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134 lines
4.3 KiB
C++
134 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 <boost/python.hpp>
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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 "../_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 SlippageWrap : public SlippageBase, public wrapper<SlippageBase> {
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public:
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SlippageWrap() : SlippageBase() {}
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SlippageWrap(const string& name) : SlippageBase(name) {}
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virtual ~SlippageWrap() {}
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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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SlippageBase::_reset();
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}
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}
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void default_reset() {
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this->SlippageBase::_reset();
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}
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SlippagePtr _clone() {
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return this->get_override("_clone")();
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}
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void _calculate() {
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this->get_override("_calculate");
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}
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price_t getRealBuyPrice(const Datetime& datetime, price_t price) {
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return this->get_override("get_real_buy_price")(datetime, price);
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}
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price_t getRealSellPrice(const Datetime& datetime, price_t price) {
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return this->get_override("get_real_sell_price")(datetime, price);
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}
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};
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string (SlippageBase::*sp_get_name)() const = &SlippageBase::name;
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void (SlippageBase::*sp_set_name)(const string&) = &SlippageBase::name;
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void export_Slippage() {
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class_<SlippageWrap, boost::noncopyable>("SlippageBase", 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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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", sp_get_name, sp_set_name, "名称")
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.add_property("to", &SlippageBase::getTO, &SlippageBase::setTO, "设置或获取交易对象")
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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<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("have_param", &SlippageBase::haveParam, "是否存在指定参数")
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.def("get_real_buy_price", pure_virtual(&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", pure_virtual(&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", pure_virtual(&SlippageBase::_calculate), "【重载接口】子类计算接口")
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.def("_reset", &SlippageBase::_reset, &SlippageWrap::default_reset,
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"【重载接口】子类复位接口，复位内部私有变量")
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.def("_clone", pure_virtual(&SlippageBase::_clone), "【重载接口】子类克隆接口");
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register_ptr_to_python<SlippagePtr>();
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def("SP_FixedPercent", SP_FixedPercent, (arg("p") = 0.001), 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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def("SP_FixedValue", SP_FixedValue, (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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