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System支持参数变动后重算及修正止盈延迟参数未生效问题

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fasiondog 2024-03-25 15:42:36 +08:00
parent 4a8e91b96d
commit 66789e1546
2 changed files with 56 additions and 34 deletions
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59
hikyuu_cpp/hikyuu/trade_sys/system/System.cpp
View File

@ -33,7 +33,7 @@ HKU_API std::ostream& operator<<(std::ostream& os, const SystemPtr& sys) {
System::System()
: m_name("SYS_Simple"),
m_part_changed(true),
m_calculated(false),
m_pre_ev_valid(true), // must true
m_pre_cn_valid(true), // must true
m_buy_days(0),
@ -45,7 +45,7 @@ System::System()
System::System(const string& name)
: m_name(name),
m_part_changed(true),
m_calculated(false),
m_pre_ev_valid(true),
m_pre_cn_valid(true),
m_buy_days(0),
@ -69,7 +69,7 @@ System::System(const TradeManagerPtr& tm, const MoneyManagerPtr& mm, const Envir
m_pg(pg),
m_sp(sp),
m_name(name),
m_part_changed(true),
m_calculated(false),
m_pre_ev_valid(true),
m_pre_cn_valid(true),
m_buy_days(0),
@ -123,6 +123,18 @@ void System::initParam() {
setParam<bool>("shared_sp", false);
}
void System::checkParam(const string& name) const {
if ("max_delay_count" == name) {
HKU_ASSERT(getParam<int>("max_delay_count") >= 0);
} else if ("tp_delay_n" == name) {
HKU_ASSERT(getParam<int>("tp_delay_n") >= 0);
}
}
void System::paramChanged() {
m_calculated = false;
}
void System::reset() {
if (m_tm && !getParam<bool>("shared_tm"))
m_tm->reset();
@ -148,7 +160,7 @@ void System::reset() {
// 一个sys实例绑定stock后，除非主动改变，否则不应该被reset
// m_stock
m_part_changed = true;
m_calculated = false;
m_pre_ev_valid = false; // true;
m_pre_cn_valid = false; // true;
@ -189,7 +201,7 @@ void System::forceResetAll() {
m_src_kdata = Null<KData>();
m_kdata = Null<KData>();
m_part_changed = true;
m_calculated = false;
m_pre_ev_valid = false; // true;
m_pre_cn_valid = false; // true;
@ -206,10 +218,14 @@ void System::forceResetAll() {
}
void System::setTO(const KData& kdata) {
HKU_TRACE_IF_RETURN(!m_part_changed && m_kdata == kdata, void(), "No need to calcule!");
m_kdata = kdata;
m_stock = kdata.getStock();
if (m_kdata != kdata) {
m_calculated = false;
m_kdata = kdata;
}
HKU_TRACE_IF_RETURN(m_calculated, void(), "No need to calcule!");
m_stock = kdata.getStock();
KQuery query = kdata.getQuery();
if (m_stock.isNull() || query.recoverType() == KQuery::NO_RECOVER) {
m_src_kdata = m_kdata;
@ -270,7 +286,7 @@ SystemPtr System::clone() {
p->m_kdata = m_kdata;
p->m_src_kdata = m_src_kdata;
p->m_part_changed = m_part_changed;
p->m_calculated = m_calculated;
p->m_pre_ev_valid = m_pre_ev_valid;
p->m_pre_cn_valid = m_pre_cn_valid;
@ -334,7 +350,7 @@ bool System::readyForRun() {
}
void System::run(const KQuery& query, bool reset, bool resetAll) {
HKU_ERROR_IF_RETURN(m_stock.isNull(), void(), "m_stock is NULL!");
HKU_CHECK(!m_stock.isNull(), "m_stock is NULL!");
// reset必须在readyForRun之前，否则m_pre_cn_valid、m_pre_ev_valid将会被赋为错误的初值
if (resetAll) {
@ -343,11 +359,10 @@ void System::run(const KQuery& query, bool reset, bool resetAll) {
this->reset();
}
HKU_IF_RETURN(!readyForRun(), void());
KData kdata = m_stock.getKData(query);
HKU_IF_RETURN(kdata.empty(), void());
HKU_DEBUG_IF_RETURN(!m_part_changed && m_kdata == kdata, void(), "Not need calculate.");
HKU_DEBUG_IF_RETURN(m_calculated && m_kdata == kdata, void(), "Not need calculate.");
HKU_IF_RETURN(!readyForRun(), void());
setTO(kdata);
size_t total = kdata.size();
@ -358,7 +373,7 @@ void System::run(const KQuery& query, bool reset, bool resetAll) {
_runMoment(ks[i], src_ks[i]);
}
}
m_part_changed = false;
m_calculated = true;
}
void System::run(const Stock& stock, const KQuery& query, bool reset, bool resetAll) {
@ -367,9 +382,6 @@ void System::run(const Stock& stock, const KQuery& query, bool reset, bool reset
}
void System::run(const KData& kdata, bool reset, bool resetAll) {
HKU_INFO_IF_RETURN(kdata.empty(), void(), "Input kdata is empty!");
HKU_DEBUG_IF_RETURN(!m_part_changed && m_kdata == kdata, void(), "Not need calculate.");
// reset必须在readyForRun之前，否则m_pre_cn_valid、m_pre_ev_valid将会被赋为错误的初值
if (resetAll) {
this->forceResetAll();
@ -378,6 +390,8 @@ void System::run(const KData& kdata, bool reset, bool resetAll) {
this->reset();
}
HKU_DEBUG_IF_RETURN(m_calculated && m_kdata == kdata, void(), "Not need calculate.");
HKU_IF_RETURN(!readyForRun(), void());
setTO(kdata);
@ -389,7 +403,7 @@ void System::run(const KData& kdata, bool reset, bool resetAll) {
_runMoment(ks[i], src_ks[i]);
}
}
m_part_changed = false;
m_calculated = true;
}
void System::clearDelayRequest() {
@ -530,7 +544,12 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) {
} else {
m_lastTakeProfit = current_take_profile;
}
if (current_price <= current_take_profile) {
int tp_delay_n = getParam<int>("tp_delay_n");
size_t pos = m_kdata.getPos(today.datetime);
size_t position_pos = m_kdata.getPos(position.takeDatetime);
// 如果当前价格小于等于止盈价，且满足止盈延迟条件则卖出
if (pos - position_pos >= tp_delay_n && current_price <= current_take_profile) {
tr = _sell(today, src_today, PART_TAKEPROFIT);
}
}

31
hikyuu_cpp/hikyuu/trade_sys/system/System.h
View File

@ -30,7 +30,7 @@ namespace hku {
* @ingroup System
*/
class HKU_API System {
PARAMETER_SUPPORT
PARAMETER_SUPPORT_WITH_CHECK
public:
/** 默认构造函数 */
@ -292,7 +292,7 @@ protected:
KData m_kdata;
KData m_src_kdata; // 未复权的原始 K 线数据
bool m_part_changed; // 记录部件是否发生变化，控制是否需要重新计算
bool m_calculated; // 控制是否需要重新计算
bool m_pre_ev_valid;
bool m_pre_cn_valid;
@ -334,7 +334,7 @@ private:
// m_kdata中包含了stock和query的信息，不用保存m_stock
ar& BOOST_SERIALIZATION_NVP(m_kdata);
ar& BOOST_SERIALIZATION_NVP(m_part_changed);
ar& BOOST_SERIALIZATION_NVP(m_calculated);
ar& BOOST_SERIALIZATION_NVP(m_pre_ev_valid);
ar& BOOST_SERIALIZATION_NVP(m_pre_cn_valid);
@ -369,7 +369,7 @@ private:
ar& BOOST_SERIALIZATION_NVP(m_kdata);
m_stock = m_kdata.getStock();
ar& BOOST_SERIALIZATION_NVP(m_part_changed);
ar& BOOST_SERIALIZATION_NVP(m_calculated);
ar& BOOST_SERIALIZATION_NVP(m_pre_ev_valid);
ar& BOOST_SERIALIZATION_NVP(m_pre_cn_valid);
@ -451,63 +451,63 @@ inline SlippagePtr System::getSP() const {
inline void System::setTM(const TradeManagerPtr& tm) {
if (m_tm != tm) {
m_tm = tm;
m_part_changed = true;
m_calculated = false;
}
}
inline void System::setMM(const MoneyManagerPtr& mm) {
if (m_mm != mm) {
m_mm = mm;
m_part_changed = true;
m_calculated = false;
}
}
inline void System::setEV(const EnvironmentPtr& ev) {
if (m_ev != ev) {
m_ev = ev;
m_part_changed = true;
m_calculated = false;
}
}
inline void System::setCN(const ConditionPtr& cn) {
if (m_cn != cn) {
m_cn = cn;
m_part_changed = true;
m_calculated = false;
}
}
inline void System::setSG(const SignalPtr& sg) {
if (m_sg != sg) {
m_sg = sg;
m_part_changed = true;
m_calculated = false;
}
}
inline void System::setST(const StoplossPtr& st) {
if (m_st != st) {
m_st = st;
m_part_changed = true;
m_calculated = false;
}
}
inline void System::setTP(const StoplossPtr& tp) {
if (m_tp != tp) {
m_tp = tp;
m_part_changed = true;
m_calculated = false;
}
}
inline void System::setPG(const ProfitGoalPtr& pg) {
if (m_pg != pg) {
m_pg = pg;
m_part_changed = true;
m_calculated = false;
}
}
inline void System::setSP(const SlippagePtr& sp) {
if (m_sp != sp) {
m_sp = sp;
m_part_changed = true;
m_calculated = false;
}
}
@ -516,7 +516,10 @@ inline Stock System::getStock() const {
}
inline void System::setStock(const Stock& stk) {
m_stock = stk;
if (m_stock != stk) {
m_stock = stk;
m_calculated = false;
}
}
inline const TradeRecordList& System::getTradeRecordList() const {