mirror of
https://gitee.com/fasiondog/hikyuu.git
synced 2024-12-02 03:48:19 +08:00
update
This commit is contained in:
fasiondog
parent
c88faf51e0
commit
896b3d1ac7
@ -2,10 +2,10 @@
|
||||
# -*- coding: utf8 -*-
|
||||
# gb18030
|
||||
|
||||
#===============================================================================
|
||||
# ===============================================================================
|
||||
# 作者：fasiondog
|
||||
# 历史：1）20130220, Added by fasiondog
|
||||
#===============================================================================
|
||||
# ===============================================================================
|
||||
|
||||
import unittest
|
||||
|
||||
@ -56,7 +56,7 @@ class IndicatorTest(unittest.TestCase):
|
||||
b = toPriceList([1, 2, 3, 4])
|
||||
x = PRICELIST(b)
|
||||
m.get_imp()._calculate(m)
|
||||
m = m(x)
|
||||
# m = m(x)
|
||||
self.assertEqual(len(m), 4)
|
||||
self.assertEqual(m.empty(), False)
|
||||
self.assert_(abs(m[0] - 2) < 0.0001)
|
||||
@ -147,7 +147,7 @@ class IndicatorTest(unittest.TestCase):
|
||||
if not constant.pickle_support:
|
||||
return
|
||||
|
||||
#TODO Python3出错，暂未解决
|
||||
# TODO Python3出错，暂未解决
|
||||
"""
|
||||
import pickle as pl
|
||||
filename = sm.tmpdir() + '/Indicator.plk'
|
||||
|
||||
@ -3,32 +3,14 @@
|
||||
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,
|
||||
System, SystemPart, SystemList, 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.Part = SystemPart
|
||||
System.ENVIRONMENT = System.Part.ENVIRONMENT
|
||||
System.CONDITION = System.Part.CONDITION
|
||||
System.SIGNAL = System.Part.SIGNAL
|
||||
@ -50,7 +32,7 @@ def SYS_Simple(tm=None, mm=None, ev=None, cn=None, sg=None, st=None, tp=None, pg
|
||||
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(init_cash = 300000)
|
||||
|
||||
@ -64,7 +46,7 @@ def SYS_Simple(tm=None, mm=None, ev=None, cn=None, sg=None, st=None, tp=None, pg
|
||||
#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
|
||||
@ -98,27 +80,18 @@ def SYS_Simple(tm=None, mm=None, ev=None, cn=None, sg=None, st=None, tp=None, pg
|
||||
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
|
||||
@ -130,7 +103,7 @@ def cn_init(self, name, params):
|
||||
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
|
||||
@ -142,19 +115,9 @@ def crtCN(func, params={}, name='crtCN'):
|
||||
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
|
||||
@ -166,7 +129,7 @@ def ev_init(self, name, params):
|
||||
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
|
||||
@ -178,19 +141,9 @@ def crtEV(func, params={}, name='crtEV'):
|
||||
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
|
||||
@ -202,7 +155,7 @@ def mm_init(self, name, params):
|
||||
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
|
||||
@ -214,19 +167,9 @@ def crtMM(func, params={}, name='crtMM'):
|
||||
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
|
||||
@ -238,7 +181,7 @@ def pg_init(self, name, params):
|
||||
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
|
||||
@ -250,29 +193,9 @@ def crtPG(func, params={}, name='crtPG'):
|
||||
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
|
||||
@ -284,7 +207,7 @@ def sig_init(self, name, params):
|
||||
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
|
||||
@ -296,9 +219,9 @@ def crtSG(func, params={}, name='crtSG'):
|
||||
return meta_x(name, params)
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# ------------------------------------------------------------------
|
||||
# Selector
|
||||
#------------------------------------------------------------------
|
||||
# ------------------------------------------------------------------
|
||||
def se_add_stock_list(self, stk_list, proto_sys):
|
||||
result = True
|
||||
for stk in stk_list:
|
||||
@ -311,17 +234,9 @@ def se_add_stock_list(self, stk_list, proto_sys):
|
||||
|
||||
SelectorBase.add_stock_list = se_add_stock_list
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# ------------------------------------------------------------------
|
||||
# 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):
|
||||
@ -335,7 +250,7 @@ def sl_init(self, name, params):
|
||||
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
|
||||
@ -347,17 +262,9 @@ def crtSL(func, params={}, name='crtSL'):
|
||||
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
|
||||
@ -369,7 +276,7 @@ def st_init(self, name, params):
|
||||
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
|
||||
|
||||
@ -29,4 +29,27 @@ void export_DataType(py::module& m) {
|
||||
m.def("isnan", isnan_func, "是否为非数字");
|
||||
m.def("isinf", isinf_func, "是否是无穷大或无穷小");
|
||||
#endif
|
||||
|
||||
py::bind_vector<DatetimeList>(m, "DatetimeList"); //, py::module_local(false));
|
||||
py::bind_vector<PriceList>(m, "PriceList"); //, py::module_local(false));
|
||||
py::bind_vector<StringList>(m, "StringList"); //, py::module_local(false));
|
||||
|
||||
m.def(
|
||||
"toPriceList",
|
||||
[](py::object obj) {
|
||||
if (py::isinstance<py::list>(obj)) {
|
||||
py::list x = obj.cast<py::list>();
|
||||
return python_list_to_vector<price_t>(x);
|
||||
} else {
|
||||
py::tuple x = obj.cast<py::tuple>();
|
||||
auto total = len(x);
|
||||
std::vector<price_t> vect(total);
|
||||
for (auto i = 0; i < total; ++i) {
|
||||
vect[i] = x[i].cast<price_t>();
|
||||
}
|
||||
return vect;
|
||||
}
|
||||
HKU_THROW("Only support list or tuple");
|
||||
},
|
||||
"将 python list/tuple/np.arry 对象转化为 PriceList 对象");
|
||||
}
|
||||
|
||||
@ -83,11 +83,11 @@ void export_Datetime(py::module& m) {
|
||||
.def("end_of_halfyear", &Datetime::endOfHalfyear, "\n返回半年度结束日期")
|
||||
.def("start_of_year", &Datetime::startOfYear, "\n返回年度起始日期")
|
||||
.def("endOfYear", &Datetime::endOfYear, "\n返回年度结束日期")
|
||||
.def("min", &Datetime::min, "\n获取支持的最小日期, Datetime(1400, 1, 1)")
|
||||
.def("max", &Datetime::max, "\n获取支持的最大日期, Datetime(9999, 12, 31)")
|
||||
.def("now", &Datetime::now, "\n获取系统当前日期时间")
|
||||
.def("today", &Datetime::today, "\n获取当前的日期")
|
||||
.def("from_hex", &Datetime::fromHex, "\n兼容oracle用后7个字节表示的datetime")
|
||||
.def_static("min", &Datetime::min, "\n获取支持的最小日期, Datetime(1400, 1, 1)")
|
||||
.def_static("max", &Datetime::max, "\n获取支持的最大日期, Datetime(9999, 12, 31)")
|
||||
.def_static("now", &Datetime::now, "\n获取系统当前日期时间")
|
||||
.def_static("today", &Datetime::today, "\n获取当前的日期")
|
||||
.def_static("from_hex", &Datetime::fromHex, "\n兼容oracle用后7个字节表示的datetime")
|
||||
|
||||
.def(py::self == py::self)
|
||||
.def(py::self != py::self)
|
||||
|
||||
@ -23,6 +23,7 @@ static std::string Parameter_to_str(const Parameter& param) {
|
||||
|
||||
void export_Parameter(py::module& m) {
|
||||
py::class_<Parameter>(m, "Parameter", "参数类，供需要命名参数设定的类使用，类似于 dict")
|
||||
.def(py::init<>())
|
||||
.def("__str__", Parameter_to_str)
|
||||
.def("__repr__", Parameter_to_str)
|
||||
|
||||
|
||||
@ -1,133 +1,134 @@
|
||||
// /*
|
||||
// * Copyright (c) 2023 hikyuu.org
|
||||
// *
|
||||
// * Created on: 2023-10-10
|
||||
// * Author: fasiondog
|
||||
// */
|
||||
/*
|
||||
* Copyright (c) 2023 hikyuu.org
|
||||
*
|
||||
* Created on: 2023-10-10
|
||||
* Author: fasiondog
|
||||
*/
|
||||
|
||||
// #include <hikyuu/analysis/combinate.h>
|
||||
// #include "pybind_utils.h"
|
||||
#include <hikyuu/analysis/combinate.h>
|
||||
#include "pybind_utils.h"
|
||||
|
||||
// using namespace hku;
|
||||
// namespace py = pybind11;
|
||||
using namespace hku;
|
||||
namespace py = pybind11;
|
||||
|
||||
// static py::list combinate_index(object seq) {
|
||||
// size_t total = len(seq);
|
||||
// std::vector<size_t> index_list(total);
|
||||
// for (size_t i = 0; i < total; ++i) {
|
||||
// index_list[i] = i;
|
||||
// }
|
||||
static py::list combinate_index(py::object seq) {
|
||||
size_t total = len(seq);
|
||||
std::vector<size_t> index_list(total);
|
||||
for (size_t i = 0; i < total; ++i) {
|
||||
index_list[i] = i;
|
||||
}
|
||||
|
||||
// py::list result;
|
||||
// std::vector<std::vector<size_t>> comb = combinateIndex(index_list);
|
||||
// for (size_t i = 0, count = comb.size(); i < count; i++) {
|
||||
// py::list tmp = vector_to_py_list<std::vector<size_t>>(comb[i]);
|
||||
// result.append(tmp);
|
||||
// }
|
||||
// return result;
|
||||
// }
|
||||
py::list result;
|
||||
std::vector<std::vector<size_t>> comb = combinateIndex(index_list);
|
||||
for (size_t i = 0, count = comb.size(); i < count; i++) {
|
||||
py::list tmp = vector_to_python_list<size_t>(comb[i]);
|
||||
result.append(tmp);
|
||||
}
|
||||
return result;
|
||||
}
|
||||
|
||||
// static py::list combinate_indicator(object seq, int n) {
|
||||
// size_t total = len(seq);
|
||||
// std::vector<Indicator> inds(total);
|
||||
// for (size_t i = 0; i < total; ++i) {
|
||||
// inds[i] = py::extract<Indicator>(seq[i])();
|
||||
// }
|
||||
static py::list combinate_indicator(const py::sequence& seq, int n) {
|
||||
size_t total = len(seq);
|
||||
std::vector<Indicator> inds(total);
|
||||
for (size_t i = 0; i < total; ++i) {
|
||||
inds[i] = seq[i].cast<Indicator>();
|
||||
}
|
||||
|
||||
// auto comb = combinateIndicator(inds, n);
|
||||
// return vector_to_py_list(comb);
|
||||
// }
|
||||
auto comb = combinateIndicator(inds, n);
|
||||
return vector_to_python_list(comb);
|
||||
}
|
||||
|
||||
// static py::dict combinate_ind_analysis(const Stock& stk, const KQuery& query, TradeManagerPtr tm,
|
||||
// SystemPtr sys, object buy_inds, object sell_inds, int n) {
|
||||
// std::vector<Indicator> c_buy_inds;
|
||||
// for (size_t i = 0, total = len(buy_inds); i < total; i++) {
|
||||
// c_buy_inds.emplace_back(py::extract<Indicator>(buy_inds[i])());
|
||||
// }
|
||||
static py::dict combinate_ind_analysis(const Stock& stk, const KQuery& query, TradeManagerPtr tm,
|
||||
SystemPtr sys, py::sequence buy_inds, py::sequence sell_inds,
|
||||
int n) {
|
||||
std::vector<Indicator> c_buy_inds;
|
||||
for (size_t i = 0, total = len(buy_inds); i < total; i++) {
|
||||
c_buy_inds.emplace_back(buy_inds[i].cast<Indicator>());
|
||||
}
|
||||
|
||||
// std::vector<Indicator> c_sell_inds;
|
||||
// for (size_t i = 0, total = len(sell_inds); i < total; i++) {
|
||||
// c_sell_inds.emplace_back(py::extract<Indicator>(sell_inds[i])());
|
||||
// }
|
||||
std::vector<Indicator> c_sell_inds;
|
||||
for (size_t i = 0, total = len(sell_inds); i < total; i++) {
|
||||
c_sell_inds.emplace_back(sell_inds[i].cast<Indicator>());
|
||||
}
|
||||
|
||||
// py::dict result;
|
||||
// auto pers = combinateIndicatorAnalysis(stk, query, tm, sys, c_buy_inds, c_sell_inds, n);
|
||||
// for (auto iter = pers.begin(); iter != pers.end(); ++iter) {
|
||||
// result[iter->first] = std::move(iter->second);
|
||||
// }
|
||||
// return result;
|
||||
// }
|
||||
py::dict result;
|
||||
auto pers = combinateIndicatorAnalysis(stk, query, tm, sys, c_buy_inds, c_sell_inds, n);
|
||||
for (auto iter = pers.begin(); iter != pers.end(); ++iter) {
|
||||
result[iter->first.c_str()] = std::move(iter->second);
|
||||
}
|
||||
return result;
|
||||
}
|
||||
|
||||
// static py::dict combinate_ind_analysis_with_block(const Block& blk, const KQuery& query,
|
||||
// TradeManagerPtr tm, SystemPtr sys,
|
||||
// object buy_inds, object sell_inds, int n) {
|
||||
// std::vector<Indicator> c_buy_inds;
|
||||
// for (size_t i = 0, total = len(buy_inds); i < total; i++) {
|
||||
// c_buy_inds.emplace_back(py::extract<Indicator>(buy_inds[i])());
|
||||
// }
|
||||
static py::dict combinate_ind_analysis_with_block(const Block& blk, const KQuery& query,
|
||||
TradeManagerPtr tm, SystemPtr sys,
|
||||
const py::sequence& buy_inds,
|
||||
const py::sequence& sell_inds, int n) {
|
||||
std::vector<Indicator> c_buy_inds;
|
||||
for (size_t i = 0, total = len(buy_inds); i < total; i++) {
|
||||
c_buy_inds.emplace_back(buy_inds[i].cast<Indicator>());
|
||||
}
|
||||
|
||||
// std::vector<Indicator> c_sell_inds;
|
||||
// for (size_t i = 0, total = len(sell_inds); i < total; i++) {
|
||||
// c_sell_inds.emplace_back(py::extract<Indicator>(sell_inds[i])());
|
||||
// }
|
||||
std::vector<Indicator> c_sell_inds;
|
||||
for (size_t i = 0, total = len(sell_inds); i < total; i++) {
|
||||
c_sell_inds.emplace_back(sell_inds[i].cast<Indicator>());
|
||||
}
|
||||
|
||||
// auto records =
|
||||
// combinateIndicatorAnalysisWithBlock(blk, query, tm, sys, c_buy_inds, c_sell_inds, n);
|
||||
auto records =
|
||||
combinateIndicatorAnalysisWithBlock(blk, query, tm, sys, c_buy_inds, c_sell_inds, n);
|
||||
|
||||
// std::vector<py::list> tmp;
|
||||
std::vector<py::list> tmp;
|
||||
|
||||
// StringList names{"组合名称", "证券代码", "证券名称"};
|
||||
// Performance per;
|
||||
// auto keys = per.names();
|
||||
// for (const auto& key : keys) {
|
||||
// names.emplace_back(key);
|
||||
// }
|
||||
StringList names{"组合名称", "证券代码", "证券名称"};
|
||||
Performance per;
|
||||
auto keys = per.names();
|
||||
for (const auto& key : keys) {
|
||||
names.emplace_back(key);
|
||||
}
|
||||
|
||||
// for (int i = 0, len = names.size(); i < len; i++) {
|
||||
// tmp.emplace_back(py::list());
|
||||
// }
|
||||
for (size_t i = 0, len = names.size(); i < len; i++) {
|
||||
tmp.emplace_back(py::list());
|
||||
}
|
||||
|
||||
// for (size_t i = 0, total = records.size(); i < total; i++) {
|
||||
// CombinateAnalysisOutput& record = records[i];
|
||||
// tmp[0].append(record.combinateName);
|
||||
// tmp[1].append(record.code);
|
||||
// tmp[2].append(record.name);
|
||||
// HKU_WARN_IF(names.size() != record.values.size() + 3, "lenght invalid: {} {}",
|
||||
// names.size(),
|
||||
// record.values.size());
|
||||
// for (size_t j = 3, len = names.size(); j < len; j++) {
|
||||
// tmp[j].append(record.values[j - 3]);
|
||||
// }
|
||||
// }
|
||||
for (size_t i = 0, total = records.size(); i < total; i++) {
|
||||
CombinateAnalysisOutput& record = records[i];
|
||||
tmp[0].append(record.combinateName);
|
||||
tmp[1].append(record.code);
|
||||
tmp[2].append(record.name);
|
||||
HKU_WARN_IF(names.size() != record.values.size() + 3, "lenght invalid: {} {}", names.size(),
|
||||
record.values.size());
|
||||
for (size_t j = 3, len = names.size(); j < len; j++) {
|
||||
tmp[j].append(record.values[j - 3]);
|
||||
}
|
||||
}
|
||||
|
||||
// py::dict result;
|
||||
// for (size_t i = 0, total = names.size(); i < total; i++) {
|
||||
// result[names[i]] = tmp[i];
|
||||
// }
|
||||
py::dict result;
|
||||
for (size_t i = 0, total = names.size(); i < total; i++) {
|
||||
result[names[i].c_str()] = tmp[i];
|
||||
}
|
||||
|
||||
// return result;
|
||||
// }
|
||||
return result;
|
||||
}
|
||||
|
||||
// void export_analysis(py::module& m) {
|
||||
// m.def("combinate_index", combinate_index, R"(combinate_index(seq)
|
||||
void export_analysis(py::module& m) {
|
||||
m.def("combinate_index", combinate_index, R"(combinate_index(seq)
|
||||
|
||||
// 获取序列组合的下标索引, 输入序列的长度最大不超过15，否则抛出异常
|
||||
获取序列组合的下标索引, 输入序列的长度最大不超过15，否则抛出异常
|
||||
|
||||
// :param inds: list 或 tuple 等可使用索引的可迭代对象
|
||||
// :return: 返回组合的索引，可用于获取输入中相应索引位置的值
|
||||
// :rtype: list)");
|
||||
:param inds: list 或 tuple 等可使用索引的可迭代对象
|
||||
:return: 返回组合的索引，可用于获取输入中相应索引位置的值
|
||||
:rtype: list)");
|
||||
|
||||
// m.def("combinate_ind", combinate_indicator, py::arg("inds"), py::arg("n") = 7,
|
||||
// R"(combinate_ind(inds[, n=7])
|
||||
m.def("combinate_ind", combinate_indicator, py::arg("inds"), py::arg("n") = 7,
|
||||
R"(combinate_ind(inds[, n=7])
|
||||
|
||||
// 对输入的指标序列进行组合, 如输入为 [ind1, ind2], 输出为 [EXIST(ind1,n), EXIST(ind2,n),
|
||||
// EXIST(ind1,n)&EXIST(ind2,n)]
|
||||
对输入的指标序列进行组合, 如输入为 [ind1, ind2], 输出为 [EXIST(ind1,n), EXIST(ind2,n),
|
||||
EXIST(ind1,n)&EXIST(ind2,n)]
|
||||
|
||||
// :param list|tuple|seq inds: 待组合的指标列表
|
||||
// :param int n: 指标在 n 周期内存在
|
||||
// :return: 组合后的指标列表
|
||||
// :rtype: list)");
|
||||
:param list|tuple|seq inds: 待组合的指标列表
|
||||
:param int n: 指标在 n 周期内存在
|
||||
:return: 组合后的指标列表
|
||||
:rtype: list)");
|
||||
|
||||
// m.def("_combinate_ind_analysis", combinate_ind_analysis);
|
||||
// m.def("_combinate_ind_analysis_with_block", combinate_ind_analysis_with_block);
|
||||
// }
|
||||
m.def("_combinate_ind_analysis", combinate_ind_analysis);
|
||||
m.def("_combinate_ind_analysis_with_block", combinate_ind_analysis_with_block);
|
||||
}
|
||||
@ -19,7 +19,6 @@ namespace py = pybind11;
|
||||
void export_DataType(py::module& m);
|
||||
void export_Constant(py::module& m);
|
||||
void export_util(py::module& m);
|
||||
// void export_analysis(py::module& m);
|
||||
void export_log(py::module& m);
|
||||
void export_Datetime(py::module& m);
|
||||
void export_TimeDelta(py::module& m);
|
||||
@ -44,15 +43,17 @@ void export_SystemPart(py::module& m);
|
||||
void export_trade_manage_main(py::module& m);
|
||||
void export_trade_sys_main(py::module& m);
|
||||
void export_global_main(py::module& m);
|
||||
void export_analysis(py::module& m);
|
||||
|
||||
void export_StrategeContext(py::module& m);
|
||||
void export_strategy_main(py::module& m);
|
||||
|
||||
PYBIND11_MODULE(core, m) {
|
||||
py::register_exception<hku::exception>(m, "HKUException");
|
||||
|
||||
export_DataType(m);
|
||||
export_Constant(m);
|
||||
export_util(m);
|
||||
// export_analysis(m);
|
||||
export_log(m);
|
||||
export_Datetime(m);
|
||||
export_TimeDelta(m);
|
||||
@ -79,6 +80,7 @@ PYBIND11_MODULE(core, m) {
|
||||
export_trade_manage_main(m);
|
||||
export_trade_sys_main(m); // must after export_trade_manage_main
|
||||
|
||||
export_analysis(m);
|
||||
export_strategy_main(m);
|
||||
|
||||
export_global_main(m);
|
||||
|
||||
@ -22,4 +22,6 @@ void export_BorrowRecord(py::module& m) {
|
||||
.def_readwrite("value", &BorrowRecord::value, "借入总价值")
|
||||
|
||||
DEF_PICKLE(BorrowRecord);
|
||||
|
||||
py::bind_vector<BorrowRecordList>(m, "BorrowRecordList");
|
||||
}
|
||||
|
||||
@ -38,4 +38,6 @@ void export_PositionRecord(py::module& m) {
|
||||
"累计交易风险（float） = 各次 （买入价格-止损)*买入数量, 不包含交易成本")
|
||||
.def_readwrite("sell_money", &PositionRecord::sellMoney, "累计卖出资金（float）")
|
||||
DEF_PICKLE(PositionRecord);
|
||||
|
||||
py::bind_vector<PositionRecordList>(m, "PositionRecordList");
|
||||
}
|
||||
|
||||
@ -65,4 +65,6 @@ void export_TradeRecord(py::module& m) {
|
||||
"交易指示来源，区别是交易系统哪个部件发出的指示，参见： "
|
||||
":py:class:`System.Part`") // python中不能用from关键字
|
||||
DEF_PICKLE(TradeRecord);
|
||||
|
||||
py::bind_vector<TradeRecordList>(m, "TradeRecordList");
|
||||
}
|
||||
|
||||
@ -46,6 +46,8 @@ void export_AllocateFunds(py::module& m) {
|
||||
|
||||
DEF_PICKLE(SystemWeight);
|
||||
|
||||
py::bind_vector<SystemWeightList>(m, "SystemWeightList");
|
||||
|
||||
py::class_<AllocateFundsBase, AFPtr, PyAllocateFundsBase>(
|
||||
m, "AllocateFundsBase",
|
||||
R"(资产分配算法基类, 子类接口：
|
||||
|
||||
@ -213,4 +213,6 @@ void export_System(py::module& m) {
|
||||
.def("ready", &System::readyForRun)
|
||||
|
||||
DEF_PICKLE(System);
|
||||
|
||||
py::bind_vector<SystemList>(m, "SystemList");
|
||||
}
|
||||
|
||||
Loading…
Reference in New Issue
Block a user