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System支持复权数据 (continue)
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@fasiondog
fasiondog committed Jan 25, 2022
1 parent 72ac855 commit cb5123e
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Showing 2 changed files with 37 additions and 22 deletions.
54 changes: 34 additions & 20 deletions hikyuu_cpp/hikyuu/trade_sys/system/System.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -128,6 +128,7 @@ void System::reset(bool with_tm, bool with_ev) {
m_sp->reset();

m_kdata = KData();
m_src_kdata = KData();

//不能复位m_stock，后续Portfolio需要使用，从意义上讲，sys实例和stock是一一绑定的关系,
//一个sys实例绑定stock后，除非主动改变，否则不应该被reset
Expand All @@ -152,21 +153,29 @@ void System::setTO(const KData& kdata) {
m_kdata = kdata;
m_stock = kdata.getStock();

KQuery query = kdata.getQuery();
if (m_stock.isNull() || query.recoverType() == KQuery::NO_RECOVER) {
m_src_kdata = m_kdata;
} else {
KQuery no_recover_query = query;
no_recover_query.recoverType(KQuery::NO_RECOVER);
m_src_kdata = m_stock.getKData(no_recover_query);
}

// sg->setTO必须在cn->setTO之前，cn会使用到sg，防止sg被计算两次
if (m_sg)
m_sg->setTO(kdata);
m_sg->setTO(kdata); // 传入复权的 KData
if (m_cn)
m_cn->setTO(kdata);
m_cn->setTO(kdata); // 传入复权的 KData
if (m_st)
m_st->setTO(kdata);
m_st->setTO(kdata); // 传入复权的 KData
if (m_tp)
m_tp->setTO(kdata);
m_tp->setTO(kdata); // 传入复权的 KData
if (m_pg)
m_pg->setTO(kdata);
m_pg->setTO(kdata); // 传入原始未复权的 KData
if (m_sp)
m_sp->setTO(kdata);
m_sp->setTO(kdata); // 传入原始未复权的 KData

KQuery query = kdata.getQuery();
if (m_ev)
m_ev->setQuery(query);
if (m_mm)
Expand Down Expand Up @@ -198,6 +207,7 @@ SystemPtr System::clone() {
p->m_name = m_name;
p->m_stock = m_stock;
p->m_kdata = m_kdata;
p->m_src_kdata = m_src_kdata;

p->m_pre_ev_valid = m_pre_ev_valid;
p->m_pre_cn_valid = m_pre_cn_valid;
Expand Down Expand Up @@ -278,7 +288,7 @@ void System::run(const KQuery& query, bool reset) {
size_t total = kdata.size();
for (size_t i = 0; i < total; ++i) {
if (kdata[i].datetime >= m_tm->initDatetime()) {
runMoment(kdata[i]);
runMoment(kdata[i], m_src_kdata[i]);
}
}
}
Expand All @@ -295,23 +305,24 @@ void System::clearDelayRequest() {
m_buyShortRequest.clear();
}

TradeRecord System::runMoment(const KRecord& record) {
TradeRecord System::runMoment(const KRecord& record, const KRecord& src_record) {
m_buy_days++;
m_sell_short_days++;
return _runMoment(record);
return _runMoment(record, src_record);
}

TradeRecord System::runMoment(const Datetime& datetime) {
KRecord today = m_kdata.getKRecord(datetime);
if (today.isValid()) {
m_buy_days++;
m_sell_short_days++;
return _runMoment(today);
}
return TradeRecord();
size_t pos = m_kdata.getPos(datetime);
HKU_IF_RETURN(pos == Null<size_t>(), TradeRecord());

KRecord today = m_kdata.getKRecord(pos);
KRecord src_today = m_src_kdata.getKRecord(pos);
m_buy_days++;
m_sell_short_days++;
return _runMoment(today, src_today);
}

TradeRecord System::_runMoment(const KRecord& today) {
TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) {
TradeRecord result;
if ((today.highPrice == today.lowPrice || today.closePrice > today.highPrice ||
today.closePrice < today.lowPrice) &&
Expand Down Expand Up @@ -404,17 +415,20 @@ TradeRecord System::_runMoment(const KRecord& today) {

//----------------------------------------------------------
// 处理止损、止盈、目标信号
// 止损使用的是当前持仓的止损价，使用未复权的原始价
// 目标盈利使用未复权的原始价格
//----------------------------------------------------------

price_t current_price = today.closePrice;
price_t src_current_price = src_today.closePrice; // 未复权的原始价格

PositionRecord position = m_tm->getPosition(m_stock);
if (position.number != 0) {
TradeRecord tr;
if (current_price <= position.stoploss) {
if (src_current_price <= position.stoploss) {
tr = _sell(today, PART_STOPLOSS);
//} else if (current_price >= position.goalPrice) {
} else if (current_price >= _getGoalPrice(today.datetime, current_price)) {
} else if (src_current_price >= _getGoalPrice(today.datetime, src_current_price)) {
tr = _sell(today, PART_PROFITGOAL);
} else {
price_t current_take_profile = _getTakeProfitPrice(today.datetime);
Expand Down
5 changes: 3 additions & 2 deletions hikyuu_cpp/hikyuu/trade_sys/system/System.h
View file
Original file line number Diff line number Diff line change
Expand Up @@ -159,7 +159,7 @@ class HKU_API System {
void run(const Stock& stock, const KQuery& query, bool reset = true);

TradeRecord runMoment(const Datetime& datetime);
TradeRecord runMoment(const KRecord& record);
TradeRecord runMoment(const KRecord& record, const KRecord& src_record);

//清除已有的交易请求，供Portfolio使用
void clearDelayRequest();
Expand Down Expand Up @@ -221,7 +221,7 @@ class HKU_API System {

TradeRecord _processRequest(const KRecord& today);

TradeRecord _runMoment(const KRecord& record);
TradeRecord _runMoment(const KRecord& record, const KRecord& src_record);

protected:
TradeManagerPtr m_tm;
Expand All @@ -237,6 +237,7 @@ class HKU_API System {
string m_name;
Stock m_stock;
KData m_kdata;
KData m_src_kdata; // 未复权的原始 K 线数据

bool m_pre_ev_valid;
bool m_pre_cn_valid;
Expand Down

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