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PF测试及修改（继续）

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This commit is contained in:
fasiondog 2018-02-19 12:01:27 +08:00
parent 88f083aaf0
commit bdecc6a0bc
12 changed files with 148 additions and 65 deletions
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2
libs/hikyuu/trade_manage/TradeManager.h
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@ -84,7 +84,7 @@ public:
string name() const { return m_name; }
/** 设置账户名称 */
void setName(const string& name) { m_name = name; }
void name(const string& name) { m_name = name; }
/** 初始资金 */
price_t initCash() const { return m_init_cash; }

3
libs/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp
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@ -122,7 +122,8 @@ void AllocateFundsBase::_getAllocatedSystemList_not_adjust_hold(
//从当前选中的系统列表中将持仓的系统排除
SystemList pure_se_list;
for (auto iter = se_list.begin(); iter != se_list.end(); ++iter) {
if ((*iter)->getTM()->getStockNumber() == 0) {
//if ((*iter)->getTM()->getStockNumber() == 0) {
if (!(*iter)->getTM()->have((*iter)->getStock())) {
pure_se_list.push_back(*iter);
}
}

1
libs/hikyuu/trade_sys/moneymanager/MoneyManagerBase.cpp
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@ -129,6 +129,7 @@ size_t MoneyManagerBase
HKU_ERROR("risk is zero! Datetime(" << datetime << ") Stock("
<< stock.market_code() << ") price(" << price
<< ") risk(" << risk
<< ") Part(" << getSystemPartName(from)
<< ") [MoneyManagerBase::getBuyNumber]");
return 0;
}

85
libs/hikyuu/trade_sys/portfolio/Portfolio.cpp
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@ -36,7 +36,6 @@ Portfolio::Portfolio(const string& name) : m_name(name) {
}
Portfolio::Portfolio(const TradeManagerPtr& tm,
const SystemPtr& sys,
const SelectorPtr& se,
const AFPtr& af)
: m_name("Portfolio"), m_se(se), m_tm(tm), m_af(af) {
@ -52,7 +51,6 @@ void Portfolio::reset() {
if (m_se) m_se->reset();
if (m_af) m_af->reset();
if (m_tm_shadow) m_tm_shadow->reset();
m_sys_list.clear();
}
PortfolioPtr Portfolio::clone() {
@ -63,7 +61,6 @@ PortfolioPtr Portfolio::clone() {
if (m_af) p->m_af = m_af->clone();
if (m_tm) p->m_tm = m_tm->clone();
if (m_tm_shadow) p->m_tm_shadow = m_tm_shadow->clone();
p->m_sys_list = m_sys_list;
return p;
}
@ -86,20 +83,10 @@ bool Portfolio::readyForRun() {
reset();
m_tm_shadow = m_tm->clone();
//将影子账户指定给资产分配器
m_tm_shadow = m_tm->clone();
m_af->setTM(m_tm_shadow);
//为每一个圈定的系统实例设置一个初始为0的子账户，并缓存所有的系统实例
TMPtr pro_tm = crtTM(m_tm->initDatetime(), 0.0, m_tm->costFunc(), "SUB");
SystemList all_sys_list = m_se->getAllSystemList();
auto sysIter = all_sys_list.begin();
for (; sysIter != all_sys_list.end(); ++sysIter) {
(*sysIter)->setTM(pro_tm->clone());
m_sys_list.push_back(*sysIter);
}
return true;
}
@ -108,22 +95,27 @@ void Portfolio::run(const KQuery& query) {
return;
}
auto sys_iter = m_sys_list.begin();
for (; sys_iter != m_sys_list.end(); ++sys_iter) {
SystemPtr sys = *sys_iter;
SystemList delay_sys_list; //存储延迟模式的系统列表
SystemList all_sys_list = m_se->getAllSystemList();
TMPtr pro_tm = crtTM(m_tm->initDatetime(), 0.0, m_tm->costFunc(), "SUB");
auto sys_iter = all_sys_list.begin();
for (; sys_iter != all_sys_list.end(); ++sys_iter) {
//为每一个系统实例分配子账户
SystemPtr& sys = *sys_iter;
sys->setTM(pro_tm->clone());
if (sys->readyForRun()) {
if (sys->getParam<bool>("delay")) {
delay_sys_list.push_back(sys);
}
KData k = sys->getStock().getKData(query);
sys->setTO(k);
}
}
SystemList delay_sys_list;
for (sys_iter = m_sys_list.begin(); sys_iter != m_sys_list.end(); ++sys_iter) {
if ((*sys_iter)->getParam<bool>("delay")) {
delay_sys_list.push_back(*sys_iter);
}
}
std::set<SYSPtr> cur_hold_sys_sets;
DatetimeList datelist = StockManager::instance().getTradingCalendar(query);
@ -137,17 +129,28 @@ void Portfolio::run(const KQuery& query) {
//处理延迟操作请求
sys_iter = delay_sys_list.begin();
for (; sys_iter != delay_sys_list.end(); ++sys_iter) {
(*sys_iter)->_processRequest(*date_iter);
SYSPtr& sys = *sys_iter;
if (!sys->haveDelayRequest()) {
continue;
}
//if ((*sys_iter)->getTM()->have((*sys_iter)->getStock())) {
if ((*sys_iter)->getTM()->getStockNumber() != 0) {
cur_hold_sys_sets.insert(*sys_iter);
Stock stk = sys->getStock();
if (stk.isNull()) {
continue;
}
KRecord kr = stk.getKRecordByDate(*date_iter);
//sys->_processRequest(kr);
if (sys->getTM()->have(stk)) {
//if ((*sys_iter)->getTM()->getStockNumber() != 0) {
cur_hold_sys_sets.insert(sys);
} else {
cur_hold_sys_sets.erase(*sys_iter);
cur_hold_sys_sets.erase(sys);
}
//同步交易记录
TradeRecordList tr_list = (*sys_iter)->getTM()->getTradeList(*date_iter, Null<Datetime>());
TradeRecordList tr_list = sys->getTM()->getTradeList(*date_iter, Null<Datetime>());
auto tr_iter = tr_list.begin();
for (; tr_iter != tr_list.end(); ++tr_iter) {
m_tm_shadow->addTradeRecord(*tr_iter);
@ -165,11 +168,22 @@ void Portfolio::run(const KQuery& query) {
SystemList ac_list = m_af->getAllocatedSystemList(*date_iter,
selected_list, cur_hold_sys_list);
std::cout << "=====================" << std::endl;
for (sys_iter = ac_list.begin(); sys_iter != ac_list.end(); ++sys_iter) {
(*sys_iter)->runMoment(*date_iter);
SYSPtr& sys = *sys_iter;
sys->runMoment(*date_iter);
std::cout << *date_iter << ": " << sys->getStock() << std::endl;
if (sys->getTM()->have(sys->getStock())) {
cur_hold_sys_sets.insert(sys);
} else {
cur_hold_sys_sets.erase(sys);
}
//同步交易记录
TradeRecordList tr_list = (*sys_iter)->getTM()->getTradeList(*date_iter, Null<Datetime>());
TradeRecordList tr_list = sys->getTM()->getTradeList(*date_iter, Null<Datetime>());
auto tr_iter = tr_list.begin();
for (; tr_iter != tr_list.end(); ++tr_iter) {
m_tm_shadow->addTradeRecord(*tr_iter);
@ -196,12 +210,5 @@ void Portfolio::run(const KQuery& query) {
}
void Portfolio::runOneMoment(Datetime date) {
if (date < m_tm->initDatetime()) {
return;
}
}
} /* namespace hku */

7
libs/hikyuu/trade_sys/portfolio/Portfolio.h
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@ -30,7 +30,6 @@ public:
Portfolio();
Portfolio(const string& name);
Portfolio(const TradeManagerPtr& tm,
const SystemPtr& sys,
const SelectorPtr& st,
const AFPtr& af);
virtual ~Portfolio();
@ -58,16 +57,14 @@ private:
void rebuildOnlyTotalTM();
void runOneMoment(Datetime);
protected:
string m_name;
SEPtr m_se;
AFPtr m_af;
TMPtr m_tm;
TMPtr m_tm_shadow; //临时变量，影子账户，用于内部协调分配资金
SystemList m_sys_list; //临时变量，缓存从SE获取的全部系统实例，仅在调用readyForRun后有效
//以下为临时变量
TMPtr m_tm_shadow; //影子账户，用于内部协调分配资金
//============================================
// 序列化支持

2
libs/hikyuu/trade_sys/portfolio/crt/PF_Simple.h
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@ -9,7 +9,6 @@
#define TRADE_SYS_PORTFOLIO_IMP_PF_SIMPLE_H_
#include "../Portfolio.h"
#include "../../system/crt/SYS_Simple.h"
#include "../../selector/crt/SE_Fixed.h"
#include "../../allocatefunds/crt/AF_EqualWeight.h"
@ -17,7 +16,6 @@ namespace hku {
PortfolioPtr HKU_API PF_Simple(
const TMPtr& tm = TradeManagerPtr(),
const SYSPtr& sys = SYS_Simple(),
const SEPtr& st = SE_Fixed(),
const AFPtr& af = AF_EqualWeight());

3
libs/hikyuu/trade_sys/portfolio/imp/PF_Simple.cpp
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@ -11,10 +11,9 @@ namespace hku {
PortfolioPtr HKU_API PF_Simple(
const TMPtr& tm,
const SYSPtr& sys,
const SEPtr& st,
const AFPtr& af) {
return make_shared<Portfolio>(tm, sys, st, af);
return make_shared<Portfolio>(tm, st, af);
}
} /* namespace hku */

3
libs/hikyuu/trade_sys/system/System.cpp
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@ -100,7 +100,8 @@ void System::initParam() {
//连续延迟交易请求的限制次数，需大于等于0，0表示只允许延迟1次
setParam<int>("max_delay_count", 3);
setParam<bool>("delay", true); //延迟操作，取当前Bar的收盘价操作；非延迟取开盘价
//是否延迟到下一个bar开盘时进行交易
setParam<bool>("delay", true); //非延迟操作取当前Bar的收盘价操作；延迟取下一BAR开盘价
//延迟操作的情况下，是使用当前的价格计算新的止损价/止赢价/目标价还是使用上次计算的结果
setParam<bool>("delay_use_current_price", true);

5
libs/hikyuu_python/trade_manage/_TradeManager.cpp
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@ -59,6 +59,9 @@ BOOST_PYTHON_MEMBER_FUNCTION_OVERLOADS(sellShort_overload, sellShort, 4, 8);
TradeCostPtr (TradeManager::*get_costFunc)() const = &TradeManager::costFunc;
void (TradeManager::*set_costFunc)(const TradeCostPtr&) = &TradeManager::costFunc;
string (TradeManager::*tm_get_name)() const = &TradeManager::name;
void (TradeManager::*tm_set_name)(const string&) = &TradeManager::name;
const TradeRecordList& (TradeManager::*_getTradeList_1)() const = &TradeManager::getTradeList;
TradeRecordList (TradeManager::*_getTradeList_2)(const Datetime&, const Datetime&) const = &TradeManager::getTradeList;
@ -70,7 +73,7 @@ void export_TradeManager() {
const TradeCostPtr&, const string&>())
//.def(self_ns::str(self))
.def("__str__", &TradeManager::toString)
.add_property("name", &TradeManager::name, &TradeManager::setName)
.add_property("name", tm_get_name, tm_set_name)
.add_property("initCash", &TradeManager::initCash)
.add_property("currentCash", &TradeManager::currentCash)
.add_property("initDatetime", &TradeManager::initDatetime)

7
libs/hikyuu_python/trade_sys/_Portfolio.cpp
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@ -13,7 +13,7 @@
using namespace boost::python;
using namespace hku;
BOOST_PYTHON_FUNCTION_OVERLOADS(PF_Simple_overload, PF_Simple, 0, 4);
BOOST_PYTHON_FUNCTION_OVERLOADS(PF_Simple_overload, PF_Simple, 0, 3);
void (Portfolio::*pf_set_name)(const string&) = &Portfolio::name;
string (Portfolio::*pf_get_name)() const= &Portfolio::name;
@ -23,9 +23,8 @@ void export_Portfolio() {
class_<Portfolio>("Portfolio", init<>())
.def(init<const string&>())
.def(init<const TradeManagerPtr&,
const SystemPtr&,
const SelectorPtr&,
const AFPtr&>())
const SelectorPtr&,
const AFPtr&>())
.def(self_ns::str(self))
.def("getParam", &Portfolio::getParam<boost::any>)
.def("setParam", &Portfolio::setParam<object>)

17
test/libs/hikyuu/trade_sys/portfolio/test_Portfolio.cpp → test/libs/hikyuu/trade_sys/portfolio/test_PF_for_base.cpp
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@ -14,7 +14,7 @@
#endif
#include <hikyuu/StockManager.h>
#include <hikyuu/trade_sys/portfolio/Portfolio.h>
#include <hikyuu/trade_sys/portfolio/crt/PF_Simple.h>
using namespace hku;
@ -24,16 +24,15 @@ using namespace hku;
* @{
*/
/** @par 检测点 */
BOOST_AUTO_TEST_CASE( test_Portfolio) {
PortfolioPtr pf = make_shared<Portfolio>();
/** @par 检测点 Portfolio基础操作 */
BOOST_AUTO_TEST_CASE( test_PF_for_base) {
PortfolioPtr pf = PF_Simple();
BOOST_CHECK(pf->name() == "Portfolio");
StockManager& sm = StockManager::instance();
//pf->addStock(sm["sh000001"]);
//std::cout << sys << std::endl;
/** @arg 克隆操作 */
PFPtr pf2 = pf->clone();
BOOST_CHECK(pf2.get() != pf.get());
BOOST_CHECK(pf2->name() == pf->name());
}
/** @} */

78
test/libs/hikyuu/trade_sys/portfolio/test_PF_for_delay_and_no_adjust.cpp Normal file
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@ -0,0 +1,78 @@
/*
* test_SYS_Simple.cpp
*
* Created on: 2013-4-20
* Author: fasiondog
*/
#ifdef TEST_ALL_IN_ONE
#include <boost/test/unit_test.hpp>
#else
#define BOOST_TEST_MODULE test_hikyuu_trade_sys_suite
#include <boost/test/unit_test.hpp>
#endif
#include <hikyuu/StockManager.h>
#include <hikyuu/trade_manage/crt/crtTM.h>
#include <hikyuu/trade_sys/portfolio/crt/PF_Simple.h>
#include <hikyuu/trade_sys/selector/crt/SE_Fixed.h>
#include <hikyuu/trade_sys/allocatefunds/crt/AF_EqualWeight.h>
#include <hikyuu/trade_sys/system/crt/SYS_Simple.h>
#include <hikyuu/trade_sys/signal/crt/SG_CrossGold.h>
#include <hikyuu/trade_sys/moneymanager/crt/MM_FixedCount.h>
#include <hikyuu/indicator/crt/EMA.h>
using namespace hku;
/**
* @defgroup test_Portfolio test_Portfolio
* @ingroup test_hikyuu_trade_sys_suite
* @{
*/
/** @par 检测点 全部为delay模式系统实例，不调整持仓*/
BOOST_AUTO_TEST_CASE( test_PF_for_delay_and_no_adjust) {
StockManager& sm = StockManager::instance();
SYSPtr sys = SYS_Simple();
sys->setSG(SG_CrossGold(OP(EMA(12)), OP(EMA(26))));
sys->setMM(MM_FixedCount(100));
SYSPtr pro_sys = sys->clone(false, false);
TMPtr tm = crtTM(Datetime(199001010000L), 500000);
SEPtr se = SE_Fixed();
AFPtr af = AF_EqualWeight();
PFPtr pf = PF_Simple(tm, se, af);
KQuery query = KQueryByDate(Datetime(201101010000L), Null<Datetime>(),
KQuery::DAY);
/** @arg */
sys->setTM(tm->clone());
sys->run(sm["sz000001"], query);
sys->getTM()->tocsv(sm.tmpdir());
se->addStock(sm["sz000001"], pro_sys);
pf->run(query);
tm->name("PF");
tm->tocsv(sm.tmpdir());
TradeRecordList tr1 = sys->getTM()->getTradeList();
TradeRecordList tr2 = tm->getTradeList();
BOOST_CHECK(tr1.size() == tr2.size());
std::cout << tr1.size() << std::endl;
std::cout << tr2.size() << std::endl;
}
/** @} */