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update

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fasiondog 2024-03-21 22:13:41 +08:00
parent 526bc05893
commit bf83d17635
2 changed files with 16 additions and 7 deletions
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8
hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp
View File

@ -213,7 +213,7 @@ void AllocateFundsBase::_adjust_without_running(const Datetime& date,
// 如果是运行中系统，不使用计算的权重，更新累积权重和
if (running_set.find(iter->sys) != running_set.cend()) {
FundsRecord sub_funds = m_tm->getFunds(m_query.kType());
FundsRecord sub_funds = m_tm->getFunds(date, m_query.kType());
price_t sub_total_funds =
funds.cash + funds.market_value + funds.borrow_asset - funds.short_market_value;
sum_weight += sub_total_funds / total_funds;
@ -314,7 +314,7 @@ SystemWeightList AllocateFundsBase::_adjust_with_running(
//-----------------------------------------------------------------
// 获取当前总资产市值，计算需保留的资产
int precision = m_shadow_tm->getParam<int>("precision");
FundsRecord funds = m_tm->getFunds(m_query.kType());
FundsRecord funds = m_tm->getFunds(date, m_query.kType());
price_t total_funds =
funds.cash + funds.market_value + funds.borrow_asset - funds.short_market_value;
price_t reserve_funds = roundEx(total_funds * m_reserve_percent, precision);
@ -325,7 +325,7 @@ SystemWeightList AllocateFundsBase::_adjust_with_running(
if (running_set.find(iter->sys) != running_set.cend()) {
TMPtr sub_tm = iter->sys->getTM();
const KQuery& query = iter->sys->getTO().getQuery();
FundsRecord sub_funds = sub_tm->getFunds(query.kType());
FundsRecord sub_funds = sub_tm->getFunds(date, query.kType());
price_t sub_total_funds = sub_funds.cash + sub_funds.market_value +
sub_funds.borrow_asset - sub_funds.short_market_value;
price_t sub_will_funds = total_funds * iter->weight;
@ -394,7 +394,7 @@ SystemWeightList AllocateFundsBase::_adjust_with_running(
if (running_set.find(iter->sys) != running_set.cend()) {
auto sub_tm = iter->sys->getTM();
const KQuery& query = iter->sys->getTO().getQuery();
FundsRecord sub_funds = sub_tm->getFunds(query.kType());
FundsRecord sub_funds = sub_tm->getFunds(date, query.kType());
price_t sub_total_funds = sub_funds.cash + sub_funds.market_value +
sub_funds.borrow_asset - sub_funds.short_market_value;

15
hikyuu_cpp/hikyuu/trade_sys/portfolio/Portfolio.cpp
View File

@ -243,6 +243,7 @@ void Portfolio::_runMoment(const Datetime& date, bool adjust) {
for (auto& sys : m_delay_adjust_sys_list) {
auto tr = sys.sys->sellForce(date, sys.weight, PART_PORTFOLIO);
if (!tr.isNull()) {
HKU_INFO_IF(trace, "[PF] Delay adjust sell: {}", tr);
m_tm->addTradeRecord(tr);
// 卖出后，尝试将资金取出转移至影子总账户
@ -277,10 +278,18 @@ void Portfolio::_runMoment(const Datetime& date, bool adjust) {
m_shadow_tm->checkin(date, cash);
HKU_INFO_IF(trace, "Collect the scraps cash ({:<.2f}) from {}, current cash: {}", cash,
running_sys->name(), m_shadow_tm->currentCash());
if (position.number == 0) {
m_tmp_will_remove_sys.emplace_back(running_sys, 0.);
}
}
if (position.number == 0) {
m_tmp_will_remove_sys.emplace_back(running_sys, 0.);
HKU_INFO_IF(trace, "[PF] Recycle running sys: {}", running_sys->name());
}
}
if (trace) {
auto funds = m_tm->getFunds(date, m_query.kType());
HKU_INFO("[PF] total funds: {}, cash: {}, market_value: {}",
funds.cash + funds.market_value, funds.cash, funds.market_value);
}
// 依据待移除列表将系统从运行中系统列表里删除