Skip to content

Commit

Permalink
fixed https://gitee.com/fasiondog/hikyuu/issues/I5EJ0I 订单代理失效
Browse files Browse the repository at this point in the history
  • Loading branch information
@fasiondog
fasiondog committed Jun 29, 2022
1 parent 1094c80 commit cad31cc
Show file tree
Hide file tree
Showing 6 changed files with 90 additions and 58 deletions.
7 changes: 3 additions & 4 deletions docs/source/trade_manage/OrderBroker.rst
View file
Original file line number Diff line number Diff line change
Expand Up @@ -18,12 +18,11 @@ Python中的订单代理包装
my_tm = crtTM(init_cash = 300000)

#注册实盘交易订单代理
my_tm.regBroker(crtOB(TestOrderBroker())) #TestOerderBroker是测试用订单代理对象，只打印
#my_tm.regBroker(crtOB(Puppet())) #Puppet为内建的扯线木偶实盘下单对象
#my_tm.regBroker(crtOB(MailOrderBroker("smtp.sina.com", "[email protected]", "yourpwd", "[email protected])))
my_tm.reg_broker(crtOB(TestOrderBroker())) #TestOerderBroker是测试用订单代理对象，只打印
#my_tm.reg_broker(crtOB(MailOrderBroker("smtp.sina.com", "[email protected]", "yourpwd", "[email protected])))

#根据需要修改订单代理最后的时间戳，后续只有大于该时间戳时，订单代理才会实际发出订单指令
my_tm.brokeLastDatetime=Datetime(201706010000)
my_tm.broke_last_datetime=Datetime(201706010000)

#创建信号指示器（以5日EMA为快线，5日EMA自身的10日EMA作为慢线，快线向上穿越慢线时买入，反之卖出）
my_sg = SG_Flex(OP(EMA(n=5)), slow_n=10)
Expand Down
98 changes: 77 additions & 21 deletions hikyuu/examples/notebook/006-TradeManager.ipynb
View file
Original file line number Diff line number Diff line change
Expand Up @@ -11,15 +11,17 @@
"text": [
"std::cout are redirected to python::stdout\n",
"std::cerr are redirected to python::stderr\n",
"2021-02-12 17:02:02.409 [HKU-I] - Using SQLITE3 BaseInfoDriver (BaseInfoDriver.cpp:58)\n",
"2021-02-12 17:02:02.411 [HKU-I] - Loading market information... (StockManager.cpp:473)\n",
"2021-02-12 17:02:02.412 [HKU-I] - Loading stock type information... (StockManager.cpp:486)\n",
"2021-02-12 17:02:02.413 [HKU-I] - Loading stock information... (StockManager.cpp:422)\n",
"2021-02-12 17:02:02.501 [HKU-I] - Loading stock weight... (StockManager.cpp:503)\n",
"2021-02-12 17:02:03.904 [HKU-I] - Loading KData... (StockManager.cpp:138)\n",
"2021-02-12 17:02:03.909 [HKU-I] - Preloading all day kdata to buffer! (StockManager.cpp:161)\n",
"2021-02-12 17:02:03.931 [HKU-I] - 0.03s Loaded Data. (StockManager.cpp:149)\n",
"Wall time: 2.78 s\n"
"2022-06-30 00:49:42.300 [HKU-I] - Using SQLITE3 BaseInfoDriver (BaseInfoDriver.cpp:58)\n",
"2022-06-30 00:49:42.301 [HKU-I] - Loading market information... (StockManager.cpp:497)\n",
"2022-06-30 00:49:42.301 [HKU-I] - Loading stock type information... (StockManager.cpp:510)\n",
"2022-06-30 00:49:42.301 [HKU-I] - Loading stock information... (StockManager.cpp:424)\n",
"2022-06-30 00:49:42.348 [HKU-I] - Loading stock weight... (StockManager.cpp:527)\n",
"2022-06-30 00:49:42.714 [HKU-I] - Loading KData... (StockManager.cpp:139)\n",
"2022-06-30 00:49:42.717 [HKU-I] - Preloading all day kdata to buffer! (StockManager.cpp:162)\n",
"2022-06-30 00:49:42.717 [HKU-I] - Preloading all week kdata to buffer! (StockManager.cpp:165)\n",
"2022-06-30 00:49:42.717 [HKU-I] - Preloading all month kdata to buffer! (StockManager.cpp:168)\n",
"2022-06-30 00:49:42.729 [HKU-I] - 0.01s Loaded Data. (StockManager.cpp:150)\n",
"Wall time: 1.08 s\n"
]
}
],
Expand Down Expand Up @@ -56,7 +58,7 @@
"output_type": "stream",
"text": [
"TradeManager {\n",
" params: params[precision(int): 2, reinvest(bool): 0, save_action(bool): 1, support_borrow_cash(bool): 0, support_borrow_stock(bool): 0, ],\n",
" params: params[precision(int): 2, save_action(bool): 1, support_borrow_cash(bool): 0, support_borrow_stock(bool): 0, ],\n",
" name: SYS,\n",
" init_date: 2017-01-01 00:00:00,\n",
" init_cash: 100000.00,\n",
Expand All @@ -71,7 +73,7 @@
" current borrow_cash: 0.00,\n",
" current borrow_asset: 0.00,\n",
" Position: \n",
" SZ000001 平安银行 2017-01-03 00:00:00 999 100.00 911.00 2493.00 1582.00 173.66% 1.58%\n",
" SZ000001 平安银行 2017-01-03 00:00:00 1333 100.00 911.00 1464.00 553.00 60.70% 0.55%\n",
" Short Position: \n",
" Borrow Stock: \n",
"}\n"
Expand Down Expand Up @@ -141,21 +143,21 @@
" <th>SZ000001</th>\n",
" <td>平安银行</td>\n",
" <td>2017-01-03</td>\n",
" <td>999</td>\n",
" <td>1333</td>\n",
" <td>100</td>\n",
" <td>911.0</td>\n",
" <td>2493.0</td>\n",
" <td>1582.0</td>\n",
" <td>173.655324</td>\n",
" <td>1464.0</td>\n",
" <td>553.0</td>\n",
" <td>60.702525</td>\n",
" </tr>\n",
" </tbody>\n",
"</table>\n",
"</div>"
],
"text/plain": [
" 证券名称 买入日期 已持仓天数 持仓数量 投入金额 当前市值 盈亏金额 盈亏比例\n",
"证券代码 \n",
"SZ000001 平安银行 2017-01-03 999 100 911.0 2493.0 1582.0 173.655324"
" 证券名称 买入日期 已持仓天数 持仓数量 投入金额 当前市值 盈亏金额 盈亏比例\n",
"证券代码 \n",
"SZ000001 平安银行 2017-01-03 1333 100 911.0 1464.0 553.0 60.702525"
]
},
"execution_count": 3,
Expand All @@ -178,7 +180,7 @@
"data": {
"text/plain": [
"TradeManager {\n",
" params: params[precision(int): 2, reinvest(bool): 0, save_action(bool): 1, support_borrow_cash(bool): 0, support_borrow_stock(bool): 0, ],\n",
" params: params[precision(int): 2, save_action(bool): 1, support_borrow_cash(bool): 0, support_borrow_stock(bool): 0, ],\n",
" name: SYS,\n",
" init_date: 2017-01-01 00:00:00,\n",
" init_cash: 100000.00,\n",
Expand Down Expand Up @@ -282,6 +284,60 @@
"<img src=\"images/008_03_pickle.png\" align=\"left\">"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# 4 使用订单代理"
]
},
{
"cell_type": "code",
"execution_count": 8,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"买入：SZ000001 18.300 1000\n",
"卖出：SZ000001 17.510 1000\n",
"买入：SZ000001 17.410 1000\n",
"卖出：SZ000001 17.000 1000\n",
"买入：SZ000001 17.340 1000\n",
"卖出：SZ000001 16.500 1000\n",
"买入：SZ000001 17.030 1000\n",
"卖出：SZ000001 16.350 1000\n",
"买入：SZ000001 15.110 1000\n",
"卖出：SZ000001 14.880 1000\n",
"买入：SZ000001 14.740 1000\n",
"卖出：SZ000001 14.090 1000\n",
"买入：SZ000001 14.470 1000\n"
]
}
],
"source": [
"#创建模拟交易账户进行回测，初始资金30万\n",
"my_tm = crtTM(init_cash=300000, date=Datetime(201701010000))\n",
"\n",
"#注册实盘交易订单代理\n",
"my_tm.reg_broker(crtOB(TestOrderBroker(), False)) #TestOerderBroker是测试用订单代理对象，只打印\n",
"#my_tm.regBroker(crtOB(MailOrderBroker(\"smtp.sina.com\", \"[email protected]\", \"yourpwd\", \"[email protected])))\n",
"\n",
"#根据需要修改订单代理最后的时间戳，后续只有大于该时间戳时，订单代理才会实际发出订单指令\n",
"my_tm.broker_last_datetime=Datetime(201701010000)\n",
"\n",
"#创建信号指示器（以5日EMA为快线，5日EMA自身的10日EMA作为慢线，快线向上穿越慢线时买入，反之卖出）\n",
"my_sg = SG_Flex(EMA(n=5), slow_n=10)\n",
"\n",
"#固定每次买入1000股\n",
"my_mm = MM_FixedCount(1000)\n",
"\n",
"#创建交易系统并运行\n",
"sys = SYS_Simple(tm = my_tm, sg = my_sg, mm = my_mm)\n",
"sys.run(sm['sz000001'], Query(-150))"
]
},
{
"cell_type": "code",
"execution_count": null,
Expand All @@ -292,7 +348,7 @@
],
"metadata": {
"kernelspec": {
"display_name": "Python 3",
"display_name": "Python 3 (ipykernel)",
"language": "python",
"name": "python3"
},
Expand All @@ -306,7 +362,7 @@
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.8.3"
"version": "3.9.7"
}
},
"nbformat": 4,
Expand Down
34 changes: 7 additions & 27 deletions hikyuu/trade_manage/broker.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -37,45 +37,26 @@ class OrderBrokerWrap(OrderBrokerBase):
"""订单代理包装类，用户可以参考自定义自己的订单代理，加入额外的处理
包装只有买卖操作参数只有(code, price, num)的交易接口类
"""
def __init__(self, broker, real=True, slip=0.03):
def __init__(self, broker, slip=0.03):
"""
订单代理包装类，用户可以参考自定义自己的订单代理，加入额外的处理

:param bool real: 下单前是否重新实时获取实时分笔数据
:param float slip: 如果当前的卖一价格和指示买入的价格绝对差值不超过slip则下单，
否则忽略; 对卖出操作无效，立即以当前价卖出
"""
super(OrderBrokerWrap, self).__init__()
self._broker = broker
self._real = real
self._slip = slip
def _buy(self, datetime, market, code, price, num):
"""实现 OrderBrokerBase 的 _buy 接口"""
if self._real:
import tushare as ts
df = ts.get_realtime_quotes(code)
new_price = float(df.ix[0]['ask'])
if (abs(new_price - price) <= self._slip):
self._broker.buy(code, new_price, num)
else:
print("out of slip, not buy!!!!!!!!!!")
return Datetime.now()
else:
self._broker.buy(code, price, num)
return datetime
self._broker.buy('{}{}'.format(market, code), price, num)
return datetime
def _sell(self, datetime, market, code, price, num):
"""实现 OrderBrokerBase 的 _sell 接口"""
if self._real:
import tushare as ts
df = ts.get_realtime_quotes(code)
new_price = float(df.ix[0]['bid'])
self._broker.sell(code, new_price, num)
return Datetime.now()
else:
self._broker.sell(code, price, num)
return datetime
self._broker.sell('{}{}'.format(market, code), price, num)
return datetime
class TestOrderBroker:
Expand All @@ -90,13 +71,12 @@ def sell(self, code, price, num):
print("卖出：%s %.3f %i" % (code, price, num))
def crtOB(broker, real=True, slip=0.03):
def crtOB(broker, slip=0.03):
"""
快速生成订单代理包装对象

:param broker: 订单代理示例，必须拥有buy和sell方法，并且参数为 code, price, num
:param bool real: 下单前是否重新实时获取实时分笔数据
:param float slip: 如果当前的卖一价格和指示买入的价格绝对差值不超过slip则下单，
否则忽略; 对卖出操作无效，立即以当前价卖出
"""
return OrderBrokerWrap(broker, real, slip)
return OrderBrokerWrap(broker, slip)
2 changes: 1 addition & 1 deletion hikyuu_cpp/hikyuu/Stock.h
View file
Original file line number Diff line number Diff line change
Expand Up @@ -210,7 +210,7 @@ class HKU_API Stock {
/** 是否为Null */
bool isNull() const;

/** （临时函数）只用于更新缓存中的日线数据 **/
/** （临时函数）只用于更新缓存中的K线数据 **/
void realtimeUpdate(KRecord, KQuery::KType ktype = KQuery::DAY);

/** 仅用于python的__str__ */
Expand Down
6 changes: 2 additions & 4 deletions hikyuu_cpp/hikyuu/trade_manage/TradeManager.cpp
View file
Original file line number Diff line number Diff line change
Expand Up @@ -118,8 +118,6 @@ void TradeManager::_reset() {

m_position.clear();
m_position_history.clear();
// m_broker_list
// m_broker_last_datetime = Datetime::now();
m_actions.clear();
_saveAction(m_trade_list.back());
}
Expand Down Expand Up @@ -867,7 +865,7 @@ TradeRecord TradeManager::buy(const Datetime& datetime, const Stock& stock, pric
list<OrderBrokerPtr>::const_iterator broker_iter = m_broker_list.begin();
for (; broker_iter != m_broker_list.end(); ++broker_iter) {
Datetime realtime =
(*broker_iter)->buy(datetime, stock.market(), stock.code(), planPrice, number);
(*broker_iter)->buy(datetime, stock.market(), stock.code(), realPrice, number);
if (realtime != Null<Datetime>())
m_broker_last_datetime = realtime;
}
Expand Down Expand Up @@ -955,7 +953,7 @@ TradeRecord TradeManager::sell(const Datetime& datetime, const Stock& stock, pri
list<OrderBrokerPtr>::const_iterator broker_iter = m_broker_list.begin();
for (; broker_iter != m_broker_list.end(); ++broker_iter) {
Datetime realtime =
(*broker_iter)->sell(datetime, stock.market(), stock.code(), planPrice, number);
(*broker_iter)->sell(datetime, stock.market(), stock.code(), realPrice, real_number);
m_broker_last_datetime = realtime;
}
}
Expand Down
1 change: 0 additions & 1 deletion hikyuu_cpp/hikyuu/trade_manage/TradeManagerBase.h
View file
Original file line number Diff line number Diff line change
Expand Up @@ -158,7 +158,6 @@ class HKU_API TradeManagerBase {

/** 复位，清空交易、持仓记录 */
void reset() {
m_broker_last_datetime = Datetime::now();
_reset();
}

Expand Down

0 comments on commit cad31cc

Please sign in to comment.