hikyuu 2.6.8__py3-none-manylinux2014_aarch64.whl

hikyuu/include/hikyuu/strategy/BrokerTradeManager.h

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+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-08-16
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "hikyuu/trade_manage/TradeManagerBase.h"
+
+namespace hku {
+
+class HKU_API BrokerTradeManager : public TradeManagerBase {
+public:
+    BrokerTradeManager() = default;
+    explicit BrokerTradeManager(const OrderBrokerPtr& broker,
+                                const TradeCostPtr& costfunc = TC_Zero(),
+                                const string& name = "SYS");
+    virtual ~BrokerTradeManager() {}
+
+    virtual void _reset() override;
+
+    virtual shared_ptr<TradeManagerBase> _clone() override;
+
+    virtual void fetchAssetInfoFromBroker(const OrderBrokerPtr& broker,
+                                          const Datetime& datetime = Null<Datetime>()) override;
+
+    /**
+     * 根据权息信息更新当前持仓与交易情况
+     * @note 必须按时间顺序调用
+     * @param datetime 当前时刻
+     */
+    virtual void updateWithWeight(const Datetime& datetime) override {}
+
+    /**
+     * 获取指定对象的保证金比率
+     * @param datetime 日期
+     * @param stock 指定对象
+     */
+    virtual double getMarginRate(const Datetime& datetime, const Stock& stock) override {
+        HKU_WARN("The subclass does not implement a getMarginRate method");
+        return 0.0;
+    }
+
+    /** 初始资金 */
+    virtual price_t initCash() const override {
+        return m_cash;
+    }
+
+    /** 账户建立日期 */
+    virtual Datetime initDatetime() const override {
+        return m_datetime;
+    }
+
+    /** 第一笔买入交易发生日期，如未发生交易返回Null<Datetime>() */
+    virtual Datetime firstDatetime() const override {
+        return m_datetime;
+    }
+
+    /** 最后一笔交易日期，注意和交易类型无关，如未发生交易返回账户建立日期 */
+    virtual Datetime lastDatetime() const override {
+        return m_datetime;
+    }
+
+    /**
+     * 返回当前现金
+     * @note 仅返回当前信息，不会根据权息进行调整
+     */
+    virtual price_t currentCash() const override {
+        return m_cash;
+    }
+
+    /**
+     * 获取指定日期的现金
+     * @note 如果不带日期参数，无法根据权息信息调整持仓
+     */
+    virtual price_t cash(const Datetime& datetime, KQuery::KType ktype = KQuery::DAY) override {
+        return m_cash;
+    }
+
+    /**
+     * 当前是否持有指定的证券
+     * @note 这里未使用日期参数，必须保证是按日期顺序执行
+     * @param stock 指定证券
+     * @return true 是 | false 否
+     */
+    virtual bool have(const Stock& stock) const override {
+        return m_position.count(stock.id()) ? true : false;
+    }
+
+    /**
+     * 当前空头仓位是否持有指定的证券
+     * @note 这里未使用日期参数，必须保证是按日期顺序执行
+     * @param stock 指定证券
+     * @return true 是 | false 否
+     */
+    virtual bool haveShort(const Stock& stock) const override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /** 当前持有的证券种类数量 */
+    virtual size_t getStockNumber() const override {
+        return m_position.size();
+    }
+
+    /** 当前空头持有的证券种类数量 */
+    virtual size_t getShortStockNumber() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return 0;
+    }
+
+    /** 获取指定时刻的某证券持有数量 */
+    virtual double getHoldNumber(const Datetime& datetime, const Stock& stock) override {
+        HKU_WARN("The subclass does not implement this method");
+        return 0.0;
+    }
+
+    /** 获取指定时刻的空头某证券持有数量 */
+    virtual double getShortHoldNumber(const Datetime& datetime, const Stock& stock) override {
+        HKU_WARN("The subclass does not implement this method");
+        return 0.0;
+    }
+
+    /** 获取指定时刻已借入的股票数量 */
+    virtual double getDebtNumber(const Datetime& datetime, const Stock& stock) override {
+        HKU_WARN("The subclass does not implement this method");
+        return 0.0;
+    }
+
+    /** 获取指定时刻已借入的现金额 */
+    virtual price_t getDebtCash(const Datetime& datetime) override {
+        HKU_WARN("The subclass does not implement this method");
+        return 0.0;
+    }
+
+    /** 获取全部交易记录 */
+    virtual TradeRecordList getTradeList() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return TradeRecordList();
+    }
+
+    /**
+     * 获取指定日期范围内的交易记录[start, end)
+     * @param start 起始日期
+     * @param end 结束日期
+     * @return 交易记录列表
+     */
+    virtual TradeRecordList getTradeList(const Datetime& start,
+                                         const Datetime& end) const override {
+        HKU_WARN("The subclass does not implement this method");
+        return TradeRecordList();
+    }
+
+    /** 获取当前全部持仓记录 */
+    virtual PositionRecordList getPositionList() const override;
+
+    /** 获取全部历史持仓记录，即已平仓记录 */
+    virtual PositionRecordList getHistoryPositionList() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return PositionRecordList();
+    }
+
+    /** 获取当前全部空头仓位记录 */
+    virtual PositionRecordList getShortPositionList() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return PositionRecordList();
+    }
+
+    /** 获取全部空头历史仓位记录 */
+    virtual PositionRecordList getShortHistoryPositionList() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return PositionRecordList();
+    }
+
+    /**
+     * 获取指定证券的持仓记录
+     * @param date 指定日期
+     * @param stock 指定的证券
+     */
+    virtual PositionRecord getPosition(const Datetime& date, const Stock& stock) override;
+
+    /**
+     * 获取指定证券的空头持仓记录
+     * @param stock 指定的证券
+     */
+    virtual PositionRecord getShortPosition(const Stock& stock) const override {
+        HKU_WARN("The subclass does not implement this method");
+        return PositionRecord();
+    }
+
+    /** 获取当前借入的股票列表 */
+    virtual BorrowRecordList getBorrowStockList() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return BorrowRecordList();
+    }
+
+    /**
+     * 存入资金
+     * @param datetime 存入时间
+     * @param cash 存入的资金量
+     * @return true | false
+     */
+    virtual bool checkin(const Datetime& datetime, price_t cash) override;
+
+    /**
+     * 取出资金
+     * @param datetime 取出时间
+     * @param cash 取出的资金量
+     * @return true | false
+     */
+    virtual bool checkout(const Datetime& datetime, price_t cash) override {
+        m_cash = (cash > m_cash) ? 0.0 : m_cash - cash;
+        return true;
+    }
+
+    /**
+     * 存入资产
+     * @param datetime 存入日期
+     * @param stock 待存入的股票
+     * @param price 存入股票的每股价格
+     * @param number 存入股票的数量
+     * @return true | false
+     */
+    virtual bool checkinStock(const Datetime& datetime, const Stock& stock, price_t price,
+                              double number) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 取出当前资产
+     * @param datetime 取出日期
+     * @param stock 待取出的股票
+     * @param price 取出的每股价格
+     * @param number 取出的数量
+     * @return true | false
+     * @note 应该不会被用到
+     */
+    virtual bool checkoutStock(const Datetime& datetime, const Stock& stock, price_t price,
+                               double number) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 买入操作
+     * @param datetime 买入时间
+     * @param stock 买入的证券
+     * @param realPrice 实际买入价格
+     * @param number 买入数量
+     * @param stoploss 止损价
+     * @param goalPrice 目标价格
+     * @param planPrice 计划买入价格
+     * @param from 记录是哪个系统部件发出的买入指示
+     * @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
+     */
+    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,
+                            const string& remark = "") override;
+
+    /**
+     * 卖出操作
+     * @param datetime 卖出时间
+     * @param stock 卖出的证券
+     * @param realPrice 实际卖出价格
+     * @param number 卖出数量，如果是 MAX_DOUBLE, 表示全部卖出
+     * @param stoploss 新的止损价
+     * @param goalPrice 新的目标价格
+     * @param planPrice 原计划卖出价格
+     * @param from 记录是哪个系统部件发出的卖出指示
+     * @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
+     */
+    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, const string& remark = "") override;
+
+    /**
+     * 卖空
+     * @param datetime 卖空时间
+     * @param stock 卖空的证券
+     * @param realPrice 实际卖空价格
+     * @param number 卖出数量
+     * @param stoploss 止损价
+     * @param goalPrice 目标价格
+     * @param planPrice 计划卖空价格
+     * @param from 记录是哪个系统部件发出的买入指示
+     * @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
+     */
+    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,
+                                  const string& remark = "") override {
+        HKU_WARN("The subclass does not implement this method");
+        return TradeRecord();
+    }
+
+    /**
+     * 卖空后回补
+     * @param datetime 买入时间
+     * @param stock 买入的证券
+     * @param realPrice 实际买入价格
+     * @param number 卖出数量，如果是 MAX_DOUBLE, 表示全部卖出
+     * @param stoploss 止损价
+     * @param goalPrice 目标价格
+     * @param planPrice 计划买入价格
+     * @param from 记录是哪个系统部件发出的卖出指示
+     * @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
+     */
+    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,
+                                 const string& remark = "") override {
+        HKU_WARN("The subclass does not implement this method");
+        return TradeRecord();
+    }
+
+    /**
+     * 借入资金，从其他来源借取的资金，如融资
+     * @param datetime 借入时间
+     * @param cash 借入的现金
+     * @return true | false
+     */
+    virtual bool borrowCash(const Datetime& datetime, price_t cash) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 归还资金
+     * @param datetime 归还日期
+     * @param cash 归还现金
+     * @return true | false
+     */
+    virtual bool returnCash(const Datetime& datetime, price_t cash) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 借入证券
+     * @param datetime 借入时间
+     * @param stock 借入的stock
+     * @param price 借入时单股价格
+     * @param number 借入时数量
+     * @return true | false
+     */
+    virtual bool borrowStock(const Datetime& datetime, const Stock& stock, price_t price,
+                             double number) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 归还证券
+     * @param datetime 归还时间
+     * @param stock 归还的stock
+     * @param price 归还时单股价格
+     * @param number 归还数量
+     * @return true | false
+     */
+    virtual bool returnStock(const Datetime& datetime, const Stock& stock, price_t price,
+                             double number) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 获取账户当前时刻的资产详情
+     * @param ktype 日期的类型
+     * @return 资产详情
+     */
+    virtual FundsRecord getFunds(KQuery::KType ktype = KQuery::DAY) const override;
+
+    /**
+     * 获取指定时刻的资产市值详情
+     * @param datetime 必须大于帐户建立的初始日期，或为Null<Datetime>()
+     * @param ktype 日期的类型
+     * @return 资产详情
+     * @note 当datetime等于Null<Datetime>()时，与getFunds(KType)同
+     */
+    virtual FundsRecord getFunds(const Datetime& datetime,
+                                 KQuery::KType ktype = KQuery::DAY) override;
+
+    /**
+     * 直接加入交易记录
+     * @note 如果加入初始化账户记录，将清除全部已有交易及持仓记录
+     * @param tr 待加入的交易记录
+     * @return bool true 成功 | false 失败
+     */
+    virtual bool addTradeRecord(const TradeRecord& tr) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 直接加入持仓记录
+     * @param pr 持仓记录
+     * @return true 成功
+     * @return false 失败
+     */
+    virtual bool addPosition(const PositionRecord& pr) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /** 字符串输出 */
+    virtual string str() const override;
+
+    /**
+     * 以csv格式输出交易记录、未平仓记录、已平仓记录、资产净值曲线
+     * @param path 输出文件所在目录
+     */
+    virtual void tocsv(const string& path) override {
+        HKU_WARN("The subclass does not implement this method");
+    }
+
+private:
+    Datetime m_datetime;  // 当前日期
+
+    price_t m_cash{0.0};  // 当前可用现金
+
+    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
+};
+
+TradeManagerPtr HKU_API crtBrokerTM(const OrderBrokerPtr& broker,
+                                    const TradeCostPtr& costfunc = TC_Zero(),
+                                    const string& name = "SYS",
+                                    const std::vector<OrderBrokerPtr>& other_brokers = {});
+
+}  // namespace hku

hikyuu/include/hikyuu/strategy/RunPortfolioInStrategy.h

@@ -0,0 +1,37 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-08-25
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "hikyuu/trade_sys/portfolio/Portfolio.h"
+#include "Strategy.h"
+
+namespace hku {
+
+class HKU_API RunPortfolioInStrategy {
+public:
+    RunPortfolioInStrategy() = default;
+    RunPortfolioInStrategy(const PFPtr& pf, const KQuery& query, const OrderBrokerPtr& broker,
+                           const TradeCostPtr& costfunc);
+    virtual ~RunPortfolioInStrategy() = default;
+
+    void run();
+
+private:
+    PFPtr m_pf;
+    OrderBrokerPtr m_broker;
+    KQuery m_query;
+    std::unordered_set<Stock> m_stocks;
+};
+
+StrategyPtr HKU_API crtPFStrategy(const PFPtr& pf, const KQuery& query,
+                                  const OrderBrokerPtr& broker, const TradeCostPtr& costfunc,
+                                  const string& name = "PFStrategy",
+                                  const std::vector<OrderBrokerPtr>& other_brokers = {},
+                                  const string& config_file = "");
+
+}  // namespace hku

hikyuu/include/hikyuu/strategy/RunSystemInStrategy.h

@@ -0,0 +1,38 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-08-24
+ *      Author: fasiondog
+ */
+
+#pragma once
+#include "hikyuu/trade_sys/system/System.h"
+#include "Strategy.h"
+
+namespace hku {
+
+class HKU_API RunSystemInStrategy {
+public:
+    RunSystemInStrategy() = default;
+    RunSystemInStrategy(const SYSPtr& sys, const OrderBrokerPtr& broker, const KQuery& query,
+                        const TradeCostPtr& costfunc);
+    virtual ~RunSystemInStrategy() = default;
+
+    void run(const Stock& stock);
+
+private:
+    SYSPtr m_sys;
+    OrderBrokerPtr m_broker;
+    KQuery m_query;
+
+    TradeRequest m_buyRequest;
+    TradeRequest m_sellRequest;
+};
+
+StrategyPtr HKU_API crtSysStrategy(const SYSPtr& sys, const string& stk_market_code,
+                                   const KQuery& query, const OrderBrokerPtr& broker,
+                                   const TradeCostPtr& costfunc, const string& name = "SYSStrategy",
+                                   const std::vector<OrderBrokerPtr>& other_brokers = {},
+                                   const string& config_file = "");
+
+}  // namespace hku