From af91e100c4fdae41205d11a5980eea60d39ce5f7 Mon Sep 17 00:00:00 2001 From: fasiondog Date: Mon, 4 Mar 2024 15:35:04 +0800 Subject: [PATCH] =?UTF-8?q?fixed=20AllocateFundsBase=EF=BC=8C=E8=B0=83?= =?UTF-8?q?=E6=95=B4=E6=9C=AA=E6=89=A7=E8=A1=8C=E7=B3=BB=E7=BB=9F=E6=97=B6?= =?UTF-8?q?=EF=BC=8C=E5=88=A4=E6=96=AD=E6=98=AF=E5=90=A6=E6=9C=89=E5=AE=9E?= =?UTF-8?q?=E9=99=85=E7=9A=84=E4=BF=A1=E5=8F=B7=E4=BA=A7=E7=94=9F?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../allocatefunds/AllocateFundsBase.cpp | 41 ++++++++++++------- 1 file changed, 27 insertions(+), 14 deletions(-) diff --git a/hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp b/hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp index 2de08059..eefd5f72 100644 --- a/hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp +++ b/hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp @@ -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("adjust_running_sys", false); setParam("max_sys_num", 1000000); // 允许运行的最大系统实例数 setParam("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("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& 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("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(), 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("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("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; } }