From cb5123e9c3b60d791e18b323c6be979ecf132818 Mon Sep 17 00:00:00 2001 From: fasiondog Date: Wed, 26 Jan 2022 02:02:03 +0800 Subject: [PATCH] =?UTF-8?q?System=E6=94=AF=E6=8C=81=E5=A4=8D=E6=9D=83?= =?UTF-8?q?=E6=95=B0=E6=8D=AE=20(continue)?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- hikyuu_cpp/hikyuu/trade_sys/system/System.cpp | 54 ++++++++++++------- hikyuu_cpp/hikyuu/trade_sys/system/System.h | 5 +- 2 files changed, 37 insertions(+), 22 deletions(-) diff --git a/hikyuu_cpp/hikyuu/trade_sys/system/System.cpp b/hikyuu_cpp/hikyuu/trade_sys/system/System.cpp index a5af699e2..6a8a1ba5d 100644 --- a/hikyuu_cpp/hikyuu/trade_sys/system/System.cpp +++ b/hikyuu_cpp/hikyuu/trade_sys/system/System.cpp @@ -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 @@ -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) @@ -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; @@ -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]); } } } @@ -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(), 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) && @@ -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); diff --git a/hikyuu_cpp/hikyuu/trade_sys/system/System.h b/hikyuu_cpp/hikyuu/trade_sys/system/System.h index 24a30682f..5df6d9fb4 100644 --- a/hikyuu_cpp/hikyuu/trade_sys/system/System.h +++ b/hikyuu_cpp/hikyuu/trade_sys/system/System.h @@ -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(); @@ -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; @@ -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;