mirror of
https://gitee.com/fasiondog/hikyuu.git
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260 lines
11 KiB
C++
260 lines
11 KiB
C++
/*
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* _System.cpp
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*
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* Created on: 2013-3-22
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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/system/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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BOOST_PYTHON_MEMBER_FUNCTION_OVERLOADS(run_overload, run, 2, 3);
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string (System::*sys_get_name)() const = &System::name;
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void (System::*sys_set_name)(const string&) = &System::name;
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void (System::*run_1)(const KQuery&, bool) = &System::run;
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void (System::*run_2)(const Stock&, const KQuery&, bool reset) = &System::run;
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void export_System() {
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def(
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"SYS_Simple", SYS_Simple,
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(arg("tm") = TradeManagerPtr(), arg("mm") = MoneyManagerPtr(), arg("ev") = EnvironmentPtr(),
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arg("cn") = ConditionPtr(), arg("sg") = SignalPtr(), arg("st") = StoplossPtr(),
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arg("tp") = StoplossPtr(), arg("pg") = ProfitGoalPtr(), arg("sp") = SlippagePtr()),
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R"(SYS_Simple([tm=None, mm=None, ev=None, cn=None, sg=None, st=None, tp=None, pg=None, sp=None])
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创建简单系统实例（每次交易不进行多次加仓或减仓，即每次买入后在卖出时全部卖出）， 系统实例在运行时(调用run方法），至少需要一个配套的交易管理实例、一个资金管理策略
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和一个信号指示器），可以在创建系统实例后进行指定。如果出现调用run时没有任何输出，
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且没有正确结果的时候，可能是未设置tm、sg、mm。进行回测时，使用 run 方法，如::
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#创建模拟交易账户进行回测，初始资金30万
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my_tm = crtTM(initCash = 300000)
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#创建信号指示器（以5日EMA为快线，5日EMA自身的10日EMA最为慢线，快线向上穿越慢线时买入，反之卖出）
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my_sg = SG_Flex(OP(EMA(n=5)), slow_n=10)
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#固定每次买入1000股
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my_mm = MM_FixedCount(1000)
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#创建交易系统并运行
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sys = SYS_Simple(tm = my_tm, sg = my_sg, mm = my_mm)
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sys.run(sm['sz000001'], Query(-150))
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:param TradeManager tm: 交易管理实例
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:param MoneyManager mm: 资金管理策略
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:param EnvironmentBase ev: 市场环境判断策略
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:param ConditionBase cn: 系统有效条件
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:param SignalBase sg: 信号指示器
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:param StoplossBase st: 止损策略
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:param StoplossBase tp: 止盈策略
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:param ProfitGoalBase pg: 盈利目标策略
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:param SlippageBase sp: 移滑价差算法
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:return: system实例)");
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def("get_system_part_name", getSystemPartName, R"(get_system_part_name(part)
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获取部件的字符串名称
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- System.Part.ENVIRONMENT - "EV"
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- System.Part.CONDITION - "CN"
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- System.Part.SIGNAL - "SG"
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- System.Part.STOPLOSS - "ST"
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- System.Part.TAKEPROFIT - "TP"
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- System.Part.MONEYMANAGER - "MM"
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- System.Part.PROFITGOAL - "PG"
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- System.Part.SLIPPAGE - "SP"
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- System.Part.INVALID - "--"
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:param int part: System.Part 枚举值
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:rtype: str)");
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def("get_system_part_enum", getSystemPartEnum, R"(get_system_part_enum(part_name)
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根据系统部件的字符串名称获取相应的枚举值
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:param str part_name: 系统部件的字符串名称，参见：:py:func:`getSystemPartName`
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:rtype: System.Part)");
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class_<TradeRequest>(
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"TradeRequest",
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R"(交易请求记录。系统内部在实现延迟操作时登记的交易请求信息。暴露该结构的主要目的是用于在“delay”模式（延迟到下一个bar开盘时进行交易）的情况下，系统实际已知下一个Bar将要进行交易，此时可通过 :py:meth:`System.getBuyTradeRequest` 、 :py:meth:`System.getSellTradeRequest` 来获知下一个BAR是否需要买入/卖出。主要用于提醒或打印下一个Bar需要进行操作。对于系统本身的运行没有影响。)",
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init<>())
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//.def(self_ns::str(self))
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//.def(self_ns::repr(self))
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.def_readwrite("valid", &TradeRequest::valid, "该交易请求记录是否有效（True | False）")
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.def_readwrite("business", &TradeRequest::business,
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"交易业务类型，参见：:py:class:`hikyuu.trade_manage.BUSINESS`")
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.def_readwrite("datetime", &TradeRequest::datetime, "发出交易请求的时刻")
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.def_readwrite("stoploss", &TradeRequest::stoploss, "发出交易请求时刻的止损价")
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.def_readwrite("part", &TradeRequest::from,
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"发出交易请求的来源，参见：:py:class:`System.Part`")
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.def_readwrite("count", &TradeRequest::count, "因操作失败，连续延迟的次数")
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#if HKU_PYTHON_SUPPORT_PICKLE
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.def_pickle(normal_pickle_suite<TradeRequest>())
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#endif
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;
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SystemList::const_reference (SystemList::*SystemList_at)(SystemList::size_type) const =
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&SystemList::at;
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void (SystemList::*append)(const SystemPtr&) = &SystemList::push_back;
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class_<SystemList>("SystemList")
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.def("__iter__", iterator<SystemList>())
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.def("size", &SystemList::size)
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.def("__len__", &SystemList::size)
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.def("get", SystemList_at, return_value_policy<copy_const_reference>())
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.def("append", append);
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scope in_System =
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class_<System>(
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"System",
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R"(系统基类。需要扩展或实现更复杂的系统交易行为，可从此类继承。
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系统是指针对针对单个交易对象的完整策略，包括环境判断、系统有效条件、资金管理、止损、止盈、盈利目标、移滑价差的完整策略，用于模拟回测。
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公共参数：
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- delay=True (bool) : 是否延迟到下一个bar开盘时进行交易
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- delay_use_current_price=True (bool) : 延迟操作的情况下，是使用当前交易时bar的价格计算新的止损价/止赢价/目标价还是使用上次计算的结果
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- max_delay_count=3 (int) : 连续延迟交易请求的限制次数，应大于等于0，0表示只允许延迟1次
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- tp_monotonic=True (bool) : 止赢单调递增
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- tp_delay_n=3 (int) : 止盈延迟开始的天数，即止盈策略判断从实际交易几天后开始生效
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- ignore_sell_sg=False (bool) : 忽略卖出信号，只使用止损/止赢等其他方式卖出
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- ev_open_position=False (bool): 是否使用市场环境判定进行初始建仓
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- cn_open_position=False (bool): 是否使用系统有效性条件进行初始建仓)",
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init<const string&>())
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.def(init<const TradeManagerPtr&, const MoneyManagerPtr&, const EnvironmentPtr&,
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const ConditionPtr&, const SignalPtr&, const StoplossPtr&, const StoplossPtr&,
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const ProfitGoalPtr&, const SlippagePtr&, 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", sys_get_name, sys_set_name, "系统名称")
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.add_property("tm", &System::getTM, &System::setTM, "关联的交易管理实例")
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.add_property("to", &System::getTO, &System::setTO, "交易对象 KData")
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.add_property("mm", &System::getMM, &System::setMM, "资金管理策略")
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.add_property("ev", &System::getEV, &System::setEV, "市场环境判断策略")
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.add_property("cn", &System::getCN, &System::setCN, "系统有效条件")
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.add_property("sg", &System::getSG, &System::setSG, "信号指示器")
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.add_property("st", &System::getST, &System::setST, "止损策略")
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.add_property("tp", &System::getTP, &System::setTP, "止盈策略")
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.add_property("pg", &System::getPG, &System::setPG, "盈利目标策略")
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.add_property("sp", &System::getSP, &System::setSP, "移滑价差算法")
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.def("get_param", &System::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", &System::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", &System::haveParam, "是否存在指定参数")
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.def("get_stock", &System::getStock, R"(get_stock(self)
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获取关联的证券
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:rtype: Stock)")
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.def("get_trade_record_list", &System::getTradeRecordList,
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return_value_policy<copy_const_reference>(), R"(get_trade_record_list(self)
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获取交易记录
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:rtype: TradeRecordList)")
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.def("get_buy_trade_request", &System::getBuyTradeRequest,
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return_value_policy<copy_const_reference>(), R"(get_buy_trade_request(self)
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获取买入请求，“delay”模式下查看下一时刻是否存在买入操作
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:rtype: TradeRequest)")
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.def("get_sell_trade_request", &System::getSellTradeRequest,
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return_value_policy<copy_const_reference>(), R"(get_sell_trade_request(self)
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获取卖出请求，“delay”模式下查看下一时刻是否存在卖出操作
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:rtype: TradeRequest)")
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/*.def("getSellShortTradeRequest", &System::getSellShortTradeRequest,
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return_value_policy<copy_const_reference>())
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.def("getBuyShortTradeRequest", &System::getBuyShortTradeRequest,
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return_value_policy<copy_const_reference>())*/
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.def("reset", &System::reset, R"(reset(self, with_tm, with_ev)
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复位操作。TM、EV是和具体系统无关的策略组件，可以在不同的系统中进行共享，复位将引起系统运行时被重新清空并计算。尤其是在共享TM时需要注意！
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:param bool with_tm: 是否复位TM组件
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:param bool with_ev: 是否复位EV组件)")
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.def("clone", &System::clone, R"(clone(self)
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克隆操作。)")
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//.def("run", &System::run, run_overload(args("stock", "query", "reset")))
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.def("run", run_1, (arg("query"), arg("reset") = true))
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.def("run", run_2, (arg("stock"), arg("query"), arg("reset") = true),
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R"(run(self, stock, query[, reset=True])
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运行系统，执行回测
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:param Stock stock: 交易的证券
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:param Query query: K线数据查询条件
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:param bool reset: 是否同时复位所有组件，尤其是tm实例)")
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/*.def("readyForRun", &System::readyForRun)
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.def("runMoment", run_monent_1)
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.def("runMoment", run_monent_2)
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.def("_runMoment", &System::_runMoment)
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.def("_environmentIsValid", &System::_environmentIsValid)
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.def("_conditionIsValid", &System::_conditionIsValid)
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.def("_buyNotifyAll", &System::_buyNotifyAll)
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.def("_sellNotifyAll", &System::_sellNotifyAll)
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.def("_buy", &System::_buy)
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.def("_sell", &System::_sell)*/
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//.def("_haveBuyRequest", &System::_haveBuyRequest)
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//.def("_haveSellRequest", &System::_haveSellRequest)
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//.def("_submitBuyRequest", &System::_submitBuyRequest)
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//.def("_submitSellRequest", &System::_submitSellRequest)
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//.def("_clearBuyRequest", &System::_clearBuyRequest)
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//.def("_clearSellRequest", &System::_clearSellRequest)
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#if HKU_PYTHON_SUPPORT_PICKLE
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.def_pickle(name_init_pickle_suite<System>())
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#endif
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;
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enum_<SystemPart>("Part")
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.value("ENVIRONMENT", PART_ENVIRONMENT)
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.value("CONDITION", PART_CONDITION)
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.value("SIGNAL", PART_SIGNAL)
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.value("STOPLOSS", PART_STOPLOSS)
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.value("TAKEPROFIT", PART_TAKEPROFIT)
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.value("MONEYMANAGER", PART_MONEYMANAGER)
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.value("PROFITGOAL", PART_PROFITGOAL)
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.value("SLIPPAGE", PART_SLIPPAGE)
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.value("ALLOCATEFUNDS", PART_ALLOCATEFUNDS)
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.value("INVALID", PART_INVALID);
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register_ptr_to_python<SystemPtr>();
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}
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