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组合交易实现(continue)

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This commit is contained in:
fasiondog 2020-08-08 00:43:51 +08:00
parent 625a8f463c
commit 52a3793c58
5 changed files with 47 additions and 55 deletions
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81
hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp
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@ -27,9 +27,10 @@ HKU_API std::ostream& operator<<(std::ostream& os, const AFPtr& af) {
AllocateFundsBase::AllocateFundsBase()
: m_name("AllocateMoneyBase"), m_count(0), m_pre_date(Datetime::min()), m_reserve_percent(0) {
setParam<bool>("adjust_hold_sys", false); //是否调整之前已经持仓策略的持仓
setParam<int>("max_sys_num", 10); //最大系统实例数
setParam<int>("freq", 1); //调仓频率
//是否调整之前已经持仓策略的持仓。不调整时，仅使用总账户当前剩余资金进行分配，否则将使用总市值进行分配
setParam<bool>("adjust_hold_sys", false);
setParam<int>("max_sys_num", 100000); //最大系统实例数
setParam<int>("freq", 1); //调仓频率
}
AllocateFundsBase::AllocateFundsBase(const string& name)
@ -127,6 +128,9 @@ void AllocateFundsBase::_getAllocatedSystemList_adjust_hold(const Datetime& date
SystemList& out_sys_list) {
//计算当前选中系统列表的权重
SystemWeightList sw_list = _allocateWeight(date, se_list);
if (sw_list.size() == 0) {
return;
}
//构建实际分配权重大于零的的系统集合，同时计算总权重
std::set<SYSPtr> selected_sets;
@ -147,8 +151,11 @@ void AllocateFundsBase::_getAllocatedSystemList_adjust_hold(const Datetime& date
TMPtr tm = sys->getTM();
price_t cash = tm->currentCash();
if (cash > 0) {
m_tm->checkin(date, cash);
tm->checkout(date, cash);
if (tm->checkout(date, cash)) {
m_tm->checkin(date, cash);
} else {
HKU_ERROR("Can't checkout from sub_tm!");
}
}
}
}
@ -234,41 +241,6 @@ void AllocateFundsBase::_getAllocatedSystemList_not_adjust_hold(const Datetime&
return;
}
/*
//获取分配的资产权重
SystemWeightList sw_list = _allocateWeight(date, se_list);
if (sw_list.size() == 0) {
return;
}
//计算总权重和
price_t total_weight = 0.0;
auto sw_iter = sw_list.rbegin();
for (size_t count = 0; sw_iter != sw_list.rend(); ++sw_iter, count++) {
total_weight += sw_iter->weight;
}
if (total_weight == 0.0) {
return;
}
//计算每份权重的资金
int precision = m_tm->getParam<int>("precision");
price_t per_cash = m_tm->currentCash() / total_weight;
for (auto iter = sw_list.begin(); iter != sw_list.end(); ++iter) {
SYSPtr& sys = *iter;
TMPtr& tm = sys->getTM();
}
//
std::set<SYSPtr> selected_sets;
for (auto iter = se_list.begin(); iter != se_list.end(); ++iter) {
selected_sets.insert(*iter);
}
*/
//从当前选中的系统列表中将持仓的系统排除
std::set<SYSPtr> hold_sets;
for (auto iter = hold_list.begin(); iter != hold_list.end(); ++iter) {
@ -288,9 +260,9 @@ void AllocateFundsBase::_getAllocatedSystemList_not_adjust_hold(const Datetime&
return;
}
//按权重排序（注意：无法保证等权重的相对顺序，即使用stable_sort也一样，后面要倒序遍历）
//按权重升序排序（注意：无法保证等权重的相对顺序，即使用stable_sort也一样，后面要倒序遍历）
std::sort(sw_list.begin(), sw_list.end(),
boost::bind(std::less<price_t>(), boost::bind(&SystemWeight::m_weight, _1),
boost::bind(std::less<double>(), boost::bind(&SystemWeight::m_weight, _1),
boost::bind(&SystemWeight::m_weight, _2)));
//倒序遍历，计算总权重，并在遇到权重为0或等于最大持仓时
@ -303,7 +275,7 @@ void AllocateFundsBase::_getAllocatedSystemList_not_adjust_hold(const Datetime&
total_weight += sw_iter->getWeight();
}
if (total_weight == 0.0) {
if (total_weight <= 0.0) {
return;
}
@ -312,32 +284,37 @@ void AllocateFundsBase::_getAllocatedSystemList_not_adjust_hold(const Datetime&
int precision = m_tm->getParam<int>("precision");
price_t per_cash = 0.0;
per_cash = m_tm->currentCash() / total_weight;
per_cash = m_tm->currentCash() / total_weight; // 每单位权重资金
sw_iter = sw_list.rbegin();
for (; sw_iter != end_iter; ++sw_iter) {
// 该系统期望分配的资金
price_t will_cash = per_cash * sw_iter->getWeight();
if (will_cash == 0.0) {
continue;
if (will_cash <= 0.0) {
break;
}
TMPtr tm = sw_iter->getSYS()->getTM();
assert(tm);
SYSPtr sub_sys = sw_iter->getSYS();
TMPtr sub_tm = sub_sys->getTM();
assert(sub_tm);
int real_precision = tm->getParam<int>("precision");
// 计算实际的价格精度（总账户和当前系统账号之间的最小值）
int real_precision = sub_tm->getParam<int>("precision");
if (precision < real_precision) {
real_precision = precision;
}
will_cash = roundDown(will_cash - tm->currentCash(), real_precision);
// 计算该系统实际期望分配的资金，并将总账户中的资金移入该系统账户中
will_cash = roundDown(will_cash - sub_tm->currentCash(), real_precision);
if (will_cash > 0) {
if (!m_tm->checkout(date, will_cash)) {
HKU_ERROR("m_tm->checkout failed!");
continue;
}
tm->checkin(date, will_cash);
sub_tm->checkin(date, will_cash);
}
out_sys_list.push_back(sw_iter->getSYS());
out_sys_list.push_back(sub_sys);
}
}

6
hikyuu_cpp/hikyuu/trade_sys/allocatefunds/SystemWeight.h
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@ -16,18 +16,18 @@ namespace hku {
class HKU_API SystemWeight {
public:
SystemWeight();
SystemWeight(const SystemPtr& sys, price_t weight);
SystemWeight(const SystemPtr& sys, double weight);
virtual ~SystemWeight();
void setSYS(const SystemPtr& sys);
SystemPtr getSYS() const;
void setWeight(price_t weight);
price_t getWeight() const;
double getWeight() const;
public:
SystemPtr m_sys;
price_t m_weight;
double m_weight;
private:
//============================================

2
hikyuu_cpp/hikyuu/trade_sys/portfolio/Portfolio.cpp
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@ -87,6 +87,8 @@ bool Portfolio::readyForRun() {
return true;
}
void Portfolio::runMoment(const Datetime& datetime) {}
void Portfolio::run(const KQuery& query) {
if (!readyForRun()) {
return;

1
hikyuu_cpp/hikyuu/trade_sys/portfolio/Portfolio.h
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@ -41,6 +41,7 @@ public:
}
void run(const KQuery& query);
void runMoment(const Datetime& datetime);
TMPtr getTM() {
return m_tm;

12
hikyuu_cpp/hikyuu/trade_sys/selector/SelectorBase.h
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@ -36,9 +36,21 @@ public:
string name() const;
void name(const string& name);
/**
* 添加备选股票及其交易策略原型
* @param 备选股票
* @param 交易系统策略原型
*/
void addStock(const Stock& stock, const SystemPtr& protoSys);
/**
* 加入一组相同交易策略的股票
* @param 备选股票列表
* @param 交易系统策略原型
*/
void addStockList(const StockList& stkList, const SystemPtr& protoSys);
/** 获取所有系统实例 */
SystemList getAllSystemList() const {
return m_sys_list;
}