mirror of
https://gitee.com/fasiondog/hikyuu.git
synced 2024-12-10 16:38:22 +08:00
226 lines
7.5 KiB
C++
226 lines
7.5 KiB
C++
/*
|
||
* _Signal.cpp
|
||
*
|
||
* Created on: 2013-3-18
|
||
* Author: fasiondog
|
||
*/
|
||
|
||
#include <boost/python.hpp>
|
||
#include <hikyuu/trade_sys/signal/build_in.h>
|
||
#include "../_Parameter.h"
|
||
#include "../pickle_support.h"
|
||
|
||
using namespace boost::python;
|
||
using namespace hku;
|
||
|
||
class SignalWrap : public SignalBase, public wrapper<SignalBase> {
|
||
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_<SignalWrap, boost::noncopyable>("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<const string&>())
|
||
|
||
.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<boost::any>, 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<object>, 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<SignalBase>())
|
||
#endif
|
||
;
|
||
|
||
register_ptr_to_python<SignalPtr>();
|
||
|
||
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),
|
||
R"(SG_Single(ind[, filter_n = 10, filter_p = 0.1])
|
||
|
||
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
|
||
:return: 信号指示器)");
|
||
|
||
def("SG_Single2", SG_Single2, (arg("ind"), arg("filter_n") = 10, arg("filter_p") = 0.1),
|
||
R"(SG_Single2(ind[, filter_n = 10, filter_p = 0.1])
|
||
|
||
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
|
||
:return: 信号指示器)");
|
||
|
||
def("SG_Cross", SG_Cross, (arg("fast"), arg("slow")),
|
||
R"(SG_Cross(fast, slow)
|
||
|
||
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(MA(C, n=10), MA(C, n=30))
|
||
|
||
:param Indicator fast: 快线
|
||
:param Indicator slow: 慢线
|
||
:return: 信号指示器)");
|
||
|
||
def("SG_CrossGold", SG_CrossGold, (arg("fast"), arg("slow")),
|
||
R"(SG_CrossGold(fast, slow)
|
||
|
||
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(MA(C, n=10), MA(C, n=30))
|
||
|
||
:param Indicator fast: 快线
|
||
:param Indicator slow: 慢线
|
||
:return: 信号指示器)");
|
||
|
||
def("SG_Flex", SG_Flex, (arg("op"), arg("slow_n")),
|
||
R"(SG_Flex(ind, slow_n)
|
||
|
||
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
|
||
:return: 信号指示器)");
|
||
|
||
def("SG_Band", SG_Band, (arg("ind"), arg("lower"), arg("upper")),
|
||
R"(SG_Band(ind, lower, upper)
|
||
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(MA(C, n=10), 100, 200)
|
||
)");
|
||
}
|