
|
||||
"""
|
||||
meta_x = type(name, (ConditionBase, ), {'__init__': cn_init})
|
||||
meta_x._clone = lambda self: meta_x(self._name, self._params)
|
||||
meta_x._calculate = func
|
||||
return meta_x(name, params)
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# environment
|
||||
#------------------------------------------------------------------
|
||||
|
||||
EnvironmentBase.__init__.__doc__ = """
|
||||
__init__(self[, name='EnvironmentBase'])
|
||||
|
||||
初始化构造函数
|
||||
|
||||
:param str name: 名称
|
||||
"""
|
||||
|
||||
|
||||
def ev_init(self, name, params):
|
||||
super(self.__class__, self).__init__(name)
|
||||
self._name = name
|
||||
self._params = params
|
||||
for k, v in params.items():
|
||||
self.setParam(k, v)
|
||||
|
||||
|
||||
def crtEV(func, params={}, name='crtEV'):
|
||||
"""
|
||||
快速创建自定义不带私有属性的市场环境判断策略
|
||||
|
||||
:param func: 市场环境判断策略函数
|
||||
:param {} params: 参数字典
|
||||
:param str name: 自定义名称
|
||||
:return: 自定义市场环境判断策略实例
|
||||
"""
|
||||
meta_x = type(name, (EnvironmentBase, ), {'__init__': ev_init})
|
||||
meta_x._clone = lambda self: meta_x(self._name, self._params)
|
||||
meta_x._calculate = func
|
||||
return meta_x(name, params)
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# moneymanager
|
||||
#------------------------------------------------------------------
|
||||
|
||||
MoneyManagerBase.__init__.__doc__ = """
|
||||
__init__(self[, name="MoneyManagerBase])
|
||||
|
||||
初始化构造函数
|
||||
|
||||
:param str name: 名称
|
||||
"""
|
||||
|
||||
|
||||
def mm_init(self, name, params):
|
||||
super(self.__class__, self).__init__(name)
|
||||
self._name = name
|
||||
self._params = params
|
||||
for k, v in params.items():
|
||||
self.setParam(k, v)
|
||||
|
||||
|
||||
def crtMM(func, params={}, name='crtMM'):
|
||||
"""
|
||||
快速创建自定义不带私有属性的资金管理策略
|
||||
|
||||
:param func: 资金管理策略计算函数
|
||||
:param {} params: 参数字典
|
||||
:param str name: 自定义名称
|
||||
:return: 自定义资金管理策略实例
|
||||
"""
|
||||
meta_x = type(name, (MoneyManagerBase, ), {'__init__': mm_init})
|
||||
meta_x._clone = lambda self: meta_x(self._name, self._params)
|
||||
meta_x._calculate = func
|
||||
return meta_x(name, params)
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# profitgoal
|
||||
#------------------------------------------------------------------
|
||||
|
||||
ProfitGoalBase.__init__.__doc__ = """
|
||||
__init__(self[, name="ProfitGoalBase"])
|
||||
|
||||
初始化构造函数
|
||||
|
||||
:param str name: 名称
|
||||
"""
|
||||
|
||||
|
||||
def pg_init(self, name, params):
|
||||
super(self.__class__, self).__init__(name)
|
||||
self._name = name
|
||||
self._params = params
|
||||
for k, v in params.items():
|
||||
self.setParam(k, v)
|
||||
|
||||
|
||||
def crtPG(func, params={}, name='crtPG'):
|
||||
"""
|
||||
快速创建自定义不带私有属性的盈利目标策略
|
||||
|
||||
:param func: 盈利目标策略函数
|
||||
:param {} params: 参数字典
|
||||
:param str name: 自定义名称
|
||||
:return: 盈利目标策略实例
|
||||
"""
|
||||
meta_x = type(name, (ProfitGoalBase, ), {'__init__': pg_init})
|
||||
meta_x._clone = lambda self: meta_x(self._name, self._params)
|
||||
meta_x._calculate = func
|
||||
return meta_x(name, params)
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# selector
|
||||
#------------------------------------------------------------------
|
||||
|
||||
SelectorBase.__init__.__doc__ = """
|
||||
__init__(self[, name="SelectorBase])
|
||||
|
||||
初始化构造函数
|
||||
|
||||
:param str name: 名称
|
||||
"""
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# signal
|
||||
#------------------------------------------------------------------
|
||||
|
||||
SignalBase.__init__.__doc__ = """
|
||||
__init__(self[, name="SignalBase"])
|
||||
|
||||
:param str name: 名称
|
||||
"""
|
||||
|
||||
|
||||
def sig_init(self, name, params):
|
||||
super(self.__class__, self).__init__(name)
|
||||
self._name = name
|
||||
self._params = params
|
||||
for k, v in params.items():
|
||||
self.setParam(k, v)
|
||||
|
||||
|
||||
def crtSG(func, params={}, name='crtSG'):
|
||||
"""
|
||||
快速创建自定义不带私有属性的信号指示器
|
||||
|
||||
:param func: 信号策略函数
|
||||
:param {} params: 参数字典
|
||||
:param str name: 自定义名称
|
||||
:return: 自定义信号指示器实例
|
||||
"""
|
||||
meta_x = type(name, (SignalBase, ), {'__init__': sig_init})
|
||||
meta_x._clone = lambda self: meta_x(self._name, self._params)
|
||||
meta_x._calculate = func
|
||||
return meta_x(name, params)
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# slippage
|
||||
#------------------------------------------------------------------
|
||||
|
||||
SlippageBase.__init__.__doc__ = """
|
||||
__init__(self[, name="SlippageBase"])
|
||||
|
||||
初始化构造函数
|
||||
|
||||
:param str name: 名称
|
||||
"""
|
||||
|
||||
|
||||
def sl_init(self, name, params):
|
||||
super(self.__class__, self).__init__(name)
|
||||
self._name = name
|
||||
self._params = params
|
||||
for k, v in params.items():
|
||||
self.setParam(k, v)
|
||||
|
||||
|
||||
def crtSL(func, params={}, name='crtSL'):
|
||||
"""
|
||||
快速创建自定义不带私有属性的移滑价差算法
|
||||
|
||||
:param func: 移滑价差算法函数
|
||||
:param {} params: 参数字典
|
||||
:param str name: 自定义名称
|
||||
:return: 移滑价差算法实例
|
||||
"""
|
||||
meta_x = type(name, (SlippageBase, ), {'__init__': sl_init})
|
||||
meta_x._clone = lambda self: meta_x(self._name, self._params)
|
||||
meta_x._calculate = func
|
||||
return meta_x(name, params)
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# stoploss
|
||||
#------------------------------------------------------------------
|
||||
|
||||
StoplossBase.__init__.__doc__ = """
|
||||
__init__(self[, name="StoplossBase"])
|
||||
|
||||
:param str name: 名称
|
||||
"""
|
||||
|
||||
|
||||
def st_init(self, name, params):
|
||||
super(self.__class__, self).__init__(name)
|
||||
self._name = name
|
||||
self._params = params
|
||||
for k, v in params.items():
|
||||
self.setParam(k, v)
|
||||
|
||||
|
||||
def crtST(func, params={}, name='crtST'):
|
||||
"""
|
||||
快速创建自定义不带私有属性的止损/止盈策略
|
||||
|
||||
:param func: 止损/止盈策略函数
|
||||
:param {} params: 参数字典
|
||||
:param str name: 自定义名称
|
||||
:return: 止损/止盈策略实例
|
||||
"""
|
||||
meta_x = type(name, (StoplossBase, ), {'__init__': st_init})
|
||||
meta_x._clone = lambda self: meta_x(self._name, self._params)
|
||||
meta_x._calculate = func
|
||||
return meta_x(name, params)
|
||||
@ -7,21 +7,22 @@
|
||||
|
||||
#include <boost/python.hpp>
|
||||
#include <hikyuu/trade_sys/portfolio/build_in.h>
|
||||
#include <hikyuu/trade_sys/selector/crt/SE_Fixed.h>
|
||||
#include <hikyuu/trade_sys/allocatefunds/crt/AF_EqualWeight.h>
|
||||
#include "../_Parameter.h"
|
||||
#include "../pickle_support.h"
|
||||
|
||||
using namespace boost::python;
|
||||
using namespace hku;
|
||||
|
||||
BOOST_PYTHON_FUNCTION_OVERLOADS(PF_Simple_overload, PF_Simple, 0, 3);
|
||||
|
||||
void (Portfolio::*pf_set_name)(const string&) = &Portfolio::name;
|
||||
const string& (Portfolio::*pf_get_name)() const = &Portfolio::name;
|
||||
|
||||
void export_Portfolio() {
|
||||
class_<Portfolio>("Portfolio", init<>())
|
||||
class_<Portfolio>("Portfolio", R"(实现多标的、多策略的投资组合)", init<>())
|
||||
.def(init<const string&>())
|
||||
.def(init<const TradeManagerPtr&, const SelectorPtr&, const AFPtr&>())
|
||||
|
||||
.def(self_ns::str(self))
|
||||
.def(self_ns::repr(self))
|
||||
|
||||
@ -30,10 +31,16 @@ void export_Portfolio() {
|
||||
.def("have_param", &Portfolio::haveParam)
|
||||
|
||||
.add_property("name", make_function(pf_get_name, return_value_policy<copy_const_reference>()),
|
||||
pf_set_name)
|
||||
.add_property("tm", &Portfolio::getTM, &Portfolio::setTM)
|
||||
.add_property("se", &Portfolio::getSE, &Portfolio::setSE)
|
||||
.def("run", &Portfolio::run)
|
||||
pf_set_name, "名称")
|
||||
.add_property("tm", &Portfolio::getTM, &Portfolio::setTM, "设置或获取交易管理对象")
|
||||
.add_property("se", &Portfolio::getSE, &Portfolio::setSE, "设置或获取交易对象选择算法")
|
||||
|
||||
.def("run", &Portfolio::run, R"(run(self, query)
|
||||
|
||||
运行投资组合策略
|
||||
|
||||
:param Query query: 查询条件)")
|
||||
|
||||
#if HKU_PYTHON_SUPPORT_PICKLE
|
||||
.def_pickle(name_init_pickle_suite<Portfolio>())
|
||||
#endif
|
||||
@ -41,5 +48,13 @@ void export_Portfolio() {
|
||||
|
||||
register_ptr_to_python<PortfolioPtr>();
|
||||
|
||||
def("PF_Simple", PF_Simple, PF_Simple_overload());
|
||||
def("PF_Simple", PF_Simple,
|
||||
(arg("tm") = TradeManagerPtr(), arg("se") = SE_Fixed(), arg("af") = AF_EqualWeight()),
|
||||
R"(PF_Simple([tm, sys, se])
|
||||
|
||||
创建一个多标的、单系统策略的投资组合
|
||||
|
||||
:param TradeManager tm: 交易管理
|
||||
:param System sys: 系统策略
|
||||
:param SelectorBase se: 选择器)");
|
||||
}
|
||||
|
||||
Loading…
Reference in New Issue
Block a user