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217 lines
7.5 KiB
C++
217 lines
7.5 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 <boost/python.hpp>
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#include <hikyuu/trade_sys/signal/build_in.h>
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#include "../_Parameter.h"
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#include "../pickle_support.h"
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using namespace boost::python;
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using namespace hku;
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class SignalWrap : public SignalBase, public wrapper<SignalBase> {
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public:
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SignalWrap() : SignalBase() {}
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SignalWrap(const string& name) : SignalBase(name) {}
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void _reset() {
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if (override func = this->get_override("_reset")) {
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func();
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} else {
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SignalBase::_reset();
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}
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}
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void default_reset() {
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this->SignalBase::_reset();
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}
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SignalPtr _clone() {
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return this->get_override("_clone")();
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}
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void _calculate() {
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this->get_override("_calculate")();
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}
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};
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string (SignalBase::*sg_get_name)() const = &SignalBase::name;
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void (SignalBase::*sg_set_name)(const string&) = &SignalBase::name;
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void export_Signal() {
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class_<SignalWrap, boost::noncopyable>("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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init<>())
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.def(init<const string&>())
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.def(self_ns::str(self))
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.def(self_ns::repr(self))
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.add_property("name", sg_get_name, sg_set_name, "名称")
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.add_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<object>, 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("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", pure_virtual(&SignalBase::_calculate), "【重载接口】子类计算接口")
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.def("_reset", &SignalBase::_reset, &SignalWrap::default_reset,
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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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.def("_clone", pure_virtual(&SignalBase::_clone), "【重载接口】子类克隆接口")
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#if HKU_PYTHON_SUPPORT_PICKLE
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.def_pickle(name_init_pickle_suite<SignalBase>())
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#endif
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;
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register_ptr_to_python<SignalPtr>();
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def("SG_Bool", SG_Bool, (arg("buy"), arg("sell"), arg("kpart") = "CLOSE"),
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R"(SG_Bool(buy, sell[, kpart='CLOSE'])
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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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:param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
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:return: 信号指示器)");
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def("SG_Single", SG_Single,
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(arg("ind"), arg("filter_n") = 10, arg("filter_p") = 0.1, arg("kpart") = "CLOSE"),
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R"(SG_Single(ind[, filter_n = 10, filter_p = 0.1, kpart='CLOSE'])
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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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:param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
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:return: 信号指示器)");
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def("SG_Single2", SG_Single2,
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(arg("ind"), arg("filter_n") = 10, arg("filter_p") = 0.1, arg("kpart") = "CLOSE"),
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R"(SG_Single2(ind[, filter_n = 10, filter_p = 0.1, kpart='CLOSE'])
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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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:param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
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:return: 信号指示器)");
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def("SG_Cross", SG_Cross, (arg("fast"), arg("slow"), arg("kpart") = "CLOSE"),
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R"(SG_Cross(fast, slow[, kpart = "CLOSE"])
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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(OP(MA(n=10)), OP(MA(n=30)))
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:param Indicator fast: 快线
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:param Indicator slow: 慢线
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:param string kpart: OPEN|HIGH|LOW|CLOSE|AMO|VOL|KDATA
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:return: 信号指示器)");
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def("SG_CrossGold", SG_CrossGold, (arg("fast"), arg("slow"), arg("kpart") = "CLOSE"),
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R"(SG_CrossGold(fast, slow[, kpart = "CLOSE"])
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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(OP(MA(n=10)), OP(MA(n=30)))
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:param Indicator fast: 快线
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:param Indicator slow: 慢线
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:param string kpart: OPEN|HIGH|LOW|CLOSE|AMO|VOL|KDATA
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:return: 信号指示器)");
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def("SG_Flex", SG_Flex, (arg("op"), arg("slow_n"), arg("kpart") = "CLOSE"),
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R"(SG_Flex(ind, slow_n[, kpart = 'CLOSE'])
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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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:param string kpart: KDATA|OPEN|HIGH|LOW|CLOSE|AMO|VOL
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:return: 信号指示器)");
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}
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