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342 lines
14 KiB
C++
342 lines
14 KiB
C++
/*
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* _TradeManager.cpp
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*
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* Created on: 2013-2-25
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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_manage/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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FundsRecord (TradeManagerBase::*getFunds_1)(KQuery::KType) const = &TradeManagerBase::getFunds;
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FundsRecord (TradeManagerBase::*getFunds_2)(const Datetime&,
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KQuery::KType) = &TradeManagerBase::getFunds;
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PriceList (TradeManagerBase::*getTMFundsCurve_1)(const DatetimeList&,
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KQuery::KType) = &TradeManagerBase::getFundsCurve;
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PriceList (TradeManagerBase::*getTMFundsCurve_2)() = &TradeManagerBase::getFundsCurve;
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PriceList (TradeManagerBase::*getTMProfitCurve_1)(const DatetimeList&, KQuery::KType ktype) =
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&TradeManagerBase::getProfitCurve;
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PriceList (TradeManagerBase::*getTMProfitCurve_2)() = &TradeManagerBase::getProfitCurve;
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TradeCostPtr (TradeManagerBase::*get_costFunc)() const = &TradeManagerBase::costFunc;
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void (TradeManagerBase::*set_costFunc)(const TradeCostPtr&) = &TradeManagerBase::costFunc;
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const string& (TradeManagerBase::*tm_get_name)() const = &TradeManagerBase::name;
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void (TradeManagerBase::*tm_set_name)(const string&) = &TradeManagerBase::name;
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TradeRecordList (TradeManagerBase::*_getTradeList_1)() const = &TradeManagerBase::getTradeList;
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TradeRecordList (TradeManagerBase::*_getTradeList_2)(const Datetime&, const Datetime&) const =
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&TradeManagerBase::getTradeList;
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void export_TradeManager() {
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class_<TradeManagerBase>(
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"TradeManager",
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R"(交易管理类，可理解为一个模拟账户进行模拟交易。一般使用 crtTM 创建交易管理实例。
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交易管理可理解为一个模拟账户进行模拟交易。一般使用 crtTM 创建交易管理实例。
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公共参数：
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- reinvest=False (bool) : 红利是否再投资
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- precision=2 (int) : 价格计算精度
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- support_borrow_cash=False (bool) : 是否自动融资
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- support_borrow_stock=False (bool) : 是否自动融券
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- save_action=True (bool) : 是否保存Python命令序列)",
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// init<const Datetime&, price_t, const TradeCostPtr&, const string&>())
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init<>())
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.def("__str__", &TradeManagerBase::str)
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.def("__repr__", &TradeManagerBase::str)
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.add_property("name", make_function(tm_get_name, return_value_policy<copy_const_reference>()),
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tm_set_name, "名称")
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.add_property("init_cash", &TradeManagerBase::initCash, "（只读）初始资金")
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.add_property("current_cash", &TradeManagerBase::currentCash, "（只读）当前资金")
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.add_property("init_datetime", &TradeManagerBase::initDatetime, "（只读）账户建立日期")
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.add_property("first_datetime", &TradeManagerBase::firstDatetime,
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"（只读）第一笔买入交易发生日期，如未发生交易返回 Datetime>()")
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.add_property("last_datetime", &TradeManagerBase::lastDatetime,
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"（只读）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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.add_property("precision", &TradeManagerBase::precision,
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"（只读）价格精度，同公共参数“precision”")
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.add_property("cost_func", get_costFunc, set_costFunc, "交易成本算法")
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.add_property("broker_last_datetime", &TradeManagerBase::getBrokerLastDatetime,
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&TradeManagerBase::setBrokerLastDatetime,
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R"(实际开始订单代理操作的时刻。
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默认情况下，TradeManager会在执行买入/卖出操作时，调用订单代理执行代理的买入/卖出动作，但这样在实盘操作时会存在问题。因为系统在计算信号指示时，需要回溯历史数据才能得到最新的信号，这样TradeManager会在历史时刻就执行买入/卖出操作，此时如果订单代理本身没有对发出买入/卖出指令的时刻进行控制，会导致代理发送错误的指令。此时，需要指定在某一个时刻之后，才允许指定订单代理的买入/卖出操作。属性 brokeLastDatetime 即用于指定该时刻。)")
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.def("getParam", &TradeManagerBase::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", &TradeManagerBase::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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:type value: int | bool | float | string | Query | KData | Stock | DatetimeList
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:raises logic_error: Unsupported type! 不支持的参数类型)")
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.def("have_param", &TradeManagerBase::haveParam, "是否存在指定参数")
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.def("reset", &TradeManagerBase::reset, "复位，清空交易、持仓记录")
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.def("clone", &TradeManagerBase::clone, "克隆（深复制）实例")
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.def("reg_broker", &TradeManagerBase::regBroker, R"(reg_broker(self, broker)
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注册订单代理。可执行多次该命令注册多个订单代理。
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:param OrderBrokerBase broker: 订单代理实例)")
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.def("clear_broker", &TradeManagerBase::clearBroker, R"(clear_broker(self)
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清空所有已注册订单代理)")
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//.def("getMarginRate", &TradeManager::getMarginRate)
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.def("have", &TradeManagerBase::have, R"(have(self, stock)
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当前是否持有指定的证券
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:param Stock stock: 指定证券
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:rtype: bool)")
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.def("get_stock_num", &TradeManagerBase::getStockNumber, R"(get_stock_num(self)
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当前持有的证券种类数量，即当前持有几只股票（非各个股票的持仓数）
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:rtype: int)")
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//.def("getShortStockNumber", &TradeManager::getShortStockNumber)
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.def("get_hold_num", &TradeManagerBase::getHoldNumber, R"(get_hold_num(self, datetime, stock)
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获取指定时刻指定证券的持有数量
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:param Datetime datetime: 指定时刻
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:param Stock stock: 指定的证券
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:rtype: int)")
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//.def("getShortHoldNumber", &TradeManager::getShortHoldNumber)
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.def("get_trade_list", _getTradeList_1)
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.def("get_trade_list", _getTradeList_2, R"(get_trade_list(self[, start, end])
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获取交易记录，未指定参数时，获取全部交易记录
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:param Datetime start: 起始日期
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:param Datetime end: 结束日期
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:rtype: TradeRecordList)")
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.def("get_position_list", &TradeManagerBase::getPositionList, R"(get_position_list(self)
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获取当前全部持仓记录
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:rtype: PositionRecordList)")
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.def("get_history_position_list", &TradeManagerBase::getHistoryPositionList,
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R"(get_history_position_list(self)
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获取全部历史持仓记录，即已平仓记录
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:rtype: PositionRecordList)")
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.def("get_position", &TradeManagerBase::getPosition, R"(get_position(self, stock)
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获取指定证券的当前持仓记录，如当前未持有该票，返回PositionRecord()
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:param Stock stock: 指定的证券
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:rtype: PositionRecord)")
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.def("get_buy_cost", &TradeManagerBase::getBuyCost,
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R"(get_buy_cost(self, datetime, stock, price, num)
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计算买入成本
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:param Datetime datetime: 交易时间
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:param Stock stock: 交易的证券
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:param float price: 买入价格
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:param float num: 买入数量
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:rtype: CostRecord)")
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.def("get_sell_cost", &TradeManagerBase::getSellCost,
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R"(get_sell_cost(self, datetime, stock, price, num)
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计算卖出成本
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:param Datetime datetime: 交易时间
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:param Stock stock: 交易的证券
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:param float price: 卖出价格
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:param float num: 卖出数量
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:rtype: CostRecord)")
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//.def("getBorrowCashCost", &TradeManager::getBorrowCashCost)
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//.def("getReturnCashCost", &TradeManager::getReturnCashCost)
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//.def("getBorrowStockCost", &TradeManager::getBorrowStockCost)
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//.def("getReturnStockCost", &TradeManager::getReturnStockCost)
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.def("cash", &TradeManagerBase::cash, (arg("datetime"), arg("ktype") = KQuery::DAY),
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R"(cash(self, datetime[, ktype=Query.KType.DAY])
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获取指定时刻的现金。（注：如果不带日期参数，无法根据权息信息调整持仓。）
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:param Datetime datetime: 指定时刻
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:param ktype: K线类型
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:rtype: float)")
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.def("get_funds", getFunds_1, (arg("ktype") = KQuery::DAY))
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.def("get_funds", getFunds_2, (arg("datetime"), arg("ktype") = KQuery::DAY),
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R"(get_funds(self, [datetime, ktype = Query.DAY])
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获取指定时刻的资产市值详情
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:param Datetime datetime: 指定时刻
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:param Query.KType ktype: K线类型
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:rtype: FundsRecord)")
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//.def("getFunds", getFunds_1, (arg("ktype") = KQuery::DAY))
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//.def("getFunds", getFunds_2, (arg("datetime"), arg("ktype") = KQuery::DAY))
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.def("get_funds_curve", getTMFundsCurve_1, (arg("dates"), arg("ktype") = KQuery::DAY),
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R"(get_funds_curve(self, dates[, ktype = Query.DAY])
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获取资产净值曲线
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:param DatetimeList dates: 日期列表，根据该日期列表获取其对应的资产净值曲线
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:param Query.KType ktype: K线类型，必须与日期列表匹配
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:return: 资产净值列表
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:rtype: PriceList)")
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.def("get_funds_curve", getTMFundsCurve_2,
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R"(get_funds_curve(self)
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获取从账户建立日期到系统当前日期的资产净值曲线（按自然日）
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:return: 资产净值列表
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:rtype: PriceList)")
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.def("get_profit_curve", getTMProfitCurve_1, (arg("dates"), arg("ktype") = KQuery::DAY),
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R"(get_profit_curve(self, dates[, ktype = Query.DAY])
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获取收益曲线，即扣除历次存入资金后的资产净值曲线
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:param DatetimeList 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
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:param Query.KType ktype: K线类型，必须与日期列表匹配
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:return: 收益曲线
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:rtype: PriceList)")
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.def("get_profit_curve", getTMProfitCurve_2,
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R"(get_profit_curve(self)
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获取获取从账户建立日期到系统当前日期的收益曲线，即扣除历次存入资金后的资产净值曲线
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:return: 收益曲线
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:rtype: PriceList)")
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.def("checkin", &TradeManagerBase::checkin, R"(checkin(self, datetime, cash)
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向账户内存入现金
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:param Datetime datetime: 交易时间
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:param float cash: 存入的现金量
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:rtype: TradeRecord)")
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.def("checkout", &TradeManagerBase::checkout, R"(checkout(self, datetime, cash)
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从账户内取出现金
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:param Datetime datetime: 交易时间
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:param float cash: 取出的资金量
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:rtype: TradeRecord)")
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//.def("checkinStock", &TradeManager::checkinStock)
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//.def("checkoutStock", &TradeManager::checkoutStock)
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//.def("borrowCash", &TradeManager::borrowCash)
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//.def("returnCash", &TradeManager::returnCash)
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//.def("borrowStock", &TradeManager::borrowStock)
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//.def("returnStock", &TradeManager::returnStock)
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.def(
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"buy", &TradeManagerBase::buy,
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(arg("datetime"), arg("stock"), arg("real_price"), arg("num"), arg("stoploss") = 0.0,
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arg("goal_price") = 0.0, arg("plan_price") = 0.0, arg("part") = PART_INVALID),
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R"(buy(self, datetime, stock, real_price, number[, stoploss=0.0, goal_price=0.0, plan_price=0.0, part=System.INVALID])
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买入操作
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:param Datetime datetime: 买入时间
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:param Stock stock: 买入的证券
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:param float real_price: 实际买入价格
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:param float num: 买入数量
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:param float stoploss: 止损价
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:param float goal_price: 目标价格
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:param float plan_price: 计划买入价格
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:param SystemPart part: 交易指示来源
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:rtype: TradeRecord)")
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// buy_overload(args("datetime", "stock", "realPrice",
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//"num", "stoploss", "goalPrice", "planPrice","part")))
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.def(
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"sell", &TradeManagerBase::sell,
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(arg("datetime"), arg("stock"), arg("real_price"), arg("num") = MAX_DOUBLE,
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arg("stoploss") = 0.0, arg("goal_price") = 0.0, arg("plan_price") = 0.0,
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arg("part") = PART_INVALID),
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R"(sell(self, datetime, stock, realPrice[, number=constant.max_double, stoploss=0.0, goal_price=0.0, plan_price=0.0, part=System.INVALID])
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卖出操作
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:param Datetime datetime: 卖出时间
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:param Stock stock: 卖出的证券
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:param float real_price: 实际卖出价格
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:param float num: 卖出数量，如果等于constant.max_double，表示全部卖出
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:param float stoploss: 新的止损价
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:param float goal_price: 新的目标价格
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:param float plan_price: 原计划卖出价格
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:param SystemPart part: 交易指示来源
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:rtype: TradeRecord)")
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// sell_overload(args("datetime", "stock", "realPrice", "num", "stoploss", "goalPrice",
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// "planPrice", "part")))
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//.def("buyShort", &TradeManager::buyShort, buyShort_overload())
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//.def("sellShort", &TradeManager::sellShort, sellShort_overload())
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.def("add_trade_record", &TradeManagerBase::addTradeRecord, R"(add_trade_record(self, tr)
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直接加入交易记录，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。
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:param TradeRecord tr: 交易记录
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:return: True（成功） | False（失败）
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:rtype: bool)")
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.def("tocsv", &TradeManagerBase::tocsv, R"(tocsv(self, path)
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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
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:param str path: 输出文件所在目录)")
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.def("update_with_weight", &TradeManager::updateWithWeight, R"(update_with_weight(self, date)
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根据权息信息更新当前持仓及交易记录，必须按时间顺序被调用
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:param Datetime date: 当前时刻)")
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#if HKU_PYTHON_SUPPORT_PICKLE
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.def_pickle(name_init_pickle_suite<TradeManagerBase>())
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#endif
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;
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register_ptr_to_python<TradeManagerPtr>();
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}
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