mirror of
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693 lines
22 KiB
C++
693 lines
22 KiB
C++
/*
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* Copyright(C) 2021 hikyuu.org
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*
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* Create on: 2021-02-13
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* Author: fasiondog
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*/
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#pragma once
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#include "../utilities/Parameter.h"
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#include "TradeRecord.h"
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#include "PositionRecord.h"
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#include "BorrowRecord.h"
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#include "FundsRecord.h"
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#include "LoanRecord.h"
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#include "TradeCostBase.h"
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#include "OrderBrokerBase.h"
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#include "crt/TC_Zero.h"
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#if HKU_SUPPORT_SERIALIZATION
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#include <boost/serialization/nvp.hpp>
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#include <boost/serialization/split_free.hpp>
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#endif
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namespace hku {
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/**
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* 账户交易管理基类，管理帐户的交易记录及资金使用情况
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* @details
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* <pre>
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* 默认参数：
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* precision(int): 2 计算精度
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* </pre>
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* @ingroup TradeManagerClass
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*/
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class HKU_API TradeManagerBase {
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PARAMETER_SUPPORT
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public:
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TradeManagerBase() : TradeManagerBase("", TC_Zero()) {}
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TradeManagerBase(const string& name, const TradeCostPtr& costFunc)
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: m_name(name), m_costfunc(costFunc), m_broker_last_datetime(Datetime::now()) {
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setParam<int>("precision", 2); // 计算精度
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}
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virtual ~TradeManagerBase() {}
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/** 账户名称 */
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const string& name() const {
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return m_name;
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}
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/** 设置账户名称 */
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void name(const string& name) {
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m_name = name;
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}
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/** 交易精度 */
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int precision() const {
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return getParam<int>("precision");
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}
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/** 获取交易成本算法指针 */
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TradeCostPtr costFunc() const {
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return m_costfunc;
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}
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/** 设置交易成本算法指针 */
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void costFunc(const TradeCostPtr& func) {
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m_costfunc = func;
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}
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/**
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* 计算买入成本
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* @param datetime 交易日期
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* @param stock 交易的证券对象
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* @param price 买入价格
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* @param num 买入数量
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* @return CostRecord 交易成本记录
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*/
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CostRecord getBuyCost(const Datetime& datetime, const Stock& stock, price_t price,
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double num) const {
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return m_costfunc ? m_costfunc->getBuyCost(datetime, stock, price, num) : CostRecord();
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}
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/**
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* 计算卖出成本
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* @param datetime 交易日期
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* @param stock 交易的证券对象
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* @param price 卖出价格
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* @param num 卖出数量
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* @return CostRecord 交易成本记录
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*/
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CostRecord getSellCost(const Datetime& datetime, const Stock& stock, price_t price,
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double num) const {
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return m_costfunc ? m_costfunc->getSellCost(datetime, stock, price, num) : CostRecord();
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}
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/**
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* 计算计入现金时的费用成本
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* @param datetime 借入日期
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* @param cash 现金额
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*/
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CostRecord getBorrowCashCost(const Datetime& datetime, price_t cash) {
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return m_costfunc ? m_costfunc->getBorrowCashCost(datetime, cash) : CostRecord();
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}
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/**
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* 计算归还融资成本
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* @param borrow_datetime 借入日期
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* @param return_datetime 归还日期
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* @param cash 归还金额
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*/
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CostRecord getReturnCashCost(const Datetime& borrow_datetime, const Datetime& return_datetime,
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price_t cash) {
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return m_costfunc ? m_costfunc->getReturnCashCost(borrow_datetime, return_datetime, cash)
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: CostRecord();
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}
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/**
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* 计算融劵借入成本
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* @param datetime 融劵日期
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* @param stock 借入的对象
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* @param price 每股价格
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* @param num 借入的数量
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*/
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CostRecord getBorrowStockCost(const Datetime& datetime, const Stock& stock, price_t price,
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double num) {
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return m_costfunc ? m_costfunc->getBorrowStockCost(datetime, stock, price, num)
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: CostRecord();
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}
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/**
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* 计算融劵归还成本
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* @param borrow_datetime 借入日期
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* @param return_datetime 归还日期
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* @param stock 归还的对象
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* @param price 归还时每股价格
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* @param num 归还的数量
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*/
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CostRecord getReturnStockCost(const Datetime& borrow_datetime, const Datetime& return_datetime,
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const Stock& stock, price_t price, double num) {
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return m_costfunc ? m_costfunc->getReturnStockCost(borrow_datetime, return_datetime, stock,
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price, num)
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: CostRecord();
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}
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/** 从哪个时刻开始启动订单代理进行下单操作 */
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Datetime getBrokerLastDatetime() const {
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return m_broker_last_datetime;
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}
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/** 设置开始订单代理操作的时刻 */
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void setBrokerLastDatetime(const Datetime& date) {
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m_broker_last_datetime = date;
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}
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/** 复位，清空交易、持仓记录 */
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void reset() {
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_reset();
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}
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virtual void _reset() {
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HKU_WARN("The subclass does not implement a reset method");
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}
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/** 执行 clone 操作 */
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shared_ptr<TradeManagerBase> clone() {
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shared_ptr<TradeManagerBase> p = _clone();
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HKU_CHECK(p, "Invalid ptr from _clone!");
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p->m_params = m_params;
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p->m_name = m_name;
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p->m_broker_last_datetime = m_broker_last_datetime;
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p->m_costfunc = m_costfunc;
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return p;
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}
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virtual shared_ptr<TradeManagerBase> _clone() {
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HKU_WARN("The subclass does not implement a reset method");
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return shared_ptr<TradeManagerBase>();
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}
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/**
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* 注册订单代理
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* @param broker 订单代理实例
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*/
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void regBroker(const OrderBrokerPtr& broker) {
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m_broker_list.push_back(broker);
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}
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/**
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* 清空已注册的订单代理
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*/
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void clearBroker() {
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m_broker_list.clear();
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}
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/**
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* 根据权息信息更新当前持仓与交易情况
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* @note 必须按时间顺序调用
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* @param datetime 当前时刻
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*/
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virtual void updateWithWeight(const Datetime& datetime) {
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HKU_WARN("The subclass does not implement a updateWithWeight method");
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}
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/**
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* 获取指定对象的保证金比率
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* @param datetime 日期
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* @param stock 指定对象
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*/
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virtual double getMarginRate(const Datetime& datetime, const Stock& stock) {
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HKU_WARN("The subclass does not implement a getMarginRate method");
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return 0.0;
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}
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/** 初始资金 */
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virtual price_t initCash() const {
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HKU_WARN("The subclass does not implement this method");
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return 0.0;
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}
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/** 账户建立日期 */
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virtual Datetime initDatetime() const {
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HKU_WARN("The subclass does not implement this method");
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return Datetime();
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}
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/** 第一笔买入交易发生日期，如未发生交易返回Null<Datetime>() */
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virtual Datetime firstDatetime() const {
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HKU_WARN("The subclass does not implement this method");
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return Datetime();
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}
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/** 最后一笔交易日期，注意和交易类型无关，如未发生交易返回账户建立日期 */
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virtual Datetime lastDatetime() const {
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HKU_WARN("The subclass does not implement this method");
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return Datetime();
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}
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/**
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* 返回当前现金
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* @note 仅返回当前信息，不会根据权息进行调整
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*/
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virtual price_t currentCash() const {
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HKU_WARN("The subclass does not implement this method");
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return 0.0;
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}
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/**
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* 获取指定日期的现金
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* @note 如果不带日期参数，无法根据权息信息调整持仓
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*/
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virtual price_t cash(const Datetime& datetime, KQuery::KType ktype = KQuery::DAY) {
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HKU_WARN("The subclass does not implement this method");
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return 0.0;
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}
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/**
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* 当前是否持有指定的证券
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* @note 这里未使用日期参数，必须保证是按日期顺序执行
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* @param stock 指定证券
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* @return true 是 | false 否
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*/
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virtual bool have(const Stock& stock) const {
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HKU_WARN("The subclass does not implement this method");
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return false;
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}
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/**
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* 当前空头仓位是否持有指定的证券
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* @note 这里未使用日期参数，必须保证是按日期顺序执行
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* @param stock 指定证券
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* @return true 是 | false 否
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*/
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virtual bool haveShort(const Stock& stock) const {
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HKU_WARN("The subclass does not implement this method");
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return false;
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}
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/** 当前持有的证券种类数量 */
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virtual size_t getStockNumber() const {
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HKU_WARN("The subclass does not implement this method");
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return 0;
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}
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/** 当前空头持有的证券种类数量 */
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virtual size_t getShortStockNumber() const {
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HKU_WARN("The subclass does not implement this method");
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return 0;
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}
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/** 获取指定时刻的某证券持有数量 */
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virtual double getHoldNumber(const Datetime& datetime, const Stock& stock) {
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HKU_WARN("The subclass does not implement this method");
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return 0.0;
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}
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/** 获取指定时刻的空头某证券持有数量 */
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virtual double getShortHoldNumber(const Datetime& datetime, const Stock& stock) {
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HKU_WARN("The subclass does not implement this method");
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return 0.0;
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}
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/** 获取指定时刻已借入的股票数量 */
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virtual double getDebtNumber(const Datetime& datetime, const Stock& stock) {
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HKU_WARN("The subclass does not implement this method");
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return 0.0;
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}
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/** 获取指定时刻已借入的现金额 */
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virtual price_t getDebtCash(const Datetime& datetime) {
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HKU_WARN("The subclass does not implement this method");
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return 0.0;
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}
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/** 获取全部交易记录 */
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virtual TradeRecordList getTradeList() const {
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HKU_WARN("The subclass does not implement this method");
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return TradeRecordList();
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}
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/**
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* 获取指定日期范围内的交易记录[start, end)
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* @param start 起始日期
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* @param end 结束日期
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* @return 交易记录列表
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*/
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virtual TradeRecordList getTradeList(const Datetime& start, const Datetime& end) const {
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HKU_WARN("The subclass does not implement this method");
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return TradeRecordList();
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}
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/** 获取当前全部持仓记录 */
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virtual PositionRecordList getPositionList() const {
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HKU_WARN("The subclass does not implement this method");
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return PositionRecordList();
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}
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/** 获取全部历史持仓记录，即已平仓记录 */
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virtual PositionRecordList getHistoryPositionList() const {
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HKU_WARN("The subclass does not implement this method");
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return PositionRecordList();
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}
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/** 获取当前全部空头仓位记录 */
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virtual PositionRecordList getShortPositionList() const {
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HKU_WARN("The subclass does not implement this method");
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return PositionRecordList();
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}
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/** 获取全部空头历史仓位记录 */
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virtual PositionRecordList getShortHistoryPositionList() const {
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HKU_WARN("The subclass does not implement this method");
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return PositionRecordList();
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}
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/**
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* 获取指定证券的持仓记录
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* @param date 指定日期
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* @param stock 指定的证券
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*/
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virtual PositionRecord getPosition(const Datetime& date, const Stock& stock) {
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HKU_WARN("The subclass does not implement this method");
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return PositionRecord();
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}
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/**
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* 获取指定证券的空头持仓记录
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* @param date 指定日期
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* @param stock 指定的证券
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*/
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virtual PositionRecord getShortPosition(const Stock&) const {
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HKU_WARN("The subclass does not implement this method");
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return PositionRecord();
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}
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/** 获取当前借入的股票列表 */
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virtual BorrowRecordList getBorrowStockList() const {
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HKU_WARN("The subclass does not implement this method");
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return BorrowRecordList();
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}
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/**
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* 存入资金
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* @param datetime 存入时间
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* @param cash 存入的资金量
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* @return true | false
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*/
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virtual bool checkin(const Datetime& datetime, price_t cash) {
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HKU_WARN("The subclass does not implement this method");
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return false;
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}
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/**
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* 取出资金
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* @param datetime 取出时间
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* @param cash 取出的资金量
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* @return true | false
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*/
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virtual bool checkout(const Datetime& datetime, price_t cash) {
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HKU_WARN("The subclass does not implement this method");
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return false;
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}
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/**
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* 存入资产
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* @param datetime 存入日期
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* @param stock 待存入的股票
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* @param price 存入股票的每股价格
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* @param number 存入股票的数量
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* @return true | false
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*/
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virtual bool checkinStock(const Datetime& datetime, const Stock& stock, price_t price,
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double number) {
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HKU_WARN("The subclass does not implement this method");
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return false;
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}
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/**
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* 取出当前资产
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* @param datetime 取出日期
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* @param stock 待取出的股票
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* @param price 取出的每股价格
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* @param number 取出的数量
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* @return true | false
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* @note 应该不会被用到
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*/
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virtual bool checkoutStock(const Datetime& datetime, const Stock& stock, price_t price,
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double number) {
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HKU_WARN("The subclass does not implement this method");
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return false;
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}
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/**
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* 买入操作
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* @param datetime 买入时间
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* @param stock 买入的证券
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* @param realPrice 实际买入价格
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* @param number 买入数量
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* @param stoploss 止损价
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* @param goalPrice 目标价格
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* @param planPrice 计划买入价格
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* @param from 记录是哪个系统部件发出的买入指示
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* @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
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*/
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virtual TradeRecord buy(const Datetime& datetime, const Stock& stock, price_t realPrice,
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double number, price_t stoploss = 0.0, price_t goalPrice = 0.0,
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price_t planPrice = 0.0, SystemPart from = PART_INVALID) {
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HKU_WARN("The subclass does not implement this method");
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return TradeRecord();
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}
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/**
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* 卖出操作
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* @param datetime 卖出时间
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* @param stock 卖出的证券
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* @param realPrice 实际卖出价格
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* @param number 卖出数量，如果是 MAX_DOUBLE, 表示全部卖出
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* @param stoploss 新的止损价
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* @param goalPrice 新的目标价格
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* @param planPrice 原计划卖出价格
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* @param from 记录是哪个系统部件发出的卖出指示
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* @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
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*/
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virtual TradeRecord sell(const Datetime& datetime, const Stock& stock, price_t realPrice,
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double number = MAX_DOUBLE, price_t stoploss = 0.0,
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price_t goalPrice = 0.0, price_t planPrice = 0.0,
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SystemPart from = PART_INVALID) {
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HKU_WARN("The subclass does not implement this method");
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return TradeRecord();
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}
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/**
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* 卖空
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* @param datetime 卖空时间
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* @param stock 卖空的证券
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* @param realPrice 实际卖空价格
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* @param number 卖出数量
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* @param stoploss 止损价
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* @param goalPrice 目标价格
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* @param planPrice 计划卖空价格
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* @param from 记录是哪个系统部件发出的买入指示
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* @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
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*/
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virtual TradeRecord sellShort(const Datetime& datetime, const Stock& stock, price_t realPrice,
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double number, price_t stoploss = 0.0, price_t goalPrice = 0.0,
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price_t planPrice = 0.0, SystemPart from = PART_INVALID) {
|
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HKU_WARN("The subclass does not implement this method");
|
||
return TradeRecord();
|
||
}
|
||
|
||
/**
|
||
* 卖空后回补
|
||
* @param datetime 买入时间
|
||
* @param stock 买入的证券
|
||
* @param realPrice 实际买入价格
|
||
* @param number 卖出数量，如果是 MAX_DOUBLE, 表示全部卖出
|
||
* @param stoploss 止损价
|
||
* @param goalPrice 目标价格
|
||
* @param planPrice 计划买入价格
|
||
* @param from 记录是哪个系统部件发出的卖出指示
|
||
* @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
|
||
*/
|
||
virtual TradeRecord buyShort(const Datetime& datetime, const Stock& stock, price_t realPrice,
|
||
double number = MAX_DOUBLE, price_t stoploss = 0.0,
|
||
price_t goalPrice = 0.0, price_t planPrice = 0.0,
|
||
SystemPart from = PART_INVALID) {
|
||
HKU_WARN("The subclass does not implement this method");
|
||
return TradeRecord();
|
||
}
|
||
|
||
/**
|
||
* 借入资金，从其他来源借取的资金，如融资
|
||
* @param datetime 借入时间
|
||
* @param cash 借入的现金
|
||
* @return true | false
|
||
*/
|
||
virtual bool borrowCash(const Datetime& datetime, price_t cash) {
|
||
HKU_WARN("The subclass does not implement this method");
|
||
return false;
|
||
}
|
||
|
||
/**
|
||
* 归还资金
|
||
* @param datetime 归还日期
|
||
* @param cash 归还现金
|
||
* @return true | false
|
||
*/
|
||
virtual bool returnCash(const Datetime& datetime, price_t cash) {
|
||
HKU_WARN("The subclass does not implement this method");
|
||
return false;
|
||
}
|
||
|
||
/**
|
||
* 借入证券
|
||
* @param datetime 借入时间
|
||
* @param stock 借入的stock
|
||
* @param price 借入时单股价格
|
||
* @param number 借入时数量
|
||
* @return true | false
|
||
*/
|
||
virtual bool borrowStock(const Datetime& datetime, const Stock& stock, price_t price,
|
||
double number) {
|
||
HKU_WARN("The subclass does not implement this method");
|
||
return false;
|
||
}
|
||
|
||
/**
|
||
* 归还证券
|
||
* @param datetime 归还时间
|
||
* @param stock 归还的stock
|
||
* @param price 归还时单股价格
|
||
* @param number 归还数量
|
||
* @return true | false
|
||
*/
|
||
virtual bool returnStock(const Datetime& datetime, const Stock& stock, price_t price,
|
||
double number) {
|
||
HKU_WARN("The subclass does not implement this method");
|
||
return false;
|
||
}
|
||
|
||
/**
|
||
* 获取账户当前时刻的资产详情
|
||
* @param ktype 日期的类型
|
||
* @return 资产详情
|
||
*/
|
||
virtual FundsRecord getFunds(KQuery::KType ktype = KQuery::DAY) const {
|
||
HKU_WARN("The subclass does not implement this method");
|
||
return FundsRecord();
|
||
}
|
||
|
||
/**
|
||
* 获取指定时刻的资产市值详情
|
||
* @param datetime 必须大于帐户建立的初始日期，或为Null<Datetime>()
|
||
* @param ktype 日期的类型
|
||
* @return 资产详情
|
||
* @note 当datetime等于Null<Datetime>()时，与getFunds(KType)同
|
||
*/
|
||
virtual FundsRecord getFunds(const Datetime& datetime, KQuery::KType ktype = KQuery::DAY) {
|
||
HKU_WARN("The subclass does not implement this method");
|
||
return FundsRecord();
|
||
}
|
||
|
||
/**
|
||
* 获取资产净值曲线，含借入的资产
|
||
* @param dates 日期列表，根据该日期列表获取其对应的资产净值曲线
|
||
* @param ktype K线类型，必须与日期列表匹配，默认KQuery::DAY
|
||
* @return 资产净值列表
|
||
*/
|
||
virtual PriceList getFundsCurve(const DatetimeList& dates, KQuery::KType ktype = KQuery::DAY) {
|
||
HKU_WARN("The subclass does not implement this method");
|
||
return PriceList();
|
||
}
|
||
|
||
/**
|
||
* 获取收益曲线，即扣除历次存入资金后的资产净值曲线
|
||
* @param dates 日期列表，根据该日期列表获取其对应的收益曲线，应为递增顺序
|
||
* @param ktype K线类型，必须与日期列表匹配，默认为KQuery::DAY
|
||
* @return 收益曲线
|
||
*/
|
||
virtual PriceList getProfitCurve(const DatetimeList& dates, KQuery::KType ktype = KQuery::DAY) {
|
||
HKU_WARN("The subclass does not implement this method");
|
||
return PriceList();
|
||
}
|
||
|
||
/**
|
||
* 直接加入交易记录
|
||
* @note 如果加入初始化账户记录，将清除全部已有交易及持仓记录
|
||
* @param tr 待加入的交易记录
|
||
* @return bool true 成功 | false 失败
|
||
*/
|
||
virtual bool addTradeRecord(const TradeRecord& tr) {
|
||
HKU_WARN("The subclass does not implement this method");
|
||
return false;
|
||
}
|
||
|
||
/** 字符串输出 */
|
||
virtual string str() const {
|
||
HKU_WARN("The subclass does not implement this method");
|
||
return string();
|
||
}
|
||
|
||
/**
|
||
* 以csv格式输出交易记录、未平仓记录、已平仓记录、资产净值曲线
|
||
* @param path 输出文件所在目录
|
||
*/
|
||
virtual void tocsv(const string& path) {
|
||
HKU_WARN("The subclass does not implement this method");
|
||
}
|
||
|
||
protected:
|
||
string m_name; // 账户名称
|
||
TradeCostPtr m_costfunc; // 成本算法
|
||
|
||
Datetime m_broker_last_datetime; // 订单代理最近一次执行操作的时刻,当前启动运行时间
|
||
list<OrderBrokerPtr> m_broker_list; // 订单代理列表
|
||
|
||
//============================================
|
||
// 序列化支持
|
||
//============================================
|
||
#if HKU_SUPPORT_SERIALIZATION
|
||
private:
|
||
friend class boost::serialization::access;
|
||
template <class Archive>
|
||
void save(Archive& ar, const unsigned int version) const {
|
||
ar& BOOST_SERIALIZATION_NVP(m_params);
|
||
ar& BOOST_SERIALIZATION_NVP(m_name);
|
||
ar& BOOST_SERIALIZATION_NVP(m_costfunc);
|
||
ar& BOOST_SERIALIZATION_NVP(m_broker_last_datetime);
|
||
ar& BOOST_SERIALIZATION_NVP(m_broker_list);
|
||
}
|
||
|
||
template <class Archive>
|
||
void load(Archive& ar, const unsigned int version) {
|
||
ar& BOOST_SERIALIZATION_NVP(m_params);
|
||
ar& BOOST_SERIALIZATION_NVP(m_name);
|
||
ar& BOOST_SERIALIZATION_NVP(m_costfunc);
|
||
ar& BOOST_SERIALIZATION_NVP(m_broker_last_datetime);
|
||
ar& BOOST_SERIALIZATION_NVP(m_broker_list);
|
||
}
|
||
|
||
BOOST_SERIALIZATION_SPLIT_MEMBER()
|
||
#endif /* HKU_SUPPORT_SERIALIZATION */
|
||
};
|
||
|
||
#if HKU_SUPPORT_SERIALIZATION
|
||
BOOST_SERIALIZATION_ASSUME_ABSTRACT(TradeManagerBase)
|
||
#endif
|
||
|
||
/**
|
||
* 客户程序应使用此类型进行实际操作
|
||
* @ingroup TradeManagerClass
|
||
*/
|
||
typedef shared_ptr<TradeManagerBase> TradeManagerPtr;
|
||
typedef shared_ptr<TradeManagerBase> TMPtr;
|
||
|
||
inline std::ostream& operator<<(std::ostream& os, const TradeManagerBase& tm) {
|
||
os << tm.str();
|
||
return os;
|
||
}
|
||
|
||
inline std::ostream& operator<<(std::ostream& os, const TradeManagerPtr& ptm) {
|
||
if (ptm) {
|
||
os << ptm->str();
|
||
} else {
|
||
os << "TradeManager(NULL)";
|
||
}
|
||
return os;
|
||
}
|
||
|
||
} // namespace hku
|