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_Slippage.cpp
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_Slippage.cpp
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/*
* _Slippage.cpp
*
* Created on: 2013-3-21
* Author: fasiondog
*/
#include <hikyuu/trade_sys/slippage/SlippageBase.h>
#include <hikyuu/trade_sys/slippage/build_in.h>
#include "../pybind_utils.h"
namespace py = pybind11;
using namespace hku;
class PySlippageBase : public SlippageBase {
PY_CLONE(PySlippageBase, SlippageBase)
public:
using SlippageBase::SlippageBase;
PySlippageBase(const SlippageBase& base) : SlippageBase(base) {}
void _calculate() override {
PYBIND11_OVERLOAD_PURE(void, SlippageBase, _calculate, );
}
void _reset() override {
PYBIND11_OVERLOAD(void, SlippageBase, _reset, );
}
price_t getRealBuyPrice(const Datetime& datetime, price_t planPrice) override {
PYBIND11_OVERLOAD_PURE_NAME(price_t, SlippageBase, "get_real_buy_price", getRealBuyPrice,
datetime, planPrice);
}
price_t getRealSellPrice(const Datetime& datetime, price_t planPrice) override {
PYBIND11_OVERLOAD_PURE_NAME(price_t, SlippageBase, "get_real_sell_price", getRealSellPrice,
datetime, planPrice);
}
};
void export_Slippage(py::module& m) {
py::class_<SlippageBase, SPPtr, PySlippageBase>(m, "SlippageBase", py::dynamic_attr(),
R"(移滑价差算法基类
自定义移滑价差接口:
- getRealBuyPrice : 【必须】计算实际买入价格
- getRealSellPrice : 【必须】计算实际卖出价格
- _calculate : 【必须】子类计算接口
- _clone : 【必须】克隆接口
- _reset : 【可选】重载私有变量)")
.def(py::init<>())
.def(py::init<const SlippageBase&>())
.def(py::init<const string&>(), R"(初始化构造函数
:param str name: 名称)")
.def("__str__", to_py_str<SlippageBase>)
.def("__repr__", to_py_str<SlippageBase>)
.def_property("name", py::overload_cast<>(&SlippageBase::name, py::const_),
py::overload_cast<const string&>(&SlippageBase::name),
py::return_value_policy::copy, "名称")
.def_property("to", &SlippageBase::getTO, &SlippageBase::setTO, "关联交易对象")
.def("get_param", &SlippageBase::getParam<boost::any>, R"(get_param(self, name)
获取指定的参数
:param str name: 参数名称
:return: 参数值
:raises out_of_range: 无此参数)")
.def("set_param", &SlippageBase::setParam<boost::any>, R"(set_param(self, name, value)
设置参数
:param str name: 参数名称
:param value: 参数值
:raises logic_error: Unsupported type! 不支持的参数类型)")
.def("have_param", &SlippageBase::haveParam, "是否存在指定参数")
.def("get_real_buy_price", &SlippageBase::getRealBuyPrice,
R"(get_real_buy_price(self, datetime, price)
【重载接口】计算实际买入价格
:param Datetime datetime: 买入时间
:param float price: 计划买入价格
:return: 实际买入价格
:rtype: float)")
.def("get_real_sell_price", &SlippageBase::getRealSellPrice,
R"(get_real_sell_price(self, datetime, price)
【重载接口】计算实际卖出价格
:param Datetime datetime: 卖出时间
:param float price: 计划卖出价格
:return: 实际卖出价格
:rtype: float)")
.def("reset", &SlippageBase::reset, "复位操作")
.def("clone", &SlippageBase::clone, "克隆操作")
.def("_calculate", &SlippageBase::_calculate, "【重载接口】子类计算接口")
.def("_reset", &SlippageBase::_reset, "【重载接口】子类复位接口,复位内部私有变量")
DEF_PICKLE(SPPtr);
m.def("SP_FixedPercent", SP_FixedPercent, py::arg("p") = 0.001,
R"(SP_FixedPercent([p=0.001])
固定百分比移滑价差算法,买入实际价格 = 计划买入价格 * (1 + p),卖出实际价格 = 计划卖出价格 * (1 - p)
:param float p: 偏移的固定百分比
:return: 移滑价差算法实例)");
m.def("SP_FixedValue", SP_FixedValue, py::arg("value") = 0.01, R"(SP_FixedValuet([p=0.001])
固定价格移滑价差算法,买入实际价格 = 计划买入价格 + 偏移价格,卖出实际价格 = 计划卖出价格 - 偏移价格
:param float p: 偏移价格
:return: 移滑价差算法实例)");
}