hikyuu 2.6.8.4__py3-none-win_amd64.whl → 2.6.9__py3-none-win_amd64.whl

hikyuu/include/hikyuu/indicator/crt/QUANTILE_TRUNC.h

@@ -0,0 +1,30 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-10-03
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/**
+ * 使用分位数法则进行数据截断处理
+ * @param int n 窗口大小
+ * @param quantile_min 最小分位数
+ * @param quantile_max 最大分位数
+ * @return Indicator
+ * @ingroup Indicator
+ */
+Indicator HKU_API QUANTILE_TRUNC(int n = 60, double quantile_min = 0.01,
+                                 double quantile_max = 0.99);
+
+inline Indicator HKU_API QUANTILE_TRUNC(const Indicator& data, int n = 60,
+                                        double quantile_min = 0.01, double quantile_max = 0.99) {
+    return QUANTILE_TRUNC(n, quantile_min, quantile_max)(data);
+}
+
+}  // namespace hku

hikyuu/include/hikyuu/indicator/crt/TURNOVER.h

@@ -5,6 +5,7 @@
  *      Author: fasiondog
  */
 
+#pragma once
 #include "../Indicator.h"
 
 namespace hku {

hikyuu/include/hikyuu/indicator/crt/ZSCORE.h

@@ -12,9 +12,9 @@
 namespace hku {
 
 /**
- * 对数据进行ZScore标准化，可选进行极值排除
+ * 对数据进行ZScore标准化(3sigma)进行极值处理
  * @note 非窗口滚动，如需窗口滚动的标准化，直接 (x - MA(x, n)) / STDEV(x, n) 即可
- * @param outExtreme 指示剔除极值
+ * @param outExtreme 指示剔除极值（即截断极值，超过限制的用限制值替代）
  * @param nsigma 剔除极值时使用的 nsigma 倍 sigma
  * @param recursive 是否进行递归剔除极值
  * @return Indicator

hikyuu/include/hikyuu/indicator/imp/IQuantileTrunc.h

@@ -0,0 +1,25 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-10-03
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../Indicator.h"
+
+namespace hku {
+
+/* 分位数截断处理 */
+class IQuantileTrunc : public IndicatorImp {
+    INDICATOR_IMP(IQuantileTrunc)
+    INDICATOR_IMP_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    IQuantileTrunc();
+    virtual ~IQuantileTrunc();
+    virtual void _checkParam(const string& name) const override;
+};
+
+}  // namespace hku

hikyuu/include/hikyuu/misc.h

@@ -0,0 +1,38 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-10-17
+ *      Author: fasiondog
+ *
+ *  部分杂类函数
+ */
+
+#pragma once
+
+#include "trade_sys/system/System.h"
+#include "trade_sys/portfolio/Portfolio.h"
+
+namespace hku {
+
+/**
+ * @brief 并行运行系统
+ * @param system_list 系统列表
+ * @param query 系统运行查询条件
+ * @param reset 执行前是否依据系统部件共享属性复位
+ * @param resetAll 强制复位所有部件
+ * @return 各系统Query周期内各时间点的资金列表
+ */
+vector<FundsList> HKU_API parallel_run_sys(const SystemList& system_list, const KQuery& query,
+                                           bool reset = true, bool resetAll = false);
+
+/**
+ * @brief 并行运行组合
+ * @param pf_list 组合列表
+ * @param query 组合运行查询条件
+ * @param force 强制复位
+ * @return vector<FundsList>
+ */
+vector<FundsList> HKU_API parallel_run_pf(const vector<PFPtr>& pf_list, const KQuery& query,
+                                          bool force = false);
+
+}  // namespace hku

hikyuu/include/hikyuu/plugin/dataserver.h

@@ -14,7 +14,8 @@
 namespace hku {
 
 void HKU_API startDataServer(const std::string& addr = "tcp://0.0.0.0:9201", size_t work_num = 2,
-                             bool save_tick = false, bool buf_tick = false);
+                             bool save_tick = false, bool buf_tick = false,
+                             const std::string& parquet_path = std::string());
 
 void HKU_API stopDataServer();
 

hikyuu/include/hikyuu/plugin/extind.h

@@ -191,5 +191,42 @@ Indicator HKU_API AGG_VAR(const Indicator& ind, const KQuery::KType& ktype = KQu
 Indicator HKU_API AGG_QUANTILE(const Indicator& ind, const KQuery::KType& ktype = KQuery::MIN,
                                bool fill_null = false, int unit = 1, double quantile = 0.75);
 
+using agg_func_t = std::function<double(const DatetimeList& src_ds, const Indicator::value_t* src,
+                                        size_t group_start, size_t group_last)>;
+Indicator HKU_API AGG_FUNC(const Indicator& ind, agg_func_t agg_func,
+                           const KQuery::KType& ktype = KQuery::MIN, bool fill_null = false,
+                           int unit = 1);
+
+/**
+ * @brief 按周期分组就散
+ * @param ktype 指定K线周期
+ * @param unit 分组周期单位，默认为1。按 ktype 参数 unit 个周期计算
+ * @return Indicator
+ */
+#define GROUP_FUNC_DEFINE(group_name)                                                            \
+    Indicator HKU_API group_name(const Indicator& ind, const KQuery::KType& ktype = KQuery::DAY, \
+                                 int unit = 1);
+
+#define GROUP_FUNC_IMP(group_name)                                                             \
+    Indicator HKU_API group_name(const Indicator& ind, const KQuery::KType& ktype, int unit) { \
+        Parameter params;                                                                      \
+        params.set<string>("ktype", ktype);                                                    \
+        params.set<int>("unit", unit);                                                         \
+        return getExtIndicator(#group_name, ind, params);                                      \
+    }
+
+GROUP_FUNC_DEFINE(GROUP_COUNT)
+GROUP_FUNC_DEFINE(GROUP_SUM)
+GROUP_FUNC_DEFINE(GROUP_MEAN)
+GROUP_FUNC_DEFINE(GROUP_PROD)
+GROUP_FUNC_DEFINE(GROUP_MIN)
+GROUP_FUNC_DEFINE(GROUP_MAX)
+
+using group_func_t =
+  std::function<void(Indicator::value_t* dst, const DatetimeList& src_ds,
+                     const Indicator::value_t* src, size_t group_start, size_t group_last)>;
+Indicator HKU_API GROUP_FUNC(const Indicator& ind, group_func_t group_func,
+                             const KQuery::KType& ktype = KQuery::DAY, int unit = 1);
+
 /** @} */
 }  // namespace hku

hikyuu/include/hikyuu/plugin/hkuextra.h

@@ -7,7 +7,6 @@
 
 #pragma once
 
-#include <arrow/api.h>
 #include "hikyuu/Stock.h"
 #include "hikyuu/indicator/Indicator.h"
 
@@ -57,21 +56,4 @@ bool getStockExtraIndexRange(const Stock& stk, const KQuery& query, size_t& out_
 
 KDataImpPtr getKDataImp(const Stock& stk, const KQuery& query);
 
-//-------------------------------
-// Views 扩展
-//-------------------------------
-
-std::shared_ptr<arrow::Table> getIndicatorsViewParallel(const StockList& stks,
-                                                        const IndicatorList& inds,
-                                                        const KQuery& query, const string& market);
-
-std::shared_ptr<arrow::Table> getIndicatorsViewParallel(const StockList& stks,
-                                                        const IndicatorList& inds,
-                                                        const Datetime& date, size_t cal_len,
-                                                        const KQuery::KType& ktype,
-                                                        const string& market);
-
-std::shared_ptr<arrow::Table> getMarketViewParallel(const StockList& stks, const Datetime& date,
-                                                    const string& market);
-
 }  // namespace hku

hikyuu/include/hikyuu/plugin/hkuviews.h

@@ -0,0 +1,36 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-08-06
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include <hikyuu/config.h>
+
+#if HKU_ENABLE_ARROW
+#include <arrow/api.h>
+
+namespace hku {
+
+//-------------------------------
+// Views 扩展
+//-------------------------------
+
+std::shared_ptr<arrow::Table> getIndicatorsViewParallel(const StockList& stks,
+                                                        const IndicatorList& inds,
+                                                        const KQuery& query, const string& market);
+
+std::shared_ptr<arrow::Table> getIndicatorsViewParallel(const StockList& stks,
+                                                        const IndicatorList& inds,
+                                                        const Datetime& date, size_t cal_len,
+                                                        const KQuery::KType& ktype,
+                                                        const string& market);
+
+std::shared_ptr<arrow::Table> getMarketViewParallel(const StockList& stks, const Datetime& date,
+                                                    const string& market);
+
+}  // namespace hku
+
+#endif  // HKU_ENABLE_ARROW

hikyuu/include/hikyuu/plugin/interface/DataServerPluginInterface.h

@@ -16,8 +16,8 @@ public:
     DataServerPluginInterface() = default;
     virtual ~DataServerPluginInterface() = default;
 
-    virtual void start(const std::string& addr, size_t work_num, bool save_tick,
-                       bool buf_tick) noexcept = 0;
+    virtual void start(const std::string& addr, size_t work_num, bool save_tick, bool buf_tick,
+                       const std::string& parquet_path) noexcept = 0;
     virtual void stop() noexcept = 0;
 };
 

hikyuu/include/hikyuu/plugin/interface/ExtendIndicatorsPluginInterface.h

@@ -21,6 +21,18 @@ public:
 
     virtual Indicator getIndicator(const std::string& name, const Indicator& ref_ind,
                                    const Parameter& params) const = 0;
+
+    using agg_func_t =
+      std::function<Indicator::value_t(const DatetimeList& src_ds, const Indicator::value_t* src,
+                                       size_t group_start, size_t group_last)>;
+    virtual Indicator getAggFuncIndicator(const Indicator& ref_ind, agg_func_t agg_func,
+                                          const Parameter& params) const = 0;
+
+    using group_func_t =
+      std::function<void(Indicator::value_t* dst, const DatetimeList& src_ds,
+                         const Indicator::value_t* src, size_t group_start, size_t group_last)>;
+    virtual Indicator getGroupFuncIndicator(const Indicator& ref_ind, group_func_t group_func,
+                                            const Parameter& params) const = 0;
 };
 
 }  // namespace hku

hikyuu/include/hikyuu/plugin/interface/HkuExtraPluginInterface.h

@@ -7,7 +7,6 @@
 
 #pragma once
 
-#include <arrow/api.h>
 #include "hikyuu/utilities/plugin/PluginBase.h"
 
 namespace hku {
@@ -36,19 +35,6 @@ public:
                                          size_t& out_end) = 0;
 
     virtual KDataImpPtr getKDataImp(const Stock& stk, const KQuery& query) = 0;
-
-    virtual std::shared_ptr<arrow::Table> getIndicatorsViewParallel(const StockList& stks,
-                                                                    const IndicatorList& inds,
-                                                                    const KQuery& query,
-                                                                    const string& market) = 0;
-
-    virtual std::shared_ptr<arrow::Table> getIndicatorsViewParallel(
-      const StockList& stks, const IndicatorList& inds, const Datetime& date, size_t cal_len,
-      const KQuery::KType& ktype, const string& market) = 0;
-
-    virtual std::shared_ptr<arrow::Table> getMarketViewParallel(const StockList& stks,
-                                                                const Datetime& date,
-                                                                const string& market) = 0;
 };
 
 }  // namespace hku

hikyuu/include/hikyuu/plugin/interface/HkuViewsPluginInterface.h

@@ -0,0 +1,34 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-05-19
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include <arrow/api.h>
+#include "hikyuu/utilities/plugin/PluginBase.h"
+
+namespace hku {
+
+class HkuViewsPluginInterface : public PluginBase {
+public:
+    HkuViewsPluginInterface() = default;
+    virtual ~HkuViewsPluginInterface() = default;
+
+    virtual std::shared_ptr<arrow::Table> getIndicatorsViewParallel(const StockList& stks,
+                                                                    const IndicatorList& inds,
+                                                                    const KQuery& query,
+                                                                    const string& market) = 0;
+
+    virtual std::shared_ptr<arrow::Table> getIndicatorsViewParallel(
+      const StockList& stks, const IndicatorList& inds, const Datetime& date, size_t cal_len,
+      const KQuery::KType& ktype, const string& market) = 0;
+
+    virtual std::shared_ptr<arrow::Table> getMarketViewParallel(const StockList& stks,
+                                                                const Datetime& date,
+                                                                const string& market) = 0;
+};
+
+}  // namespace hku

hikyuu/include/hikyuu/plugin/interface/plugins.h

@@ -7,6 +7,8 @@
 
 #pragma once
 
+#include "hikyuu/config.h"
+
 #include "BackTestPluginInterface.h"
 #include "DevicePluginInterface.h"
 #include "DataServerPluginInterface.h"
@@ -16,6 +18,10 @@
 #include "DataDriverPluginInterface.h"
 #include "HkuExtraPluginInterface.h"
 
+#if HKU_ENABLE_ARROW
+#include "HkuViewsPluginInterface.h"
+#endif
+
 namespace hku {
 
 #define HKU_PLUGIN_BACKTEST "backtest"
@@ -26,5 +32,6 @@ namespace hku {
 #define HKU_PLUGIN_TMREPORT "tmreport"
 #define HKU_PLUGIN_CLICKHOUSE_DRIVER "clickhousedriver"
 #define HKU_PLUGIN_HKU_EXTRA "hkuextra"
+#define HKU_PLUGIN_HKU_VIEWS "hkuviews"
 
-}
+}  // namespace hku

hikyuu/include/hikyuu/python/pybind_utils.h

@@ -9,12 +9,15 @@
 #ifndef HIKYUU_PYTHON_BIND_UTILS_H
 #define HIKYUU_PYTHON_BIND_UTILS_H
 
+#include <hikyuu/config.h>
+#if HKU_ENABLE_ARROW
+#include <arrow/api.h>
+#endif
 #include <pybind11/pybind11.h>
 
 #include <pybind11/operators.h>
 #include <pybind11/stl.h>
 #include <pybind11/numpy.h>
-#include <arrow/api.h>
 #include <vector>
 #include <string>
 #include "convert_any.h"
@@ -124,12 +127,14 @@ inline bool check_pyfunction_arg_num(const py::object& func, size_t arg_num) {
  */
 size_t utf8_to_utf32(const std::string& utf8_str, int32_t* out, size_t out_len) noexcept;
 
+#if HKU_ENABLE_ARROW
 /*
  * 将arrow::Table转换为 pyarrow::Table
  * @param table 待转换的arrow::Table
  * @return 转换后的py::object
  */
 py::object to_pyarrow_table(const std::shared_ptr<arrow::Table>& table);
+#endif
 
 }  // namespace hku
 

hikyuu/include/hikyuu/strategy/RunSystemInStrategy.h

@@ -20,6 +20,9 @@ public:
 
     void run(const Stock& stock);
 
+    void runMomentOnOpen(const Stock& stock);
+    void runMomentOnClose(const Stock& stock);
+
 private:
     SYSPtr m_sys;
     OrderBrokerPtr m_broker;

hikyuu/include/hikyuu/trade_manage/Performance.h

@@ -6,14 +6,15 @@
  */
 
 #pragma once
-#ifndef PERFORMANCE_H_
-#define PERFORMANCE_H_
 
-#include <boost/function.hpp>
 #include "TradeManagerBase.h"
 
 namespace hku {
 
+#if defined(_MSC_VER)
+#pragma warning(disable : 4251)
+#endif
+
 /**
  * 简单绩效统计
  * @ingroup Performance
@@ -84,4 +85,3 @@ private:
 };
 
 } /* namespace hku */
-#endif /* PERFORMANCE_H_ */

hikyuu/include/hikyuu/trade_manage/TradeManagerBase.h

@@ -7,7 +7,6 @@
 
 #pragma once
 
-#include "../utilities/Parameter.h"
 #include "TradeRecord.h"
 #include "PositionRecord.h"
 #include "PositionExtInfo.h"
@@ -17,6 +16,7 @@
 #include "TradeCostBase.h"
 #include "OrderBrokerBase.h"
 #include "crt/TC_Zero.h"
+#include "../utilities/Parameter.h"
 
 namespace hku {
 
@@ -825,6 +825,15 @@ inline void TradeManagerBase::paramChanged() {}
 typedef shared_ptr<TradeManagerBase> TradeManagerPtr;
 typedef shared_ptr<TradeManagerBase> TMPtr;
 
+/**
+ * 从账户列表中一次性获取资金列表
+ * @param tm_list
+ * @param ref_dates
+ * @return vector<FundsList>
+ * @ingroup TradeManagerClass
+ */
+vector<FundsList> HKU_API getFundsList(const vector<TMPtr>& tm_list, const DatetimeList& ref_dates);
+
 inline std::ostream& operator<<(std::ostream& os, const TradeManagerBase& tm) {
     os << tm.str();
     return os;

hikyuu/include/hikyuu/trade_sys/moneymanager/imp/FixedCapitalFundsMM.h

@@ -6,8 +6,6 @@
  */
 
 #pragma once
-#ifndef TRADE_SYS_MONEYMANAGER_IMP_FIXEDCAPITAL_FUNDS_MM_H_
-#define TRADE_SYS_MONEYMANAGER_IMP_FIXEDCAPITAL_FUNDS_MM_H_
 
 #include "../MoneyManagerBase.h"
 
@@ -24,5 +22,3 @@ public:
 };
 
 } /* namespace hku */
-
-#endif /* TRADE_SYS_MONEYMANAGER_IMP_FIXEDCAPITAL_FUNDS_MM_H_ */

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

@@ -8,7 +8,8 @@
 #pragma once
 
 #include "hikyuu/KData.h"
-#include "ScoreRecord.h"
+#include "ScoresFilterBase.h"
+#include "buildin_norm.h"
 
 namespace hku {
 
@@ -108,6 +109,9 @@ public:
     ScoreRecordList getScores(const Datetime& date, size_t start, size_t end,
                               std::function<bool(const Datetime&, const ScoreRecord&)>&& filter);
 
+    ScoreRecordList getScores(const Datetime& date, size_t start, size_t end,
+                              const ScoresFilterPtr& filter);
+
     /** 获取所有截面数据，已按降序排列 */
     const vector<ScoreRecordList>& getAllScores();
 
@@ -128,12 +132,29 @@ public:
     Indicator getICIR(int ir_n, int ic_n = 0);
 
     /**
-     * 获取所有处理过的原始因子值（归一化、标准化）
+     * 获取所有处理过的原始因子值（归一化、标准化）。每次都会计算。
      * @note 考虑到内存占用，该数据没有缓存，一般用与测试或者想查看处理过的原始因子值
      * @return vector<IndicatorList>  stks x inds
      */
     vector<IndicatorList> getAllSrcFactors();
 
+    /**
+     * 设置因子标准化/归一化操作
+     * @param norm 标准化操作
+     */
+    void setNormalize(NormPtr norm);
+
+    /**
+     * 对指定名称的指标应用特定的标准化/归一化、行业中性化、风格因子中性化操作。
+     * @note 标准化操作、行业中性化、风格因子中性化彼此无关，可同时指定也可分开指定。
+     * @param name 指标名称
+     * @param norm 标准化操作
+     * @param category 指标所属板块类别(需要中性化指定)
+     * @param style_inds 指标风格列表
+     */
+    void addSpecialNormalize(const string& name, NormalizePtr norm, const string& category = "",
+                             const IndicatorList& style_inds = IndicatorList());
+
     void reset();
 
     typedef std::shared_ptr<MultiFactorBase> MultiFactorPtr;
@@ -154,7 +175,9 @@ private:
 
     void initParam();
 
-protected:
+    // 构造每个指标构造行业哑变量，以便进行行业中性化处理
+    unordered_map<string, PriceList> _buildDummyIndex();
+
     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
@@ -178,6 +201,12 @@ protected:
     vector<ScoreRecordList> m_stk_factor_by_date;
     Indicator m_ic;
 
+    NormPtr m_norm;                                    // 全局标准化/归一化操作
+    unordered_map<string, NormPtr> m_special_norms;    // 对特定指标执行特定的标准化操作
+    unordered_map<string, string> m_special_category;  // 对特定指标执行行业中性化时指定的板块分类
+    unordered_map<string, IndicatorList>
+      m_special_style_inds;  // 对特定指标执行风格因子中性化时指定的风格因子
+
 private:
     std::mutex m_mutex;
     bool m_calculated{false};
@@ -197,6 +226,8 @@ private:
         ar& BOOST_SERIALIZATION_NVP(m_ref_stk);
         ar& BOOST_SERIALIZATION_NVP(m_query);
         ar& BOOST_SERIALIZATION_NVP(m_ref_dates);
+        ar& BOOST_SERIALIZATION_NVP(m_special_norms);
+        ar& BOOST_SERIALIZATION_NVP(m_special_category);
         // 以下不需要保存，加载后重新计算
         // ar& BOOST_SERIALIZATION_NVP(m_stk_map);
         // ar& BOOST_SERIALIZATION_NVP(m_all_factors);
@@ -215,6 +246,8 @@ private:
         ar& BOOST_SERIALIZATION_NVP(m_ref_stk);
         ar& BOOST_SERIALIZATION_NVP(m_query);
         ar& BOOST_SERIALIZATION_NVP(m_ref_dates);
+        ar& BOOST_SERIALIZATION_NVP(m_special_norms);
+        ar& BOOST_SERIALIZATION_NVP(m_special_category);
         // ar& BOOST_SERIALIZATION_NVP(m_stk_map);
         // ar& BOOST_SERIALIZATION_NVP(m_all_factors);
         // ar& BOOST_SERIALIZATION_NVP(m_date_index);