hikyuu 2.6.8.5__py3-none-win_amd64.whl → 2.7.0__py3-none-win_amd64.whl

hikyuu/include/hikyuu/trade_sys/selector/SelectorBase.h

@@ -13,10 +13,13 @@
 #include "../../KData.h"
 #include "../../utilities/Parameter.h"
 #include "hikyuu/trade_sys/allocatefunds/AllocateFundsBase.h"
+#include "hikyuu/trade_sys/multifactor/MultiFactorBase.h"
 #include "SystemWeight.h"
 
 namespace hku {
 
+class HKU_API Portfolio;
+
 /**
  * 交易对象选择模块
  * @ingroup Selector
@@ -44,6 +47,15 @@ public:
     /** 设置算法名称 */
     void name(const string& name);
 
+    using PFPtr = shared_ptr<Portfolio>;
+    PFPtr getPF() const {
+        return m_pf.lock();
+    }
+
+    void setPF(const PFPtr& pf) {
+        m_pf = pf;
+    }
+
     /**
      * 添加备选股票及其交易策略原型
      * @param stock 备选股票
@@ -132,6 +144,25 @@ public:
 
     virtual string str() const;
 
+public:
+    //------------------------------------------------------------------------
+    // 和 MF 相关的 Selector 才有用，放在这里主要为了 SEPtr 可以直接获取 MF 相关信息
+    // 非 MF 相关的 Selecter 无用
+    //------------------------------------------------------------------------
+    MFPtr getMF() const {
+        return m_mf;
+    }
+
+    ScoresFilterPtr getScoresFilter() const {
+        return m_sc_filter;
+    }
+
+    /** 设置截面评分记录过滤，仅用于 MF 相关的 Selector，从 MF 获取 Score 列表时进行过滤 */
+    void setScoresFilter(const ScoresFilterPtr& filter);
+
+    /** 在已有过滤基础上追加过滤，仅用于 MF 相关的 Selector，从 MF 获取 Score 列表时进行过滤 */
+    void addScoresFilter(const ScoresFilterPtr& filter);
+
 protected:
     virtual bool isPythonObject() const {
         return false;
@@ -140,6 +171,10 @@ protected:
 private:
     void initParam();
 
+protected:
+    ScoresFilterPtr m_sc_filter;
+    MFPtr m_mf;
+
 protected:
     string m_name;
     bool m_calculated{false};  // 是否已计算过
@@ -150,6 +185,8 @@ protected:
     SystemList m_pro_sys_list;   // 原型系统列表
     SystemList m_real_sys_list;  // PF组合中实际运行的系统，有PF执行时设定，顺序与原型列表一一对应
 
+    std::weak_ptr<Portfolio> m_pf;  // 仅存储不序列化，对 PF 的引用
+
 //============================================
 // 序列化支持
 //============================================
@@ -161,6 +198,8 @@ private:
         ar& BOOST_SERIALIZATION_NVP(m_name);
         ar& BOOST_SERIALIZATION_NVP(m_params);
         ar& BOOST_SERIALIZATION_NVP(m_pro_sys_list);
+        ar& BOOST_SERIALIZATION_NVP(m_sc_filter);
+        ar& BOOST_SERIALIZATION_NVP(m_mf);
     }
 
     template <class Archive>
@@ -168,6 +207,8 @@ private:
         ar& BOOST_SERIALIZATION_NVP(m_name);
         ar& BOOST_SERIALIZATION_NVP(m_params);
         ar& BOOST_SERIALIZATION_NVP(m_pro_sys_list);
+        ar& BOOST_SERIALIZATION_NVP(m_sc_filter);
+        ar& BOOST_SERIALIZATION_NVP(m_mf);
     }
 
     BOOST_SERIALIZATION_SPLIT_MEMBER()
@@ -238,6 +279,14 @@ inline const SystemList& SelectorBase::getProtoSystemList() const {
     return m_pro_sys_list;
 }
 
+inline void SelectorBase::setScoresFilter(const ScoresFilterPtr& filter) {
+    m_sc_filter = filter;
+}
+
+inline void SelectorBase::addScoresFilter(const ScoresFilterPtr& filter) {
+    m_sc_filter = m_sc_filter | filter;
+}
+
 } /* namespace hku */
 
 #if FMT_VERSION >= 90000

hikyuu/include/hikyuu/trade_sys/selector/build_in.h

@@ -11,6 +11,7 @@
 
 #include "crt/SE_Fixed.h"
 #include "crt/SE_MultiFactor.h"
+#include "crt/SE_MultiFactor2.h"
 #include "crt/SE_Logic.h"
 #include "crt/SE_Optimal.h"
 #include "crt/SE_Signal.h"

hikyuu/include/hikyuu/trade_sys/selector/crt/SE_MultiFactor2.h

@@ -0,0 +1,40 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-30
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "hikyuu/trade_sys/multifactor/MultiFactorBase.h"
+#include "hikyuu/trade_sys/multifactor/buildin_scfilter.h"
+#include "../SelectorBase.h"
+
+namespace hku {
+
+/**
+ * 基于 MultiFactor 选股算法
+ * @return SelectorPtr
+ * @ingroup Selector
+ */
+SelectorPtr HKU_API SE_MultiFactor2(const MFPtr& mf,
+                                    const ScoresFilterPtr& filter = SCFilter_IgnoreNan());
+
+/**
+ * 基于 MultiFactor 选股算法
+ * @param src_inds 原始因子公式
+ * @param ic_n ic 对应的 ic_n 日收益率
+ * @param ic_rolling_n 计算滚动 IC （即 IC 的 n 日移动平均）周期
+ * @param ref_stk 参照对比证券，未指定时，默认使用 sh000300 沪深300指数
+ * @param spearman 默认使用 spearman 计算相关系数，否则为 pearson
+ * @param mode "MF_ICIRWeight" | "MF_ICWeight" | "MF_EqualWeight" 因子合成算法名称
+ * @return SelectorPtr
+ * @ingroup Selector
+ */
+SelectorPtr HKU_API SE_MultiFactor2(const IndicatorList& src_inds, int ic_n = 5,
+                                    int ic_rolling_n = 120, const Stock& ref_stk = Stock(),
+                                    bool spearman = true, const string& mode = "MF_ICIRWeight",
+                                    const ScoresFilterPtr& filter = SCFilter_IgnoreNan());
+
+}  // namespace hku

hikyuu/include/hikyuu/trade_sys/selector/imp/MultiFactorSelector.h

@@ -7,7 +7,6 @@
 
 #pragma once
 
-#include "hikyuu/trade_sys/multifactor/MultiFactorBase.h"
 #include "../SelectorBase.h"
 
 namespace hku {
@@ -39,7 +38,6 @@ private:
 
 private:
     IndicatorList m_inds;
-    MFPtr m_mf;
     unordered_map<Stock, SYSPtr> m_stk_sys_dict;
 
     //============================================
@@ -51,7 +49,6 @@ private:
     void serialize(Archive& ar, const unsigned int version) {
         ar& BOOST_SERIALIZATION_BASE_OBJECT_NVP(SelectorBase);
         ar& BOOST_SERIALIZATION_NVP(m_inds);
-        ar& BOOST_SERIALIZATION_NVP(m_mf);
     }
 #endif
 };

hikyuu/include/hikyuu/trade_sys/selector/imp/MultiFactorSelector2.h

@@ -0,0 +1,49 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-xx-xx
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../SelectorBase.h"
+
+namespace hku {
+
+class MultiFactorSelector2 : public SelectorBase {
+public:
+    MultiFactorSelector2();
+    MultiFactorSelector2(const MFPtr& mf);
+    virtual ~MultiFactorSelector2();
+
+    virtual void _checkParam(const string& name) const override;
+    virtual void _reset() override;
+    virtual SelectorPtr _clone() override;
+    virtual SystemWeightList _getSelected(Datetime date) override;
+    virtual bool isMatchAF(const AFPtr& af) override;
+    virtual void _calculate() override;
+
+    void setIndicators(const IndicatorList& inds) {
+        HKU_ASSERT(!inds.empty());
+        m_inds = inds;
+    }
+
+private:
+    IndicatorList m_inds;
+    unordered_map<Stock, SYSPtr> m_stk_sys_dict;
+
+    //============================================
+    // 序列化支持
+    //============================================
+#if HKU_SUPPORT_SERIALIZATION
+    friend class boost::serialization::access;
+    template <class Archive>
+    void serialize(Archive& ar, const unsigned int version) {
+        ar& BOOST_SERIALIZATION_BASE_OBJECT_NVP(SelectorBase);
+        ar& BOOST_SERIALIZATION_NVP(m_inds);
+    }
+#endif
+};
+
+}  // namespace hku

hikyuu/include/hikyuu/trade_sys/selector/imp/logic/OperatorSelector.h

@@ -85,7 +85,7 @@ public:                                                            \
     classname() : OperatorSelector(name) {}                        \
     classname(const SelectorPtr& se1, const SelectorPtr& se2)      \
     : OperatorSelector(name, se1, se2) {}                          \
-    virtual ~classname() {}                                        \
+    virtual ~classname() override {}                               \
                                                                    \
     virtual SystemWeightList _getSelected(Datetime date) override; \
                                                                    \

hikyuu/include/hikyuu/trade_sys/selector/imp/logic/OperatorValueSelector.h

@@ -66,7 +66,7 @@ private:
 public:                                                                                        \
     classname() : OperatorValueSelector(name) {}                                               \
     classname(const SelectorPtr& se, double value) : OperatorValueSelector(name, se, value) {} \
-    virtual ~classname() {}                                                                    \
+    virtual ~classname() override {}                                                           \
                                                                                                \
     virtual SystemWeightList _getSelected(Datetime date) override;                             \
                                                                                                \

hikyuu/include/hikyuu/trade_sys/signal/imp/BandSignal2.h

@@ -6,8 +6,6 @@
  */
 
 #pragma once
-#ifndef TRADE_SYS_SIGNAL_IMP_BANDSIGNAL_H_
-#define TRADE_SYS_SIGNAL_IMP_BANDSIGNAL_H_
 
 #include "../../../indicator/Indicator.h"
 #include "../SignalBase.h"
@@ -43,5 +41,3 @@ private:
 #endif
 };
 }  // namespace hku
-
-#endif

hikyuu/include/hikyuu/trade_sys/signal/imp/logic/AddValueSignal.h

@@ -12,8 +12,8 @@
 namespace hku {
 
 class AddValueSignal : public OperatorValueSignal {
-    OPERATOR_SIGNAL_IMP(AddValueSignal, "SG_AddValue")
-    OPERATOR_SIGNAL_NO_PRIVATE_MEMBER_SERIALIZATION
+    OPERATOR_VALUE_SIGNAL_IMP(AddValueSignal, "SG_AddValue")
+    OPERATOR_VALUE_SIGNAL_NO_PRIVATE_MEMBER_SERIALIZATION
 };
 
 } /* namespace hku */

hikyuu/include/hikyuu/trade_sys/signal/imp/logic/DivValueSignal.h

@@ -12,8 +12,8 @@
 namespace hku {
 
 class DivValueSignal : public OperatorValueSignal {
-    OPERATOR_SIGNAL_IMP(DivValueSignal, "SG_DivValue")
-    OPERATOR_SIGNAL_NO_PRIVATE_MEMBER_SERIALIZATION
+    OPERATOR_VALUE_SIGNAL_IMP(DivValueSignal, "SG_DivValue")
+    OPERATOR_VALUE_SIGNAL_NO_PRIVATE_MEMBER_SERIALIZATION
 
 public:
     DivValueSignal(double value, const SignalPtr& sg);

hikyuu/include/hikyuu/trade_sys/signal/imp/logic/MulValueSignal.h

@@ -12,8 +12,8 @@
 namespace hku {
 
 class MulValueSignal : public OperatorValueSignal {
-    OPERATOR_SIGNAL_IMP(MulValueSignal, "SG_MulValue")
-    OPERATOR_SIGNAL_NO_PRIVATE_MEMBER_SERIALIZATION
+    OPERATOR_VALUE_SIGNAL_IMP(MulValueSignal, "SG_MulValue")
+    OPERATOR_VALUE_SIGNAL_NO_PRIVATE_MEMBER_SERIALIZATION
 };
 
 } /* namespace hku */

hikyuu/include/hikyuu/trade_sys/signal/imp/logic/OperatorSignal.h

@@ -48,7 +48,7 @@ protected:
 public:                                                                                       \
     classname() : OperatorSignal(name) {}                                                     \
     classname(const SignalPtr& sg1, const SignalPtr& sg2) : OperatorSignal(name, sg1, sg2) {} \
-    virtual ~classname() {}                                                                   \
+    virtual ~classname() override {}                                                          \
     virtual SignalPtr _clone() override {                                                     \
         return make_shared<classname>(m_sg1, m_sg2);                                          \
     }                                                                                         \

hikyuu/include/hikyuu/trade_sys/signal/imp/logic/OperatorValueSignal.h

@@ -42,18 +42,18 @@ protected:
 #endif
 };
 
-#define OPERATOR_SIGNAL_IMP(classname, name)                                               \
+#define OPERATOR_VALUE_SIGNAL_IMP(classname, name)                                         \
 public:                                                                                    \
     classname() : OperatorValueSignal(name) {}                                             \
     classname(const SignalPtr& sg, double value) : OperatorValueSignal(name, sg, value) {} \
-    virtual ~classname() {}                                                                \
+    virtual ~classname() override {}                                                       \
     virtual SignalPtr _clone() override {                                                  \
         return make_shared<classname>(m_sg, m_value);                                      \
     }                                                                                      \
     virtual void _calculate(const KData&) override;
 
 #if HKU_SUPPORT_SERIALIZATION
-#define OPERATOR_SIGNAL_NO_PRIVATE_MEMBER_SERIALIZATION               \
+#define OPERATOR_VALUE_SIGNAL_NO_PRIVATE_MEMBER_SERIALIZATION         \
 private:                                                              \
     friend class boost::serialization::access;                        \
     template <class Archive>                                          \
@@ -62,7 +62,7 @@ private:                                                              \
         ar& BOOST_SERIALIZATION_BASE_OBJECT_NVP(OperatorValueSignal); \
     }
 #else
-#define OPERATOR_SIGNAL_NO_PRIVATE_MEMBER_SERIALIZATION
+#define OPERATOR_VALUE_SIGNAL_NO_PRIVATE_MEMBER_SERIALIZATION
 #endif
 
 } /* namespace hku */

hikyuu/include/hikyuu/trade_sys/signal/imp/logic/SubValueSignal.h

@@ -12,8 +12,8 @@
 namespace hku {
 
 class SubValueSignal : public OperatorValueSignal {
-    OPERATOR_SIGNAL_IMP(SubValueSignal, "SG_AddValue")
-    OPERATOR_SIGNAL_NO_PRIVATE_MEMBER_SERIALIZATION
+    OPERATOR_VALUE_SIGNAL_IMP(SubValueSignal, "SG_AddValue")
+    OPERATOR_VALUE_SIGNAL_NO_PRIVATE_MEMBER_SERIALIZATION
 
 public:
     SubValueSignal(double value, const SignalPtr& sg);

hikyuu/include/hikyuu/trade_sys/slippage/build_in.h

@@ -11,5 +11,9 @@
 
 #include "crt/SP_FixedPercent.h"
 #include "crt/SP_FixedValue.h"
+#include "crt/SP_Uniform.h"
+#include "crt/SP_Normal.h"
+#include "crt/SP_LogNormal.h"
+#include "crt/SP_TruncNormal.h"
 
-#endif /* SLIPPAGE_BUILD_IN_H_ */
+#endif /* SLIPPAGE_BUILD_IN_H_ */

hikyuu/include/hikyuu/trade_sys/slippage/crt/SP_LogNormal.h

@@ -0,0 +1,22 @@
+/*
+ * SP_LogNormal.h
+ *
+ *  Created on: 2025年10月25日
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../SlippageBase.h"
+
+namespace hku {
+
+/**
+ * 对数正态分布随机价格移滑价差算法, 买入和卖出操作是基于对数正态分布的随机价格偏移
+ * @param mean 对数正态分布的均值参数
+ * @param stddev 对数正态分布的标准差参数
+ * @return 滑点对象指针
+ */
+SlippagePtr HKU_API SP_LogNormal(double mean = 0.0, double stddev = 0.05);
+
+} /* namespace hku */

hikyuu/include/hikyuu/trade_sys/slippage/crt/SP_Normal.h

@@ -0,0 +1,22 @@
+/*
+ * SP_Normal.h
+ *
+ *  Created on: 2025年10月25日
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../SlippageBase.h"
+
+namespace hku {
+
+/**
+ * 正态分布随机价格移滑价差算法, 买入和卖出操作是基于正态分布的随机价格偏移
+ * @param mean 正态分布均值
+ * @param stddev 正态分布标准差
+ * @return 滑点对象指针
+ */
+SlippagePtr HKU_API SP_Normal(double mean = 0.0, double stddev = 0.05);
+
+} /* namespace hku */

hikyuu/include/hikyuu/trade_sys/slippage/crt/SP_TruncNormal.h

@@ -0,0 +1,25 @@
+/*
+ * SP_TruncNormal.h
+ *
+ *  Created on: 2025年10月25日
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../SlippageBase.h"
+
+namespace hku {
+
+/**
+ * 截断正态分布随机价格移滑价差算法, 买入和卖出操作是基于截断正态分布的随机价格偏移
+ * @param mean 正态分布均值
+ * @param stddev 正态分布标准差
+ * @param min_value 截断最小值
+ * @param max_value 截断最大值
+ * @return 滑点对象指针
+ */
+SlippagePtr HKU_API SP_TruncNormal(double mean = 0.0, double stddev = 0.05, double min_value = -0.1,
+                                   double max_value = 0.1);
+
+} /* namespace hku */

hikyuu/include/hikyuu/trade_sys/slippage/crt/SP_Uniform.h

@@ -0,0 +1,23 @@
+/*
+ * SL_FixedValue.h
+ *
+ *  Created on: 2016年5月7日
+ *      Author: Administrator
+ */
+
+#pragma once
+
+#include "../SlippageBase.h"
+
+namespace hku {
+
+/**
+ * 均匀分布随机价格移滑价差算法, 买入和卖出操作是价格在[min_value,
+ * max_value]范围内的均匀分布随机偏移
+ * @param min_value 偏移价格下限
+ * @param max_value 偏移价格上限
+ * @return
+ */
+SlippagePtr HKU_API SP_Uniform(double min_value = -0.05, double max_value = 0.05);
+
+} /* namespace hku */

hikyuu/include/hikyuu/trade_sys/slippage/imp/LogNormalSlippage.h

@@ -0,0 +1,28 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-10-25
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../SlippageBase.h"
+
+namespace hku {
+
+class LogNormalSlippage : public SlippageBase {
+    SLIPPAGE_IMP(LogNormalSlippage)
+    SLIPPAGE_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    LogNormalSlippage();
+    virtual ~LogNormalSlippage();
+    virtual void _checkParam(const string& name) const override;
+
+private:
+    static std::random_device ms_rd;
+    static std::mt19937 ms_gen;
+};
+
+} /* namespace hku */

hikyuu/include/hikyuu/trade_sys/slippage/imp/NormalSlippage.h

@@ -0,0 +1,28 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-10-25
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../SlippageBase.h"
+
+namespace hku {
+
+class NormalSlippage : public SlippageBase {
+    SLIPPAGE_IMP(NormalSlippage)
+    SLIPPAGE_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    NormalSlippage();
+    virtual ~NormalSlippage();
+    virtual void _checkParam(const string& name) const override;
+
+private:
+    static std::random_device ms_rd;
+    static std::mt19937 ms_gen;
+};
+
+} /* namespace hku */

hikyuu/include/hikyuu/trade_sys/slippage/imp/TruncNormalSlippage.h

@@ -0,0 +1,28 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-10-25
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../SlippageBase.h"
+
+namespace hku {
+
+class TruncNormalSlippage : public SlippageBase {
+    SLIPPAGE_IMP(TruncNormalSlippage)
+    SLIPPAGE_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    TruncNormalSlippage();
+    virtual ~TruncNormalSlippage();
+    virtual void _checkParam(const string& name) const override;
+
+private:
+    static std::random_device ms_rd;
+    static std::mt19937 ms_gen;
+};
+
+} /* namespace hku */

hikyuu/include/hikyuu/trade_sys/slippage/imp/UniformSlippage.h

@@ -0,0 +1,24 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-10-25
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../SlippageBase.h"
+
+namespace hku {
+
+class UniformSlippage : public SlippageBase {
+    SLIPPAGE_IMP(UniformSlippage)
+    SLIPPAGE_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    UniformSlippage();
+    virtual ~UniformSlippage();
+    virtual void _checkParam(const string& name) const override;
+};
+
+} /* namespace hku */

hikyuu/include/hikyuu/trade_sys/system/System.h

@@ -9,6 +9,7 @@
 #ifndef SYSTEMBASE_H_
 #define SYSTEMBASE_H_
 
+#include <nlohmann/json.hpp>
 // #include "../../KData.h"
 // #include "../../utilities/Parameter.h"
 // #include "../../trade_manage/TradeManager.h"
@@ -25,6 +26,8 @@
 
 namespace hku {
 
+using json = nlohmann::json;
+
 class HKU_API Portfolio;
 class HKU_API AllocateFundsBase;
 class HKU_API WalkForwardSystem;
@@ -180,6 +183,11 @@ public:
      */
     void setTO(const KData& kdata);
 
+    /**
+     * 回测完成后，返回最后一天交易记录，以及需要延迟的买入和卖出延迟请求
+     */
+    json lastSuggestion() const;
+
     /**
      * @brief 不指定stock的方式下run，需要事先通过setStock设定stock
      * @param query 查询条件
@@ -212,6 +220,9 @@ public:
      */
     virtual TradeRecord runMoment(const Datetime& datetime);
 
+    virtual TradeRecord runMomentOnOpen(const Datetime& datetime);
+    virtual TradeRecord runMomentOnClose(const Datetime& datetime);
+
     // 运行前准备工作, 失败将抛出异常
     virtual void readyForRun();
 
@@ -318,7 +329,9 @@ private:
 
     TradeRecord _processRequest(const KRecord& today, const KRecord& src_today);
 
-    TradeRecord _runMoment(const KRecord& record, const KRecord& src_record);
+    TradeRecord _runMoment(const KRecord& today, const KRecord& src_today);
+    TradeRecord _runMomentOnOpen(const KRecord& today, const KRecord& src_today);
+    TradeRecord _runMomentOnClose(const KRecord& today, const KRecord& src_today);
 
     // Portfolio | AllocateFunds 指示立即进行强制卖出，以便对 buy_delay 的系统进行资金调整
     TradeRecord _sellForce(const Datetime& date, double num, Part from, bool on_open);