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190 lines
7.6 KiB
C++
190 lines
7.6 KiB
C++
/*
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* _MoneyManager.cpp
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*
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* Created on: 2013-3-13
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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/moneymanager/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 MoneyManagerWrap : public MoneyManagerBase, public wrapper<MoneyManagerBase> {
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public:
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MoneyManagerWrap() : MoneyManagerBase() {}
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MoneyManagerWrap(const string& name) : MoneyManagerBase(name) {}
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void buyNotify(const TradeRecord& record) {
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if (override buyNotify = this->get_override("buyNotify")) {
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buyNotify(record);
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return;
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}
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MoneyManagerBase::buyNotify(record);
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}
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void default_buyNotify(const TradeRecord& record) {
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MoneyManagerBase::buyNotify(record);
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}
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void sellNotify(const TradeRecord& record) {
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if (override sellNotify = this->get_override("sellNotify")) {
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sellNotify(record);
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return;
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}
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MoneyManagerBase::sellNotify(record);
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}
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void default_sellNotify(const TradeRecord& record) {
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MoneyManagerBase::sellNotify(record);
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}
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double _getSellNumber(const Datetime& datetime, const Stock& stock, price_t price, price_t risk,
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SystemPart from) {
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if (override _getSellNumber = this->get_override("_getSellNumber")) {
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return _getSellNumber(datetime, stock, price, risk, from);
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}
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return MoneyManagerBase::_getSellNumber(datetime, stock, price, risk, from);
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}
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double default_getSellNumber(const Datetime& datetime, const Stock& stock, price_t price,
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price_t risk, SystemPart from) {
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return MoneyManagerBase::_getSellNumber(datetime, stock, price, risk, from);
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}
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double _getBuyNumber(const Datetime& datetime, const Stock& stock, price_t price, price_t risk,
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SystemPart from) {
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return this->get_override("_getBuyNumber")(datetime, stock, price, risk, from);
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}
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double _getSellShortNumber(const Datetime& datetime, const Stock& stock, price_t price,
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price_t risk, SystemPart from) {
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if (override _getSellShortNumber = this->get_override("_getSellShortNumber")) {
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return _getSellShortNumber(datetime, stock, price, risk, from);
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}
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return MoneyManagerBase::_getSellShortNumber(datetime, stock, price, risk, from);
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}
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double default_getSellShortNumber(const Datetime& datetime, const Stock& stock, price_t price,
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price_t risk, SystemPart from) {
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return MoneyManagerBase::_getSellShortNumber(datetime, stock, price, risk, from);
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}
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double getBuyShortNumber(const Datetime& datetime, const Stock& stock, price_t price,
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price_t risk, SystemPart from) {
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if (override _getBuyShortNumber = this->get_override("_getBuyShortNumber")) {
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return _getBuyShortNumber(datetime, stock, price, risk, from);
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}
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return MoneyManagerBase::_getBuyShortNumber(datetime, stock, price, risk, from);
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}
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double default_getBuyShortNumber(const Datetime& datetime, const Stock& stock, price_t price,
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price_t risk, SystemPart from) {
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return MoneyManagerBase::_getBuyShortNumber(datetime, stock, price, risk, from);
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}
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void _reset() {
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if (override func = get_override("_reset")) {
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func();
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} else {
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MoneyManagerBase::_reset();
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}
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}
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void default_reset() {
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this->MoneyManagerBase::_reset();
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}
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MoneyManagerPtr _clone() {
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return this->get_override("_clone")();
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}
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};
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string (MoneyManagerBase::*mm_get_name)() const = &MoneyManagerBase::name;
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void (MoneyManagerBase::*mm_set_name)(const string&) = &MoneyManagerBase::name;
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void export_MoneyManager() {
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class_<MoneyManagerWrap, boost::noncopyable>("MoneyManagerBase", R"(资金管理策略基类
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公共参数：
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- auto-checkin=False (bool) : 当账户现金不足以买入资金管理策略指示的买入数量时，自动向账户中补充存入（checkin）足够的现金。
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- max-stock=20000 (int) : 最大持有的证券种类数量（即持有几只股票，而非各个股票的持仓数）
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- disable_ev_force_clean_position=False (bool) : 禁用市场环境失效时强制清仓
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- disable_cn_force_clean_position=False (bool) : 禁用系统有效条件失效时强制清仓
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自定义资金管理策略接口：
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- buyNotify : 【可选】接收实际买入通知，预留用于多次增减仓处理
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- sellNotify : 【可选】接收实际卖出通知，预留用于多次增减仓处理
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- _getBuyNumber : 【必须】获取指定交易对象可买入的数量
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- _getSellNumber : 【可选】获取指定交易对象可卖出的数量，如未重载，默认为卖出全部已持仓数量
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- _reset : 【可选】重置私有属性
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- _clone : 【必须】克隆接口)",
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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", mm_get_name, mm_set_name, "名称")
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.def("getParam", &MoneyManagerBase::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("setParam", &MoneyManagerBase::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("haveParam", &MoneyManagerBase::haveParam, "是否存在指定参数")
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.def("setTM", &MoneyManagerBase::setTM)
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.def("getTM", &MoneyManagerBase::getTM)
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.def("setQuery", &MoneyManagerBase::setQuery)
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.def("getQuery", &MoneyManagerBase::getQuery)
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.def("reset", &MoneyManagerBase::reset)
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.def("clone", &MoneyManagerBase::clone)
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.def("buyNotify", &MoneyManagerBase::buyNotify, &MoneyManagerWrap::default_buyNotify)
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.def("sellNotify", &MoneyManagerBase::sellNotify, &MoneyManagerWrap::default_sellNotify)
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.def("getBuyNumber", &MoneyManagerBase::getBuyNumber)
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.def("getSellNumber", &MoneyManagerBase::getSellNumber)
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.def("getSellShortNumber", &MoneyManagerBase::getSellShortNumber)
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.def("getBuyShortNumber", &MoneyManagerBase::getBuyShortNumber)
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.def("_getBuyNumber", pure_virtual(&MoneyManagerBase::_getBuyNumber))
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.def("_getSellNumber", &MoneyManagerBase::_getSellNumber,
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&MoneyManagerWrap::default_getSellNumber)
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.def("_getSellShortNumber", &MoneyManagerBase::_getSellShortNumber,
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&MoneyManagerWrap::default_getSellShortNumber)
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.def("_getBuyShortNumber", &MoneyManagerBase::_getBuyShortNumber,
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&MoneyManagerWrap::default_getBuyShortNumber)
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.def("_reset", &MoneyManagerBase::_reset, &MoneyManagerWrap::default_reset)
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.def("_clone", pure_virtual(&MoneyManagerBase::_clone))
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#if HKU_PYTHON_SUPPORT_PICKLE
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.def_pickle(name_init_pickle_suite<MoneyManagerBase>())
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#endif
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;
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register_ptr_to_python<MoneyManagerPtr>();
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def("MM_Nothing", MM_Nothing);
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def("MM_FixedRisk", MM_FixedRisk, (arg("risk") = 1000.00));
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def("MM_FixedCapital", MM_FixedCapital, (arg("capital") = 10000.00));
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def("MM_FixedCount", MM_FixedCount, (arg("n") = 100));
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def("MM_FixedPercent", MM_FixedPercent, (arg("p") = 0.03));
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def("MM_FixedUnits", MM_FixedUnits, (arg("n") = 33));
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def("MM_WilliamsFixedRisk", MM_WilliamsFixedRisk, (arg("p") = 0.1, arg("max_loss") = 1000.0));
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}
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