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111 lines
4.1 KiB
C++
111 lines
4.1 KiB
C++
/*
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* _Portfolio.cpp
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*
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* Created on: 2016年3月29日
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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/portfolio/build_in.h>
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#include <hikyuu/trade_sys/selector/crt/SE_Fixed.h>
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#include <hikyuu/trade_sys/allocatefunds/crt/AF_EqualWeight.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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namespace py = boost::python;
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void (Portfolio::*pf_set_name)(const string&) = &Portfolio::name;
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const string& (Portfolio::*pf_get_name)() const = &Portfolio::name;
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py::list get_real_sys_list(const Portfolio& pf) {
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return vector_to_py_list<SystemList>(pf.getRealSystemList());
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}
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py::list get_proto_sys_list(const Portfolio& pf) {
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return vector_to_py_list<SystemList>(pf.getProtoSystemList());
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}
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void export_Portfolio() {
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class_<Portfolio>("Portfolio", R"(实现多标的、多策略的投资组合)", init<>())
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.def(init<const string&>())
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.def(init<const TradeManagerPtr&, const SelectorPtr&, const AFPtr&>())
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.def(self_ns::str(self))
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.def(self_ns::repr(self))
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.def("get_param", &Portfolio::getParam<boost::any>)
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.def("set_param", &Portfolio::setParam<object>)
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.def("have_param", &Portfolio::haveParam)
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.add_property("name", make_function(pf_get_name, return_value_policy<copy_const_reference>()),
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pf_set_name, "名称")
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.add_property("tm", &Portfolio::getTM, &Portfolio::setTM, "设置或获取交易管理对象")
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.add_property("se", &Portfolio::getSE, &Portfolio::setSE, "设置或获取交易对象选择算法")
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.def("reset", &Portfolio::reset)
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.def("clone", &Portfolio::clone)
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//.def("readyForRun", &Portfolio::readyForRun)
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//.def("runMoment", &Portfolio::runMoment)
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.def("run", &Portfolio::run, (arg("query"), arg("force") = false), R"(run(self, query)
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运行投资组合策略。在查询条件及各组件没有变化时，PF在第二次执行时，默认不会实际进行计算。
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但由于各个组件的参数可能改变，此种情况无法自动判断是否需要重计算，可以手工指定进行强制计算。
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:param Query query: 查询条件
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:param bool force: 强制重新计算)")
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.def("get_real_sys_list", get_real_sys_list, "获取实际运行的子账户系统列表")
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.def("get_proto_sys_list", get_proto_sys_list, "获取原型系统列表")
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.def("get_funds", &Portfolio::getFunds, (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("get_funds_curve", &Portfolio::getFundsCurve, (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_profit_curve", &Portfolio::getProfitCurve,
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(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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#if HKU_PYTHON_SUPPORT_PICKLE
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.def_pickle(name_init_pickle_suite<Portfolio>())
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#endif
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;
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register_ptr_to_python<PortfolioPtr>();
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def("PF_Simple", PF_Simple,
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(arg("tm") = TradeManagerPtr(), arg("se") = SE_Fixed(), arg("af") = AF_EqualWeight()),
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R"(PF_Simple([tm, se, af])
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创建一个多标的、单系统策略的投资组合
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:param TradeManager tm: 交易管理
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:param SelectorBase se: 交易对象选择算法
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:param AllocateFundsBase af: 资金分配算法)");
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}
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