/* * _Signal.cpp * * Created on: 2013-3-18 * Author: fasiondog */ #include #include #include "../_Parameter.h" #include "../pickle_support.h" using namespace boost::python; using namespace hku; class SignalWrap : public SignalBase, public wrapper { public: SignalWrap() : SignalBase() {} SignalWrap(const string& name) : SignalBase(name) {} void _reset() { if (override func = this->get_override("_reset")) { func(); } else { SignalBase::_reset(); } } void default_reset() { this->SignalBase::_reset(); } SignalPtr _clone() { return this->get_override("_clone")(); } void _calculate() { this->get_override("_calculate")(); } }; string (SignalBase::*sg_get_name)() const = &SignalBase::name; void (SignalBase::*sg_set_name)(const string&) = &SignalBase::name; void export_Signal() { class_("SignalBase", R"(信号指示器基类 信号指示器负责产生买入、卖出信号。 公共参数: - alternate (bool|True) :买入和卖出信号是否交替出现。单线型的信号通常通过拐点、斜率等判断信号的产生,此种情况下可能出现连续出现买入信号或连续出现卖出信号的情况,此时可通过该参数控制买入、卖出信号是否交替出现。而双线交叉型的信号通常本身买入和卖出已经是交替出现,此时该参数无效。 自定义的信号指示器接口: - _calculate : 【必须】子类计算接口 - _clone : 【必须】克隆接口 - _reset : 【可选】重载私有变量)", init<>()) .def(init()) .def(self_ns::str(self)) .def(self_ns::repr(self)) .add_property("name", sg_get_name, sg_set_name, "名称") .add_property("to", &SignalBase::getTO, &SignalBase::setTO, "设置或获取交易对象") .def("get_param", &SignalBase::getParam, R"(get_param(self, name) 获取指定的参数 :param str name: 参数名称 :return: 参数值 :raises out_of_range: 无此参数)") .def("set_param", &SignalBase::setParam, R"(set_param(self, name, value) 设置参数 :param str name: 参数名称 :param value: 参数值 :raises logic_error: Unsupported type! 不支持的参数类型)") .def("have_param", &SignalBase::haveParam, "是否存在指定参数") .def("should_buy", &SignalBase::shouldBuy, R"(should_buy(self, datetime) 指定时刻是否可以买入 :param Datetime datetime: 指定时刻 :rtype: bool)") .def("should_sell", &SignalBase::shouldSell, R"(should_sell(self, datetime) 指定时刻是否可以卖出 :param Datetime datetime: 指定时刻 :rtype: bool)") .def("next_time_should_buy", &SignalBase::nextTimeShouldBuy, R"(next_time_should_byu(self) 下一时刻是否可以买入,相当于最后时刻是否指示买入)") .def("next_time_should_sell", &SignalBase::nextTimeShouldSell, R"(next_time_should_sell(self) 下一时刻是否可以卖出,相当于最后时刻是否指示卖出)") .def("get_buy_signal", &SignalBase::getBuySignal, R"(get_buy_signal(self) 获取所有买入指示日期列表 :rtype: DatetimeList)") .def("get_sell_signal", &SignalBase::getSellSignal, R"(get_sell_signal(self) 获取所有卖出指示日期列表 :rtype: DatetimeList)") .def("_add_buy_signal", &SignalBase::_addBuySignal, R"(_add_buy_signal(self, datetime) 加入买入信号,在_calculate中调用 :param Datetime datetime: 指示买入的日期)") .def("_add_sell_signal", &SignalBase::_addSellSignal, R"(_add_sell_signal(self, datetime) 加入卖出信号,在_calculate中调用 :param Datetime datetime: 指示卖出的日期)") .def("reset", &SignalBase::reset, "复位操作") .def("clone", &SignalBase::clone, "克隆操作") .def("_calculate", pure_virtual(&SignalBase::_calculate), "【重载接口】子类计算接口") .def("_reset", &SignalBase::_reset, &SignalWrap::default_reset, "【重载接口】子类复位接口,复位内部私有变量") .def("_clone", pure_virtual(&SignalBase::_clone), "【重载接口】子类克隆接口") #if HKU_PYTHON_SUPPORT_PICKLE .def_pickle(name_init_pickle_suite()) #endif ; register_ptr_to_python(); def("SG_Bool", SG_Bool, (arg("buy"), arg("sell")), R"(SG_Bool(buy, sell) 布尔信号指示器,使用运算结果为类似bool数组的Indicator分别作为买入、卖出指示。 :param Indicator buy: 买入指示(结果Indicator中相应位置>0则代表买入) :param Indicator sell: 卖出指示(结果Indicator中相应位置>0则代表卖出) :return: 信号指示器)"); def("SG_Single", SG_Single, (arg("ind"), arg("filter_n") = 10, arg("filter_p") = 0.1, arg("kpart") = "CLOSE"), R"(SG_Single(ind[, filter_n = 10, filter_p = 0.1, kpart='CLOSE']) 生成单线拐点信号指示器。使用《精明交易者》 [BOOK1]_ 中给出的曲线拐点算法判断曲线趋势,公式见下:: filter = percentage * STDEV((AMA-AMA[1], N) Buy When AMA - AMA[1] > filter or Buy When AMA - AMA[2] > filter or Buy When AMA - AMA[3] > filter :param Indicator ind: :param int filer_n: N日周期 :param float filter_p: 过滤器百分比 :param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL :return: 信号指示器)"); def("SG_Single2", SG_Single2, (arg("ind"), arg("filter_n") = 10, arg("filter_p") = 0.1, arg("kpart") = "CLOSE"), R"(SG_Single2(ind[, filter_n = 10, filter_p = 0.1, kpart='CLOSE']) 生成单线拐点信号指示器2 [BOOK1]_:: filter = percentage * STDEV((AMA-AMA[1], N) Buy When AMA - @lowest(AMA,n) > filter Sell When @highest(AMA, n) - AMA > filter :param Indicator ind: :param int filer_n: N日周期 :param float filter_p: 过滤器百分比 :param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL :return: 信号指示器)"); def("SG_Cross", SG_Cross, (arg("fast"), arg("slow"), arg("kpart") = "CLOSE"), R"(SG_Cross(fast, slow[, kpart = "CLOSE"]) 双线交叉指示器,当快线从下向上穿越慢线时,买入;当快线从上向下穿越慢线时,卖出。如:5日MA上穿10日MA时买入,5日MA线下穿MA10日线时卖出:: SG_Cross(OP(MA(n=10)), OP(MA(n=30))) :param Indicator fast: 快线 :param Indicator slow: 慢线 :param string kpart: OPEN|HIGH|LOW|CLOSE|AMO|VOL|KDATA :return: 信号指示器)"); def("SG_CrossGold", SG_CrossGold, (arg("fast"), arg("slow"), arg("kpart") = "CLOSE"), R"(SG_CrossGold(fast, slow[, kpart = "CLOSE"]) 金叉指示器,当快线从下向上穿越慢线且快线和慢线的方向都是向上时为金叉,买入; 当快线从上向下穿越慢线且快线和慢线的方向都是向下时死叉,卖出。:: SG_CrossGold(OP(MA(n=10)), OP(MA(n=30))) :param Indicator fast: 快线 :param Indicator slow: 慢线 :param string kpart: OPEN|HIGH|LOW|CLOSE|AMO|VOL|KDATA :return: 信号指示器)"); def("SG_Flex", SG_Flex, (arg("op"), arg("slow_n"), arg("kpart") = "CLOSE"), R"(SG_Flex(ind, slow_n[, kpart = 'CLOSE']) 使用自身的EMA(slow_n)作为慢线,自身作为快线,快线向上穿越慢线买入,快线向下穿越慢线卖出。 :param Indicator ind: :param int slow_n: 慢线EMA周期 :param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL :return: 信号指示器)"); def("SG_Band", SG_Band, (arg("ind"), arg("lower"), arg("upper"), arg("kpart") = "CLOSE"), R"(SG_Band(ind, lower, upper[, kpart = 'CLOSE']) 指标区间指示器, 当指标超过上轨时,买入; 当指标低于下轨时,卖出。:: SG_Band(OP(MA(n=10)), 100, 200) )"); }