hikyuu 2.6.8__py3-none-manylinux2014_aarch64.whl

hikyuu/include/hikyuu/strategy/Strategy.h

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+/*
+ *  Copyright(C) 2021 hikyuu.org
+ *
+ *  Create on: 2021-02-16
+ *     Author: fasiondog
+ */
+
+#pragma once
+
+#include <future>
+#include <forward_list>
+#include "hikyuu/DataType.h"
+#include "hikyuu/StrategyContext.h"
+#include "hikyuu/global/SpotRecord.h"
+#include "hikyuu/utilities/thread/FuncWrapper.h"
+#include "hikyuu/utilities/thread/ThreadSafeQueue.h"
+#include "hikyuu/trade_sys/portfolio/Portfolio.h"
+#include "BrokerTradeManager.h"
+
+namespace hku {
+
+/**
+ * @ingroup Strategy
+ * @{
+ */
+
+/**
+ * @brief 策略运行时
+ */
+class HKU_API Strategy {
+    CLASS_LOGGER_IMP(Strategy)
+    PARAMETER_SUPPORT_WITH_CHECK
+
+public:
+    Strategy();
+    explicit Strategy(const string& name, const string& config_file = "");
+    Strategy(const vector<string>& codeList, const vector<KQuery::KType>& ktypeList,
+             const unordered_map<string, int>& preloadNum = {}, const string& name = "Strategy",
+             const string& config_file = "");
+    explicit Strategy(const StrategyContext& context, const string& name = "Strategy",
+                      const string& config_file = "");
+
+    Strategy(const Strategy&) = delete;
+    Strategy& operator=(const Strategy&) = delete;
+
+    virtual ~Strategy();
+
+    const string& name() const {
+        return m_name;
+    }
+
+    void name(const string& name) {
+        m_name = name;
+    }
+
+    const StrategyContext& context() const {
+        return m_context;
+    }
+
+    bool running() const;
+
+    /**
+     * 每日开盘时间内，以 delta 为周期循环定时执行指定任务
+     * @param func 待执行的任务
+     * @param delta 间隔时间
+     * @param market 指定的市场, 用于获取开/收盘时间
+     * @param ignoreMarket 是否忽略市场时间限制，如为 true，则为定时循环不受开闭市时间限制
+     */
+    void runDaily(const std::function<void(Strategy*)>& func, const TimeDelta& delta,
+                  const std::string& market = "SH", bool ignoreMarket = false);
+
+    /**
+     * 每日在指定时刻执行任务
+     * @param func 待执行的任务
+     * @param delta 指定时刻
+     * @param ignoreHoliday 忽略节假日，即节假日不执行
+     */
+    void runDailyAt(const std::function<void(Strategy*)>& func, const TimeDelta& delta,
+                    bool ignoreHoliday = true);
+
+    /**
+     * 正确数据发生变化调用，即接收到相应行情数据变更
+     * @note 通常用于调试。且只要收到行情采集消息就会触发，不受开、闭市时间限制
+     * @param changeFunc 回调函数
+     */
+    void onChange(
+      const std::function<void(Strategy*, const Stock&, const SpotRecord& spot)>& changeFunc);
+
+    /**
+     * 一批行情数据接受完毕后通知
+     * @note 通常仅用于调试打印，该批行情数据中不一定含有上下文中包含的 stock
+     *       且只要收到行情采集消息就会触发，不受开、闭市时间限制。
+     * @param recievedFucn 回调函数
+     */
+    void onReceivedSpot(const std::function<void(Strategy*, const Datetime&)>& recievedFucn);
+
+    /**
+     * 启动策略执行，必须在已注册相关处理函数后执行
+     */
+    void start(bool autoRecieveSpot = true);
+
+    //==========================================================================
+    // 以下为策略运行时对外接口，建议使用这些接口代替同名其他功能函数，已保证回测和实盘一致
+    //==========================================================================
+
+    TradeManagerPtr getTM() const noexcept {
+        return m_tm;
+    }
+
+    void setTM(const TradeManagerPtr& tm) noexcept {
+        m_tm = tm;
+    }
+
+    /** 仅在回测状态下使用 */
+    SlippagePtr getSP() const noexcept {
+        return m_sp;
+    }
+
+    void setSP(const SlippagePtr& slippage) noexcept {
+        m_sp = slippage;
+    }
+
+    KData getLastKData(const Stock& stk, const Datetime& start_date, const KQuery::KType& ktype,
+                       KQuery::RecoverType recover_type = KQuery::NO_RECOVER) const {
+        return getKData(stk, start_date, Null<Datetime>(), ktype, recover_type);
+    }
+
+    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;
+    virtual Datetime today() const {
+        return Datetime::today();
+    }
+
+    virtual Datetime now() const {
+        return Datetime::now();
+    }
+
+    virtual Datetime nextDatetime() const {
+        return Null<Datetime>();
+    }
+
+    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,
+                            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,
+                             const string& remark = "");
+
+    virtual bool isBacktesting() const {
+        return false;
+    }
+
+protected:
+    string m_name;
+    string m_config_file;
+    StrategyContext m_context;
+    TradeManagerPtr m_tm;
+    SlippagePtr m_sp;
+
+    std::function<void(Strategy*, const Datetime&)> m_on_recieved_spot;
+    std::function<void(Strategy*, const Stock&, const SpotRecord& spot)> m_on_change;
+
+    struct RunDailyAt {
+        std::function<void()> func;
+        TimeDelta delta;
+        string market;
+        bool ignoreMarket{false};
+    };
+    std::forward_list<RunDailyAt> m_run_daily_at_list;
+
+    std::unordered_map<TimeDelta, std::function<void()>> m_run_daily_at_funcs;
+
+protected:
+    static std::atomic_bool ms_keep_running;
+
+protected:
+    void _init();
+
+private:
+    void _initParam();
+    void _receivedSpot(const SpotRecord& spot);
+    void _runDaily();
+    void _runDailyAt();
+
+private:
+    static void sig_handler(int sig);
+
+    typedef FuncWrapper event_type;
+    ThreadSafeQueue<event_type> m_event_queue;  // 消息队列
+
+    /** 先消息队列提交任务后返回的对应 future 的类型 */
+    template <typename ResultType>
+    using event_handle = std::future<ResultType>;
+
+#ifdef _MSC_VER
+#pragma warning(push)
+#pragma warning(disable : 4996)
+#endif
+
+    /** 向线程池提交任务 */
+    template <typename FunctionType>
+    auto event(FunctionType f) {
+        typedef typename std::invoke_result<FunctionType>::type result_type;
+        std::packaged_task<result_type()> task(f);
+        event_handle<result_type> res(task.get_future());
+        m_event_queue.push(std::move(task));
+        return res;
+    }
+
+#ifdef _MSC_VER
+#pragma warning(pop)
+#endif
+
+    void _startEventLoop();
+};
+
+typedef shared_ptr<Strategy> StrategyPtr;
+
+/**
+ * @brief 在策略运行时中执行系统交易 SYS
+ * @note 目前仅支持 buy_delay| sell_delay 均为 false 的系统，即 close 时执行交易
+ * @param sys 交易系统
+ * @param stk 交易对象
+ * @param query 查询条件
+ * @param broker 订单代理（专用与和账户资产同步的订单代理）
+ * @param costfunc 成本函数
+ * @param other_brokers 其他的订单代理
+ */
+void HKU_API runInStrategy(const SYSPtr& sys, const Stock& stk, const KQuery& query,
+                           const OrderBrokerPtr& broker, const TradeCostPtr& costfunc,
+                           const std::vector<OrderBrokerPtr>& other_brokers = {});
+
+/**
+ * @brief 在策略运行时中执行组合策略 PF
+ * @note 目前仅支持 buy_delay| sell_delay 均为 false 的系统，即 close 时执行交易
+ * @param pf 资产组合
+ * @param query 查询条件
+ * @param broker 订单代理（专用与和账户资产同步的订单代理）
+ * @param costfunc 成本函数
+ * @param other_brokers 其他的订单代理
+ */
+void HKU_API runInStrategy(const PFPtr& pf, const KQuery& query, const OrderBrokerPtr& broker,
+                           const TradeCostPtr& costfunc,
+                           const std::vector<OrderBrokerPtr>& other_brokers = {});
+
+/** @} */
+}  // namespace hku

hikyuu/include/hikyuu/strategy/__init__.py

@@ -0,0 +1 @@
+

hikyuu/include/hikyuu/trade_manage/BorrowRecord.h

@@ -0,0 +1,91 @@
+/*
+ * BorrowRecord.h
+ *
+ *  Created on: 2013-5-2
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef BORROWRECORD_H_
+#define BORROWRECORD_H_
+
+#include "../DataType.h"
+#include "../serialization/Stock_serialization.h"
+#include "../serialization/Datetime_serialization.h"
+
+namespace hku {
+
+/**
+ * 记录当前借入的股票信息
+ * @ingroup TradeManagerClass
+ */
+class HKU_API BorrowRecord {
+public:
+    BorrowRecord();
+    BorrowRecord(const Stock&, double number, price_t value);
+
+    Stock stock;
+    double number;  // 借入总数量
+    price_t value;  // 借入总价值
+
+    struct Data {
+        Data() : datetime(Null<Datetime>()), price(0.0), number(0) {}
+        Data(const Datetime& datetime, price_t price, double number)
+        : datetime(datetime), price(price), number(number) {}
+
+        Datetime datetime;  // 借入时间
+        price_t price;      // 借入时的单价
+        double number;      // 借入数量
+
+#if HKU_SUPPORT_SERIALIZATION
+    private:
+        friend class boost::serialization::access;
+        template <class Archive>
+        void save(Archive& ar, const unsigned int version) const {
+            uint64_t datetime_num = datetime.number();
+            ar& boost::serialization::make_nvp("datetime", datetime_num);
+            ar& BOOST_SERIALIZATION_NVP(number);
+            ar& BOOST_SERIALIZATION_NVP(price);
+        }
+
+        template <class Archive>
+        void load(Archive& ar, const unsigned int version) {
+            uint64_t datetime_num;
+            ar& boost::serialization::make_nvp("datetime", datetime_num);
+            datetime = Datetime(datetime_num);
+            ar& BOOST_SERIALIZATION_NVP(number);
+            ar& BOOST_SERIALIZATION_NVP(price);
+        }
+
+        BOOST_SERIALIZATION_SPLIT_MEMBER()
+#endif
+    };
+
+    list<Data> record_list;  // 当前的借入记录
+
+// 序列化支持
+#if HKU_SUPPORT_SERIALIZATION
+private:
+    friend class boost::serialization::access;
+    template <class Archive>
+    void serialize(Archive& ar, const unsigned int version) {
+        ar& BOOST_SERIALIZATION_NVP(stock);
+        ar& BOOST_SERIALIZATION_NVP(number);
+        ar& BOOST_SERIALIZATION_NVP(value);
+        ar& BOOST_SERIALIZATION_NVP(record_list);
+    }
+#endif
+};
+
+typedef vector<BorrowRecord> BorrowRecordList;
+
+HKU_API std::ostream& operator<<(std::ostream&, const BorrowRecord&);
+
+} /* namespace hku */
+
+#if FMT_VERSION >= 90000
+template <>
+struct fmt::formatter<hku::BorrowRecord> : ostream_formatter {};
+#endif
+
+#endif /* BORROWRECORD_H_ */

hikyuu/include/hikyuu/trade_manage/CostRecord.h

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+/*
+ * CostRecord.h
+ *
+ *  Created on: 2013-2-13
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef COSTRECORD_H_
+#define COSTRECORD_H_
+
+#include "../DataType.h"
+#include "../config.h"
+
+namespace hku {
+
+/**
+ * 成本记录
+ * @details 总成本 = 佣金 + 印花税 + 过户费 + 其他费用
+ * @note 该结构主要用于存放成本记录结果，一般当做struct直接使用，
+ *       该类本身不对总成本进行计算，也不保证上面的公式成立
+ * @ingroup TradeCost
+ */
+class HKU_API CostRecord {
+public:
+    CostRecord();
+    CostRecord(price_t commission, price_t stamptax, price_t transferfee, price_t others,
+               price_t total);
+
+    price_t commission;  /**< 佣金     */
+    price_t stamptax;    /**< 印花税   */
+    price_t transferfee; /**< 过户费   */
+    price_t others;      /**< 其他费用 */
+    price_t total;       /**< 总成本   */
+
+    string toString() const;
+
+#if HKU_SUPPORT_SERIALIZATION
+private:
+    friend class boost::serialization::access;
+    template <class Archive>
+    void serialize(Archive& ar, const unsigned int version) {
+        ar& BOOST_SERIALIZATION_NVP(commission);
+        ar& BOOST_SERIALIZATION_NVP(stamptax);
+        ar& BOOST_SERIALIZATION_NVP(transferfee);
+        ar& BOOST_SERIALIZATION_NVP(others);
+        ar& BOOST_SERIALIZATION_NVP(total);
+    }
+#endif /* HKU_SUPPORT_SERIALIZATION */
+};
+
+/**
+ * 输出成本信息
+ * @ingroup TradeCost
+ */
+HKU_API std::ostream& operator<<(std::ostream& os, const CostRecord&);
+
+bool HKU_API operator==(const CostRecord& d1, const CostRecord& d2);
+
+} /* namespace hku */
+
+#if FMT_VERSION >= 90000
+template <>
+struct fmt::formatter<hku::CostRecord> : ostream_formatter {};
+#endif
+
+#endif /* COSTRECORD_H_ */

hikyuu/include/hikyuu/trade_manage/FundsRecord.h

@@ -0,0 +1,110 @@
+/*
+ * FundsRecord.h
+ *
+ *  Created on: 2013-5-2
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef FUNDSRECORD_H_
+#define FUNDSRECORD_H_
+
+#include "../DataType.h"
+#include "../config.h"
+
+namespace hku {
+
+/**
+ * 当前资产情况记录，由TradeManager::getFunds返回
+ * @ingroup TradeManagerClass
+ */
+class HKU_API FundsRecord {
+public:
+    FundsRecord() = default;
+    FundsRecord(price_t cash, price_t market_value, price_t short_market_value, price_t base_cash,
+                price_t base_asset, price_t borrow_cash, price_t borrow_asset);
+
+    price_t cash{0.0};               /**< 当前现金 */
+    price_t market_value{0.0};       /**< 当前多头市值 */
+    price_t short_market_value{0.0}; /**< 当前空头仓位市值 */
+    price_t base_cash{0.0};          /**< 当前投入本金principal */
+    price_t base_asset{0.0};         /**< 当前投入的资产价值 */
+    price_t borrow_cash{0.0};        /**< 当前借入的资金，即负债 */
+    price_t borrow_asset{0.0};       /**< 当前借入证券资产价值 */
+
+    // 当前总资产 = 现金 + 多头市值 + 空头数量×（借入价格 - 当前价格)
+    //          = cash + market_value + borrow_asset - short_market_value
+    // 当前负债 = 借入的资金 + 借入的资产价值
+    //         = borrow_cash + borrow_asset
+    // 当前净资产 = 总资产 - 负债
+    //          = cash + market_value - short_market_value - borrow_cash
+    // 当前投入本值资产 = 投入本金 + 投入资产价值
+    //                = base_cash + base_asset
+    // 当前收益 = 当前净资产 - 当前投入本值资产
+    //         = cash + market_value - short_market_value - borrow_cash - base_cash - base_asset
+
+    // 当前总资产
+    price_t total_assets() const {
+        return cash + market_value + borrow_asset - short_market_value;
+    }
+
+    // 当前净资产
+    price_t net_assets() const {
+        return cash + market_value - short_market_value - borrow_cash;
+    }
+
+    // 总负债
+    price_t total_borrow() const {
+        return borrow_cash + borrow_asset;
+    }
+
+    // 当前投入本值资产
+    price_t total_base() const {
+        return base_cash + base_asset;
+    }
+
+    // 当前收益
+    price_t profit() const {
+        return cash + market_value - short_market_value - borrow_cash - base_cash - base_asset;
+    }
+
+    FundsRecord operator+(const FundsRecord& other) const;
+
+    FundsRecord& operator+=(const FundsRecord& other);
+
+    // 序列化支持
+#if HKU_SUPPORT_SERIALIZATION
+private:
+    friend class boost::serialization::access;
+    template <class Archive>
+    void serialize(Archive& ar, const unsigned int version) {
+        ar& BOOST_SERIALIZATION_NVP(cash);
+        ar& BOOST_SERIALIZATION_NVP(market_value);
+        ar& BOOST_SERIALIZATION_NVP(short_market_value);
+        ar& BOOST_SERIALIZATION_NVP(base_cash);
+        ar& BOOST_SERIALIZATION_NVP(base_asset);
+        ar& BOOST_SERIALIZATION_NVP(borrow_cash);
+        ar& BOOST_SERIALIZATION_NVP(borrow_asset);
+    }
+#endif
+};
+
+typedef vector<FundsRecord> FundsList;
+typedef vector<FundsRecord> FundsRecordList;
+
+/**
+ * 输出TradeRecord信息
+ * @ingroup TradeManagerClass
+ */
+HKU_API std::ostream& operator<<(std::ostream&, const FundsRecord&);
+
+bool HKU_API operator==(const FundsRecord& d1, const FundsRecord& d2);
+
+} /* namespace hku */
+
+#if FMT_VERSION >= 90000
+template <>
+struct fmt::formatter<hku::FundsRecord> : ostream_formatter {};
+#endif
+
+#endif /* FUNDSRECORD_H_ */

hikyuu/include/hikyuu/trade_manage/LoanRecord.h

@@ -0,0 +1,64 @@
+/*
+ * LoanRecord.h
+ *
+ *  Created on: 2013-5-24
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef LOANRECORD_H_
+#define LOANRECORD_H_
+
+#include "../DataType.h"
+#include "../config.h"
+
+namespace hku {
+
+/**
+ * 借款记录（融资记录）
+ * @ingroup TradeManagerClass
+ */
+class HKU_API LoanRecord {
+public:
+    LoanRecord() : datetime(Null<Datetime>()), value(0.0) {}
+    LoanRecord(const Datetime& datetime, price_t value) : datetime(datetime), value(value) {}
+
+    Datetime datetime;
+    price_t value;
+
+#if HKU_SUPPORT_SERIALIZATION
+private:
+    friend class boost::serialization::access;
+    template <class Archive>
+    void save(Archive& ar, const unsigned int version) const {
+        namespace bs = boost::serialization;
+        hku::uint64_t date_number = datetime.number();
+        ar& bs::make_nvp("datetime", date_number);
+        ar& BOOST_SERIALIZATION_NVP(value);
+    }
+
+    template <class Archive>
+    void load(Archive& ar, const unsigned int version) {
+        namespace bs = boost::serialization;
+        hku::uint64_t date_number;
+        ar& bs::make_nvp("datetime", date_number);
+        datetime = Datetime(date_number);
+        ar& BOOST_SERIALIZATION_NVP(value);
+    }
+
+    BOOST_SERIALIZATION_SPLIT_MEMBER()
+#endif
+};
+
+typedef vector<LoanRecord> LoanRecordList;
+
+HKU_API std::ostream& operator<<(std::ostream&, const LoanRecord&);
+
+} /* namespace hku */
+
+#if FMT_VERSION >= 90000
+template <>
+struct fmt::formatter<hku::LoanRecord> : ostream_formatter {};
+#endif
+
+#endif /* LOANRECORD_H_ */