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502 lines
19 KiB
C++
502 lines
19 KiB
C++
/*
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* TradeManager.h
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*
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* Created on: 2013-2-13
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* Author: fasiondog
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*/
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#pragma once
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#ifndef TRADEMANAGER_H_
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#define TRADEMANAGER_H_
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#include "TradeManagerBase.h"
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#include "../utilities/Parameter.h"
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#include "TradeRecord.h"
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#include "PositionRecord.h"
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#include "BorrowRecord.h"
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#include "FundsRecord.h"
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#include "LoanRecord.h"
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#include "OrderBrokerBase.h"
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#include "crt/TC_Zero.h"
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#if HKU_SUPPORT_SERIALIZATION
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#include <boost/serialization/map.hpp>
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#include <boost/serialization/vector.hpp>
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#include <boost/serialization/list.hpp>
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#endif
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namespace hku {
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/**
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* 回测模拟账户交易管理模块，管理帐户的交易记录及资金使用情况
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* @details
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* <pre>
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* 默认参数：
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* precision(int): 2 计算精度
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* support_borrow_cash(bool): false 买入操作时是否自动融资
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* support_borrow_stock(bool): false 卖空时是否自动融劵
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* </pre>
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* @ingroup TradeManagerClass
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*/
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class HKU_API TradeManager : public TradeManagerBase {
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// PARAMETER_SUPPORT
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public:
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TradeManager(const Datetime& datetime = Datetime(199001010000LL), price_t initcash = 100000.0,
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const TradeCostPtr& costfunc = TC_Zero(), const string& name = "SYS");
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virtual ~TradeManager();
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/** 复位，清空交易、持仓记录 */
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virtual void _reset() override;
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virtual shared_ptr<TradeManagerBase> _clone() override;
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/**
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* 获取指定对象的保证金比率
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* @param datetime 日期
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* @param stock 指定对象
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*/
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virtual double getMarginRate(const Datetime& datetime, const Stock& stock) override;
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/** 初始资金 */
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virtual price_t initCash() const override {
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return m_init_cash;
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}
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/** 账户建立日期 */
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virtual Datetime initDatetime() const override {
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return m_init_datetime;
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}
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/** 第一笔买入交易发生日期，如未发生交易返回Null<Datetime>() */
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virtual Datetime firstDatetime() const override;
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/** 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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virtual Datetime lastDatetime() const override {
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return m_trade_list.empty() ? m_init_datetime : m_trade_list.back().datetime;
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}
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/**
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* 根据权息信息更新当前持仓与交易情况
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* @note 必须按时间顺序调用
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* @param datetime 当前时刻
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*/
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virtual void updateWithWeight(const Datetime& datetime) override;
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/**
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* 返回当前现金
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* @note 仅返回当前信息，不会根据权息进行调整
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*/
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virtual price_t currentCash() const override {
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return m_cash;
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}
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/**
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* 获取指定日期的现金
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* @note 如果不带日期参数，无法根据权息信息调整持仓
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*/
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virtual price_t cash(const Datetime& datetime, KQuery::KType ktype = KQuery::DAY) override;
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/**
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* 当前是否持有指定的证券
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* @note 这里未使用日期参数，必须保证是按日期顺序执行
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* @param stock 指定证券
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* @return true 是 | false 否
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*/
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virtual bool have(const Stock& stock) const override {
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return m_position.count(stock.id()) ? true : false;
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}
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/**
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* 当前空头仓位是否持有指定的证券
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* @note 这里未使用日期参数，必须保证是按日期顺序执行
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* @param stock 指定证券
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* @return true 是 | false 否
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*/
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virtual bool haveShort(const Stock& stock) const override {
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return m_short_position.count(stock.id()) ? true : false;
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}
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/** 当前持有的证券种类数量 */
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virtual size_t getStockNumber() const override {
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return m_position.size();
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}
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/** 当前空头持有的证券种类数量 */
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virtual size_t getShortStockNumber() const override {
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return m_short_position.size();
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}
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/** 获取指定时刻的某证券持有数量 */
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virtual double getHoldNumber(const Datetime& datetime, const Stock& stock) override;
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/** 获取指定时刻的空头某证券持有数量 */
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virtual double getShortHoldNumber(const Datetime& datetime, const Stock& stock) override;
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/** 获取指定时刻已借入的股票数量 */
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virtual double getDebtNumber(const Datetime& datetime, const Stock& stock) override;
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/** 获取指定时刻已借入的现金额 */
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virtual price_t getDebtCash(const Datetime& datetime) override;
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/** 获取全部交易记录 */
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virtual TradeRecordList getTradeList() const override {
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return m_trade_list;
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}
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/**
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* 获取指定日期范围内的交易记录[start, end)
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* @param start 起始日期
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* @param end 结束日期
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* @return 交易记录列表
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*/
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virtual TradeRecordList getTradeList(const Datetime& start, const Datetime& end) const override;
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/** 获取当前全部持仓记录 */
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virtual PositionRecordList getPositionList() const override;
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/** 获取全部历史持仓记录，即已平仓记录 */
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virtual PositionRecordList getHistoryPositionList() const override {
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return m_position_history;
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}
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/** 获取当前全部空头仓位记录 */
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virtual PositionRecordList getShortPositionList() const override;
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/** 获取全部空头历史仓位记录 */
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virtual PositionRecordList getShortHistoryPositionList() const override {
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return m_short_position_history;
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}
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/**
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* 获取指定证券的持仓记录
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* @param date 指定日期
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* @param stock 指定的证券
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*/
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virtual PositionRecord getPosition(const Datetime& date, const Stock& stock) override;
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/** 获取指定证券的当前空头仓位持仓记录，如当前未持有该票，返回Null<PositionRecord>() */
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virtual PositionRecord getShortPosition(const Stock&) const override;
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/** 获取当前借入的股票列表 */
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virtual BorrowRecordList getBorrowStockList() const override;
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/**
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* 存入资金
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* @param datetime 存入时间
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* @param cash 存入的资金量
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* @return true | false
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*/
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virtual bool checkin(const Datetime& datetime, price_t cash) override;
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/**
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* 取出资金
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* @param datetime 取出时间
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* @param cash 取出的资金量
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* @return true | false
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*/
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virtual bool checkout(const Datetime& datetime, price_t cash) override;
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/**
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* 存入资产
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* @param datetime 存入日期
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* @param stock 待存入的股票
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* @param price 存入股票的每股价格
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* @param number 存入股票的数量
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* @return true | false
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*/
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virtual bool checkinStock(const Datetime& datetime, const Stock& stock, price_t price,
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double number) override;
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/**
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* 取出当前资产
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* @param datetime 取出日期
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* @param stock 待取出的股票
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* @param price 取出的每股价格
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* @param number 取出的数量
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* @return true | false
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* @note 应该不会被用到
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*/
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virtual bool checkoutStock(const Datetime& datetime, const Stock& stock, price_t price,
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double number) override;
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/**
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* 买入操作
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* @param datetime 买入时间
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* @param stock 买入的证券
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* @param realPrice 实际买入价格
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* @param number 买入数量
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* @param stoploss 止损价
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* @param goalPrice 目标价格
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* @param planPrice 计划买入价格
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* @param from 记录是哪个系统部件发出的买入指示
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* @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
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*/
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virtual TradeRecord buy(const Datetime& datetime, const Stock& stock, price_t realPrice,
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double number, price_t stoploss = 0.0, price_t goalPrice = 0.0,
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price_t planPrice = 0.0, SystemPart from = PART_INVALID) override;
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/**
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* 卖出操作
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* @param datetime 卖出时间
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* @param stock 卖出的证券
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* @param realPrice 实际卖出价格
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* @param number 卖出数量，如果是 MAX_DOUBLE, 表示全部卖出
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* @param stoploss 新的止损价
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* @param goalPrice 新的目标价格
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* @param planPrice 原计划卖出价格
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* @param from 记录是哪个系统部件发出的卖出指示
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* @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
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*/
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virtual TradeRecord sell(const Datetime& datetime, const Stock& stock, price_t realPrice,
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double number = MAX_DOUBLE, price_t stoploss = 0.0,
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price_t goalPrice = 0.0, price_t planPrice = 0.0,
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SystemPart from = PART_INVALID) override;
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/**
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* 卖空
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* @param datetime 卖空时间
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* @param stock 卖空的证券
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* @param realPrice 实际卖空价格
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* @param number 卖出数量
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* @param stoploss 止损价
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* @param goalPrice 目标价格
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* @param planPrice 计划卖空价格
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* @param from 记录是哪个系统部件发出的买入指示
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* @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
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*/
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virtual TradeRecord sellShort(const Datetime& datetime, const Stock& stock, price_t realPrice,
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double number, price_t stoploss = 0.0, price_t goalPrice = 0.0,
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price_t planPrice = 0.0, SystemPart from = PART_INVALID) override;
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/**
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* 卖空后回补
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* @param datetime 买入时间
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* @param stock 买入的证券
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* @param realPrice 实际买入价格
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* @param number 卖出数量，如果是 MAX_DOUBLE, 表示全部卖出
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* @param stoploss 止损价
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* @param goalPrice 目标价格
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* @param planPrice 计划买入价格
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* @param from 记录是哪个系统部件发出的卖出指示
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* @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
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*/
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virtual TradeRecord buyShort(const Datetime& datetime, const Stock& stock, price_t realPrice,
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double number = MAX_DOUBLE, price_t stoploss = 0.0,
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price_t goalPrice = 0.0, price_t planPrice = 0.0,
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SystemPart from = PART_INVALID) override;
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/**
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* 借入资金，从其他来源借取的资金，如融资
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* @param datetime 借入时间
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* @param cash 借入的现金
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* @return true | false
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*/
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virtual bool borrowCash(const Datetime& datetime, price_t cash) override;
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/**
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* 归还资金
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* @param datetime 归还日期
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* @param cash 归还现金
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* @return true | false
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*/
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virtual bool returnCash(const Datetime& datetime, price_t cash) override;
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/**
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* 借入证券
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* @param datetime 借入时间
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* @param stock 借入的stock
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* @param price 借入时单股价格
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* @param number 借入时数量
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* @return true | false
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*/
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virtual bool borrowStock(const Datetime& datetime, const Stock& stock, price_t price,
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double number) override;
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/**
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* 归还证券
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* @param datetime 归还时间
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* @param stock 归还的stock
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* @param price 归还时单股价格
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* @param number 归还数量
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* @return true | false
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*/
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virtual bool returnStock(const Datetime& datetime, const Stock& stock, price_t price,
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double number) override;
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/**
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* 获取账户当前时刻的资产详情
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* @param ktype 日期的类型
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* @return 资产详情
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*/
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virtual FundsRecord getFunds(KQuery::KType ktype = KQuery::DAY) const override;
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/**
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* 获取指定时刻的资产市值详情
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* @param datetime 必须大于帐户建立的初始日期，或为Null<Datetime>()
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* @param ktype 日期的类型
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* @return 资产详情
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* @note 当datetime等于Null<Datetime>()时，与getFunds(KType)同
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*/
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virtual FundsRecord getFunds(const Datetime& datetime,
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KQuery::KType ktype = KQuery::DAY) override;
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/**
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* 获取资产净值曲线，含借入的资产
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* @param 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 ktype K线类型，必须与日期列表匹配，默认KQuery::DAY
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* @return 资产净值列表
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*/
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virtual PriceList getFundsCurve(const DatetimeList& dates,
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KQuery::KType ktype = KQuery::DAY) override;
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/**
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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 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 ktype K线类型，必须与日期列表匹配，默认为KQuery::DAY
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* @return 收益曲线
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*/
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virtual PriceList getProfitCurve(const DatetimeList& dates,
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KQuery::KType ktype = KQuery::DAY) override;
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/**
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* 直接加入交易记录
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* @note 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 tr 待加入的交易记录
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* @return bool true 成功 | false 失败
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*/
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virtual bool addTradeRecord(const TradeRecord& tr) override;
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/** 字符串输出 */
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virtual string str() const override;
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/**
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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 path 输出文件所在目录
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*/
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virtual void tocsv(const string& path) override;
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private:
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// 以脚本的形式保存交易动作，便于修正和校准
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void _saveAction(const TradeRecord&);
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bool _add_init_tr(const TradeRecord&);
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bool _add_buy_tr(const TradeRecord&);
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bool _add_sell_tr(const TradeRecord&);
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bool _add_checkin_tr(const TradeRecord&);
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bool _add_checkout_tr(const TradeRecord&);
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bool _add_checkin_stock_tr(const TradeRecord&);
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bool _add_checkout_stock_tr(const TradeRecord&);
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bool _add_borrow_cash_tr(const TradeRecord&);
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bool _add_return_cash_tr(const TradeRecord&);
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bool _add_borrow_stock_tr(const TradeRecord&);
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bool _add_return_stock_tr(const TradeRecord&);
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bool _add_sell_short_tr(const TradeRecord&);
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bool _add_buy_short_tr(const TradeRecord&);
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private:
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Datetime m_init_datetime; // 账户建立日期
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price_t m_init_cash; // 初始资金
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Datetime m_last_update_datetime; // 最后一次根据权息调整持仓与交易记录的时刻
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price_t m_cash; // 当前现金
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price_t m_checkin_cash; // 累计存入资金，初始资金视为存入
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price_t m_checkout_cash; // 累计取出资金
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price_t m_checkin_stock; // 累计存入股票价值
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price_t m_checkout_stock; // 累计取出股票价值
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price_t m_borrow_cash; // 当前借入资金，负债
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list<LoanRecord> m_loan_list; // 当前融资情况
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typedef map<uint64_t, BorrowRecord> borrow_stock_map_type;
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borrow_stock_map_type m_borrow_stock; // 当前借入的股票及其数量
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TradeRecordList m_trade_list; // 交易记录
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typedef map<uint64_t, PositionRecord> position_map_type;
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position_map_type m_position; // 当前持仓交易对象的持仓记录 ["sh000001"-> ]
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PositionRecordList m_position_history; // 持仓历史记录
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position_map_type m_short_position; // 空头仓位记录
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PositionRecordList m_short_position_history; // 空头仓位历史记录
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// list<OrderBrokerPtr> m_broker_list; //订单代理列表
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// Datetime m_broker_last_datetime; //订单代理最近一次执行操作的时刻
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list<string> m_actions; // 记录交易动作，便于修改或校准实盘时的交易
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//==================================================
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// 支持序列化
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//==================================================
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#if HKU_SUPPORT_SERIALIZATION
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private:
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friend class boost::serialization::access;
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||
template <class Archive>
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||
void save(Archive& ar, const unsigned int version) const {
|
||
ar& BOOST_SERIALIZATION_BASE_OBJECT_NVP(TradeManagerBase);
|
||
ar& BOOST_SERIALIZATION_NVP(m_init_datetime);
|
||
ar& BOOST_SERIALIZATION_NVP(m_init_cash);
|
||
ar& BOOST_SERIALIZATION_NVP(m_cash);
|
||
ar& BOOST_SERIALIZATION_NVP(m_checkin_cash);
|
||
ar& BOOST_SERIALIZATION_NVP(m_checkout_cash);
|
||
ar& BOOST_SERIALIZATION_NVP(m_checkin_stock);
|
||
ar& BOOST_SERIALIZATION_NVP(m_checkout_stock);
|
||
ar& BOOST_SERIALIZATION_NVP(m_borrow_cash);
|
||
ar& BOOST_SERIALIZATION_NVP(m_loan_list);
|
||
namespace bs = boost::serialization;
|
||
BorrowRecordList borrow = getBorrowStockList();
|
||
ar& bs::make_nvp<BorrowRecordList>("m_borrow_stock", borrow);
|
||
PositionRecordList position = getPositionList();
|
||
ar& bs::make_nvp<PositionRecordList>("m_position", position);
|
||
ar& BOOST_SERIALIZATION_NVP(m_position_history);
|
||
position = getShortPositionList();
|
||
ar& bs::make_nvp<PositionRecordList>("m_short_position", position);
|
||
ar& BOOST_SERIALIZATION_NVP(m_short_position_history);
|
||
ar& BOOST_SERIALIZATION_NVP(m_trade_list);
|
||
ar& BOOST_SERIALIZATION_NVP(m_actions);
|
||
}
|
||
|
||
template <class Archive>
|
||
void load(Archive& ar, const unsigned int version) {
|
||
ar& BOOST_SERIALIZATION_BASE_OBJECT_NVP(TradeManagerBase);
|
||
ar& BOOST_SERIALIZATION_NVP(m_init_datetime);
|
||
ar& BOOST_SERIALIZATION_NVP(m_init_cash);
|
||
ar& BOOST_SERIALIZATION_NVP(m_cash);
|
||
ar& BOOST_SERIALIZATION_NVP(m_checkin_cash);
|
||
ar& BOOST_SERIALIZATION_NVP(m_checkout_cash);
|
||
ar& BOOST_SERIALIZATION_NVP(m_checkin_stock);
|
||
ar& BOOST_SERIALIZATION_NVP(m_checkout_stock);
|
||
ar& BOOST_SERIALIZATION_NVP(m_borrow_cash);
|
||
ar& BOOST_SERIALIZATION_NVP(m_loan_list);
|
||
namespace bs = boost::serialization;
|
||
BorrowRecordList borrow;
|
||
ar& bs::make_nvp<BorrowRecordList>("m_borrow_stock", borrow);
|
||
BorrowRecordList::const_iterator bor_iter = borrow.begin();
|
||
for (; bor_iter != borrow.end(); ++bor_iter) {
|
||
m_borrow_stock[bor_iter->stock.id()] = *bor_iter;
|
||
}
|
||
PositionRecordList position;
|
||
ar& bs::make_nvp<PositionRecordList>("m_position", position);
|
||
PositionRecordList::const_iterator iter = position.begin();
|
||
for (; iter != position.end(); ++iter) {
|
||
m_position[iter->stock.id()] = *iter;
|
||
}
|
||
ar& BOOST_SERIALIZATION_NVP(m_position_history);
|
||
|
||
position.clear();
|
||
ar& bs::make_nvp<PositionRecordList>("m_short_position", position);
|
||
iter = position.begin();
|
||
for (; iter != position.end(); ++iter) {
|
||
m_short_position[iter->stock.id()] = *iter;
|
||
}
|
||
ar& BOOST_SERIALIZATION_NVP(m_short_position_history);
|
||
ar& BOOST_SERIALIZATION_NVP(m_trade_list);
|
||
ar& BOOST_SERIALIZATION_NVP(m_actions);
|
||
}
|
||
|
||
BOOST_SERIALIZATION_SPLIT_MEMBER()
|
||
#endif /* HKU_SUPPORT_SERIALIZATION */
|
||
};
|
||
|
||
} /* namespace hku */
|
||
#endif /* TRADEMANAGER_H_ */
|