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208 lines
7.1 KiB
C++
208 lines
7.1 KiB
C++
/*
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* _Signal.cpp
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*
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* Created on: 2013-3-18
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* Author: fasiondog
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*/
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#include <hikyuu/trade_sys/signal/build_in.h>
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#include "../pybind_utils.h"
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namespace py = pybind11;
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using namespace hku;
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class PySignalBase : public SignalBase {
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PY_CLONE(PySignalBase, SignalBase)
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public:
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using SignalBase::SignalBase;
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void _calculate() override {
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PYBIND11_OVERLOAD_PURE(void, SignalBase, _calculate, );
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}
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void _reset() override {
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PYBIND11_OVERLOAD(void, SignalBase, _reset, );
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}
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};
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void export_Signal(py::module& m) {
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py::class_<SignalBase, SGPtr, PySignalBase>(m, "SignalBase", R"(信号指示器基类
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信号指示器负责产生买入、卖出信号。
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公共参数:
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- 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。
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自定义的信号指示器接口:
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- _calculate : 【必须】子类计算接口
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- _clone : 【必须】克隆接口
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- _reset : 【可选】重载私有变量)")
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.def(py::init<>())
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.def(py::init<const string&>())
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.def("__str__", to_py_str<SignalBase>)
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.def("__repr__", to_py_str<SignalBase>)
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.def_property("name", py::overload_cast<>(&SignalBase::name, py::const_),
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py::overload_cast<const string&>(&SignalBase::name),
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py::return_value_policy::copy, "名称")
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.def_property("to", &SignalBase::getTO, &SignalBase::setTO, "设置或获取交易对象")
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.def("get_param", &SignalBase::getParam<boost::any>, R"(get_param(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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.def("set_param", &SignalBase::setParam<boost::any>, R"(set_param(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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:raises logic_error: Unsupported type! 不支持的参数类型)")
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.def("have_param", &SignalBase::haveParam, "是否存在指定参数")
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.def("should_buy", &SignalBase::shouldBuy, R"(should_buy(self, datetime)
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指定时刻是否可以买入
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:param Datetime datetime: 指定时刻
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:rtype: bool)")
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.def("should_sell", &SignalBase::shouldSell, R"(should_sell(self, datetime)
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指定时刻是否可以卖出
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:param Datetime datetime: 指定时刻
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:rtype: bool)")
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.def("next_time_should_buy", &SignalBase::nextTimeShouldBuy,
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R"(next_time_should_byu(self)
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下一时刻是否可以买入,相当于最后时刻是否指示买入)")
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.def("next_time_should_sell", &SignalBase::nextTimeShouldSell, R"(next_time_should_sell(self)
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下一时刻是否可以卖出,相当于最后时刻是否指示卖出)")
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.def("get_buy_signal", &SignalBase::getBuySignal, R"(get_buy_signal(self)
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获取所有买入指示日期列表
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:rtype: DatetimeList)")
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.def("get_sell_signal", &SignalBase::getSellSignal, R"(get_sell_signal(self)
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获取所有卖出指示日期列表
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:rtype: DatetimeList)")
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.def("_add_buy_signal", &SignalBase::_addBuySignal, R"(_add_buy_signal(self, datetime)
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加入买入信号,在_calculate中调用
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:param Datetime datetime: 指示买入的日期)")
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.def("_add_sell_signal", &SignalBase::_addSellSignal, R"(_add_sell_signal(self, datetime)
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加入卖出信号,在_calculate中调用
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:param Datetime datetime: 指示卖出的日期)")
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.def("reset", &SignalBase::reset, "复位操作")
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.def("clone", &SignalBase::clone, "克隆操作")
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.def("_calculate", &SignalBase::_calculate, "【重载接口】子类计算接口")
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.def("_reset", &SignalBase::_reset, "【重载接口】子类复位接口,复位内部私有变量")
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DEF_PICKLE(SGPtr);
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m.def("SG_Bool", SG_Bool, py::arg("buy"), py::arg("sell"),
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R"(SG_Bool(buy, sell)
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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。
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:param Indicator buy: 买入指示(结果Indicator中相应位置>0则代表买入)
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:param Indicator sell: 卖出指示(结果Indicator中相应位置>0则代表卖出)
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:return: 信号指示器)");
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m.def("SG_Single", SG_Single, py::arg("ind"), py::arg("filter_n") = 10,
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py::arg("filter_p") = 0.1,
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R"(SG_Single(ind[, filter_n = 10, filter_p = 0.1])
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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::
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filter = percentage * STDEV((AMA-AMA[1], N)
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Buy When AMA - AMA[1] > filter
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or Buy When AMA - AMA[2] > filter
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or Buy When AMA - AMA[3] > filter
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:param Indicator ind:
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:param int filer_n: N日周期
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:param float filter_p: 过滤器百分比
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:return: 信号指示器)");
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m.def("SG_Single2", SG_Single2, py::arg("ind"), py::arg("filter_n") = 10,
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py::arg("filter_p") = 0.1,
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R"(SG_Single2(ind[, filter_n = 10, filter_p = 0.1])
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生成单线拐点信号指示器2 [BOOK1]_::
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filter = percentage * STDEV((AMA-AMA[1], N)
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Buy When AMA - @lowest(AMA,n) > filter
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Sell When @highest(AMA, n) - AMA > filter
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:param Indicator ind:
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:param int filer_n: N日周期
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:param float filter_p: 过滤器百分比
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:return: 信号指示器)");
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m.def("SG_Cross", SG_Cross, py::arg("fast"), py::arg("slow"),
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R"(SG_Cross(fast, slow)
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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::
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SG_Cross(MA(C, n=10), MA(C, n=30))
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:param Indicator fast: 快线
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:param Indicator slow: 慢线
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:return: 信号指示器)");
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m.def("SG_CrossGold", SG_CrossGold, py::arg("fast"), py::arg("slow"),
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R"(SG_CrossGold(fast, slow)
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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;
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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。::
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SG_CrossGold(MA(C, n=10), MA(C, n=30))
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:param Indicator fast: 快线
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:param Indicator slow: 慢线
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:return: 信号指示器)");
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m.def("SG_Flex", SG_Flex, py::arg("op"), py::arg("slow_n"),
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R"(SG_Flex(ind, slow_n)
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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。
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:param Indicator ind:
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:param int slow_n: 慢线EMA周期
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:return: 信号指示器)");
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m.def("SG_Band", SG_Band, py::arg("ind"), py::arg("lower"), py::arg("upper"),
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R"(SG_Band(ind, lower, upper)
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指标区间指示器, 当指标超过上轨时,买入;
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当指标低于下轨时,卖出。::
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SG_Band(MA(C, n=10), 100, 200)
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)");
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}
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