mirror of
https://gitee.com/fasiondog/hikyuu.git
synced 2024-12-02 20:08:26 +08:00
203 lines
7.7 KiB
C++
203 lines
7.7 KiB
C++
/*
|
||
* _Selector.cpp
|
||
*
|
||
* Created on: 2016年3月28日
|
||
* Author: fasiondog
|
||
*/
|
||
|
||
#include <hikyuu/trade_sys/selector/build_in.h>
|
||
#include "../pybind_utils.h"
|
||
|
||
namespace py = pybind11;
|
||
using namespace hku;
|
||
|
||
class PySelectorBase : public SelectorBase {
|
||
PY_CLONE(PySelectorBase, SelectorBase)
|
||
|
||
public:
|
||
using SelectorBase::SelectorBase;
|
||
PySelectorBase(const SelectorBase& base) : SelectorBase(base) {}
|
||
|
||
void _reset() override {
|
||
PYBIND11_OVERLOAD(void, SelectorBase, _reset, );
|
||
}
|
||
|
||
void _calculate() override {
|
||
PYBIND11_OVERLOAD_PURE(void, SelectorBase, _calculate, );
|
||
}
|
||
|
||
SystemWeightList getSelected(Datetime date) override {
|
||
// PYBIND11_OVERLOAD_PURE_NAME(SystemWeightList, SelectorBase, "get_selected", getSelected,
|
||
// date);
|
||
auto self = py::cast(this);
|
||
py::sequence py_ret = self.attr("get_selected")(date);
|
||
auto c_ret = python_list_to_vector<SystemWeight>(py_ret);
|
||
return c_ret;
|
||
}
|
||
|
||
bool isMatchAF(const AFPtr& af) override {
|
||
PYBIND11_OVERLOAD_PURE_NAME(bool, SelectorBase, "is_match_af", isMatchAF, af);
|
||
}
|
||
};
|
||
|
||
void export_Selector(py::module& m) {
|
||
py::class_<SystemWeight>(m, "SystemWeight", py::dynamic_attr(),
|
||
"系统权重系数结构，在资产分配时，指定对应系统的资产占比系数")
|
||
.def(py::init<>())
|
||
.def(py::init<const SystemPtr&, price_t>())
|
||
.def("__str__", to_py_str<SystemWeight>)
|
||
.def("__repr__", to_py_str<SystemWeight>)
|
||
.def_readwrite("sys", &SystemWeight::sys, "对应的 System 实例")
|
||
.def_readwrite("weight", &SystemWeight::weight)
|
||
|
||
DEF_PICKLE(SystemWeight);
|
||
|
||
py::class_<SelectorBase, SEPtr, PySelectorBase>(
|
||
m, "SelectorBase",
|
||
R"(选择器策略基类，实现标的、系统策略的评估和选取算法，自定义选择器策略子类接口：
|
||
|
||
- get_selected - 【必须】获取指定时刻选择的系统实例列表
|
||
- _calculate - 【必须】计算接口
|
||
- _reset - 【可选】重置私有属性
|
||
- _clone - 【必须】克隆接口)")
|
||
|
||
.def(py::init<>())
|
||
.def(py::init<const SelectorBase&>())
|
||
.def(py::init<const string&>(), R"(初始化构造函数
|
||
|
||
:param str name: 名称)")
|
||
|
||
.def("__str__", to_py_str<SelectorBase>)
|
||
.def("__repr__", to_py_str<SelectorBase>)
|
||
|
||
.def_property("name", py::overload_cast<>(&SelectorBase::name, py::const_),
|
||
py::overload_cast<const string&>(&SelectorBase::name),
|
||
py::return_value_policy::copy, "算法名称")
|
||
.def_property_readonly("proto_sys_list", &SelectorBase::getProtoSystemList,
|
||
py::return_value_policy::copy, "原型系统列表")
|
||
.def_property_readonly("real_sys_list", &SelectorBase::getRealSystemList,
|
||
py::return_value_policy::copy, "由 PF 运行时设定的实际运行系统列表")
|
||
|
||
.def("get_param", &SelectorBase::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", &SelectorBase::setParam<boost::any>, 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", &SelectorBase::haveParam, "是否存在指定参数")
|
||
|
||
.def("reset", &SelectorBase::reset, "复位操作")
|
||
.def("clone", &SelectorBase::clone, "克隆操作")
|
||
.def("remove_all", &SelectorBase::removeAll, "清除所有已加入的原型系统")
|
||
|
||
.def("add_stock", &SelectorBase::addStock, py::arg("stock"), py::arg("sys"),
|
||
R"(add_stock(self, stock, sys)
|
||
|
||
加入初始标的及其对应的系统策略原型
|
||
|
||
:param Stock stock: 加入的初始标的
|
||
:param System sys: 系统策略原型)")
|
||
|
||
.def(
|
||
"add_stock_list",
|
||
[](SelectorBase& self, py::sequence stk_list, const SYSPtr& sys) {
|
||
self.addStockList(python_list_to_vector<Stock>(stk_list), sys);
|
||
},
|
||
py::arg("stk_list"), py::arg("sys"),
|
||
R"(add_stock_list(self, stk_list, sys)
|
||
|
||
加入初始标的列表及其系统策略原型
|
||
|
||
:param StockList stk_list: 加入的初始标的列表
|
||
:param System sys: 系统策略原型)")
|
||
|
||
.def("get_proto_sys_list", &SelectorBase::getProtoSystemList, py::return_value_policy::copy)
|
||
.def("get_real_sys_list", &SelectorBase::getRealSystemList, py::return_value_policy::copy)
|
||
.def("calculate", &SelectorBase::calculate)
|
||
|
||
.def("_reset", &SelectorBase::_reset, "子类复位操作实现")
|
||
.def("_calculate", &SelectorBase::_calculate, "【重载接口】子类计算接口")
|
||
|
||
.def("is_match_af", &SelectorBase::isMatchAF, R"(is_match_af(self)
|
||
|
||
【重载接口】判断是否和 AF 匹配
|
||
|
||
:param AllocateFundsBase af: 资产分配算法)")
|
||
|
||
.def("get_selected", &SelectorBase::getSelected,
|
||
R"(get_selected(self, datetime)
|
||
|
||
【重载接口】获取指定时刻选取的系统实例
|
||
|
||
:param Datetime datetime: 指定时刻
|
||
:return: 选取的系统实例列表
|
||
:rtype: SystemList)")
|
||
|
||
.def("__add__",
|
||
[](const SelectorPtr& self, const SelectorPtr& other) { return self + other; })
|
||
|
||
DEF_PICKLE(SEPtr);
|
||
|
||
m.def("SE_Fixed", py::overload_cast<>(SE_Fixed));
|
||
m.def("SE_Fixed", py::overload_cast<const StockList&, const SystemPtr&>(SE_Fixed),
|
||
R"(SE_Fixed([stk_list, sys])
|
||
|
||
固定选择器，即始终选择初始划定的标的及其系统策略原型
|
||
|
||
:param list stk_list: 初始划定的标的
|
||
:param System sys: 系统策略原型
|
||
:return: SE选择器实例)");
|
||
|
||
m.def("SE_Signal", py::overload_cast<>(SE_Signal));
|
||
m.def("SE_Signal", py::overload_cast<const StockList&, const SystemPtr&>(SE_Signal),
|
||
R"(SE_Signal([stk_list, sys])
|
||
|
||
信号选择器，仅依靠系统买入信号进行选中
|
||
|
||
:param list stk_list: 初始划定的标的
|
||
:param System sys: 系统策略原型
|
||
:return: SE选择器实例)");
|
||
|
||
m.def("SE_MultiFactor", py::overload_cast<const MFPtr&, int>(SE_MultiFactor), py::arg("mf"),
|
||
py::arg("topn") = 10);
|
||
m.def(
|
||
"SE_MultiFactor",
|
||
[](const py::sequence& inds, const py::sequence& stks, const KQuery& query, int topn,
|
||
int ic_n, int ic_rolling_n, const py::object& ref_stk, const string& mode) {
|
||
IndicatorList c_inds = python_list_to_vector<Indicator>(inds);
|
||
StockList c_stks = python_list_to_vector<Stock>(stks);
|
||
Stock c_ref_stk = ref_stk.is_none() ? getStock("sh000300") : ref_stk.cast<Stock>();
|
||
return SE_MultiFactor(c_inds, c_stks, query, topn, ic_n, ic_rolling_n, c_ref_stk, mode);
|
||
},
|
||
py::arg("inds"), py::arg("stks"), py::arg("query"), py::arg("topn") = 10, py::arg("ic_n") = 5,
|
||
py::arg("ic_rolling_n") = 120, py::arg("ref_stk") = py::none(),
|
||
py::arg("mode") = "MF_ICIRWeight",
|
||
R"(SE_MultiFactor
|
||
|
||
创建基于多因子评分的选择器，两种创建方式
|
||
|
||
- 直接指定 MF:
|
||
:param MultiFactorBase mf: 直接指定的多因子合成算法
|
||
:param int topn: 只选取时间截面中前 topn 个系统
|
||
|
||
- 参数直接创建:
|
||
:param sequense(Indicator) inds: 原始因子列表
|
||
:param sequense(stock) stks: 计算证券列表
|
||
:param Query query: 日期范围
|
||
:param Stock ref_stk: 参考证券 (未指定时，默认为 sh000300 沪深300)
|
||
:param int ic_n: 默认 IC 对应的 N 日收益率
|
||
:param int ic_rolling_n: IC 滚动周期
|
||
:param str mode: "MF_ICIRWeight" | "MF_ICWeight" | "MF_EqualWeight" 因子合成算法名称
|
||
)");
|
||
}
|