mirror of
https://gitee.com/fasiondog/hikyuu.git
synced 2024-12-02 20:08:26 +08:00
235 lines
9.3 KiB
C++
235 lines
9.3 KiB
C++
/*
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* _Selector.cpp
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*
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* Created on: 2016年3月28日
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* Author: fasiondog
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*/
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#include <hikyuu/trade_sys/selector/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 PySelectorBase : public SelectorBase {
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PY_CLONE(PySelectorBase, SelectorBase)
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public:
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using SelectorBase::SelectorBase;
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PySelectorBase(const SelectorBase& base) : SelectorBase(base) {}
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void _reset() override {
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PYBIND11_OVERLOAD(void, SelectorBase, _reset, );
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}
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void _calculate() override {
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PYBIND11_OVERLOAD_PURE(void, SelectorBase, _calculate, );
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}
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void _addSystem(const SystemPtr& sys) override {
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PYBIND11_OVERLOAD(void, SelectorBase, _addSystem, sys);
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}
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void _removeAll() override {
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PYBIND11_OVERLOAD(void, SelectorBase, _removeAll, );
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}
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SystemWeightList getSelected(Datetime date) override {
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// PYBIND11_OVERLOAD_PURE_NAME(SystemWeightList, SelectorBase, "get_selected", getSelected,
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// date);
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auto self = py::cast(this);
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py::sequence py_ret = self.attr("get_selected")(date);
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auto c_ret = python_list_to_vector<SystemWeight>(py_ret);
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return c_ret;
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}
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bool isMatchAF(const AFPtr& af) override {
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PYBIND11_OVERLOAD_PURE_NAME(bool, SelectorBase, "is_match_af", isMatchAF, af);
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}
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};
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void export_Selector(py::module& m) {
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py::class_<SystemWeight>(m, "SystemWeight", py::dynamic_attr(),
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"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")
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.def(py::init<>())
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.def(py::init<const SystemPtr&, price_t>())
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.def("__str__", to_py_str<SystemWeight>)
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.def("__repr__", to_py_str<SystemWeight>)
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.def_readwrite("sys", &SystemWeight::sys, "对应的 System 实例")
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.def_readwrite("weight", &SystemWeight::weight)
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DEF_PICKLE(SystemWeight);
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py::class_<SelectorBase, SEPtr, PySelectorBase>(
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m, "SelectorBase",
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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：
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- get_selected - 【必须】获取指定时刻选择的系统实例列表
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- _calculate - 【必须】计算接口
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- _reset - 【可选】重置私有属性
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- _clone - 【必须】克隆接口)")
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.def(py::init<>())
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.def(py::init<const SelectorBase&>())
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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<SelectorBase>)
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.def("__repr__", to_py_str<SelectorBase>)
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.def_property("name", py::overload_cast<>(&SelectorBase::name, py::const_),
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py::overload_cast<const string&>(&SelectorBase::name),
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py::return_value_policy::copy, "算法名称")
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.def_property_readonly("proto_sys_list", &SelectorBase::getProtoSystemList,
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py::return_value_policy::copy, "原型系统列表")
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.def_property_readonly("real_sys_list", &SelectorBase::getRealSystemList,
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py::return_value_policy::copy, "由 PF 运行时设定的实际运行系统列表")
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.def("get_param", &SelectorBase::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", &SelectorBase::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", &SelectorBase::haveParam, "是否存在指定参数")
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.def("reset", &SelectorBase::reset, "复位操作")
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.def("clone", &SelectorBase::clone, "克隆操作")
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.def("remove_all", &SelectorBase::removeAll, "清除所有已加入的原型系统")
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.def("add_stock", &SelectorBase::addStock, py::arg("stock"), py::arg("sys"),
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R"(add_stock(self, stock, sys)
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加入初始标的及其对应的系统策略原型
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:param Stock stock: 加入的初始标的
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:param System sys: 系统策略原型)")
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.def(
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"add_stock_list",
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[](SelectorBase& self, py::sequence stk_list, const SYSPtr& sys) {
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self.addStockList(python_list_to_vector<Stock>(stk_list), sys);
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},
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py::arg("stk_list"), py::arg("sys"),
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R"(add_stock_list(self, stk_list, sys)
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加入初始标的列表及其系统策略原型
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:param StockList stk_list: 加入的初始标的列表
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:param System sys: 系统策略原型)")
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.def("get_proto_sys_list", &SelectorBase::getProtoSystemList, py::return_value_policy::copy)
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.def("get_real_sys_list", &SelectorBase::getRealSystemList, py::return_value_policy::copy)
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.def("calculate", &SelectorBase::calculate)
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.def("_reset", &SelectorBase::_reset, "子类复位操作实现")
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.def("_calculate", &SelectorBase::_calculate, "【重载接口】子类计算接口")
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.def("is_match_af", &SelectorBase::isMatchAF, R"(is_match_af(self)
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【重载接口】判断是否和 AF 匹配
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:param AllocateFundsBase af: 资产分配算法)")
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.def("get_selected", &SelectorBase::getSelected,
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R"(get_selected(self, datetime)
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【重载接口】获取指定时刻选取的系统实例
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:param Datetime datetime: 指定时刻
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:return: 选取的系统实例列表
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:rtype: SystemList)")
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.def("__add__",
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[](const SelectorPtr& self, const SelectorPtr& other) { return self + other; })
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.def("__add__", [](const SelectorPtr& self, double other) { return self + other; })
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.def("__radd__", [](const SelectorPtr& self, double other) { return self + other; })
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.def("__sub__",
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[](const SelectorPtr& self, const SelectorPtr& other) { return self - other; })
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.def("__sub__", [](const SelectorPtr& self, double other) { return self - other; })
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.def("__rsub__", [](const SelectorPtr& self, double other) { return other - self; })
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.def("__mul__",
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[](const SelectorPtr& self, const SelectorPtr& other) { return self * other; })
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.def("__mul__", [](const SelectorPtr& self, double other) { return self * other; })
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.def("__rmul__", [](const SelectorPtr& self, double other) { return self * other; })
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.def("__truediv__",
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[](const SelectorPtr& self, const SelectorPtr& other) { return self / other; })
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.def("__truediv__", [](const SelectorPtr& self, double other) { return self / other; })
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.def("__rtruediv__", [](const SelectorPtr& self, double other) { return other / self; })
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.def("__and__",
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[](const SelectorPtr& self, const SelectorPtr& other) { return self & other; })
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.def("__or__", [](const SelectorPtr& self, const SelectorPtr& other) { return self | other; })
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DEF_PICKLE(SEPtr);
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m.def("SE_Fixed", [](double weight) { return SE_Fixed(weight); }, py::arg("weight") = 1.0);
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m.def(
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"SE_Fixed",
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[](const py::sequence& pystks, const SystemPtr& sys, double weight) {
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StockList stks = python_list_to_vector<Stock>(pystks);
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return SE_Fixed(stks, sys, weight);
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},
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py::arg("stk_list"), py::arg("sys"), py::arg("weight") = 1.0,
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R"(SE_Fixed([stk_list, sys])
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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
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:param list stk_list: 初始划定的标的
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:param System sys: 系统策略原型
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:param float weight: 默认权重
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:return: SE选择器实例)");
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m.def("SE_Signal", py::overload_cast<>(SE_Signal));
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m.def("SE_Signal", py::overload_cast<const StockList&, const SystemPtr&>(SE_Signal),
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R"(SE_Signal([stk_list, sys])
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信号选择器，仅依靠系统买入信号进行选中
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:param list stk_list: 初始划定的标的
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:param System sys: 系统策略原型
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:return: SE选择器实例)");
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m.def("SE_MultiFactor", py::overload_cast<const MFPtr&, int>(SE_MultiFactor), py::arg("mf"),
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py::arg("topn") = 10);
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m.def(
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"SE_MultiFactor",
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[](const py::sequence& inds, int topn, int ic_n, int ic_rolling_n, const py::object& ref_stk,
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const string& mode) {
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IndicatorList c_inds = python_list_to_vector<Indicator>(inds);
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Stock c_ref_stk = ref_stk.is_none() ? getStock("sh000300") : ref_stk.cast<Stock>();
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return SE_MultiFactor(c_inds, topn, ic_n, ic_rolling_n, c_ref_stk, mode);
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},
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py::arg("inds"), py::arg("topn") = 10, py::arg("ic_n") = 5, py::arg("ic_rolling_n") = 120,
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py::arg("ref_stk") = py::none(), py::arg("mode") = "MF_ICIRWeight",
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R"(SE_MultiFactor
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创建基于多因子评分的选择器，两种创建方式
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- 直接指定 MF:
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:param MultiFactorBase mf: 直接指定的多因子合成算法
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:param int topn: 只选取时间截面中前 topn 个系统
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- 参数直接创建:
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:param sequense(Indicator) inds: 原始因子列表
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:param int topn: 只选取时间截面中前 topn 个系统，小于等于0时代表不限制
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:param int ic_n: 默认 IC 对应的 N 日收益率
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:param int ic_rolling_n: IC 滚动周期
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:param Stock ref_stk: 参考证券 (未指定时，默认为 sh000300 沪深300)
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:param str mode: "MF_ICIRWeight" | "MF_ICWeight" | "MF_EqualWeight" 因子合成算法名称)");
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}
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