From 7ccfc2e93618736b2bea0b8d62133198ba140ff3 Mon Sep 17 00:00:00 2001 From: fasiondog Date: Fri, 28 Jan 2022 01:43:28 +0800 Subject: [PATCH] =?UTF-8?q?system=20=E6=94=AF=E6=8C=81=E5=A4=8D=E6=9D=83?= =?UTF-8?q?=20(continue)?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../allocatefunds/AllocateFundsBase.cpp | 14 +- hikyuu_cpp/hikyuu/trade_sys/system/System.cpp | 326 +++++++++++------- hikyuu_cpp/hikyuu/trade_sys/system/System.h | 42 ++- hikyuu_pywrap/trade_sys/_System.cpp | 6 +- 4 files changed, 234 insertions(+), 154 deletions(-) diff --git a/hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp b/hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp index 326967676..009045a6d 100644 --- a/hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp +++ b/hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp @@ -137,8 +137,11 @@ void AllocateFundsBase::_adjust_with_running(const Datetime& date, const SystemL for (auto iter = running_list.begin(); iter != running_list.end(); ++iter) { const SYSPtr& sys = *iter; if (selected_sets.find(sys) == selected_sets.end()) { - KRecord record = sys->getTO().getKRecord(date); - TradeRecord tr = sys->_sell(record, PART_ALLOCATEFUNDS); + KData kdata = sys->getTO(); + size_t pos = kdata.getPos(date); + KRecord record = kdata.getKRecord(date); + KRecord srcRecord = kdata.getStock().getKRecord(kdata.startPos() + pos); + TradeRecord tr = sys->_sell(record, srcRecord, PART_ALLOCATEFUNDS); if (!tr.isNull()) { m_tm->addTradeRecord(tr); } @@ -174,8 +177,11 @@ void AllocateFundsBase::_adjust_with_running(const Datetime& date, const SystemL } else if (selected_running_sets.find(iter->getSYS()) != selected_running_sets.end()) { // 超出最大允许运行数且属于正在运行的子系统，则尝试清仓并回收资金 auto sys = iter->getSYS(); - KRecord record = sys->getTO().getKRecord(date); - auto tr = sys->_sell(record, PART_ALLOCATEFUNDS); + KData kdata = sys->getTO(); + size_t pos = kdata.getPos(date); + KRecord record = kdata.getKRecord(date); + KRecord srcRecord = kdata.getStock().getKRecord(kdata.startPos() + pos); + auto tr = sys->_sell(record, srcRecord, PART_ALLOCATEFUNDS); if (!tr.isNull()) { m_tm->addTradeRecord(tr); } diff --git a/hikyuu_cpp/hikyuu/trade_sys/system/System.cpp b/hikyuu_cpp/hikyuu/trade_sys/system/System.cpp index 6a8a1ba5d..d0b040407 100644 --- a/hikyuu_cpp/hikyuu/trade_sys/system/System.cpp +++ b/hikyuu_cpp/hikyuu/trade_sys/system/System.cpp @@ -172,9 +172,9 @@ void System::setTO(const KData& kdata) { if (m_tp) m_tp->setTO(kdata); // 传入复权的 KData if (m_pg) - m_pg->setTO(kdata); // 传入原始未复权的 KData + m_pg->setTO(m_src_kdata); // 传入原始未复权的 KData if (m_sp) - m_sp->setTO(kdata); // 传入原始未复权的 KData + m_sp->setTO(m_src_kdata); // 传入原始未复权的 KData if (m_ev) m_ev->setQuery(query); @@ -298,6 +298,24 @@ void System::run(const Stock& stock, const KQuery& query, bool reset) { run(query, reset); } +void System::run(const KData& kdata, bool reset) { + HKU_INFO_IF_RETURN(kdata.empty(), void(), "Input kdata is empty!"); + + // reset必须在readyForRun之前，否则m_pre_cn_valid、m_pre_ev_valid将会被赋为错误的初值 + if (reset) + this->reset(true, true); + + HKU_IF_RETURN(!readyForRun(), void()); + + setTO(kdata); + size_t total = kdata.size(); + for (size_t i = 0; i < total; ++i) { + if (kdata[i].datetime >= m_tm->initDatetime()) { + runMoment(kdata[i], m_src_kdata[i]); + } + } +} + void System::clearDelayRequest() { m_buyRequest.clear(); m_sellRequest.clear(); @@ -331,7 +349,7 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) { } //处理当前已有的交易请求 - result = _processRequest(today); + result = _processRequest(today, src_today); //---------------------------------------------------------- // 处理市场环境策略 @@ -344,7 +362,7 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) { TradeRecord tr; //如果持有多头仓位，则立即清仓卖出 if (m_tm->have(m_stock)) { - tr = _sell(today, PART_ENVIRONMENT); + tr = _sell(today, src_today, PART_ENVIRONMENT); } m_pre_ev_valid = current_ev_valid; @@ -355,7 +373,7 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) { if (!m_pre_ev_valid) { //如果使用环境判定策略进行初始建仓 if (getParam("ev_open_position")) { - TradeRecord tr = _buy(today, PART_ENVIRONMENT); + TradeRecord tr = _buy(today, src_today, PART_ENVIRONMENT); m_pre_ev_valid = current_ev_valid; return tr.isNull() ? result : tr; } @@ -374,7 +392,7 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) { TradeRecord tr; //如果持有多头仓位，则立即清仓卖出 if (m_tm->have(m_stock)) { - tr = _sell(today, PART_CONDITION); + tr = _sell(today, src_today, PART_CONDITION); } m_pre_cn_valid = current_cn_valid; @@ -385,7 +403,7 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) { if (!m_pre_cn_valid) { //如果使用环境判定策略进行初始建仓 if (getParam("cn_open_position")) { - TradeRecord tr = _buy(today, PART_CONDITION); + TradeRecord tr = _buy(today, src_today, PART_CONDITION); m_pre_cn_valid = current_cn_valid; return tr.isNull() ? result : tr; } @@ -399,7 +417,7 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) { //如果有买入信号 if (m_sg->shouldBuy(today.datetime)) { - TradeRecord tr = _buy(today, PART_SIGNAL); + TradeRecord tr = _buy(today, src_today, PART_SIGNAL); // if (m_tm->haveShort(m_stock)) _sellShort(today); return tr.isNull() ? result : tr; } @@ -408,7 +426,7 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) { if (m_sg->shouldSell(today.datetime)) { TradeRecord tr; if (m_tm->have(m_stock)) - tr = _sell(today, PART_SIGNAL); + tr = _sell(today, src_today, PART_SIGNAL); //_buyShort(today, PART_SIGNAL); return tr.isNull() ? result : tr; } @@ -426,10 +444,10 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) { if (position.number != 0) { TradeRecord tr; if (src_current_price <= position.stoploss) { - tr = _sell(today, PART_STOPLOSS); + tr = _sell(today, src_today, PART_STOPLOSS); //} else if (current_price >= position.goalPrice) { } else if (src_current_price >= _getGoalPrice(today.datetime, src_current_price)) { - tr = _sell(today, PART_PROFITGOAL); + tr = _sell(today, src_today, PART_PROFITGOAL); } else { price_t current_take_profile = _getTakeProfitPrice(today.datetime); if (current_take_profile != 0.0) { @@ -439,7 +457,7 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) { m_lastTakeProfit = current_take_profile; } if (current_price <= current_take_profile) { - tr = _sell(today, PART_TAKEPROFIT); + tr = _sell(today, src_today, PART_TAKEPROFIT); } } } @@ -450,17 +468,17 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) { return result; } -TradeRecord System::_buy(const KRecord& today, Part from) { +TradeRecord System::_buy(const KRecord& today, const KRecord& src_today, Part from) { TradeRecord result; if (getParam("delay")) { - _submitBuyRequest(today, from); + _submitBuyRequest(today, src_today, from); return result; } else { - return _buyNow(today, from); + return _buyNow(today, src_today, from); } } -TradeRecord System::_buyNow(const KRecord& today, Part from) { +TradeRecord System::_buyNow(const KRecord& today, const KRecord& src_today, Part from) { TradeRecord result; //以当前收盘价为计划价格 @@ -474,8 +492,13 @@ TradeRecord System::_buyNow(const KRecord& today, Part from) { 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, planPrice, planPrice - stoploss, from); + double number = + _getBuyNumber(today.datetime, adjustPlanPrice, adjustPlanPrice - adjustStoploss, from); if (number == 0 || number > m_stock.maxTradeNumber()) { return result; } @@ -485,10 +508,10 @@ TradeRecord System::_buyNow(const KRecord& today, Part from) { number = number / min_num * min_num; } - 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); + 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); if (BUSINESS_BUY != record.business) { return result; } @@ -499,29 +522,35 @@ TradeRecord System::_buyNow(const KRecord& today, Part from) { return record; } -TradeRecord System::_buyDelay(const KRecord& today) { +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(KRecord(m_buyRequest.datetime), m_buyRequest.from); + _submitBuyRequest(today, src_today, 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; //计算止损价和可买入数量 - price_t stoploss = 0; - double number = 0; - price_t goalPrice = 0; + 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); - number = _getBuyNumber(today.datetime, planPrice, planPrice - stoploss, m_buyRequest.from); - goalPrice = _getGoalPrice(today.datetime, planPrice); + adjustStoploss = scale * stoploss; + number = _getBuyNumber(today.datetime, adjustPlanPrice, adjustPlanPrice - adjustStoploss, + m_buyRequest.from); + goalPrice = _getGoalPrice(today.datetime, adjustPlanPrice); } else { stoploss = m_buyRequest.stoploss; + adjustStoploss = stoploss; number = m_buyRequest.number; goalPrice = m_buyRequest.goal; } @@ -537,9 +566,9 @@ TradeRecord System::_buyDelay(const KRecord& today) { number = number / min_num * min_num; } - price_t realPrice = _getRealBuyPrice(today.datetime, planPrice); - TradeRecord record = m_tm->buy(today.datetime, m_stock, realPrice, number, stoploss, goalPrice, - planPrice, m_buyRequest.from); + price_t realPrice = _getRealBuyPrice(today.datetime, adjustPlanPrice); + TradeRecord record = m_tm->buy(today.datetime, m_stock, realPrice, number, adjustStoploss, + goalPrice, adjustPlanPrice, m_buyRequest.from); if (BUSINESS_BUY != record.business) { m_buyRequest.clear(); return result; @@ -553,7 +582,7 @@ TradeRecord System::_buyDelay(const KRecord& today) { return record; } -void System::_submitBuyRequest(const KRecord& today, Part from) { +void System::_submitBuyRequest(const KRecord& today, const KRecord& src_today, Part from) { if (m_buyRequest.valid) { if (m_buyRequest.count > getParam("max_delay_count")) { //超出最大延迟次数，清除买入请求 @@ -561,24 +590,22 @@ void System::_submitBuyRequest(const KRecord& today, Part from) { return; } m_buyRequest.count++; - m_buyRequest.datetime = today.datetime; - m_buyRequest.stoploss = _getStoplossPrice(today.datetime, today.closePrice); - m_buyRequest.goal = _getGoalPrice(today.datetime, today.closePrice); - m_buyRequest.number = - _getBuyNumber(today.datetime, today.closePrice, today.closePrice - m_buyRequest.stoploss, - m_buyRequest.from); } else { m_buyRequest.valid = true; m_buyRequest.business = BUSINESS_BUY; - m_buyRequest.datetime = today.datetime; - m_buyRequest.stoploss = _getStoplossPrice(today.datetime, today.closePrice); - m_buyRequest.goal = _getGoalPrice(today.datetime, today.closePrice); - m_buyRequest.number = _getBuyNumber(today.datetime, today.closePrice, - today.closePrice - m_buyRequest.stoploss, from); m_buyRequest.from = from; 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.number = + _getBuyNumber(today.datetime, adjustClosePrice, adjustClosePrice - m_buyRequest.stoploss, + m_buyRequest.from); } TradeRecord System::_sellForce(const KRecord& today, double num, Part from) { @@ -619,17 +646,17 @@ TradeRecord System::_sellForce(const KRecord& today, double num, Part from) { } } -TradeRecord System::_sell(const KRecord& today, Part from) { +TradeRecord System::_sell(const KRecord& today, const KRecord& src_today, Part from) { TradeRecord result; if (getParam("delay")) { - _submitSellRequest(today, from); + _submitSellRequest(today, src_today, from); return result; } else { - return _sellNow(today, from); + return _sellNow(today, src_today, from); } } -TradeRecord System::_sellNow(const KRecord& today, Part from) { +TradeRecord System::_sellNow(const KRecord& today, const KRecord& src_today, Part from) { TradeRecord result; price_t planPrice = today.closePrice; double number = 0; @@ -637,22 +664,27 @@ TradeRecord System::_sellNow(const KRecord& today, Part from) { //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; + //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) { number = m_tm->getHoldNumber(today.datetime, m_stock); //否则，认为可能只是进行减仓操作 } else { - number = _getSellNumber(today.datetime, planPrice, planPrice - stoploss, from); + number = + _getSellNumber(today.datetime, adjustPlanPrice, adjustPlanPrice - adjustStoploss, from); if (number == 0) { return result; } } - 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); + 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); if (BUSINESS_SELL != record.business) { return result; //卖出操作失败 } @@ -669,11 +701,11 @@ TradeRecord System::_sellNow(const KRecord& today, Part from) { return record; } -TradeRecord System::_sellDelay(const KRecord& today) { +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(KRecord(m_sellRequest.datetime), m_sellRequest.from); + _submitSellRequest(today, src_today, m_sellRequest.from); return result; } @@ -681,19 +713,25 @@ TradeRecord System::_sellDelay(const KRecord& today) { //发出卖出请求时刻的止损价 price_t stoploss = 0.0; - double number = 0; + double number = 0.0; price_t goalPrice = 0.0; 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; if (planPrice < stoploss) { number = m_tm->getHoldNumber(today.datetime, m_stock); } else { - number = _getSellNumber(today.datetime, planPrice, planPrice - stoploss, from); + number = _getSellNumber(today.datetime, adjustPlanPrice, + adjustPlanPrice - adjustStoploss, from); } - goalPrice = _getGoalPrice(today.datetime, planPrice); + goalPrice = _getGoalPrice(today.datetime, adjustPlanPrice); } else { stoploss = m_sellRequest.stoploss; number = m_sellRequest.number; @@ -705,9 +743,9 @@ TradeRecord System::_sellDelay(const KRecord& today) { return result; } - price_t realPrice = _getRealSellPrice(today.datetime, planPrice); - TradeRecord record = m_tm->sell(today.datetime, m_stock, realPrice, number, stoploss, goalPrice, - planPrice, m_sellRequest.from); + price_t realPrice = _getRealSellPrice(today.datetime, adjustPlanPrice); + TradeRecord record = m_tm->sell(today.datetime, m_stock, realPrice, number, adjustStoploss, + goalPrice, adjustPlanPrice, m_sellRequest.from); if (BUSINESS_SELL != record.business) { m_sellRequest.clear(); return result; //卖出操作失败 @@ -724,7 +762,7 @@ TradeRecord System::_sellDelay(const KRecord& today) { return record; } -void System::_submitSellRequest(const KRecord& today, Part from) { +void System::_submitSellRequest(const KRecord& today, const KRecord& src_today, Part from) { if (m_sellRequest.valid) { if (m_sellRequest.count > getParam("max_delay_count")) { //超出最大延迟次数，清除买入请求 @@ -739,33 +777,35 @@ void System::_submitSellRequest(const KRecord& today, Part from) { 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 = _getStoplossPrice(today.datetime, today.closePrice); - if (today.closePrice <= m_sellRequest.stoploss) { + m_sellRequest.stoploss = scale * _getStoplossPrice(today.datetime, today.closePrice); + if (adjustClosePrice <= m_sellRequest.stoploss) { m_sellRequest.number = m_tm->getHoldNumber(today.datetime, m_stock); } else { - m_sellRequest.number = _getSellNumber(today.datetime, today.closePrice, - today.closePrice - m_sellRequest.stoploss, from); + m_sellRequest.number = _getSellNumber(today.datetime, adjustClosePrice, + adjustClosePrice - m_sellRequest.stoploss, from); } - m_sellRequest.goal = _getGoalPrice(today.datetime, today.closePrice); + m_sellRequest.goal = _getGoalPrice(today.datetime, adjustClosePrice); } -TradeRecord System::_buyShort(const KRecord& today, Part from) { +TradeRecord System::_buyShort(const KRecord& today, const KRecord& src_today, Part from) { TradeRecord result; if (getParam("support_borrow_stock") == false) return result; if (getParam("delay")) { - _submitBuyShortRequest(today, from); + _submitBuyShortRequest(today, src_today, from); return result; } else { - return _buyShortNow(today, from); + return _buyShortNow(today, src_today, from); } } -TradeRecord System::_buyShortNow(const KRecord& today, Part from) { +TradeRecord System::_buyShortNow(const KRecord& today, const KRecord& src_today, Part from) { TradeRecord result; if (today.highPrice == today.lowPrice) { //无法实际执行，延迟至下一时刻 @@ -778,8 +818,13 @@ TradeRecord System::_buyShortNow(const KRecord& today, Part from) { //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; + //确定数量 - double number = _getBuyShortNumber(today.datetime, planPrice, stoploss - planPrice, from); + double number = + _getBuyShortNumber(today.datetime, adjustPlanPrice, adjustStoploss - adjustPlanPrice, from); if (number == 0) { m_buyShortRequest.clear(); return result; @@ -796,11 +841,11 @@ TradeRecord System::_buyShortNow(const KRecord& today, Part from) { number = pos.number; } - price_t goalPrice = _getShortGoalPrice(today.datetime, planPrice); - price_t realPrice = _getRealBuyPrice(today.datetime, planPrice); + price_t goalPrice = _getShortGoalPrice(today.datetime, adjustPlanPrice); + price_t realPrice = _getRealBuyPrice(today.datetime, adjustPlanPrice); - TradeRecord record = m_tm->buyShort(today.datetime, m_stock, realPrice, number, stoploss, - goalPrice, planPrice, PART_SIGNAL); + TradeRecord record = m_tm->buyShort(today.datetime, m_stock, realPrice, number, adjustStoploss, + goalPrice, adjustPlanPrice, PART_SIGNAL); if (BUSINESS_BUY_SHORT != record.business) { m_buyShortRequest.clear(); return result; @@ -814,7 +859,7 @@ TradeRecord System::_buyShortNow(const KRecord& today, Part from) { return record; } -TradeRecord System::_buyShortDelay(const KRecord& today) { +TradeRecord System::_buyShortDelay(const KRecord& today, const KRecord& src_today) { TradeRecord result; if (today.highPrice == today.lowPrice) { //无法实际执行，延迟至下一时刻 @@ -823,19 +868,24 @@ TradeRecord System::_buyShortDelay(const KRecord& today) { } 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 stoploss = 0.0; - double number = 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); - number = - _getBuyShortNumber(today.datetime, planPrice, stoploss - planPrice, m_buyRequest.from); - goalPrice = _getShortGoalPrice(today.datetime, planPrice); + adjustStoploss = scale * stoploss; + number = _getBuyShortNumber(today.datetime, adjustPlanPrice, + adjustStoploss - adjustPlanPrice, m_buyRequest.from); + goalPrice = _getShortGoalPrice(today.datetime, adjustPlanPrice); } else { stoploss = m_buyShortRequest.stoploss; + adjustStoploss = stoploss; number = m_buyShortRequest.number; goalPrice = m_buyShortRequest.goal; } @@ -856,9 +906,9 @@ TradeRecord System::_buyShortDelay(const KRecord& today) { number = pos.number; } - price_t realPrice = _getRealBuyPrice(today.datetime, planPrice); - TradeRecord record = m_tm->buyShort(today.datetime, m_stock, realPrice, number, stoploss, - goalPrice, planPrice, PART_SIGNAL); + price_t realPrice = _getRealBuyPrice(today.datetime, adjustPlanPrice); + TradeRecord record = m_tm->buyShort(today.datetime, m_stock, realPrice, number, adjustStoploss, + goalPrice, adjustPlanPrice, PART_SIGNAL); if (BUSINESS_BUY_SHORT != record.business) { m_buyShortRequest.clear(); return result; @@ -872,7 +922,7 @@ TradeRecord System::_buyShortDelay(const KRecord& today) { return result; } -void System::_submitBuyShortRequest(const KRecord& today, Part from) { +void System::_submitBuyShortRequest(const KRecord& today, const KRecord& src_today, Part from) { if (m_buyShortRequest.valid) { if (m_buyShortRequest.count > getParam("max_delay_count")) { //超出最大延迟次数，清除买入请求 @@ -880,44 +930,42 @@ void System::_submitBuyShortRequest(const KRecord& today, Part from) { return; } m_buyShortRequest.count++; - m_buyShortRequest.datetime = today.datetime; - m_buyShortRequest.stoploss = _getShortStoplossPrice(today.datetime, today.closePrice); - m_buyShortRequest.goal = _getShortGoalPrice(today.datetime, today.closePrice); - m_buyShortRequest.number = - _getBuyShortNumber(today.datetime, today.closePrice, - m_buyShortRequest.stoploss - today.closePrice, m_buyShortRequest.from); } else { m_buyShortRequest.valid = true; m_buyShortRequest.business = BUSINESS_BUY; - m_buyShortRequest.datetime = today.datetime; - m_buyShortRequest.stoploss = _getShortStoplossPrice(today.datetime, today.closePrice); - m_buyShortRequest.goal = _getShortGoalPrice(today.datetime, today.closePrice); - m_buyShortRequest.number = _getBuyShortNumber( - today.datetime, today.closePrice, m_buyShortRequest.stoploss - today.closePrice, from); m_buyShortRequest.from = from; 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.number = + _getBuyShortNumber(today.datetime, adjustClosePrice, + m_buyShortRequest.stoploss - adjustClosePrice, m_buyShortRequest.from); } -TradeRecord System::_sellShort(const KRecord& today, Part from) { +TradeRecord System::_sellShort(const KRecord& today, const KRecord& src_today, Part from) { TradeRecord result; if (getParam("support_borrow_stock") == false) return result; if (getParam("delay")) { - _submitSellShortRequest(today, from); + _submitSellShortRequest(today, src_today, from); return result; } else { - return _sellShortNow(today, from); + return _sellShortNow(today, src_today, from); } } -TradeRecord System::_sellShortNow(const KRecord& today, Part from) { +TradeRecord System::_sellShortNow(const KRecord& today, const KRecord& src_today, Part from) { TradeRecord result; if (today.highPrice == today.lowPrice) { //当前无法卖出，延迟至下一时刻卖出 - _submitSellShortRequest(KRecord(today.datetime), from); + _submitSellShortRequest(today, src_today, from); return result; } @@ -926,16 +974,21 @@ TradeRecord System::_sellShortNow(const KRecord& today, Part from) { //计算止损价 price_t stoploss = _getShortStoplossPrice(today.datetime, planPrice); - double number = _getSellShortNumber(today.datetime, planPrice, stoploss - planPrice, from); + price_t scale = _getAdjustScale(today, src_today); + price_t adjustPlanPrice = scale * planPrice; + price_t adjustStoploss = scale * stoploss; + + double number = + _getSellShortNumber(today.datetime, adjustPlanPrice, adjustStoploss - adjustPlanPrice, from); if (number == 0) { m_sellShortRequest.clear(); return result; } - 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); + 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); if (BUSINESS_SELL_SHORT != record.business) { m_sellShortRequest.clear(); return result; //卖出操作失败 @@ -949,15 +1002,18 @@ TradeRecord System::_sellShortNow(const KRecord& today, Part from) { return record; } -TradeRecord System::_sellShortDelay(const KRecord& today) { +TradeRecord System::_sellShortDelay(const KRecord& today, const KRecord& src_today) { TradeRecord result; if (today.highPrice == today.lowPrice) { //无法执行，保留卖出请求，继续延迟至下一时刻 - _submitSellShortRequest(KRecord(m_sellShortRequest.datetime), m_sellShortRequest.from); + _submitSellShortRequest(today, src_today, m_sellShortRequest.from); 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; //发出卖出请求时刻的止损价 price_t stoploss = 0.0; @@ -965,9 +1021,10 @@ TradeRecord System::_sellShortDelay(const KRecord& today) { price_t goalPrice = 0.0; if (getParam("delay_use_current_price")) { stoploss = _getShortStoplossPrice(today.datetime, planPrice); - number = _getSellShortNumber(today.datetime, planPrice, stoploss - planPrice, - m_sellShortRequest.from); - goalPrice = _getShortGoalPrice(today.datetime, planPrice); + adjustStoploss = scale * stoploss; + number = _getSellShortNumber(today.datetime, adjustPlanPrice, + adjustStoploss - adjustPlanPrice, m_sellShortRequest.from); + goalPrice = _getShortGoalPrice(today.datetime, adjustPlanPrice); } else { stoploss = m_sellShortRequest.stoploss; number = m_sellShortRequest.number; @@ -979,10 +1036,10 @@ TradeRecord System::_sellShortDelay(const KRecord& today) { return result; } - price_t realPrice = _getRealSellPrice(today.datetime, planPrice); + price_t realPrice = _getRealSellPrice(today.datetime, adjustPlanPrice); - TradeRecord record = m_tm->sell(today.datetime, m_stock, realPrice, number, stoploss, goalPrice, - planPrice, m_sellShortRequest.from); + TradeRecord record = m_tm->sell(today.datetime, m_stock, realPrice, number, adjustStoploss, + goalPrice, adjustPlanPrice, m_sellShortRequest.from); if (BUSINESS_SELL_SHORT != record.business) { m_sellShortRequest.clear(); return result; //卖出操作失败 @@ -996,7 +1053,7 @@ TradeRecord System::_sellShortDelay(const KRecord& today) { return record; } -void System::_submitSellShortRequest(const KRecord& today, Part from) { +void System::_submitSellShortRequest(const KRecord& today, const KRecord& src_today, Part from) { if (m_sellShortRequest.valid) { if (m_sellShortRequest.count > getParam("max_delay_count")) { //超出最大延迟次数，清除买入请求 @@ -1004,32 +1061,29 @@ void System::_submitSellShortRequest(const KRecord& today, Part from) { return; } m_sellShortRequest.count++; - m_sellShortRequest.datetime = today.datetime; - m_sellShortRequest.stoploss = _getStoplossPrice(today.datetime, today.closePrice); - m_sellShortRequest.goal = _getGoalPrice(today.datetime, today.closePrice); - m_sellShortRequest.number = - _getSellNumber(today.datetime, today.closePrice, - today.closePrice - m_sellShortRequest.stoploss, m_sellShortRequest.from); } else { m_sellShortRequest.valid = true; m_sellShortRequest.business = BUSINESS_SELL_SHORT; - m_sellShortRequest.datetime = today.datetime; - m_sellShortRequest.stoploss = _getStoplossPrice(today.datetime, today.closePrice); - m_sellShortRequest.goal = _getGoalPrice(today.datetime, today.closePrice); - m_sellShortRequest.number = - _getSellNumber(today.datetime, today.closePrice, - today.closePrice - m_sellShortRequest.stoploss, m_sellShortRequest.from); m_sellShortRequest.from = from; 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.number = + _getSellNumber(today.datetime, adjustClosePrice, + adjustClosePrice - m_sellShortRequest.stoploss, m_sellShortRequest.from); } -TradeRecord System::_processRequest(const KRecord& today) { - HKU_IF_RETURN(m_buyRequest.valid, _buyDelay(today)); - HKU_IF_RETURN(m_sellRequest.valid, _sellDelay(today)); - HKU_IF_RETURN(m_sellShortRequest.valid, _sellShortDelay(today)); - HKU_IF_RETURN(m_buyShortRequest.valid, _buyShortDelay(today)); +TradeRecord System::_processRequest(const KRecord& today, const KRecord& src_today) { + HKU_IF_RETURN(m_buyRequest.valid, _buyDelay(today, src_today)); + HKU_IF_RETURN(m_sellRequest.valid, _sellDelay(today, src_today)); + HKU_IF_RETURN(m_sellShortRequest.valid, _sellShortDelay(today, src_today)); + HKU_IF_RETURN(m_buyShortRequest.valid, _buyShortDelay(today, src_today)); return TradeRecord(); } @@ -1038,4 +1092,14 @@ bool System::haveDelayRequest() const { m_buyShortRequest.valid); } +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; +} + } /* namespace hku */ diff --git a/hikyuu_cpp/hikyuu/trade_sys/system/System.h b/hikyuu_cpp/hikyuu/trade_sys/system/System.h index 5df6d9fb4..038718918 100644 --- a/hikyuu_cpp/hikyuu/trade_sys/system/System.h +++ b/hikyuu_cpp/hikyuu/trade_sys/system/System.h @@ -157,6 +157,7 @@ class HKU_API System { //不指定stock的方式下run，需要事先通过setStock设定stock void run(const KQuery& query, bool reset = true); void run(const Stock& stock, const KQuery& query, bool reset = true); + void run(const KData& kdata, bool reset = true); TradeRecord runMoment(const Datetime& datetime); TradeRecord runMoment(const KRecord& record, const KRecord& src_record); @@ -196,30 +197,33 @@ class HKU_API System { price_t _getRealBuyPrice(const Datetime& datetime, price_t planPrice); price_t _getRealSellPrice(const Datetime& datetime, price_t planPrice); - TradeRecord _buy(const KRecord& today, Part from); - TradeRecord _buyNow(const KRecord& today, Part from); - TradeRecord _buyDelay(const KRecord& today); - void _submitBuyRequest(const KRecord& today, Part from); + price_t _getAdjustScale(const KRecord& today, const KRecord& src_today); + price_t _getAdjustScale(const KRecord& today, const KRecord& src_today, price_t price); - TradeRecord _sell(const KRecord& today, Part from); - TradeRecord _sellNow(const KRecord& today, Part from); - TradeRecord _sellDelay(const KRecord& today); - void _submitSellRequest(const KRecord& today, Part from); + 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); + void _submitBuyRequest(const KRecord& today, const KRecord& src_today, Part from); + + TradeRecord _sell(const KRecord& today, const KRecord& src_today, Part from); + TradeRecord _sellNow(const KRecord& today, const KRecord& src_today, Part from); + TradeRecord _sellDelay(const KRecord& today, const KRecord& src_today); + 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 _sellShort(const KRecord& today, Part from); - TradeRecord _sellShortNow(const KRecord& today, Part from); - TradeRecord _sellShortDelay(const KRecord& today); - void _submitSellShortRequest(const KRecord& today, Part from); + TradeRecord _sellShort(const KRecord& today, const KRecord& src_today, Part from); + TradeRecord _sellShortNow(const KRecord& today, const KRecord& src_today, Part from); + TradeRecord _sellShortDelay(const KRecord& today, const KRecord& src_today); + void _submitSellShortRequest(const KRecord& today, const KRecord& src_today, Part from); - TradeRecord _buyShort(const KRecord& today, Part from); - TradeRecord _buyShortNow(const KRecord& today, Part from); - TradeRecord _buyShortDelay(const KRecord& today); - void _submitBuyShortRequest(const KRecord& today, Part from); + TradeRecord _buyShort(const KRecord& today, const KRecord& src_today, Part from); + TradeRecord _buyShortNow(const KRecord& today, const KRecord& src_today, Part from); + TradeRecord _buyShortDelay(const KRecord& today, const KRecord& src_today); + void _submitBuyShortRequest(const KRecord& today, const KRecord& src_today, Part from); - TradeRecord _processRequest(const KRecord& today); + TradeRecord _processRequest(const KRecord& today, const KRecord& src_today); TradeRecord _runMoment(const KRecord& record, const KRecord& src_record); @@ -360,6 +364,10 @@ 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; diff --git a/hikyuu_pywrap/trade_sys/_System.cpp b/hikyuu_pywrap/trade_sys/_System.cpp index c72b52c5d..4cb6ba5a4 100644 --- a/hikyuu_pywrap/trade_sys/_System.cpp +++ b/hikyuu_pywrap/trade_sys/_System.cpp @@ -19,7 +19,8 @@ string (System::*sys_get_name)() const = &System::name; void (System::*sys_set_name)(const string&) = &System::name; void (System::*run_1)(const KQuery&, bool) = &System::run; -void (System::*run_2)(const Stock&, const KQuery&, bool reset) = &System::run; +void (System::*run_2)(const KData&, bool) = &System::run; +void (System::*run_3)(const Stock&, const KQuery&, bool reset) = &System::run; void export_System() { def( @@ -211,7 +212,8 @@ void export_System() { //.def("run", &System::run, run_overload(args("stock", "query", "reset"))) .def("run", run_1, (arg("query"), arg("reset") = true)) - .def("run", run_2, (arg("stock"), arg("query"), arg("reset") = true), + .def("run", run_2, (arg("kdata"), arg("reset") = true)) + .def("run", run_3, (arg("stock"), arg("query"), arg("reset") = true), R"(run(self, stock, query[, reset=True]) 运行系统，执行回测