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127 lines
4.3 KiB
C++
127 lines
4.3 KiB
C++
/*
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* _Slippage.cpp
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*
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* Created on: 2013-3-21
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* Author: fasiondog
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*/
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#include <hikyuu/trade_sys/slippage/SlippageBase.h>
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#include <hikyuu/trade_sys/slippage/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 PySlippageBase : public SlippageBase {
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PY_CLONE(PySlippageBase, SlippageBase)
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public:
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using SlippageBase::SlippageBase;
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PySlippageBase(const SlippageBase& base) : SlippageBase(base) {}
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void _calculate() override {
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PYBIND11_OVERLOAD_PURE(void, SlippageBase, _calculate, );
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}
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void _reset() override {
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PYBIND11_OVERLOAD(void, SlippageBase, _reset, );
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}
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price_t getRealBuyPrice(const Datetime& datetime, price_t planPrice) override {
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PYBIND11_OVERLOAD_PURE_NAME(price_t, SlippageBase, "get_real_buy_price", getRealBuyPrice,
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datetime, planPrice);
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}
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price_t getRealSellPrice(const Datetime& datetime, price_t planPrice) override {
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PYBIND11_OVERLOAD_PURE_NAME(price_t, SlippageBase, "get_real_sell_price", getRealSellPrice,
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datetime, planPrice);
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}
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};
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void export_Slippage(py::module& m) {
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py::class_<SlippageBase, SPPtr, PySlippageBase>(m, "SlippageBase", py::dynamic_attr(),
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R"(移滑价差算法基类
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自定义移滑价差接口：
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- getRealBuyPrice : 【必须】计算实际买入价格
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- getRealSellPrice : 【必须】计算实际卖出价格
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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 SlippageBase&>())
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.def(py::init<const string&>(), R"(初始化构造函数
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:param str name: 名称)")
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.def("__str__", to_py_str<SlippageBase>)
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.def("__repr__", to_py_str<SlippageBase>)
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.def_property("name", py::overload_cast<>(&SlippageBase::name, py::const_),
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py::overload_cast<const string&>(&SlippageBase::name),
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py::return_value_policy::copy, "名称")
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.def_property("to", &SlippageBase::getTO, &SlippageBase::setTO, "关联交易对象")
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.def("get_param", &SlippageBase::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", &SlippageBase::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", &SlippageBase::haveParam, "是否存在指定参数")
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.def("get_real_buy_price", &SlippageBase::getRealBuyPrice,
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R"(get_real_buy_price(self, datetime, price)
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【重载接口】计算实际买入价格
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:param Datetime datetime: 买入时间
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:param float price: 计划买入价格
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:return: 实际买入价格
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:rtype: float)")
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.def("get_real_sell_price", &SlippageBase::getRealSellPrice,
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R"(get_real_sell_price(self, datetime, price)
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【重载接口】计算实际卖出价格
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:param Datetime datetime: 卖出时间
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:param float price: 计划卖出价格
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:return: 实际卖出价格
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:rtype: float)")
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.def("reset", &SlippageBase::reset, "复位操作")
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.def("clone", &SlippageBase::clone, "克隆操作")
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.def("_calculate", &SlippageBase::_calculate, "【重载接口】子类计算接口")
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.def("_reset", &SlippageBase::_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(SPPtr);
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m.def("SP_FixedPercent", SP_FixedPercent, py::arg("p") = 0.001,
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R"(SP_FixedPercent([p=0.001])
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固定百分比移滑价差算法，买入实际价格 = 计划买入价格 * (1 + p)，卖出实际价格 = 计划卖出价格 * (1 - p)
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:param float p: 偏移的固定百分比
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:return: 移滑价差算法实例)");
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m.def("SP_FixedValue", SP_FixedValue, py::arg("value") = 0.01, R"(SP_FixedValuet([p=0.001])
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固定价格移滑价差算法，买入实际价格 = 计划买入价格 + 偏移价格，卖出实际价格 = 计划卖出价格 - 偏移价格
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:param float p: 偏移价格
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:return: 移滑价差算法实例)");
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}
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