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完善帮助信息
This commit is contained in:
fasiondog
parent
509c785451
commit
cb60a10bad
@ -49,7 +49,10 @@ public:
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typedef SystemPart Part;
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/** 获取名称 */
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const string& name() const;
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string name() const;
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/** 设置名称 */
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void name(const string& name);
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KData getTO() const { return m_kdata; }
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TradeManagerPtr getTM() const { return m_tm; }
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@ -266,10 +269,14 @@ HKU_API std::ostream& operator <<(std::ostream &os, const System& sys);
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HKU_API std::ostream& operator <<(std::ostream &os, const SystemPtr& sys);
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inline const string& System::name() const {
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inline string System::name() const {
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return m_name;
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}
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inline void System::name(const string& name) {
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m_name = name;
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}
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inline bool System::
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_environmentIsValid(const Datetime& datetime) {
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return m_ev ? m_ev->isValid(datetime) : true;
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@ -14,6 +14,7 @@ namespace hku {
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/**
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* 系统关联部件（各自策略）枚举定义，用于修改相关部件参数
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* @ingroup System
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*/
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enum SystemPart {
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PART_ENVIRONMENT = 0, /**< 外部环境 */
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@ -27,8 +28,20 @@ enum SystemPart {
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PART_INVALID = 8, /**< 无效值 */
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};
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/**
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* 获取SystemPart枚举值的字符串名称
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* @param part 系统部件枚举值
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* @return
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* @ingroup System
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*/
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string HKU_API getSystemPartName(int part);
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/**
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* 通过字符串名称获取SystemPart枚举值
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* @param name 字符串名称
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* @return
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* @ingroup System
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*/
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SystemPart HKU_API getSystemPartEnum(const string& name);
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} /* namespace */
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@ -12,6 +12,10 @@
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namespace hku {
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/**
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* 交易请求记录
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* @ingroup System
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*/
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class HKU_API TradeRequest {
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public:
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TradeRequest();
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@ -20,9 +20,22 @@ BOOST_PYTHON_MEMBER_FUNCTION_OVERLOADS(run_overload, run, 2, 3);
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BOOST_PYTHON_FUNCTION_OVERLOADS(SYS_Simple_overload, SYS_Simple, 0, 9);
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string (System::*sys_get_name)() const = &System::name;
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void (System::*sys_set_name)(const string&) = &System::name;
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void export_System() {
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def("SYS_Simple", SYS_Simple, SYS_Simple_overload());
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/*def("SYS_Simple", SYS_Simple, (arg("tm")=TradeManagerPtr(),
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arg("mm")=MoneyManagerPtr(),
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arg("ev")=EnvironmentPtr(),
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arg("cn")=ConditionPtr(),
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arg("sg")=SignalPtr(),
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arg("sl")=StoplossPtr(),
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arg("tp")=StoplossPtr(),
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arg("pg")=ProfitGoalPtr(),
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arg("sp")=SlippagePtr()));*/
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def("getSystemPartName", getSystemPartName);
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def("getSystemPartEnum", getSystemPartEnum);
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@ -53,12 +66,7 @@ void export_System() {
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const SlippagePtr&,
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const string&>())
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.def(self_ns::str(self))
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.add_property("name",
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make_function(&System::name,
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return_value_policy<copy_const_reference>()))
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.add_property("params",
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make_function(&System::getParameter,
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return_internal_reference<>()))
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.add_property("name", sys_get_name, sys_set_name)
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.add_property("tm", &System::getTM, &System::setTM)
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.add_property("mm", &System::getMM, &System::setMM)
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.add_property("ev", &System::getEV, &System::setEV)
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@ -69,6 +77,9 @@ void export_System() {
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.add_property("pg", &System::getPG, &System::setPG)
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.add_property("sp", &System::getSP, &System::setSP)
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.def("getParam", &System::getParam<boost::any>)
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.def("setParam", &System::setParam<object>)
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.def("getStock", &System::getStock)
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.def("getTradeRecordList", &System::getTradeRecordList,
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return_value_policy<copy_const_reference>())
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@ -111,7 +122,7 @@ void export_System() {
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#endif
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;
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enum_<SystemPart>("SystemPart")
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enum_<SystemPart>("Part")
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.value("ENVIRONMENT", PART_ENVIRONMENT)
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.value("CONDITION", PART_CONDITION)
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.value("SIGNAL", PART_SIGNAL)
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@ -25,28 +25,13 @@
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# SOFTWARE.
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from . import _trade_sys as csys
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from ._trade_sys import ProfitGoalBase, PG_NoGoal, PG_FixedPercent
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from hikyuu.util.unicode import (unicodeFunc, reprFunc)
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ProfitGoalBase = csys.ProfitGoalBase
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ProfitGoalBase.__unicode__ = unicodeFunc
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ProfitGoalBase.__repr__ = reprFunc
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PG_NoGoal = csys.PG_NoGoal
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PG_FixedPercent = csys.PG_FixedPercent
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PG_NoGoal.__doc__ = """\n
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无盈利目标策略，通常为了进行测试或对比。
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:return: 盈利目标策略实例
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"""
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PG_FixedPercent.__doc__ = """\n
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固定百分比盈利目标，目标价格 = 买入价格 * (1 + p)
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:param float p: 百分比
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:return: 盈利目标策略实例
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"""
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def pg_init(self, name, params):
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super(self.__class__, self).__init__(name)
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@ -67,4 +52,142 @@ def crtPG(func, params={}, name='crtPG'):
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meta_x = type(name, (ProfitGoalBase,), {'__init__': pg_init})
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meta_x._clone = lambda self: meta_x(self._name, self._params)
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meta_x._calculate = func
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return meta_x(name, params)
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return meta_x(name, params)
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#------------------------------------------------------------------
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# add doc-string
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#------------------------------------------------------------------
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ProfitGoalBase.__doc__ = """
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盈利目标策略基类
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自定义盈利目标策略接口：
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ProfitGoalBase.getGoal() - 【必须】获取目标价格
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ProfitGoalBase._calculate() - 【必须】子类计算接口
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ProfitGoalBase._clone() - 【必须】克隆接口
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ProfitGoalBase._reset() - 【可选】重载私有变量
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"""
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ProfitGoalBase.name.__doc__ = """名称"""
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ProfitGoalBase.__init__.__doc__ = """
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__init__(self[, name="ProfitGoalBase"])
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初始化构造函数
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:param str name: 名称
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"""
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ProfitGoalBase.getParam.__doc__ = """
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getParam(self, name)
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获取指定的参数
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:param str name: 参数名称
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:return: 参数值
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:raises out_of_range: 无此参数
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"""
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ProfitGoalBase.setParam.__doc__ = """
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setParam(self, name, value)
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设置参数
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:param str name: 参数名称
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:param value: 参数值
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:type value: int | bool | float | string
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:raises logic_error: Unsupported type! 不支持的参数类型
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"""
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ProfitGoalBase.setTO.__doc__ = """
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setTO(self, k)
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:param KData k: 设置交易对象
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"""
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ProfitGoalBase.getTO.__doc__ = """
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getTO(self)
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:return: 交易对象
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:rtype: KData
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"""
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ProfitGoalBase.setTM.__doc__ = """
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setTM(self, tm)
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:param TradeManager tm: 设置交易管理账户
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"""
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ProfitGoalBase.getTM.__doc__ = """
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getTM(self)
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获取交易管理账户
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:rtype: TradeManager
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"""
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ProfitGoalBase.getGoal.__doc__ = """
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getGoal(self, datetime, price)
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【重载接口】获取盈利目标价格
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:param Datetime datetime: 买入时间
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:param float price: 买入价格
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:return: 目标价格
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:rtype: float
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"""
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ProfitGoalBase.reset.__doc__ = """
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reset(self)
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复位操作
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"""
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ProfitGoalBase.clone.__doc__ = """
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clone(self)
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克隆操作
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"""
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ProfitGoalBase._calculate.__doc__ = """
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_calculate(self)
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【重载接口】子类计算接口
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"""
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ProfitGoalBase._reset.__doc__ = """
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_reset(self)
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【重载接口】子类复位接口，复位内部私有变量
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"""
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ProfitGoalBase._clone.__doc__ = """
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_clone(self)
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【重载接口】子类克隆接口
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"""
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#------------------------------------------------------------------
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# add doc-string for build_in func
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#------------------------------------------------------------------
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PG_NoGoal.__doc__ = """
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PG_NoGoal()
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无盈利目标策略，通常为了进行测试或对比。
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:return: 盈利目标策略实例
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"""
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PG_FixedPercent.__doc__ = """
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PG_FixedPercent([p = 0.2])
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固定百分比盈利目标，目标价格 = 买入价格 * (1 + p)
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:param float p: 百分比
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:return: 盈利目标策略实例
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"""
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@ -25,15 +25,13 @@
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# SOFTWARE.
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from . import _trade_sys as csys
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from ._trade_sys import (SlippageBase, SL_FixedPercent, SL_FixedValue)
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from hikyuu.util.unicode import (unicodeFunc, reprFunc)
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SlippageBase = csys.SlippageBase
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SlippageBase.__unicode__ = unicodeFunc
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SlippageBase.__repr__ = reprFunc
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SL_FixedPercent = csys.SL_FixedPercent
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SL_FixedValue = csys.SL_FixedValue
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def sl_init(self, name, params):
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super(self.__class__, self).__init__(name)
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@ -57,14 +55,135 @@ def crtSL(func, params={}, name='crtSL'):
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return meta_x(name, params)
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SL_FixedPercent.__doc__ = """\n
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#------------------------------------------------------------------
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# add doc-string
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#------------------------------------------------------------------
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SlippageBase.__doc__ = """
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移滑价差算法基类
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自定义移滑价差接口：
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SlippageBase.getRealBuyPrice() - 【必须】计算实际买入价格
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SlippageBase.getRealSellPrice() - 【必须】计算实际卖出价格
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SlippageBase._calculate() - 【必须】子类计算接口
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SlippageBase._clone() - 【必须】克隆接口
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SlippageBase._reset() - 【可选】重载私有变量
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"""
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SlippageBase.name.__doc__ = """名称"""
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SlippageBase.__init__.__doc__ = """
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__init__(self[, name="SlippageBase"])
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初始化构造函数
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:param str name: 名称
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"""
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SlippageBase.getParam.__doc__ = """
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getParam(self, name)
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获取指定的参数
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:param str name: 参数名称
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:return: 参数值
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:raises out_of_range: 无此参数
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"""
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SlippageBase.setParam.__doc__ = """
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setParam(self, name, value)
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设置参数
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:param str name: 参数名称
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:param value: 参数值
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:type value: int | bool | float | string
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:raises logic_error: Unsupported type! 不支持的参数类型
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"""
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SlippageBase.setTO.__doc__ = """
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setTO(self, k)
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:param KData k: 设置交易对象
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"""
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SlippageBase.getTO.__doc__ = """
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getTO(self)
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:return: 交易对象
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:rtype: KData
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"""
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SlippageBase.getRealBuyPrice.__doc__ = """
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getRealBuyPrice(self, datetime, price)
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【重载接口】计算实际买入价格
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:param Datetime datetime: 买入时间
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:param float price: 计划买入价格
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:return: 实际买入价格
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:rtype: float
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"""
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SlippageBase.getRealSellPrice.__doc__ = """
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getRealSellPrice(self, datetime, price)
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【重载接口】计算实际卖出价格
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:param Datetime datetime: 卖出时间
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:param float price: 计划卖出价格
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:return: 实际卖出价格
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:rtype: float
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"""
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SlippageBase.reset.__doc__ = """
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reset(self)
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复位操作
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"""
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SlippageBase.clone.__doc__ = """
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clone(self)
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克隆操作
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"""
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SlippageBase._calculate.__doc__ = """
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_calculate(self)
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【重载接口】子类计算接口
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"""
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SlippageBase._reset.__doc__ = """
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_reset(self)
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【重载接口】子类复位接口，复位内部私有变量
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"""
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SlippageBase._clone.__doc__ = """
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_clone(self)
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【重载接口】子类克隆接口
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"""
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#------------------------------------------------------------------
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# add doc-string for build_in func
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#------------------------------------------------------------------
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SL_FixedPercent.__doc__ = """
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SP_FixedPercent([p=0.001])
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固定百分比移滑价差算法，买入实际价格 = 计划买入价格 * (1 + p)，卖出实际价格 = 计划卖出价格 * (1 - p)
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:param float p: 偏移的固定百分比
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:return: 移滑价差算法实例
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"""
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SL_FixedValue.__doc__ = """\n
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SL_FixedValue.__doc__ = """
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SP_FixedValuet([p=0.001])
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固定价格移滑价差算法，买入实际价格 = 计划买入价格 + 偏移价格，卖出实际价格 = 计划卖出价格 - 偏移价格
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:param float p: 偏移价格
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@ -117,6 +117,66 @@ getTM(self)
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:rtype: TradeManager
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"""
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StoplossBase.setTO.__doc__ = """
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setTO(self, k)
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:param KData k: 设置交易对象
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"""
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StoplossBase.getTO.__doc__ = """
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getTO(self)
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:return: 交易对象
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:rtype: KData
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"""
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StoplossBase.getPrice.__doc__ = """
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getPrice(self, datetime, price)
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【重载接口】获取本次预期交易（买入）时的计划止损价格，如果不存在止损价，则返回0。
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用于系统在交易执行前向止损策略模块查询本次交易的计划止损价。
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.. note::
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一般情况下，止损/止赢的算法可以互换，但止损的getPrice可以传入计划交易的
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价格，比如以买入价格的30%做为止损。而止赢则不考虑传入的price参数，即认为
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price 为 0.0。实际上，即使止损也不建议使用price参数，如可以使用前日最低
|
||||
价的 30% 作为止损，则不需要考虑price参数。
|
||||
|
||||
:param Datetime datetime: 交易时间
|
||||
:param float price: 计划买入的价格
|
||||
:return: 止损价格
|
||||
:rtype: float
|
||||
"""
|
||||
|
||||
StoplossBase.reset.__doc__ = """
|
||||
reset(self)
|
||||
|
||||
复位操作
|
||||
"""
|
||||
|
||||
StoplossBase.clone.__doc__ = """
|
||||
clone(self)
|
||||
|
||||
克隆操作
|
||||
"""
|
||||
|
||||
StoplossBase._calculate.__doc__ = """
|
||||
_calculate(self)
|
||||
|
||||
【重载接口】子类计算接口
|
||||
"""
|
||||
|
||||
StoplossBase._reset.__doc__ = """
|
||||
_reset(self)
|
||||
|
||||
【重载接口】子类复位接口，复位内部私有变量
|
||||
"""
|
||||
|
||||
StoplossBase._clone.__doc__ = """
|
||||
_clone(self)
|
||||
|
||||
【重载接口】子类克隆接口
|
||||
"""
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
|
||||
@ -24,48 +24,63 @@
|
||||
# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
|
||||
# SOFTWARE.
|
||||
|
||||
|
||||
from . import _trade_sys as csys
|
||||
from ._trade_sys import (System,
|
||||
getSystemPartName,
|
||||
getSystemPartEnum,
|
||||
TradeRequest)
|
||||
from ._trade_sys import SYS_Simple as cpp_SYS_Simple
|
||||
from hikyuu.util.unicode import (unicodeFunc, reprFunc)
|
||||
|
||||
System = csys.System
|
||||
System.__unicode__ = unicodeFunc
|
||||
System.__repr__ = reprFunc
|
||||
|
||||
System.ENVIRONMENT = System.SystemPart.ENVIRONMENT
|
||||
System.CONDITION = System.SystemPart.CONDITION
|
||||
System.SIGNAL = System.SystemPart.SIGNAL
|
||||
System.STOPLOSS = System.SystemPart.STOPLOSS
|
||||
System.TAKEPROFIT = System.SystemPart.TAKEPROFIT
|
||||
System.MONEYMANAGER = System.SystemPart.MONEYMANAGER
|
||||
System.PROFITGOAL = System.SystemPart.PROFITGOAL
|
||||
System.SLIPPAGE = System.SystemPart.SLIPPAGE
|
||||
System.INVALID = System.SystemPart.INVALID
|
||||
System.ENVIRONMENT = System.Part.ENVIRONMENT
|
||||
System.CONDITION = System.Part.CONDITION
|
||||
System.SIGNAL = System.Part.SIGNAL
|
||||
System.STOPLOSS = System.Part.STOPLOSS
|
||||
System.TAKEPROFIT = System.Part.TAKEPROFIT
|
||||
System.MONEYMANAGER = System.Part.MONEYMANAGER
|
||||
System.PROFITGOAL = System.Part.PROFITGOAL
|
||||
System.SLIPPAGE = System.Part.SLIPPAGE
|
||||
System.INVALID = System.Part.INVALID
|
||||
|
||||
SystemPart = System.SystemPart
|
||||
|
||||
getSystemPartName = csys.getSystemPartName
|
||||
getSystemPartEum = csys.getSystemPartEnum
|
||||
#SystemPart = System.Part
|
||||
|
||||
|
||||
def SYS_Simple(tm = None, mm = None, ev = None, cn = None,
|
||||
sg = None, sl = None, tp = None, pg = None, sp = None):
|
||||
"""
|
||||
创建简单系统实例（每次交易不进行多次加仓或减仓，即每次买入后在卖出时全部卖出），
|
||||
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
|
||||
创建简单系统实例（每次交易不进行多次加仓或减仓，即每次买入后在卖出时全部卖出），
|
||||
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。
|
||||
tm: 交易管理实例
|
||||
mm: 资金管理策略
|
||||
ev: 市场环境判断策略
|
||||
cn: 系统有效条件
|
||||
sg: 信号指示器
|
||||
sl: 止损策略
|
||||
tp: 止盈策略
|
||||
pg: 盈利目标策略
|
||||
sp: 移滑价差算法
|
||||
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(initCash = 300000)
|
||||
|
||||
#创建信号指示器（以5日EMA为快线，5日EMA自身的10日EMA最为慢线，快线向上穿越
|
||||
#慢线时买入，反之卖出）
|
||||
my_sg = SG_Flex(OP(EMA(n=5)), slow_n=10)
|
||||
|
||||
#固定每次买入1000股
|
||||
my_mm = MM_FixedCount(1000)
|
||||
|
||||
#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
|
||||
:param ConditionBase cn: 系统有效条件
|
||||
:param SignalBase sg: 信号指示器
|
||||
:param StoplossBase sl: 止损策略
|
||||
:param StoplossBase tp: 止盈策略
|
||||
:param ProfitGoalBase pg: 盈利目标策略
|
||||
:param SlippageBase sp: 移滑价差算法
|
||||
:return: system实例
|
||||
"""
|
||||
sys_ins = csys.SYS_Simple()
|
||||
sys_ins = cpp_SYS_Simple()
|
||||
if tm:
|
||||
sys_ins.tm = tm
|
||||
if mm:
|
||||
@ -84,4 +99,91 @@ def SYS_Simple(tm = None, mm = None, ev = None, cn = None,
|
||||
sys_ins.pg = pg
|
||||
if sp:
|
||||
sys_ins.sp = sp
|
||||
return sys_ins
|
||||
return sys_ins
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# add doc-string
|
||||
#------------------------------------------------------------------
|
||||
|
||||
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.__doc__ = """
|
||||
系统基类。需要扩展或实现更复杂的系统交易行为，可从此类继承。
|
||||
|
||||
系统是指针对针对单个交易对象的完整策略，包括环境判断、系统有效条件、资金管理、止损、
|
||||
止盈、盈利目标、移滑价差的完整策略，用于模拟回测。
|
||||
|
||||
公共参数：
|
||||
|
||||
delay=True (bool) : 是否延迟到下一个bar开盘时进行交易
|
||||
delay_use_current_price=True (bool) : 延迟操作的情况下，是使用当前交易时bar
|
||||
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
|
||||
max_delay_count=3 (int) : 连续延迟交易请求的限制次数
|
||||
tp_monotonic=True (bool) : 止赢单调递增
|
||||
tp_delay_n=3 (int) : 止盈延迟开始的天数，即止盈策略判断从实际交易几天后开始生效
|
||||
ignore_sell_sg=False (bool) : 忽略卖出信号，只使用止损/止赢等其他方式卖出
|
||||
support_borrow_cash=False (bool) : 在现金不足时，是否支持借入现金，融资
|
||||
support_borrow_stock=False (bool) : 在没有持仓时，是否支持借入证券，融券
|
||||
"""
|
||||
|
||||
System.run.__doc__ = """
|
||||
run(self, stock, query[, reset=True])
|
||||
|
||||
运行系统，执行回测
|
||||
|
||||
:param Stock stock: 交易的证券
|
||||
:param Query query: K线数据查询条件
|
||||
:param bool reset: 是否同时复位所有组件，尤其是tm实例
|
||||
"""
|
||||
|
||||
|
||||
#------------------------------------------------------------------
|
||||
# add doc-string for build_in func
|
||||
#------------------------------------------------------------------
|
||||
|
||||
getSystemPartName.__doc__ = """
|
||||
getSystemPartName(part)
|
||||
|
||||
获取部件的字符串名称
|
||||
|
||||
- System.Part.ENVIRONMENT - "EV"
|
||||
- System.Part.CONDITION - "CN"
|
||||
- System.Part.SIGNAL - "SG"
|
||||
- System.Part.STOPLOSS - "SL"
|
||||
- System.Part.TAKEPROFIT - "TP"
|
||||
- System.Part.MONEYMANAGER - "MM"
|
||||
- System.Part.PROFITGOAL - "PG"
|
||||
- System.Part.SLIPPAGE - "SP"
|
||||
- System.Part.INVALID - "--"
|
||||
|
||||
:param int part: System.Part 枚举值
|
||||
:rtype: str
|
||||
"""
|
||||
|
||||
getSystemPartEnum.__doc__ = """
|
||||
getSystemPartEnum(part_name)
|
||||
|
||||
根据系统部件的字符串名称获取相应的枚举值
|
||||
|
||||
:param str part_name: 系统部件的字符串名称，参见：:py:func:`getSystemPartName`
|
||||
:rtype: System.Part
|
||||
"""
|
||||
|
||||
Loading…
Reference in New Issue
Block a user