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Merge pull request #186 from fasiondog/feature/analysis

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fixed AllocateFundsBase，调整未执行系统时，判断是否有实际的信号产生
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fasiondog 2024-03-04 15:36:13 +08:00 committed by GitHub
commit fbc1a1d545
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1 changed files with 27 additions and 14 deletions
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hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp
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@ -27,7 +27,7 @@ HKU_API std::ostream& operator<<(std::ostream& os, const AFPtr& af) {
}
AllocateFundsBase::AllocateFundsBase() : m_name("AllocateMoneyBase"), m_reserve_percent(0) {
//是否调整之前已经持仓策略的持仓。不调整时，仅使用总账户当前剩余资金进行分配，否则将使用总市值进行分配
// 是否调整之前已经持仓策略的持仓。不调整时，仅使用总账户当前剩余资金进行分配，否则将使用总市值进行分配
setParam<bool>("adjust_running_sys", false);
setParam<int>("max_sys_num", 1000000); // 允许运行的最大系统实例数
setParam<double>("weight_unit", 0.0001); // 最小权重单位
@ -219,7 +219,7 @@ void AllocateFundsBase::_adjust_with_running(const Datetime& date, const SystemL
// 账户资金精度
int precision = m_shadow_tm->getParam<int>("precision");
//获取当前总账户资产净值，并计算每单位权重代表的资金
// 获取当前总账户资产净值，并计算每单位权重代表的资金
price_t total_funds = _getTotalFunds(date, running_list);
// 计算需保留的资产
@ -302,7 +302,7 @@ void AllocateFundsBase::_adjust_with_running(const Datetime& date, const SystemL
}
} else {
//如果当前资产大于期望分配的资产，则子账户是否有现金可以取出抵扣，否则卖掉部分股票
// 如果当前资产大于期望分配的资产，则子账户是否有现金可以取出抵扣，否则卖掉部分股票
price_t will_return_cash = roundDown(funds_value - will_funds_value, precision);
if (will_return_cash <= 0.0) {
continue;
@ -391,7 +391,7 @@ void AllocateFundsBase::_adjust_without_running(const Datetime& date, const Syst
const std::list<SYSPtr>& running_list) {
HKU_IF_RETURN(se_list.size() == 0, void());
//如果运行中的系统数已大于等于允许的最大系统数，直接返回
// 如果运行中的系统数已大于等于允许的最大系统数，直接返回
int max_num = getParam<int>("max_sys_num");
HKU_IF_RETURN(running_list.size() >= max_num, void());
@ -409,27 +409,27 @@ void AllocateFundsBase::_adjust_without_running(const Datetime& date, const Syst
}
}
//获取计划分配的资产权重
// 获取计划分配的资产权重
SystemWeightList sw_list = _allocateWeight(date, pure_se_list);
HKU_IF_RETURN(sw_list.size() == 0, void());
//按权重升序排序（注意：无法保证等权重的相对顺序，即使用stable_sort也一样，后面要倒序遍历）
// 按权重升序排序（注意：无法保证等权重的相对顺序，即使用stable_sort也一样，后面要倒序遍历）
std::sort(
sw_list.begin(), sw_list.end(),
std::bind(std::less<double>(), std::bind(&SystemWeight::m_weight, std::placeholders::_1),
std::bind(&SystemWeight::m_weight, std::placeholders::_2)));
//倒序遍历，在遇到权重为0或等于运行的最大运行时系统数时结束遍历
size_t count = 0;
// 检测是否有信号发生，过滤掉没有发生信号的系统 以及 权重为 0 的系统
SystemWeightList new_sw_list;
auto sw_iter = sw_list.rbegin();
for (; sw_iter != sw_list.rend(); ++sw_iter) {
if (sw_iter->getWeight() <= 0.0 || count >= max_num)
if (sw_iter->getWeight() <= 0.0)
break;
count++;
if (sw_iter->getSYS()->getSG()->shouldBuy(date)) {
new_sw_list.emplace_back(*sw_iter);
}
}
auto end_iter = sw_iter; // 记录结束位置
// 总账号资金精度
int precision = m_shadow_tm->getParam<int>("precision");
@ -455,8 +455,9 @@ void AllocateFundsBase::_adjust_without_running(const Datetime& date, const Syst
// 再次遍历选中子系统列表，并将剩余现金按权重比例转入子账户
double weight_unit = getParam<double>("weight_unit");
price_t per_cash = total_funds * weight_unit; // 每单位权重资金
sw_iter = sw_list.rbegin();
for (; sw_iter != end_iter; ++sw_iter) {
size_t can_run_count = 0;
for (auto sw_iter = new_sw_list.begin(), end_iter = new_sw_list.end(); sw_iter != end_iter;
++sw_iter) {
// 该系统期望分配的资金
price_t will_cash = roundUp(per_cash * (sw_iter->getWeight() / weight_unit), precision);
if (will_cash <= 0.0) {
@ -466,12 +467,24 @@ void AllocateFundsBase::_adjust_without_running(const Datetime& date, const Syst
// 计算实际可分配的资金
price_t need_cash = will_cash <= can_allocate_cash ? will_cash : can_allocate_cash;
// 检测是否可以发生交易，不能的话，忽略
auto krecord = sw_iter->getSYS()->getTO().getKRecord(date);
if (krecord.closePrice < need_cash) {
continue;
}
// 尝试从总账户中取出资金存入子账户
TMPtr sub_tm = sw_iter->getSYS()->getTM();
if (m_shadow_tm->checkout(date, need_cash)) {
sub_tm->checkin(date, need_cash);
can_allocate_cash = roundDown(can_allocate_cash - need_cash, precision);
if (can_allocate_cash <= 0.0) {
continue;
}
// 如果超出允许运行的最大系统数，跳出循环
can_run_count++;
if (can_run_count > max_num) {
break;
}
}