hikyuu 2.6.2__py3-none-win_amd64.whl → 2.6.5__py3-none-win_amd64.whl

hikyuu/include/hikyuu/strategy/BrokerTradeManager.h

@@ -258,7 +258,8 @@ public:
      */
     virtual TradeRecord buy(const Datetime& datetime, const Stock& stock, price_t realPrice,
                             double number, price_t stoploss = 0.0, price_t goalPrice = 0.0,
-                            price_t planPrice = 0.0, SystemPart from = PART_INVALID) override;
+                            price_t planPrice = 0.0, SystemPart from = PART_INVALID,
+                            const string& remark = "") override;
 
     /**
      * 卖出操作
@@ -275,7 +276,7 @@ public:
     virtual TradeRecord sell(const Datetime& datetime, const Stock& stock, price_t realPrice,
                              double number = MAX_DOUBLE, price_t stoploss = 0.0,
                              price_t goalPrice = 0.0, price_t planPrice = 0.0,
-                             SystemPart from = PART_INVALID) override;
+                             SystemPart from = PART_INVALID, const string& remark = "") override;
 
     /**
      * 卖空
@@ -291,8 +292,8 @@ public:
      */
     virtual TradeRecord sellShort(const Datetime& datetime, const Stock& stock, price_t realPrice,
                                   double number, price_t stoploss = 0.0, price_t goalPrice = 0.0,
-                                  price_t planPrice = 0.0,
-                                  SystemPart from = PART_INVALID) override {
+                                  price_t planPrice = 0.0, SystemPart from = PART_INVALID,
+                                  const string& remark = "") override {
         HKU_WARN("The subclass does not implement this method");
         return TradeRecord();
     }
@@ -312,7 +313,8 @@ public:
     virtual TradeRecord buyShort(const Datetime& datetime, const Stock& stock, price_t realPrice,
                                  double number = MAX_DOUBLE, price_t stoploss = 0.0,
                                  price_t goalPrice = 0.0, price_t planPrice = 0.0,
-                                 SystemPart from = PART_INVALID) override {
+                                 SystemPart from = PART_INVALID,
+                                 const string& remark = "") override {
         HKU_WARN("The subclass does not implement this method");
         return TradeRecord();
     }

hikyuu/include/hikyuu/strategy/Strategy.h

@@ -128,6 +128,24 @@ public:
     KData getLastKData(const Stock& stk, size_t lastnum, const KQuery::KType& ktype,
                        KQuery::RecoverType recover_type = KQuery::NO_RECOVER) const;
 
+    /**
+     * @brief 按股下单，+正数买入，-负数卖出
+     * @param stk 交易标的
+     * @param num 交易数量
+     * @param remark 交易备注
+     * @return TradeRecord
+     */
+    virtual TradeRecord order(const Stock& stk, double num, const string& remark = "");
+
+    /**
+     * @brief 按价值下单，即买入指定资金数量的股票
+     * @param stk 交易标的
+     * @param value 价值
+     * @param remark 交易备注
+     * @return TradeRecord
+     */
+    virtual TradeRecord orderValue(const Stock& stk, price_t value, const string& remark = "");
+
     virtual KData getKData(const Stock& stk, const Datetime& start_date, const Datetime& end_date,
                            const KQuery::KType& ktype,
                            KQuery::RecoverType recover_type = KQuery::NO_RECOVER) const;
@@ -144,18 +162,13 @@ public:
     }
 
     virtual TradeRecord buy(const Stock& stk, price_t price, double num, double stoploss = 0.0,
-                            double goal_price = 0.0,
-                            SystemPart part_from = SystemPart::PART_SIGNAL) {
-        HKU_ASSERT(m_tm);
-        return m_tm->buy(Datetime::now(), stk, price, num, stoploss, goal_price, price, part_from);
-    }
+                            double goal_price = 0.0, SystemPart part_from = SystemPart::PART_SIGNAL,
+                            const string& remark = "");
 
     virtual TradeRecord sell(const Stock& stk, price_t price, double num, price_t stoploss = 0.0,
                              price_t goal_price = 0.0,
-                             SystemPart part_from = SystemPart::PART_SIGNAL) {
-        HKU_ASSERT(m_tm);
-        return m_tm->sell(Datetime::now(), stk, price, num, stoploss, goal_price, price, part_from);
-    }
+                             SystemPart part_from = SystemPart::PART_SIGNAL,
+                             const string& remark = "");
 
     virtual bool isBacktesting() const {
         return false;

hikyuu/include/hikyuu/trade_manage/OrderBrokerBase.h

@@ -71,9 +71,10 @@ public:
      * @param stoploss 预期的止损价
      * @param goalPrice 预期的目标价位
      * @param from 系统部件来源
+     * @param remark 备注信息
      */
     void buy(Datetime datetime, const string& market, const string& code, price_t price, double num,
-             price_t stoploss, price_t goalPrice, SystemPart from) noexcept;
+             price_t stoploss, price_t goalPrice, SystemPart from, const string& remark) noexcept;
 
     /**
      * 执行卖出操作
@@ -85,9 +86,11 @@ public:
      * @param stoploss 新的预期止损价
      * @param goalPrice 新的预期目标价位
      * @param from 系统部件来源
+     * @param remark 备注信息
      */
     void sell(Datetime datetime, const string& market, const string& code, price_t price,
-              double num, price_t stoploss, price_t goalPrice, SystemPart from) noexcept;
+              double num, price_t stoploss, price_t goalPrice, SystemPart from,
+              const string& remark) noexcept;
 
     /**
      * 获取当前资产信息
@@ -123,9 +126,11 @@ public:
      * @param stoploss 预期的止损价
      * @param goalPrice 预期的目标价位
      * @param from 系统部件来源
+     * @param remark 备注信息
      */
     virtual void _buy(Datetime datetime, const string& market, const string& code, price_t price,
-                      double num, price_t stoploss, price_t goalPrice, SystemPart from) = 0;
+                      double num, price_t stoploss, price_t goalPrice, SystemPart from,
+                      const string& remark) = 0;
 
     /**
      * 子类实现接口，执行实际卖出操作
@@ -137,9 +142,11 @@ public:
      * @param stoploss 新预期的止损价
      * @param goalPrice 新预期的目标价位
      * @param from 系统部件来源
+     * @param remark 备注信息
      */
     virtual void _sell(Datetime datetime, const string& market, const string& code, price_t price,
-                       double num, price_t stoploss, price_t goalPrice, SystemPart from) = 0;
+                       double num, price_t stoploss, price_t goalPrice, SystemPart from,
+                       const string& remark) = 0;
 
     virtual string _getAssetInfo() {
         return string();

hikyuu/include/hikyuu/trade_manage/Performance.h

@@ -10,7 +10,7 @@
 #define PERFORMANCE_H_
 
 #include <boost/function.hpp>
-#include "TradeManager.h"
+#include "TradeManagerBase.h"
 
 namespace hku {
 
@@ -23,14 +23,15 @@ public:
     Performance();
     virtual ~Performance();
 
-    Performance(const Performance& other) : m_result(other.m_result) {}
-    Performance(Performance&& other) : m_result(std::move(other.m_result)) {}
+    Performance(const Performance& other) = default;
+    Performance(Performance&& other)
+    : m_result(std::move(other.m_result)), m_keys(std::move(other.m_keys)) {}
 
     Performance& operator=(const Performance& other);
     Performance& operator=(Performance&& other);
 
     /** 是否为合法的统计项 */
-    static bool exist(const string& key);
+    bool exist(const string& key);
 
     /** 复位，清除已计算的结果 */
     void reset();
@@ -44,12 +45,12 @@ public:
     }
 
     /**
-     * 简单的文本统计报告，用于直接输出打印
-     * @param tm
+     * 简单的文本统计报告，用于直接输出打印。
+     * @note 只有运行 statistics 后或 Performance 本身为从 TM 获取的结果时才生效
      * @param datetime 指定的截止时刻
      * @return
      */
-    string report(const TradeManagerPtr& tm, const Datetime& datetime = Datetime::now());
+    string report();
 
     /**
      * 根据交易记录，统计截至某一时刻的系统绩效, datetime必须大于等于lastDatetime，
@@ -61,7 +62,7 @@ public:
 
     /** 获取所有统计项名称，顺序与 values 相同 */
     const StringList& names() const {
-        return ms_keys;
+        return m_keys;
     }
 
     /** 获取所有统计项值，顺序与 names 相同*/
@@ -71,9 +72,16 @@ public:
     typedef map_type::iterator iterator;
     typedef map_type::const_iterator const_iterator;
 
+    const map_type& getAll() const {
+        return m_result;
+    }
+
+    void addKey(const string& key);
+    void setValue(const string& key, double value);
+
 private:
     map_type m_result;
-    static StringList ms_keys;  // 保存统计项顺序, map/unordered_map都不能保持按插入顺序遍历
+    StringList m_keys;  // 保存统计项顺序, map/unordered_map都不能保持按插入顺序遍历
 };
 
 } /* namespace hku */

hikyuu/include/hikyuu/trade_manage/PositionExtInfo.h

@@ -0,0 +1,92 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-05-30
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "PositionRecord.h"
+
+namespace hku {
+// 持仓扩展信息（只适合一买一卖的情况，一买多卖的情况，部分统计不准确仅供参考)
+struct HKU_API PositionExtInfo final {
+    PositionRecord position;
+    price_t maxHighPrice{0.};       // 期间最高价最大值
+    price_t minLowPrice{0.0};       // 期间最低价最小值
+    price_t maxClosePrice{0.};      // 期间收盘价最高值
+    price_t minClosePrice{0.0};     // 期间收盘价最低值
+    price_t currentClosePrice{0.};  // 当前收盘价
+    price_t maxPullBack1{0.};       // 最大回撤百分比1(仅使用最大收盘价和最低收盘价计算)(负数)
+    price_t maxPullBack2{0.};   // 最大回撤百分比2(使用期间最高价最大值和最低价最小值计算)（负数）
+    price_t currentProfit{0.};  // 当前浮动盈亏(不含预计卖出成本)
+
+    /** 当前回撤百分比1(仅使用最大收盘价和当前收盘价计算) */
+    price_t currentPullBack1() const {
+        price_t ret = (maxClosePrice - currentClosePrice) / maxClosePrice;
+        return ret > 0. ? 0. : ret;
+    }
+
+    /** 当前回撤百分比2(使用期间最高价最大值和当前收盘价计算) */
+    price_t currentPullBack2() const {
+        price_t ret = (maxHighPrice - currentClosePrice) / maxHighPrice;
+        return ret > 0. ? 0. : ret;
+    }
+
+    /** 期间最大浮盈1 (正数, 仅使用收盘价计算, 不含预计卖出成本, 多次买卖时统计不准) */
+    price_t maxFloatingProfit1() const {
+        price_t ret = maxClosePrice * position.number + position.sellMoney - position.buyMoney;
+        return ret < 0. ? 0. : ret;
+    }
+
+    /** 期间最大浮盈2 (正数, 使用最高值最大值进行计算,不含预计卖出成本，多次买卖时统计不准) */
+    price_t maxFloatingProfit2() const {
+        price_t ret = maxHighPrice * position.number + position.sellMoney - position.buyMoney;
+        return ret < 0. ? 0. : ret;
+    }
+
+    /** 期间最大浮亏1（负数，仅使用收盘价计算, 不含预计卖出成本，多次买卖时统计不准) */
+    price_t minLossProfit1() const {
+        price_t ret = minClosePrice * position.number + position.sellMoney - position.buyMoney;
+        return ret > 0. ? 0. : ret;
+    }
+
+    /** 期间最大浮亏2（负数，仅期间最低价计算, 不含预计卖出成本，多次买卖时统计不准) */
+    price_t minLossProfit2() const {
+        price_t ret = minLowPrice * position.number + position.sellMoney - position.buyMoney;
+        return ret > 0. ? 0. : ret;
+    }
+
+    PositionExtInfo() = default;
+    PositionExtInfo(const PositionExtInfo&) = default;
+    PositionExtInfo& operator=(const PositionExtInfo&) = default;
+
+    PositionExtInfo(PositionExtInfo&& rhs)
+    : position(std::move(rhs.position)),
+      maxHighPrice(rhs.maxHighPrice),
+      minLowPrice(rhs.minLowPrice),
+      maxClosePrice(rhs.maxClosePrice),
+      minClosePrice(rhs.minClosePrice),
+      currentClosePrice(rhs.currentClosePrice),
+      maxPullBack1(rhs.maxPullBack1),
+      maxPullBack2(rhs.maxPullBack2),
+      currentProfit(rhs.currentProfit) {}
+
+    PositionExtInfo& operator=(PositionExtInfo&& rhs) {
+        if (this != &rhs) {
+            position = std::move(rhs.position);
+            maxHighPrice = rhs.maxHighPrice;
+            minLowPrice = rhs.minLowPrice;
+            maxClosePrice = rhs.maxClosePrice;
+            minClosePrice = rhs.minClosePrice;
+            currentClosePrice = rhs.currentClosePrice;
+            maxPullBack1 = rhs.maxPullBack1;
+            maxPullBack2 = rhs.maxPullBack2;
+            currentProfit = rhs.currentProfit;
+        }
+        return *this;
+    }
+};
+
+}  // namespace hku

hikyuu/include/hikyuu/trade_manage/PositionRecord.h

@@ -25,11 +25,17 @@ public:
                    double number, price_t stoploss, price_t goalPrice, double totalNumber,
                    price_t buyMoney, price_t totalCost, price_t totalRisk, price_t sellMoney);
 
+    PositionRecord(const PositionRecord& ths) = default;
+    PositionRecord& operator=(const PositionRecord& ths) = default;
+
+    PositionRecord(PositionRecord&& rhs);
+    PositionRecord& operator=(PositionRecord&& rhs);
+
     /** 仅用于python的__str__ */
     string str() const;
 
     /**
-     * @brief 盈亏 = 买入资金 - 累计交易总成本 - 卖出资金
+     * @brief 盈亏 = 卖出资金 - 累计交易总成本 - 买入资金
      * @note 只对已清仓的记录有效，未清仓将返回0.0
      */
     price_t totalProfit() const;

hikyuu/include/hikyuu/trade_manage/TradeManager.h

@@ -229,7 +229,8 @@ public:
      */
     virtual TradeRecord buy(const Datetime& datetime, const Stock& stock, price_t realPrice,
                             double number, price_t stoploss = 0.0, price_t goalPrice = 0.0,
-                            price_t planPrice = 0.0, SystemPart from = PART_INVALID) override;
+                            price_t planPrice = 0.0, SystemPart from = PART_INVALID,
+                            const string& remark = "") override;
 
     /**
      * 卖出操作
@@ -246,7 +247,7 @@ public:
     virtual TradeRecord sell(const Datetime& datetime, const Stock& stock, price_t realPrice,
                              double number = MAX_DOUBLE, price_t stoploss = 0.0,
                              price_t goalPrice = 0.0, price_t planPrice = 0.0,
-                             SystemPart from = PART_INVALID) override;
+                             SystemPart from = PART_INVALID, const string& remark = "") override;
 
     /**
      * 卖空
@@ -262,7 +263,8 @@ public:
      */
     virtual TradeRecord sellShort(const Datetime& datetime, const Stock& stock, price_t realPrice,
                                   double number, price_t stoploss = 0.0, price_t goalPrice = 0.0,
-                                  price_t planPrice = 0.0, SystemPart from = PART_INVALID) override;
+                                  price_t planPrice = 0.0, SystemPart from = PART_INVALID,
+                                  const string& remark = "") override;
 
     /**
      * 卖空后回补
@@ -279,7 +281,8 @@ public:
     virtual TradeRecord buyShort(const Datetime& datetime, const Stock& stock, price_t realPrice,
                                  double number = MAX_DOUBLE, price_t stoploss = 0.0,
                                  price_t goalPrice = 0.0, price_t planPrice = 0.0,
-                                 SystemPart from = PART_INVALID) override;
+                                 SystemPart from = PART_INVALID,
+                                 const string& remark = "") override;
 
     /**
      * 借入资金，从其他来源借取的资金，如融资
@@ -400,7 +403,7 @@ private:
     TradeRecordList m_trade_list;  // 交易记录
 
     typedef map<uint64_t, PositionRecord> position_map_type;
-    position_map_type m_position;  // 当前持仓交易对象的持仓记录 ["sh000001"-> ]
+    position_map_type m_position;                 // 当前持仓交易对象的持仓记录 ["sh000001"-> ]
     PositionRecordList m_position_history;        // 持仓历史记录
     position_map_type m_short_position;           // 空头仓位记录
     PositionRecordList m_short_position_history;  // 空头仓位历史记录

hikyuu/include/hikyuu/trade_manage/TradeManagerBase.h

@@ -10,6 +10,7 @@
 #include "../utilities/Parameter.h"
 #include "TradeRecord.h"
 #include "PositionRecord.h"
+#include "PositionExtInfo.h"
 #include "BorrowRecord.h"
 #include "FundsRecord.h"
 #include "LoanRecord.h"
@@ -19,6 +20,8 @@
 
 namespace hku {
 
+class HKU_API Performance;
+
 /**
  * 账户交易管理基类，管理帐户的交易记录及资金使用情况
  * @details
@@ -28,7 +31,7 @@ namespace hku {
  * </pre>
  * @ingroup TradeManagerClass
  */
-class HKU_API TradeManagerBase {
+class HKU_API TradeManagerBase : public enable_shared_from_this<TradeManagerBase> {
     PARAMETER_SUPPORT_WITH_CHECK
 
 public:
@@ -522,7 +525,8 @@ public:
      */
     virtual TradeRecord buy(const Datetime& datetime, const Stock& stock, price_t realPrice,
                             double number, price_t stoploss = 0.0, price_t goalPrice = 0.0,
-                            price_t planPrice = 0.0, SystemPart from = PART_INVALID) {
+                            price_t planPrice = 0.0, SystemPart from = PART_INVALID,
+                            const string& remark = "") {
         HKU_WARN("The subclass does not implement this method");
         return TradeRecord();
     }
@@ -542,7 +546,7 @@ public:
     virtual TradeRecord sell(const Datetime& datetime, const Stock& stock, price_t realPrice,
                              double number = MAX_DOUBLE, price_t stoploss = 0.0,
                              price_t goalPrice = 0.0, price_t planPrice = 0.0,
-                             SystemPart from = PART_INVALID) {
+                             SystemPart from = PART_INVALID, const string& remark = "") {
         HKU_WARN("The subclass does not implement this method");
         return TradeRecord();
     }
@@ -561,7 +565,8 @@ public:
      */
     virtual TradeRecord sellShort(const Datetime& datetime, const Stock& stock, price_t realPrice,
                                   double number, price_t stoploss = 0.0, price_t goalPrice = 0.0,
-                                  price_t planPrice = 0.0, SystemPart from = PART_INVALID) {
+                                  price_t planPrice = 0.0, SystemPart from = PART_INVALID,
+                                  const string& remark = "") {
         HKU_WARN("The subclass does not implement this method");
         return TradeRecord();
     }
@@ -581,7 +586,7 @@ public:
     virtual TradeRecord buyShort(const Datetime& datetime, const Stock& stock, price_t realPrice,
                                  double number = MAX_DOUBLE, price_t stoploss = 0.0,
                                  price_t goalPrice = 0.0, price_t planPrice = 0.0,
-                                 SystemPart from = PART_INVALID) {
+                                 SystemPart from = PART_INVALID, const string& remark = "") {
         HKU_WARN("The subclass does not implement this method");
         return TradeRecord();
     }
@@ -704,6 +709,62 @@ public:
         HKU_WARN("The subclass does not implement this method");
     }
 
+    //-------------------------------------------------------------
+    // 以下为可能需要授权的功能
+    //-------------------------------------------------------------
+    /**
+     * 统计截至某一时刻的系统绩效, datetime必须大于等于lastDatetime，
+     * 以便用于计算当前市值
+     * @param datetime 统计截止时刻
+     */
+    Performance getPerformance(const Datetime& datetime = Datetime::now(),
+                               const KQuery::KType& ktype = KQuery::DAY);
+
+    /**
+     * @brief 获取指定时刻时账户的最大回撤百分比（负数）（仅根据收盘价计算）
+     * @param tm 指定账户
+     * @param date 指定日期（包含该时刻）
+     * @param ktype k线类型
+     * @return price_t
+     */
+    price_t getMaxPullBack(const Datetime& date, const KQuery::KType& ktype = KQuery::DAY);
+
+    /**
+     * @brief 获取账户历史持仓扩展详情
+     * @param ktype k线类型
+     * @param trade_mode 交易模式，影响部分统计项: 0-收盘时交易, 1-下一开盘时交易
+     * @return std::vector<PositionExtInfo>
+     */
+    std::vector<PositionExtInfo> getHistoryPositionExtInfoList(
+      const KQuery::KType& ktype = KQuery::DAY, int trade_mode = 0);
+
+    /**
+     * @brief 获取账户最后交易时刻后持仓详情
+     * @param current_time 当前时刻（需大于等于最后交易时刻）
+     * @param ktype k线类型
+     * @param trade_mode 交易模式，影响部分统计项: 0-收盘时交易, 1-下一开盘时交易
+     * @return std::vector<PositionExtInfo>
+     */
+    std::vector<PositionExtInfo> getPositionExtInfoList(
+      const Datetime& current_time = Datetime::now(), const KQuery::KType& ktype = KQuery::DAY,
+      int trade_mode = 0);
+
+    /**
+     * @brief 获取指定截止时间前各月的收益百分比
+     * @param datetime
+     * @return std::vector<std::pair<Datetime, double>>
+     */
+    std::vector<std::pair<Datetime, double>> getProfitPercentMonthly(
+      const Datetime& datetime = Datetime::now());
+
+    /**
+     * @brief 获取指定截止时间前各年的收益百分比
+     * @param datetime
+     * @return std::vector<std::pair<Datetime, double>>
+     */
+    std::vector<std::pair<Datetime, double>> getProfitPercentYearly(
+      const Datetime& datetime = Datetime::now());
+
 protected:
     string m_name;            // 账户名称
     TradeCostPtr m_costfunc;  // 成本算法

hikyuu/include/hikyuu/trade_manage/TradeRecord.h

@@ -61,7 +61,12 @@ public:
     TradeRecord();
     TradeRecord(const Stock& stock, const Datetime& datetime, BUSINESS business, price_t planPrice,
                 price_t realPrice, price_t goalPrice, double number, const CostRecord& cost,
-                price_t stoploss, price_t cash, SystemPart from);
+                price_t stoploss, price_t cash, SystemPart from, const string& remark = "");
+    TradeRecord(const TradeRecord&) = default;
+    TradeRecord& operator=(const TradeRecord&) = default;
+
+    TradeRecord(TradeRecord&&);
+    TradeRecord& operator=(TradeRecord&&);
 
     /** 仅用于python的__str__ */
     string toString() const;
@@ -79,6 +84,7 @@ public:
     price_t stoploss;   ///< 止损价
     price_t cash;       ///< 现金余额
     SystemPart from;    ///< 辅助记录交易系统部件，区别是哪个部件发出的指示，Null<int>()表示无效
+    string remark;      ///< 备注
 
 #if HKU_SUPPORT_SERIALIZATION
 private:
@@ -98,6 +104,7 @@ private:
         ar& BOOST_SERIALIZATION_NVP(cost);
         ar& BOOST_SERIALIZATION_NVP(stoploss);
         ar& BOOST_SERIALIZATION_NVP(cash);
+        ar& BOOST_SERIALIZATION_NVP(remark);
         string part_name(getSystemPartName(from));
         ar& bs::make_nvp<string>("from", part_name);
     }
@@ -119,6 +126,7 @@ private:
         ar& BOOST_SERIALIZATION_NVP(cost);
         ar& BOOST_SERIALIZATION_NVP(stoploss);
         ar& BOOST_SERIALIZATION_NVP(cash);
+        ar& BOOST_SERIALIZATION_NVP(remark);
         string part_name;
         ar& bs::make_nvp<string>("from", part_name);
         from = getSystemPartEnum(part_name);

hikyuu/include/hikyuu/trade_sys/multifactor/MultiFactorBase.h

@@ -29,7 +29,8 @@ public:
     MultiFactorBase();
     explicit MultiFactorBase(const string& name);
     MultiFactorBase(const IndicatorList& inds, const StockList& stks, const KQuery& query,
-                    const Stock& ref_stk, const string& name, int ic_n, bool spearman);
+                    const Stock& ref_stk, const string& name, int ic_n, bool spearman, int mode,
+                    bool save_all_factors);
     MultiFactorBase(const MultiFactorBase&);
     virtual ~MultiFactorBase() = default;
 
@@ -44,9 +45,7 @@ public:
     }
 
     /** 获取参考日期列表 */
-    const DatetimeList& getDatetimeList() const {
-        return m_ref_dates;
-    }
+    const DatetimeList& getDatetimeList();
 
     /** 获取查询范围 */
     const KQuery& getQuery() const {
@@ -153,7 +152,11 @@ private:
     void initParam();
 
 protected:
-    void _buildIndex();  // 计算完成后创建截面索引
+    void _buildIndex();      // 计算完成后创建截面索引
+    void _buildIndexDesc();  // 创建降序排列的索引
+    void _buildIndexAsc();   // 创建升序排列的索引
+    void _buildIndexNone();  // build index when no index
+
     IndicatorList _getAllReturns(int ndays) const;
     void _checkData();
 

hikyuu/include/hikyuu/trade_sys/multifactor/crt/MF_EqualWeight.h

@@ -18,11 +18,14 @@ namespace hku {
  * @param ref_stk 参考证券
  * @param ic_n 默认 IC 对应的 N 日收益率
  * @param spearman 默认使用 spearman 计算相关系数，否则为 pearson
+ * @param mode 获取截面数据时排序模式: 0-降序, 1-升序, 2-不排序
+ * @param save_all_factors 是否保留因子数据
  * @return MultiFactorPtr
  */
 MultiFactorPtr HKU_API MF_EqualWeight(const IndicatorList& inds, const StockList& stks,
                                       const KQuery& query, const Stock& ref_stk, int ic_n = 5,
-                                      bool spearman = true);
+                                      bool spearman = true, int mode = 0,
+                                      bool save_all_factors = false);
 
 MultiFactorPtr HKU_API MF_EqualWeight();
 

hikyuu/include/hikyuu/trade_sys/multifactor/crt/MF_ICIRWeight.h

@@ -20,11 +20,14 @@ namespace hku {
  * @param ic_n 默认 IC 对应的 N 日收益率
  * @param ic_rolling_n IC 滚动窗口
  * @param spearman 默认使用 spearman 计算相关系数，否则为 pearson
+ * @param mode 获取截面数据时排序模式: 0-降序, 1-升序, 2-不排序
+ * @param save_all_factors 是否保留因子数据
  * @return MultiFactorPtr
  */
 MultiFactorPtr HKU_API MF_ICIRWeight(const IndicatorList& inds, const StockList& stks,
                                      const KQuery& query, const Stock& ref_stk, int ic_n = 5,
-                                     int ic_rolling_n = 120, bool spearman = true);
+                                     int ic_rolling_n = 120, bool spearman = true, int mode = 0,
+                                     bool save_all_factors = false);
 
 MultiFactorPtr HKU_API MF_ICIRWeight();
 }  // namespace hku

hikyuu/include/hikyuu/trade_sys/multifactor/crt/MF_ICWeight.h

@@ -20,11 +20,14 @@ namespace hku {
  * @param ic_n 默认 IC 对应的 N 日收益率
  * @param ic_rolling_n IC 滚动窗口
  * @param spearman 默认使用 spearman 计算相关系数，否则为 pearson
+ * @param mode 获取截面数据时排序模式: 0-降序, 1-升序, 2-不排序
+ * @param save_all_factors 是否保留因子数据
  * @return MultiFactorPtr
  */
 MultiFactorPtr HKU_API MF_ICWeight(const IndicatorList& inds, const StockList& stks,
                                    const KQuery& query, const Stock& ref_stk, int ic_n = 5,
-                                   int ic_rolling_n = 120, bool spearman = true);
+                                   int ic_rolling_n = 120, bool spearman = true, int mode = 0,
+                                   bool save_all_factors = false);
 MultiFactorPtr HKU_API MF_ICWeight();
 
 }  // namespace hku

hikyuu/include/hikyuu/trade_sys/multifactor/crt/MF_Weight.h

@@ -19,11 +19,14 @@ namespace hku {
  * @param ref_stk 参考证券
  * @param ic_n 默认 IC 对应的 N 日收益率
  * @param spearman 默认使用 spearman 计算相关系数，否则为 pearson
+ * @param mode 获取截面数据时排序模式: 0-降序, 1-升序, 2-不排序
+ * @param save_all_factors 是否保留因子数据
  * @return MultiFactorPtr
  */
 MultiFactorPtr HKU_API MF_Weight(const IndicatorList& inds, const PriceList& weights,
                                  const StockList& stks, const KQuery& query, const Stock& ref_stk,
-                                 int ic_n = 5, bool spearman = true);
+                                 int ic_n = 5, bool spearman = true, int mode = 0,
+                                 bool save_all_factors = false);
 
 MultiFactorPtr HKU_API MF_Weight();
 

hikyuu/include/hikyuu/trade_sys/multifactor/imp/EqualWeightMultiFactor.h

@@ -18,7 +18,8 @@ class EqualWeightMultiFactor : public MultiFactorBase {
 public:
     EqualWeightMultiFactor();
     EqualWeightMultiFactor(const vector<Indicator>& inds, const StockList& stks,
-                           const KQuery& query, const Stock& ref_stk, int ic_n, bool spearman);
+                           const KQuery& query, const Stock& ref_stk, int ic_n, bool spearman,
+                           int mode, bool save_all_factors);
     virtual ~EqualWeightMultiFactor() = default;
 };
 

hikyuu/include/hikyuu/trade_sys/multifactor/imp/ICIRMultiFactor.h

@@ -18,7 +18,8 @@ class ICIRMultiFactor : public MultiFactorBase {
 public:
     ICIRMultiFactor();
     ICIRMultiFactor(const IndicatorList& inds, const StockList& stks, const KQuery& query,
-                    const Stock& ref_stk, int ic_n, int ic_rolling_n, bool spearman);
+                    const Stock& ref_stk, int ic_n, int ic_rolling_n, bool spearman, int mode,
+                    bool save_all_factors);
     virtual ~ICIRMultiFactor() = default;
 
     virtual void _checkParam(const string& name) const override;