hikyuu 2.2.2__py3-none-win_amd64.whl

hikyuu/include/hikyuu/trade_sys/__init__.py

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+

hikyuu/include/hikyuu/trade_sys/all.h

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+/*
+ * all.h
+ *
+ *  Created on: 2013-5-5
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef ALL_TRADE_SYS_H_
+#define ALL_TRADE_SYS_H_
+
+#include "signal/build_in.h"
+#include "condition/build_in.h"
+#include "environment/build_in.h"
+#include "moneymanager/build_in.h"
+#include "profitgoal/build_in.h"
+#include "slippage/build_in.h"
+#include "stoploss/build_in.h"
+#include "system/build_in.h"
+#include "allocatefunds/build_in.h"
+#include "selector/build_in.h"
+#include "multifactor/build_in.h"
+
+#endif /* ALL_TRADE_SYS_H_ */

hikyuu/include/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.h

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+/*
+ * AllocateMoney.h
+ *
+ *  Created on: 2018年1月30日
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef TRADE_SYS_ALLOCATEFUNDS_ALLOCATEFUNDSBASE_H_
+#define TRADE_SYS_ALLOCATEFUNDS_ALLOCATEFUNDSBASE_H_
+
+#include "../../utilities/Parameter.h"
+#include "../selector/SystemWeight.h"
+
+namespace hku {
+
+/**
+ * 资产分配调整算法
+ * @details 根据资产市值对资产比例进行分配调整。单纯的资金调整，请使用资金管理算法。
+ * @ingroup AllocateFunds
+ */
+class HKU_API AllocateFundsBase : public enable_shared_from_this<AllocateFundsBase> {
+    PARAMETER_SUPPORT_WITH_CHECK
+
+public:
+    /** 默认构造函数 */
+    AllocateFundsBase();
+    AllocateFundsBase(const AllocateFundsBase&) = default;
+
+    /**
+     * 构造函数
+     * @param name 算法名称
+     */
+    explicit AllocateFundsBase(const string& name);
+
+    /** 析构函数 */
+    virtual ~AllocateFundsBase();
+
+    /** 获取算法名称 */
+    const string& name() const;
+
+    /** 修改算法名称 */
+    void name(const string& name);
+
+    /**
+     * 执行资产分配调整，仅供 PF 调用
+     * @param date 指定日期
+     * @param se_list 系统实例选择器选出的系统实例
+     * @param running_list 当前运行中的系统实例
+     * @return 需延迟执行卖出操作的系统列表，其中权重为相应需卖出的数量
+     */
+    SystemWeightList adjustFunds(const Datetime& date, const SystemWeightList& se_list,
+                                 const std::unordered_set<SYSPtr>& running_list);
+
+    /** 获取交易账户 */
+    const TMPtr& getTM() const;
+
+    /** 设定交易账户，由 PF 设定 */
+    void setTM(const TMPtr&);
+
+    /** 设置 Portfolio 的影子账户, 仅由 Portfolio 调用 */
+    void setCashTM(const TMPtr&);
+
+    const TMPtr& getCashTM(const TMPtr&) const;
+
+    /** 获取关联查询条件 */
+    const KQuery& getQuery() const;
+
+    /** 设置查询条件， 由 PF 设定 */
+    void setQuery(const KQuery& query);
+
+    /** 复位 */
+    void reset();
+
+    typedef shared_ptr<AllocateFundsBase> AFPtr;
+
+    /** 克隆操作 */
+    AFPtr clone();
+
+    /** 子类复位接口 */
+    virtual void _reset() {}
+
+    /** 子类克隆私有变量接口 */
+    virtual AFPtr _clone() = 0;
+
+    /**
+     * 子类分配权重接口，获取实际分配资产的系统实例及其权重
+     * @details 实际调用子类接口 _allocateWeight
+     * @param date 指定日期
+     * @param se_list 系统实例选择器选出的系统实例
+     * @return 子类只需要返回每个系统的相对比例即可
+     */
+    virtual SystemWeightList _allocateWeight(const Datetime& date,
+                                             const SystemWeightList& se_list) = 0;
+
+public:
+    /*
+     * 内部函数，仅为测试需要设置为 public。
+     * 对由子类分配的计划权重根据内部参数设置进行调整
+     */
+    static void adjustWeight(SystemWeightList& sw_list, double can_allocate_weight,
+                             bool auto_adjust, bool ignore_zero);
+
+private:
+    void initParam();
+
+    /* 同时调整已运行中的子系统（已分配资金或已持仓） */
+    SystemWeightList _adjust_with_running(const Datetime& date, const SystemWeightList& se_list,
+                                          const std::unordered_set<SYSPtr>& running_list);
+
+    /* 不调整已在运行中的子系统 */
+    void _adjust_without_running(const Datetime& date, const SystemWeightList& se_list,
+                                 const std::unordered_set<SYSPtr>& running_list);
+
+private:
+    string m_name;    // 组件名称
+    KQuery m_query;   // 查询条件
+    TMPtr m_tm;       // 运行期由PF设定，PF的实际账户
+    TMPtr m_cash_tm;  // 运行期由PF设定，tm 的影子账户，由于协调分配资金
+
+//============================================
+// 序列化支持
+//============================================
+#if HKU_SUPPORT_SERIALIZATION
+private:
+    friend class boost::serialization::access;
+    template <class Archive>
+    void save(Archive& ar, const unsigned int version) const {
+        ar& BOOST_SERIALIZATION_NVP(m_name);
+        ar& BOOST_SERIALIZATION_NVP(m_params);
+        ar& BOOST_SERIALIZATION_NVP(m_query);
+    }
+
+    template <class Archive>
+    void load(Archive& ar, const unsigned int version) {
+        ar& BOOST_SERIALIZATION_NVP(m_name);
+        ar& BOOST_SERIALIZATION_NVP(m_params);
+        ar& BOOST_SERIALIZATION_NVP(m_query);
+    }
+
+    BOOST_SERIALIZATION_SPLIT_MEMBER()
+#endif /* HKU_SUPPORT_SERIALIZATION */
+};
+
+#if HKU_SUPPORT_SERIALIZATION
+BOOST_SERIALIZATION_ASSUME_ABSTRACT(SelectorBase)
+#endif
+
+#if HKU_SUPPORT_SERIALIZATION
+/**
+ * 对于没有私有变量的继承子类，可直接使用该宏定义序列化
+ * @code
+ * class Drived: public AllocateFundsBase {
+ *     ALLOCATEFUNDS_NO_PRIVATE_MEMBER_SERIALIZATION
+ *
+ * public:
+ *     Drived();
+ *     ...
+ * };
+ * @endcode
+ * @ingroup Selector
+ */
+#define ALLOCATEFUNDS_NO_PRIVATE_MEMBER_SERIALIZATION               \
+private:                                                            \
+    friend class boost::serialization::access;                      \
+    template <class Archive>                                        \
+    void serialize(Archive& ar, const unsigned int version) {       \
+        ar& BOOST_SERIALIZATION_BASE_OBJECT_NVP(AllocateFundsBase); \
+    }
+#else
+#define ALLOCATEFUNDS_NO_PRIVATE_MEMBER_SERIALIZATION
+#endif
+
+#define ALLOCATEFUNDS_IMP(classname)          \
+public:                                       \
+    virtual AFPtr _clone() override {         \
+        return std::make_shared<classname>(); \
+    }                                         \
+    virtual SystemWeightList _allocateWeight(const Datetime&, const SystemWeightList&) override;
+
+typedef shared_ptr<AllocateFundsBase> AllocateFundsPtr;
+typedef shared_ptr<AllocateFundsBase> AFPtr;
+
+HKU_API std::ostream& operator<<(std::ostream&, const AllocateFundsBase&);
+HKU_API std::ostream& operator<<(std::ostream&, const AFPtr&);
+
+inline const string& AllocateFundsBase::name() const {
+    return m_name;
+}
+
+inline void AllocateFundsBase::name(const string& name) {
+    m_name = name;
+}
+
+inline const TMPtr& AllocateFundsBase::getTM() const {
+    return m_tm;
+}
+
+inline void AllocateFundsBase::setTM(const TMPtr& tm) {
+    m_tm = tm;
+}
+
+inline void AllocateFundsBase::setCashTM(const TMPtr& tm) {
+    m_cash_tm = tm;
+}
+
+inline const TMPtr& AllocateFundsBase::getCashTM(const TMPtr&) const {
+    return m_cash_tm;
+}
+
+inline const KQuery& AllocateFundsBase::getQuery() const {
+    return m_query;
+}
+
+inline void AllocateFundsBase::setQuery(const KQuery& query) {
+    m_query = query;
+}
+
+} /* namespace hku */
+
+#if FMT_VERSION >= 90000
+template <>
+struct fmt::formatter<hku::AllocateFundsBase> : ostream_formatter {};
+
+template <>
+struct fmt::formatter<hku::AFPtr> : ostream_formatter {};
+#endif
+
+#endif /* TRADE_SYS_ALLOCATEFUNDS_ALLOCATEFUNDSBASE_H_ */

hikyuu/include/hikyuu/trade_sys/allocatefunds/__init__.py

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+

hikyuu/include/hikyuu/trade_sys/allocatefunds/build_in.h

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+/*
+ * build_in.h
+ *
+ *  Created on: 2018年2月1日
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef TRADE_SYS_ALLOCATEFUNDS_BUILD_IN_H_
+#define TRADE_SYS_ALLOCATEFUNDS_BUILD_IN_H_
+
+#include "crt/AF_EqualWeight.h"
+#include "crt/AF_FixedWeight.h"
+#include "crt/AF_MultiFactor.h"
+
+#endif /* TRADE_SYS_ALLOCATEFUNDS_BUILD_IN_H_ */

hikyuu/include/hikyuu/trade_sys/allocatefunds/crt/AF_EqualWeight.h

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+/*
+ * AF_EqualWeight.h
+ *
+ *  Created on: 2018年2月8日
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef TRADE_SYS_ALLOCATEFUNDS_CRT_AF_EQUALWEIGHT_H_
+#define TRADE_SYS_ALLOCATEFUNDS_CRT_AF_EQUALWEIGHT_H_
+
+#include "../AllocateFundsBase.h"
+
+namespace hku {
+
+/**
+ * @brief 等权重资产分配，对选中的资产进行等比例分配
+ * @return AFPtr
+ * @ingroup AllocateFunds
+ */
+AFPtr HKU_API AF_EqualWeight();
+
+} /* namespace hku */
+
+#endif /* TRADE_SYS_ALLOCATEFUNDS_CRT_AF_EQUALWEIGHT_H_ */

hikyuu/include/hikyuu/trade_sys/allocatefunds/crt/AF_FixedWeight.h

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+/*
+ * Copyright (c) 2019 hikyuu.org
+ *
+ *  Created on: 2018年2月8日
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef TRADE_SYS_ALLOCATEFUNDS_CRT_AF_FIXEDWEIGHT_H_
+#define TRADE_SYS_ALLOCATEFUNDS_CRT_AF_FIXEDWEIGHT_H_
+
+#include "../AllocateFundsBase.h"
+
+namespace hku {
+
+/**
+ * @brief 固定比例资产分配，每个选中的资产都只占总资产固定的比例
+ * @param weight 指定的资产比例 (0, 1]
+ * @return AFPtr
+ * @ingroup AllocateFunds
+ */
+AFPtr HKU_API AF_FixedWeight(double weight = 0.1);
+
+} /* namespace hku */
+
+#endif /* TRADE_SYS_ALLOCATEFUNDS_CRT_AF_FIXEDWEIGHT_H_ */

hikyuu/include/hikyuu/trade_sys/allocatefunds/crt/AF_MultiFactor.h

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+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-30
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../AllocateFundsBase.h"
+
+namespace hku {
+
+/**
+ * 创建 MultiFactor 评分权重的资产分配算法实例
+ * @return AFPtr
+ * @ingroup AllocateFunds
+ */
+AFPtr HKU_API AF_MultiFactor();
+
+}  // namespace hku

hikyuu/include/hikyuu/trade_sys/allocatefunds/crt/__init__.py

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+

hikyuu/include/hikyuu/trade_sys/allocatefunds/imp/EqualWeightAllocateFunds.h

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+/*
+ * EqualWeightAllocateFunds.h
+ *
+ *  Created on: 2018年2月8日
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef TRADE_SYS_ALLOCATEFUNDS_IMP_EQUALWEIGHTALLOCATEFUNDS_H_
+#define TRADE_SYS_ALLOCATEFUNDS_IMP_EQUALWEIGHTALLOCATEFUNDS_H_
+
+#include "../AllocateFundsBase.h"
+
+namespace hku {
+
+class EqualWeightAllocateFunds : public AllocateFundsBase {
+    ALLOCATEFUNDS_IMP(EqualWeightAllocateFunds)
+    ALLOCATEFUNDS_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    EqualWeightAllocateFunds();
+    virtual ~EqualWeightAllocateFunds();
+};
+
+} /* namespace hku */
+
+#endif /* TRADE_SYS_ALLOCATEFUNDS_IMP_EQUALWEIGHTALLOCATEFUNDS_H_ */

hikyuu/include/hikyuu/trade_sys/allocatefunds/imp/FixedWeightAllocateFunds.h

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+/*
+ *  Copyright (c) 2019 hikyuu.org
+ *
+ *  Created on: 2018年2月8日
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef TRADE_SYS_ALLOCATEFUNDS_IMP_FIXEDWEIGHTALLOCATEFUNDS_H_
+#define TRADE_SYS_ALLOCATEFUNDS_IMP_FIXEDWEIGHTALLOCATEFUNDS_H_
+
+#include "../AllocateFundsBase.h"
+
+namespace hku {
+
+class FixedWeightAllocateFunds : public AllocateFundsBase {
+    ALLOCATEFUNDS_IMP(FixedWeightAllocateFunds)
+    ALLOCATEFUNDS_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    FixedWeightAllocateFunds();
+    virtual ~FixedWeightAllocateFunds();
+    virtual void _checkParam(const string& name) const override;
+};
+
+} /* namespace hku */
+
+#endif /* TRADE_SYS_ALLOCATEFUNDS_IMP_FIXEDWEIGHTALLOCATEFUNDS_H_ */

hikyuu/include/hikyuu/trade_sys/allocatefunds/imp/MultiFactorAllocaterFunds.h

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+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-30
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../AllocateFundsBase.h"
+
+namespace hku {
+
+class MultiFactorAllocaterFunds : public AllocateFundsBase {
+    ALLOCATEFUNDS_IMP(MultiFactorAllocaterFunds)
+    ALLOCATEFUNDS_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    MultiFactorAllocaterFunds();
+    virtual ~MultiFactorAllocaterFunds();
+};
+
+}  // namespace hku

hikyuu/include/hikyuu/trade_sys/allocatefunds/imp/__init__.py

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+

hikyuu/include/hikyuu/trade_sys/condition/ConditionBase.h

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+/*
+ * ConditionBase.h
+ *
+ *  Created on: 2013-3-3
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef CONDITIONBASE_H_
+#define CONDITIONBASE_H_
+
+#include "../../utilities/Parameter.h"
+#include "../../KData.h"
+#include "../../trade_manage/TradeManager.h"
+#include "../signal/SignalBase.h"
+
+namespace hku {
+
+/**
+ * 系统有效条件基类
+ * @note 系统有效性和待交易的对象有关也可能没关，所以保留setTradeObj接口
+ * @ingroup Condition
+ */
+class HKU_API ConditionBase : public enable_shared_from_this<ConditionBase> {
+    PARAMETER_SUPPORT_WITH_CHECK
+
+public:
+    ConditionBase();
+    ConditionBase(const ConditionBase&) = default;
+    explicit ConditionBase(const string& name);
+    virtual ~ConditionBase();
+
+    /** 获取名称 */
+    const string& name() const;
+
+    /** 设置名称 */
+    void name(const string& name);
+
+    size_t size() const;
+
+    price_t at(size_t pos) const;
+
+    price_t const* data() const;
+
+    /** 复位操作 */
+    void reset();
+
+    /** 设置交易对象 */
+    void setTO(const KData& kdata);
+
+    /** 获取交易对象 */
+    KData getTO() const;
+
+    /** 设置交易管理实例 */
+    void setTM(const TradeManagerPtr& tm);
+
+    /** 获取交易管理实例 */
+    TradeManagerPtr getTM() const;
+
+    /** 设置系统信号指示器 */
+    void setSG(const SGPtr& sg);
+
+    /** 获取系统信号指示器 */
+    SGPtr getSG() const;
+
+    /** 获取系统有效的日期列表，注意：和交易对象不等长 */
+    DatetimeList getDatetimeList() const;
+
+    /** 以指标的形式获取实际值，与交易对象等长，0表示无效，1表示系统有效 */
+    Indicator getValues() const;
+
+    /**
+     * 加入有效时间，在_calculate中调用
+     * @param datetime 系统有效日期
+     * @param value 值
+     */
+    void _addValid(const Datetime& datetime, price_t value = 1.0);
+
+    typedef shared_ptr<ConditionBase> ConditionPtr;
+    /** 克隆操作 */
+    ConditionPtr clone();
+
+    /**
+     * 指定时间系统是否有效
+     * @param datetime 指定时间
+     * @return true 有效 | false 失效
+     */
+    bool isValid(const Datetime& datetime);
+
+    /** 子类计算接口 */
+    virtual void _calculate() = 0;
+
+    /** 子类reset接口 */
+    virtual void _reset() {}
+
+    /** 子类克隆接口 */
+    virtual ConditionPtr _clone() = 0;
+
+public:
+    typedef vector<price_t>::const_iterator const_iterator;
+    const_iterator cbegin() const {
+        return m_values.cbegin();
+    }
+
+    const_iterator cend() const {
+        return m_values.cend();
+    }
+
+protected:
+    string m_name;
+    KData m_kdata;
+    TMPtr m_tm;
+    SGPtr m_sg;
+    map<Datetime, size_t> m_date_index;
+    vector<price_t> m_values;
+
+//============================================
+// 序列化支持
+//============================================
+#if HKU_SUPPORT_SERIALIZATION
+private:
+    friend class boost::serialization::access;
+    template <class Archive>
+    void save(Archive& ar, const unsigned int version) const {
+        ar& BOOST_SERIALIZATION_NVP(m_name);
+        ar& BOOST_SERIALIZATION_NVP(m_params);
+        ar& BOOST_SERIALIZATION_NVP(m_date_index);
+        ar& BOOST_SERIALIZATION_NVP(m_values);
+        // m_kdata/m_tm/m_sg是系统运行时临时设置，不需要序列化
+    }
+
+    template <class Archive>
+    void load(Archive& ar, const unsigned int version) {
+        ar& BOOST_SERIALIZATION_NVP(m_name);
+        ar& BOOST_SERIALIZATION_NVP(m_params);
+        ar& BOOST_SERIALIZATION_NVP(m_date_index);
+        ar& BOOST_SERIALIZATION_NVP(m_values);
+        // m_kdata/m_tm/m_sg是系统运行时临时设置，不需要序列化
+    }
+
+    BOOST_SERIALIZATION_SPLIT_MEMBER()
+#endif /* HKU_SUPPORT_SERIALIZATION */
+};
+
+#if HKU_SUPPORT_SERIALIZATION
+BOOST_SERIALIZATION_ASSUME_ABSTRACT(ConditionBase)
+#endif
+
+#if HKU_SUPPORT_SERIALIZATION
+/**
+ * 对于没有私有变量的继承子类，可直接使用该宏定义序列化
+ * @code
+ * class Drived: public ConditionBase {
+ *     CONDITION_NO_PRIVATE_MEMBER_SERIALIZATION
+ *
+ * public:
+ *     Drived();
+ *     ...
+ * };
+ * @endcode
+ * @ingroup Condition
+ */
+#define CONDITION_NO_PRIVATE_MEMBER_SERIALIZATION               \
+private:                                                        \
+    friend class boost::serialization::access;                  \
+    template <class Archive>                                    \
+    void serialize(Archive& ar, const unsigned int version) {   \
+        ar& BOOST_SERIALIZATION_BASE_OBJECT_NVP(ConditionBase); \
+    }
+#else
+#define CONDITION_NO_PRIVATE_MEMBER_SERIALIZATION
+#endif
+
+/**
+ * 客户程序都应使用该指针类型
+ * @ingroup Condition
+ */
+typedef shared_ptr<ConditionBase> ConditionPtr;
+typedef shared_ptr<ConditionBase> CNPtr;
+
+#define CONDITION_IMP(classname)              \
+public:                                       \
+    virtual ConditionPtr _clone() override {  \
+        return std::make_shared<classname>(); \
+    }                                         \
+    virtual void _calculate() override;
+
+HKU_API std::ostream& operator<<(std::ostream&, const ConditionPtr&);
+HKU_API std::ostream& operator<<(std::ostream&, const ConditionBase&);
+
+inline const string& ConditionBase::name() const {
+    return m_name;
+}
+
+inline void ConditionBase::name(const string& name) {
+    m_name = name;
+}
+
+inline size_t ConditionBase::size() const {
+    return m_values.size();
+}
+
+inline price_t const* ConditionBase::data() const {
+    return m_values.data();
+}
+
+inline price_t ConditionBase::at(size_t pos) const {
+    return m_values.at(pos);
+}
+
+inline KData ConditionBase::getTO() const {
+    return m_kdata;
+}
+
+inline void ConditionBase::setTM(const TradeManagerPtr& tm) {
+    m_tm = tm;
+}
+
+inline SGPtr ConditionBase::getSG() const {
+    return m_sg;
+}
+
+inline void ConditionBase::setSG(const SGPtr& sg) {
+    m_sg = sg;
+}
+
+inline TradeManagerPtr ConditionBase::getTM() const {
+    return m_tm;
+}
+
+} /* namespace hku */
+
+#if FMT_VERSION >= 90000
+template <>
+struct fmt::formatter<hku::ConditionBase> : ostream_formatter {};
+
+template <>
+struct fmt::formatter<hku::ConditionPtr> : ostream_formatter {};
+#endif
+
+#endif /* CONDITIONBASE_H_ */

hikyuu/include/hikyuu/trade_sys/condition/__init__.py

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+

hikyuu/include/hikyuu/trade_sys/condition/build_in.h

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+/*
+ * build_in.h
+ *
+ *  Created on: 2013-5-5
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef CONDITION_BUILD_IN_H_
+#define CONDITION_BUILD_IN_H_
+
+#include "crt/CN_Bool.h"
+#include "crt/CN_OPLine.h"
+#include "crt/CN_Logic.h"
+#include "crt/CN_Manual.h"
+
+#endif /* CONDITION_BUILD_IN_H */