From 25984a6147a71e47768d36150890c4cab5089ff9 Mon Sep 17 00:00:00 2001 From: fasiondog Date: Sat, 29 Jan 2022 00:58:48 +0800 Subject: [PATCH] =?UTF-8?q?System=E6=94=AF=E6=8C=81=E5=A4=8D=E6=9D=83?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../allocatefunds/AllocateFundsBase.cpp | 11 +- hikyuu_cpp/hikyuu/trade_sys/system/System.cpp | 240 ++++++++---------- hikyuu_cpp/hikyuu/trade_sys/system/System.h | 21 +- 3 files changed, 110 insertions(+), 162 deletions(-) diff --git a/hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp b/hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp index 009045a6d..c2bb535fe 100644 --- a/hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp +++ b/hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp @@ -281,7 +281,10 @@ void AllocateFundsBase::_adjust_with_running(const Datetime& date, const SystemL // 计算并卖出部分股票以获取剩下需要返还的资金 Stock stock = sys->getStock(); - KRecord k = sys->getTO().getKRecord(date); + KData kdata = sys->getTO(); + size_t pos = kdata.getPos(date); + KRecord k = kdata.getKRecord(pos); + KRecord srcK = stock.getKRecord(kdata.startPos() + pos); PositionRecord position = tm->getPosition(stock); if (position.number > 0) { TradeRecord tr; @@ -290,14 +293,14 @@ void AllocateFundsBase::_adjust_with_running(const Datetime& date, const SystemL size_t(need_sell_num / stock.minTradeNumber()) * stock.minTradeNumber(); if (position.number <= need_sell_num) { // 如果当前持仓数小于等于需要卖出的数量，则全部卖出 - tr = sys->_sellForce(k, position.number, PART_ALLOCATEFUNDS); + tr = sys->_sellForce(k, srcK, position.number, PART_ALLOCATEFUNDS); } else { if (position.number - need_sell_num >= stock.minTradeNumber()) { // 如果按需要卖出数量卖出后，可能剩余的数量大于等于最小交易数则按需要卖出的数量卖出 - tr = sys->_sellForce(k, need_sell_num, PART_ALLOCATEFUNDS); + tr = sys->_sellForce(k, srcK, need_sell_num, PART_ALLOCATEFUNDS); } else { // 如果按需要卖出的数量卖出后，剩余的持仓数小于最小交易数量则全部卖出 - tr = sys->_sellForce(k, position.number, PART_ALLOCATEFUNDS); + tr = sys->_sellForce(k, srcK, position.number, PART_ALLOCATEFUNDS); } } if (!tr.isNull()) { diff --git a/hikyuu_cpp/hikyuu/trade_sys/system/System.cpp b/hikyuu_cpp/hikyuu/trade_sys/system/System.cpp index d0b040407..7a9885681 100644 --- a/hikyuu_cpp/hikyuu/trade_sys/system/System.cpp +++ b/hikyuu_cpp/hikyuu/trade_sys/system/System.cpp @@ -482,23 +482,18 @@ TradeRecord System::_buyNow(const KRecord& today, const KRecord& src_today, Part TradeRecord result; //以当前收盘价为计划价格 - price_t planPrice = today.closePrice; + price_t planPrice = src_today.closePrice; //计算止损价 - price_t stoploss = _getStoplossPrice(today.datetime, planPrice); + price_t stoploss = _getStoplossPrice(today, src_today, today.closePrice); //如果计划的价格已经小于等于止损价，放弃交易 if (planPrice <= stoploss) { return result; } - price_t scale = _getAdjustScale(today, src_today); - price_t adjustPlanPrice = planPrice * scale; - price_t adjustStoploss = stoploss * scale; - //获取可买入数量 - double number = - _getBuyNumber(today.datetime, adjustPlanPrice, adjustPlanPrice - adjustStoploss, from); + double number = _getBuyNumber(today.datetime, planPrice, planPrice - stoploss, from); if (number == 0 || number > m_stock.maxTradeNumber()) { return result; } @@ -508,10 +503,10 @@ TradeRecord System::_buyNow(const KRecord& today, const KRecord& src_today, Part number = number / min_num * min_num; } - price_t realPrice = _getRealBuyPrice(today.datetime, adjustPlanPrice); - price_t goalPrice = _getGoalPrice(today.datetime, adjustPlanPrice); - TradeRecord record = m_tm->buy(today.datetime, m_stock, realPrice, number, adjustStoploss, - goalPrice, adjustPlanPrice, from); + price_t realPrice = _getRealBuyPrice(today.datetime, planPrice); + price_t goalPrice = _getGoalPrice(today.datetime, planPrice); + TradeRecord record = + m_tm->buy(today.datetime, m_stock, realPrice, number, stoploss, goalPrice, planPrice, from); if (BUSINESS_BUY != record.business) { return result; } @@ -526,31 +521,27 @@ TradeRecord System::_buyDelay(const KRecord& today, const KRecord& src_today) { TradeRecord result; if (today.highPrice == today.lowPrice && !getParam("can_trade_when_high_eq_low")) { //无法实际执行，延迟至下一时刻 - _submitBuyRequest(today, src_today, m_buyRequest.from); + _submitBuyRequest(KRecord(today.datetime), KRecord(today.datetime), m_buyRequest.from); return result; } //延迟操作，取当前时刻开盘价 - price_t planPrice = today.openPrice; //取当前时刻的开盘价 - price_t scale = _getAdjustScale(today, src_today); - price_t adjustPlanPrice = planPrice * scale; + price_t planPrice = src_today.openPrice; //取当前时刻的开盘价 //计算止损价和可买入数量 price_t stoploss = 0.0; - price_t adjustStoploss = 0.0; double number = 0.0; price_t goalPrice = 0.0; if (getParam("delay_use_current_price")) { //使用当前计划价格计算止损价和可买入数量 - stoploss = _getStoplossPrice(today.datetime, planPrice); - adjustStoploss = scale * stoploss; - number = _getBuyNumber(today.datetime, adjustPlanPrice, adjustPlanPrice - adjustStoploss, - m_buyRequest.from); - goalPrice = _getGoalPrice(today.datetime, adjustPlanPrice); + stoploss = _getStoplossPrice(today, src_today, today.openPrice); + number = planPrice <= stoploss ? 0.0 + : _getBuyNumber(today.datetime, planPrice, + planPrice - stoploss, m_buyRequest.from); + goalPrice = _getGoalPrice(today.datetime, planPrice); } else { stoploss = m_buyRequest.stoploss; - adjustStoploss = stoploss; number = m_buyRequest.number; goalPrice = m_buyRequest.goal; } @@ -566,9 +557,9 @@ TradeRecord System::_buyDelay(const KRecord& today, const KRecord& src_today) { number = number / min_num * min_num; } - price_t realPrice = _getRealBuyPrice(today.datetime, adjustPlanPrice); - TradeRecord record = m_tm->buy(today.datetime, m_stock, realPrice, number, adjustStoploss, - goalPrice, adjustPlanPrice, m_buyRequest.from); + price_t realPrice = _getRealBuyPrice(today.datetime, planPrice); + TradeRecord record = m_tm->buy(today.datetime, m_stock, realPrice, number, stoploss, goalPrice, + planPrice, m_buyRequest.from); if (BUSINESS_BUY != record.business) { m_buyRequest.clear(); return result; @@ -598,17 +589,16 @@ void System::_submitBuyRequest(const KRecord& today, const KRecord& src_today, P m_buyRequest.count = 1; } - price_t scale = _getAdjustScale(today, src_today); - price_t adjustClosePrice = scale * today.closePrice; m_buyRequest.datetime = today.datetime; - m_buyRequest.stoploss = scale * _getStoplossPrice(today.datetime, today.closePrice); - m_buyRequest.goal = _getGoalPrice(today.datetime, adjustClosePrice); + m_buyRequest.stoploss = _getStoplossPrice(today, src_today, today.closePrice); + m_buyRequest.goal = _getGoalPrice(today.datetime, src_today.closePrice); m_buyRequest.number = - _getBuyNumber(today.datetime, adjustClosePrice, adjustClosePrice - m_buyRequest.stoploss, - m_buyRequest.from); + _getBuyNumber(today.datetime, src_today.closePrice, + src_today.closePrice - m_buyRequest.stoploss, m_buyRequest.from); } -TradeRecord System::_sellForce(const KRecord& today, double num, Part from) { +TradeRecord System::_sellForce(const KRecord& today, const KRecord& src_today, double num, + Part from) { HKU_ASSERT_M(from == PART_ALLOCATEFUNDS || from == PART_PORTFOLIO, "Only Allocator or Portfolis can perform this operation!"); TradeRecord result; @@ -637,9 +627,9 @@ TradeRecord System::_sellForce(const KRecord& today, double num, Part from) { } else { PositionRecord position = m_tm->getPosition(m_stock); - price_t realPrice = _getRealSellPrice(today.datetime, today.closePrice); + price_t realPrice = _getRealSellPrice(today.datetime, src_today.closePrice); TradeRecord record = m_tm->sell(today.datetime, m_stock, realPrice, num, position.stoploss, - position.goalPrice, today.closePrice, from); + position.goalPrice, src_today.closePrice, from); m_trade_list.push_back(record); _sellNotifyAll(record); return record; @@ -658,15 +648,11 @@ TradeRecord System::_sell(const KRecord& today, const KRecord& src_today, Part f TradeRecord System::_sellNow(const KRecord& today, const KRecord& src_today, Part from) { TradeRecord result; - price_t planPrice = today.closePrice; + price_t planPrice = src_today.closePrice; double number = 0; //计算新的止损价 - price_t stoploss = _getStoplossPrice(today.datetime, planPrice); - - price_t scale = _getAdjustScale(today, src_today); - price_t adjustPlanPrice = planPrice * scale; - price_t adjustStoploss = stoploss * scale; + price_t stoploss = _getStoplossPrice(today, src_today, today.closePrice); //如果新的计划价格已经小于等于新的止损价，则认为需全部卖出 if (planPrice <= stoploss) { @@ -674,17 +660,16 @@ TradeRecord System::_sellNow(const KRecord& today, const KRecord& src_today, Par //否则，认为可能只是进行减仓操作 } else { - number = - _getSellNumber(today.datetime, adjustPlanPrice, adjustPlanPrice - adjustStoploss, from); + number = _getSellNumber(today.datetime, planPrice, planPrice - stoploss, from); if (number == 0) { return result; } } - price_t goalPrice = _getGoalPrice(today.datetime, adjustPlanPrice); - price_t realPrice = _getRealSellPrice(today.datetime, adjustPlanPrice); - TradeRecord record = m_tm->sell(today.datetime, m_stock, realPrice, number, adjustStoploss, - goalPrice, adjustPlanPrice, from); + price_t goalPrice = _getGoalPrice(today.datetime, planPrice); + price_t realPrice = _getRealSellPrice(today.datetime, planPrice); + TradeRecord record = + m_tm->sell(today.datetime, m_stock, realPrice, number, stoploss, goalPrice, planPrice, from); if (BUSINESS_SELL != record.business) { return result; //卖出操作失败 } @@ -705,11 +690,11 @@ TradeRecord System::_sellDelay(const KRecord& today, const KRecord& src_today) { TradeRecord result; if (today.highPrice == today.lowPrice && !getParam("can_trade_when_high_eq_low")) { //无法执行，保留卖出请求，继续延迟至下一时刻 - _submitSellRequest(today, src_today, m_sellRequest.from); + _submitSellRequest(KRecord(today.datetime), KRecord(today.datetime), m_sellRequest.from); return result; } - price_t planPrice = today.openPrice; //取当前时刻的开盘价 + price_t planPrice = src_today.openPrice; //取当前时刻的开盘价 //发出卖出请求时刻的止损价 price_t stoploss = 0.0; @@ -718,20 +703,14 @@ TradeRecord System::_sellDelay(const KRecord& today, const KRecord& src_today) { Part from = m_sellRequest.from; - price_t scale = _getAdjustScale(today, src_today); - price_t adjustPlanPrice = planPrice * scale; - price_t adjustStoploss = 0.0; - if (getParam("delay_use_current_price")) { - stoploss = _getStoplossPrice(today.datetime, planPrice); - adjustStoploss = stoploss; + stoploss = _getStoplossPrice(today, src_today, today.openPrice); if (planPrice < stoploss) { number = m_tm->getHoldNumber(today.datetime, m_stock); } else { - number = _getSellNumber(today.datetime, adjustPlanPrice, - adjustPlanPrice - adjustStoploss, from); + number = _getSellNumber(today.datetime, planPrice, planPrice - stoploss, from); } - goalPrice = _getGoalPrice(today.datetime, adjustPlanPrice); + goalPrice = _getGoalPrice(today.datetime, planPrice); } else { stoploss = m_sellRequest.stoploss; number = m_sellRequest.number; @@ -743,9 +722,9 @@ TradeRecord System::_sellDelay(const KRecord& today, const KRecord& src_today) { return result; } - price_t realPrice = _getRealSellPrice(today.datetime, adjustPlanPrice); - TradeRecord record = m_tm->sell(today.datetime, m_stock, realPrice, number, adjustStoploss, - goalPrice, adjustPlanPrice, m_sellRequest.from); + price_t realPrice = _getRealSellPrice(today.datetime, planPrice); + TradeRecord record = m_tm->sell(today.datetime, m_stock, realPrice, number, stoploss, goalPrice, + planPrice, m_sellRequest.from); if (BUSINESS_SELL != record.business) { m_sellRequest.clear(); return result; //卖出操作失败 @@ -777,19 +756,17 @@ void System::_submitSellRequest(const KRecord& today, const KRecord& src_today, m_sellRequest.count = 1; } - price_t scale = _getAdjustScale(today, src_today); - price_t adjustClosePrice = scale * today.closePrice; m_sellRequest.from = from; m_sellRequest.datetime = today.datetime; - m_sellRequest.stoploss = scale * _getStoplossPrice(today.datetime, today.closePrice); - if (adjustClosePrice <= m_sellRequest.stoploss) { + m_sellRequest.stoploss = _getStoplossPrice(today, src_today, today.closePrice); + if (src_today.closePrice <= m_sellRequest.stoploss) { m_sellRequest.number = m_tm->getHoldNumber(today.datetime, m_stock); } else { - m_sellRequest.number = _getSellNumber(today.datetime, adjustClosePrice, - adjustClosePrice - m_sellRequest.stoploss, from); + m_sellRequest.number = _getSellNumber(today.datetime, src_today.closePrice, + src_today.closePrice - m_sellRequest.stoploss, from); } - m_sellRequest.goal = _getGoalPrice(today.datetime, adjustClosePrice); + m_sellRequest.goal = _getGoalPrice(today.datetime, src_today.closePrice); } TradeRecord System::_buyShort(const KRecord& today, const KRecord& src_today, Part from) { @@ -813,18 +790,13 @@ TradeRecord System::_buyShortNow(const KRecord& today, const KRecord& src_today, return result; } - price_t planPrice = today.closePrice; //取当前时刻的收盘价 + price_t planPrice = src_today.closePrice; //取当前时刻的收盘价 //取当前时刻的收盘价对应的止损价 - price_t stoploss = _getShortStoplossPrice(m_buyRequest.datetime, planPrice); - - price_t scale = _getAdjustScale(today, src_today); - price_t adjustPlanPrice = scale * planPrice; - price_t adjustStoploss = scale * stoploss; + price_t stoploss = _getShortStoplossPrice(today, src_today, today.closePrice); //确定数量 - double number = - _getBuyShortNumber(today.datetime, adjustPlanPrice, adjustStoploss - adjustPlanPrice, from); + double number = _getBuyShortNumber(today.datetime, planPrice, stoploss - planPrice, from); if (number == 0) { m_buyShortRequest.clear(); return result; @@ -841,11 +813,11 @@ TradeRecord System::_buyShortNow(const KRecord& today, const KRecord& src_today, number = pos.number; } - price_t goalPrice = _getShortGoalPrice(today.datetime, adjustPlanPrice); - price_t realPrice = _getRealBuyPrice(today.datetime, adjustPlanPrice); + price_t goalPrice = _getShortGoalPrice(today.datetime, planPrice); + price_t realPrice = _getRealBuyPrice(today.datetime, planPrice); - TradeRecord record = m_tm->buyShort(today.datetime, m_stock, realPrice, number, adjustStoploss, - goalPrice, adjustPlanPrice, PART_SIGNAL); + TradeRecord record = m_tm->buyShort(today.datetime, m_stock, realPrice, number, stoploss, + goalPrice, planPrice, PART_SIGNAL); if (BUSINESS_BUY_SHORT != record.business) { m_buyShortRequest.clear(); return result; @@ -867,25 +839,20 @@ TradeRecord System::_buyShortDelay(const KRecord& today, const KRecord& src_toda return result; } - price_t planPrice = today.openPrice; //取当前时刻的收盘价 - price_t scale = _getAdjustScale(today, src_today); - price_t adjustPlanPrice = scale * planPrice; - price_t adjustStoploss = 0.0; + price_t planPrice = src_today.openPrice; //取当前时刻的收盘价 price_t stoploss = 0.0; double number = 0.0; price_t goalPrice = 0.0; if (getParam("delay_use_current_price")) { //取当前时刻的收盘价对应的止损价 - stoploss = _getShortStoplossPrice(m_buyRequest.datetime, planPrice); - adjustStoploss = scale * stoploss; - number = _getBuyShortNumber(today.datetime, adjustPlanPrice, - adjustStoploss - adjustPlanPrice, m_buyRequest.from); - goalPrice = _getShortGoalPrice(today.datetime, adjustPlanPrice); + stoploss = _getShortStoplossPrice(today, src_today, today.openPrice); + number = + _getBuyShortNumber(today.datetime, planPrice, stoploss - planPrice, m_buyRequest.from); + goalPrice = _getShortGoalPrice(today.datetime, planPrice); } else { stoploss = m_buyShortRequest.stoploss; - adjustStoploss = stoploss; number = m_buyShortRequest.number; goalPrice = m_buyShortRequest.goal; } @@ -906,9 +873,9 @@ TradeRecord System::_buyShortDelay(const KRecord& today, const KRecord& src_toda number = pos.number; } - price_t realPrice = _getRealBuyPrice(today.datetime, adjustPlanPrice); - TradeRecord record = m_tm->buyShort(today.datetime, m_stock, realPrice, number, adjustStoploss, - goalPrice, adjustPlanPrice, PART_SIGNAL); + price_t realPrice = _getRealBuyPrice(today.datetime, planPrice); + TradeRecord record = m_tm->buyShort(today.datetime, m_stock, realPrice, number, stoploss, + goalPrice, planPrice, PART_SIGNAL); if (BUSINESS_BUY_SHORT != record.business) { m_buyShortRequest.clear(); return result; @@ -938,14 +905,12 @@ void System::_submitBuyShortRequest(const KRecord& today, const KRecord& src_tod m_buyShortRequest.count = 1; } - price_t scale = _getAdjustScale(today, src_today); - price_t adjustClosePrice = scale * today.closePrice; m_buyShortRequest.datetime = today.datetime; - m_buyShortRequest.stoploss = scale * _getShortStoplossPrice(today.datetime, today.closePrice); - m_buyShortRequest.goal = _getShortGoalPrice(today.datetime, adjustClosePrice); + m_buyShortRequest.stoploss = _getShortStoplossPrice(today, src_today, today.closePrice); + m_buyShortRequest.goal = _getShortGoalPrice(today.datetime, src_today.closePrice); m_buyShortRequest.number = - _getBuyShortNumber(today.datetime, adjustClosePrice, - m_buyShortRequest.stoploss - adjustClosePrice, m_buyShortRequest.from); + _getBuyShortNumber(today.datetime, src_today.closePrice, + m_buyShortRequest.stoploss - src_today.closePrice, m_buyShortRequest.from); } TradeRecord System::_sellShort(const KRecord& today, const KRecord& src_today, Part from) { @@ -969,26 +934,21 @@ TradeRecord System::_sellShortNow(const KRecord& today, const KRecord& src_today return result; } - price_t planPrice = today.closePrice; + price_t planPrice = src_today.closePrice; //计算止损价 - price_t stoploss = _getShortStoplossPrice(today.datetime, planPrice); - - price_t scale = _getAdjustScale(today, src_today); - price_t adjustPlanPrice = scale * planPrice; - price_t adjustStoploss = scale * stoploss; + price_t stoploss = _getShortStoplossPrice(today, src_today, today.closePrice); - double number = - _getSellShortNumber(today.datetime, adjustPlanPrice, adjustStoploss - adjustPlanPrice, from); + double number = _getSellShortNumber(today.datetime, planPrice, stoploss - planPrice, from); if (number == 0) { m_sellShortRequest.clear(); return result; } - price_t goalPrice = _getShortGoalPrice(today.datetime, adjustPlanPrice); - price_t realPrice = _getRealSellPrice(today.datetime, adjustPlanPrice); - TradeRecord record = m_tm->sell(today.datetime, m_stock, realPrice, number, adjustStoploss, - goalPrice, adjustPlanPrice, PART_SIGNAL); + price_t goalPrice = _getShortGoalPrice(today.datetime, planPrice); + price_t realPrice = _getRealSellPrice(today.datetime, planPrice); + TradeRecord record = m_tm->sell(today.datetime, m_stock, realPrice, number, stoploss, goalPrice, + planPrice, PART_SIGNAL); if (BUSINESS_SELL_SHORT != record.business) { m_sellShortRequest.clear(); return result; //卖出操作失败 @@ -1010,21 +970,17 @@ TradeRecord System::_sellShortDelay(const KRecord& today, const KRecord& src_tod return result; } - price_t planPrice = today.openPrice; //取当前时刻的开盘价 - price_t scale = _getAdjustScale(today, src_today); - price_t adjustPlanPrice = scale * planPrice; - price_t adjustStoploss = 0.0; + price_t planPrice = src_today.openPrice; //取当前时刻的开盘价 //发出卖出请求时刻的止损价 price_t stoploss = 0.0; double number = 0; price_t goalPrice = 0.0; if (getParam("delay_use_current_price")) { - stoploss = _getShortStoplossPrice(today.datetime, planPrice); - adjustStoploss = scale * stoploss; - number = _getSellShortNumber(today.datetime, adjustPlanPrice, - adjustStoploss - adjustPlanPrice, m_sellShortRequest.from); - goalPrice = _getShortGoalPrice(today.datetime, adjustPlanPrice); + stoploss = _getShortStoplossPrice(today, src_today, today.openPrice); + number = _getSellShortNumber(today.datetime, planPrice, stoploss - planPrice, + m_sellShortRequest.from); + goalPrice = _getShortGoalPrice(today.datetime, planPrice); } else { stoploss = m_sellShortRequest.stoploss; number = m_sellShortRequest.number; @@ -1036,10 +992,10 @@ TradeRecord System::_sellShortDelay(const KRecord& today, const KRecord& src_tod return result; } - price_t realPrice = _getRealSellPrice(today.datetime, adjustPlanPrice); + price_t realPrice = _getRealSellPrice(today.datetime, planPrice); - TradeRecord record = m_tm->sell(today.datetime, m_stock, realPrice, number, adjustStoploss, - goalPrice, adjustPlanPrice, m_sellShortRequest.from); + TradeRecord record = m_tm->sell(today.datetime, m_stock, realPrice, number, stoploss, goalPrice, + planPrice, m_sellShortRequest.from); if (BUSINESS_SELL_SHORT != record.business) { m_sellShortRequest.clear(); return result; //卖出操作失败 @@ -1069,14 +1025,12 @@ void System::_submitSellShortRequest(const KRecord& today, const KRecord& src_to m_sellShortRequest.count = 1; } - price_t scale = _getAdjustScale(today, src_today); - price_t adjustClosePrice = scale * today.closePrice; m_sellShortRequest.datetime = today.datetime; - m_sellShortRequest.stoploss = scale * _getStoplossPrice(today.datetime, today.closePrice); - m_sellShortRequest.goal = _getGoalPrice(today.datetime, adjustClosePrice); + m_sellShortRequest.stoploss = _getStoplossPrice(today, src_today, today.closePrice); + m_sellShortRequest.goal = _getGoalPrice(today.datetime, src_today.closePrice); m_sellShortRequest.number = - _getSellNumber(today.datetime, adjustClosePrice, - adjustClosePrice - m_sellShortRequest.stoploss, m_sellShortRequest.from); + _getSellNumber(today.datetime, src_today.closePrice, + src_today.closePrice - m_sellShortRequest.stoploss, m_sellShortRequest.from); } TradeRecord System::_processRequest(const KRecord& today, const KRecord& src_today) { @@ -1087,19 +1041,25 @@ TradeRecord System::_processRequest(const KRecord& today, const KRecord& src_tod return TradeRecord(); } -bool System::haveDelayRequest() const { - return (m_buyRequest.valid || m_sellRequest.valid || m_sellShortRequest.valid || - m_buyShortRequest.valid); +price_t System::_getStoplossPrice(const KRecord& today, const KRecord& src_today, price_t price) { + HKU_IF_RETURN(!m_st, 0.0); + HKU_IF_RETURN(today.highPrice == today.lowPrice, src_today.lowPrice); + price_t stoploss = m_st->getPrice(today.datetime, price); + price_t adjust = (stoploss - today.lowPrice) / (today.highPrice - today.lowPrice) * + (src_today.highPrice - src_today.lowPrice) + + src_today.lowPrice; + return adjust >= 0.0 ? adjust : 0.0; } -price_t System::_getAdjustScale(const KRecord& today, const KRecord& src_today, price_t price) { - if (price == src_today.openPrice || price == src_today.closePrice) { - return price; - } - - return (price - today.lowPrice) / (today.highPrice - today.lowPrice) * - (src_today.highPrice - src_today.lowPrice) + - src_today.lowPrice; +price_t System ::_getShortStoplossPrice(const KRecord& today, const KRecord& src_today, + price_t price) { + HKU_IF_RETURN(!m_st, 0.0); + HKU_IF_RETURN(today.highPrice == today.lowPrice, src_today.lowPrice); + price_t stoploss = m_st->getShortPrice(today.datetime, price); + price_t adjust = (stoploss - today.lowPrice) / (today.highPrice - today.lowPrice) * + (src_today.highPrice - src_today.lowPrice) + + src_today.lowPrice; + return adjust >= 0.0 ? adjust : 0.0; } } /* namespace hku */ diff --git a/hikyuu_cpp/hikyuu/trade_sys/system/System.h b/hikyuu_cpp/hikyuu/trade_sys/system/System.h index 038718918..482e10478 100644 --- a/hikyuu_cpp/hikyuu/trade_sys/system/System.h +++ b/hikyuu_cpp/hikyuu/trade_sys/system/System.h @@ -186,8 +186,8 @@ class HKU_API System { double _getSellShortNumber(const Datetime&, price_t price, price_t risk, Part from); double _getBuyShortNumber(const Datetime&, price_t price, price_t risk, Part from); - price_t _getStoplossPrice(const Datetime& datetime, price_t price); - price_t _getShortStoplossPrice(const Datetime& datetime, price_t price); + price_t _getStoplossPrice(const KRecord& today, const KRecord& src_today, price_t price); + price_t _getShortStoplossPrice(const KRecord& today, const KRecord& src_today, price_t price); price_t _getTakeProfitPrice(const Datetime& datetime); @@ -197,9 +197,6 @@ class HKU_API System { price_t _getRealBuyPrice(const Datetime& datetime, price_t planPrice); price_t _getRealSellPrice(const Datetime& datetime, price_t planPrice); - price_t _getAdjustScale(const KRecord& today, const KRecord& src_today); - price_t _getAdjustScale(const KRecord& today, const KRecord& src_today, price_t price); - TradeRecord _buy(const KRecord& today, const KRecord& src_today, Part from); TradeRecord _buyNow(const KRecord& today, const KRecord& src_today, Part from); TradeRecord _buyDelay(const KRecord& today, const KRecord& src_today); @@ -211,7 +208,7 @@ class HKU_API System { void _submitSellRequest(const KRecord& today, const KRecord& src_today, Part from); // 强制卖出，用于资金分配管理器和资产组合指示系统进行强制卖出操作 - TradeRecord _sellForce(const KRecord& today, double num, Part from); + TradeRecord _sellForce(const KRecord& today, const KRecord& src_today, double num, Part from); TradeRecord _sellShort(const KRecord& today, const KRecord& src_today, Part from); TradeRecord _sellShortNow(const KRecord& today, const KRecord& src_today, Part from); @@ -364,10 +361,6 @@ inline bool System::_conditionIsValid(const Datetime& datetime) { return m_cn ? m_cn->isValid(datetime) : true; } -inline price_t System::_getAdjustScale(const KRecord& today, const KRecord& src_today) { - return src_today.closePrice / today.closePrice; -} - inline double System ::_getBuyNumber(const Datetime& datetime, price_t price, price_t risk, Part from) { return m_mm ? m_mm->getBuyNumber(datetime, m_stock, price, risk, from) : 0; @@ -396,14 +389,6 @@ inline price_t System ::_getRealSellPrice(const Datetime& datetime, price_t plan return m_sp ? m_sp->getRealSellPrice(datetime, planPrice) : planPrice; } -inline price_t System ::_getStoplossPrice(const Datetime& datetime, price_t price) { - return m_st ? m_st->getPrice(datetime, price) : 0.0; -} - -inline price_t System ::_getShortStoplossPrice(const Datetime& datetime, price_t price) { - return m_st ? m_st->getShortPrice(datetime, price) : 0.0; -} - inline price_t System ::_getTakeProfitPrice(const Datetime& datetime) { return m_tp ? m_tp->getPrice(datetime, 0.0) : 0.0; }