Merge pull request #222 from fasiondog/bugfix

crtSL -> 更名 crtSP；fixed 缺失的 hku_save / hku_load 函数；crtMM和crtSP实际接口未纳入；update OrderBroker

docs/source/base/other_utils.rst

@@ -40,12 +40,12 @@
     :param var: hikyuu内建类型的变量
     :param str filename: 指定的文件名
 
-.. py:function:: hku_load(var, filename)
+.. py:function:: hku_load(filename)
 
     将通过 hku_save 保存的变量，读取到var中。
 
-    :param var: 指定的变量
     :param str filename: 待载入的序列化文件。
+    :return: 之前被序列化保存的文件
 
 .. py:function:: roundUp(arg1[, arg2=0])
 

docs/source/trade_manage/OrderBroker.rst

@@ -35,12 +35,14 @@ Python中的订单代理包装
     sys.run(sm['sz000001'], Query(-150))
         
 
-.. py:class:: OrderBrokerWrap(broker[, real=True, slip=0.03])
+.. py:class:: OrderBrokerWrap
 
     订单代理包装类，用户可以参考自定义自己的订单代理，加入额外的处理
-
-    :param bool real: 下单前是否重新实时获取实时分笔数据
-    :param float slip: 如果当前的卖一价格和指示买入的价格绝对差值不超过slip则下单，否则忽略; 对卖出操作无效，立即以当前价卖出
+
+    .. py:method:: __init__(self, broker, name)
+
+        :param broker: python broker 实例
+        :param str name: 名称
 
     .. py:method:: _buy(self, code, price, num)
     
@@ -59,15 +61,10 @@ Python中的订单代理包装
         :param int num: 卖出数量
 
 
-.. py:function:: crtOB(broker[, real=True, slip=0.03]) 
+.. py:function:: crtOB(broker[, name="NO_NAME"]) 
 
     快速生成订单代理包装对象
 
-    :param broker: 订单代理示例，必须拥有buy和sell方法，并且参数为 code, price, num
-    :param bool real: 下单前是否重新实时获取实时分笔数据
-    :param float slip: 如果当前的卖一价格和指示买入的价格绝对差值不超过slip则下单，否则忽略; 对卖出操作无效，立即以当前价卖出                      
-
-
 
 内建的订单代理类
 ------------------    

hikyuu/__init__.py

@@ -50,6 +50,8 @@
 
 import traceback
 import sys
+import pickle
+
 from .util import *
 
 try:
@@ -92,6 +94,29 @@ def close():
     iodog.open()
 
 
+def hku_save(var, filename):
+    """
+    序列化，将hikyuu内建类型的变量（如Stock、TradeManager等）保存在指定的文件中，格式为XML。
+
+    :param var: hikyuu内建类型的变量
+    :param str filename: 指定的文件名
+    """
+    with open(filename, 'wb') as f:
+        pickle.dump(var, f)
+
+
+def hku_load(filename):
+    """
+    将通过 hku_save 保存的变量，读取到var中。
+
+    :param str filename: 待载入的序列化文件。
+    :return: 之前被序列化保存的文件    
+    """
+    with open(filename, 'rb') as f:
+        out = pickle.load(f)
+    return out
+
+
 # ==============================================================================
 #
 # 设置关键类型简称

hikyuu/examples/notebook/006-TradeManager.ipynb

@@ -5,24 +5,29 @@
    "execution_count": 1,
    "metadata": {},
    "outputs": [
+    {
+     "name": "stderr",
+     "output_type": "stream",
+     "text": [
+      "2024-04-06 01:24:41,451 [INFO] hikyuu version: 2.0.0_202404040113_RELEASE_windows_x64 [<module>] (D:\\workspace\\hikyuu\\hikyuu\\__init__.py:93) [hikyuu::hku_info]\n"
+     ]
+    },
     {
      "name": "stdout",
      "output_type": "stream",
      "text": [
-      "warning: can't import TA-Lib, will be ignored! You can fetch ta-lib from https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib\n",
-      "std::cout are redirected to python::stdout\n",
-      "std::cerr are redirected to python::stderr\n",
-      "2023-10-14 02:24:00.639 [HKU-I] - Using SQLITE3 BaseInfoDriver (BaseInfoDriver.cpp:58)\n",
-      "2023-10-14 02:24:00.640 [HKU-I] - Loading market information... (StockManager.cpp:499)\n",
-      "2023-10-14 02:24:00.640 [HKU-I] - Loading stock type information... (StockManager.cpp:512)\n",
-      "2023-10-14 02:24:00.641 [HKU-I] - Loading stock information... (StockManager.cpp:426)\n",
-      "2023-10-14 02:24:00.691 [HKU-I] - Loading stock weight... (StockManager.cpp:529)\n",
-      "2023-10-14 02:24:01.039 [HKU-I] - Loading KData... (StockManager.cpp:134)\n",
-      "2023-10-14 02:24:01.043 [HKU-I] - Preloading all day kdata to buffer! (StockManager.cpp:157)\n",
-      "2023-10-14 02:24:01.043 [HKU-I] - Preloading all week kdata to buffer! (StockManager.cpp:160)\n",
-      "2023-10-14 02:24:01.044 [HKU-I] - Preloading all month kdata to buffer! (StockManager.cpp:163)\n",
-      "2023-10-14 02:24:01.055 [HKU-I] - 0.02s Loaded Data. (StockManager.cpp:145)\n",
-      "Wall time: 1.09 s\n"
+      "2024-04-06 01:24:41.867 [HKU-I] - Using MYSQL BaseInfoDriver (BaseInfoDriver.cpp:58)\n",
+      "2024-04-06 01:24:41.890 [HKU-I] - Loading market information... (StockManager.cpp:532)\n",
+      "2024-04-06 01:24:41.902 [HKU-I] - Loading stock type information... (StockManager.cpp:545)\n",
+      "2024-04-06 01:24:41.914 [HKU-I] - Loading stock information... (StockManager.cpp:460)\n",
+      "2024-04-06 01:24:42.064 [HKU-I] - Loading stock weight... (StockManager.cpp:562)\n",
+      "2024-04-06 01:24:43.250 [HKU-I] - Loading KData... (StockManager.cpp:133)\n",
+      "2024-04-06 01:24:43.958 [HKU-I] - Preloading all day kdata to buffer! (StockManager.cpp:171)\n",
+      "2024-04-06 01:24:43.959 [HKU-I] - Preloading all week kdata to buffer! (StockManager.cpp:174)\n",
+      "2024-04-06 01:24:43.959 [HKU-I] - Preloading all month kdata to buffer! (StockManager.cpp:177)\n",
+      "2024-04-06 01:24:43.963 [HKU-I] - 0.71s Loaded Data. (StockManager.cpp:150)\n",
+      "CPU times: total: 500 ms\n",
+      "Wall time: 3.35 s\n"
      ]
     }
    ],
@@ -64,6 +69,7 @@
       "  firstDatetime: 2017-01-03 00:00:00,\n",
       "  lastDatetime: 2017-01-03 00:00:00,\n",
       "  TradeCostFunc: TradeCostFunc(TC_Zero, params[]),\n",
+      "  current total funds: 100005.00,\n",
       "  current cash: 99089.00,\n",
       "  current market_value: 916.00,\n",
       "  current short_market_value: 0.00,\n",
@@ -72,7 +78,7 @@
       "  current borrow_cash: 0.00,\n",
       "  current borrow_asset: 0.00,\n",
       "  Position: \n",
-      "    SZ000001 平安银行 2017-01-03 00:00:00 1646 100.00 911.00 1100.00 189.00 20.75% 0.19%\n",
+      "    SZ000001 平安银行 2017-01-03 00:00:00 1762 100.00 911.00 1046.00 135.00 14.82% 0.14%\n",
       "  Short Position: \n",
       "  Borrow Stock: \n",
       "}\n"
@@ -142,21 +148,21 @@
        "      <th>SZ000001</th>\n",
        "      <td>平安银行</td>\n",
        "      <td>2017-01-03</td>\n",
-       "      <td>1646</td>\n",
+       "      <td>1762</td>\n",
        "      <td>100</td>\n",
        "      <td>911.0</td>\n",
-       "      <td>1100.0</td>\n",
-       "      <td>189.0</td>\n",
-       "      <td>20.746432</td>\n",
+       "      <td>1046.0</td>\n",
+       "      <td>135.0</td>\n",
+       "      <td>14.81888</td>\n",
        "    </tr>\n",
        "  </tbody>\n",
        "</table>\n",
        "</div>"
       ],
       "text/plain": [
-       "          证券名称       买入日期  已持仓天数  持仓数量   投入金额    当前市值   盈亏金额       盈亏比例\n",
-       "证券代码                                                                   \n",
-       "SZ000001  平安银行 2017-01-03   1646   100  911.0  1100.0  189.0  20.746432"
+       "          证券名称       买入日期  已持仓天数  持仓数量   投入金额    当前市值   盈亏金额      盈亏比例\n",
+       "证券代码                                                                  \n",
+       "SZ000001  平安银行 2017-01-03   1762   100  911.0  1046.0  135.0  14.81888"
       ]
      },
      "execution_count": 3,
@@ -186,6 +192,7 @@
        "  firstDatetime: 2017-01-03 00:00:00,\n",
        "  lastDatetime: 2017-02-21 00:00:00,\n",
        "  TradeCostFunc: TradeCostFunc(TC_Zero, params[]),\n",
+       "  current total funds: 100049.00,\n",
        "  current cash: 100049.00,\n",
        "  current market_value: 0.00,\n",
        "  current short_market_value: 0.00,\n",
@@ -252,7 +259,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 6,
+   "execution_count": 7,
    "metadata": {},
    "outputs": [],
    "source": [
@@ -264,14 +271,13 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 7,
+   "execution_count": 8,
    "metadata": {},
    "outputs": [],
    "source": [
     "#载入已保存的TM对象\n",
     "#filename = \"{}/my_trade/my_trade_record_{}.xml\".format(sm.tmpdir(), date.today())\n",
-    "new_my_tm = crtTM()\n",
-    "hku_load(new_my_tm, filename)"
+    "new_my_tm = hku_load(filename)"
    ]
   },
   {
@@ -292,25 +298,28 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 8,
+   "execution_count": 9,
    "metadata": {},
    "outputs": [
     {
      "name": "stdout",
      "output_type": "stream",
      "text": [
-      "买入：SZ000001  12.930  1000\n",
-      "卖出：SZ000001  12.480  1000\n",
-      "买入：SZ000001  12.940  1000\n",
-      "卖出：SZ000001  12.580  1000\n",
-      "买入：SZ000001  11.410  1000\n",
-      "卖出：SZ000001  11.230  1000\n",
-      "买入：SZ000001  11.330  1000\n",
-      "卖出：SZ000001  11.450  1000\n",
-      "买入：SZ000001  11.650  1000\n",
-      "卖出：SZ000001  11.690  1000\n",
-      "买入：SZ000001  11.400  1000\n",
-      "卖出：SZ000001  11.280  1000\n"
+      "买入：SZ000001  11.470  1000\n",
+      "卖出：SZ000001  11.140  1000\n",
+      "买入：SZ000001  11.500  1000\n",
+      "卖出：SZ000001  11.290  1000\n",
+      "买入：SZ000001  10.580  1000\n",
+      "卖出：SZ000001  10.460  1000\n",
+      "买入：SZ000001  9.420  1000\n",
+      "卖出：SZ000001  9.100  1000\n",
+      "买入：SZ000001  9.330  1000\n",
+      "卖出：SZ000001  9.160  1000\n",
+      "买入：SZ000001  9.330  1000\n",
+      "卖出：SZ000001  10.550  1000\n",
+      "买入：SZ000001  10.560  1000\n",
+      "卖出：SZ000001  10.350  1000\n",
+      "买入：SZ000001  10.560  1000\n"
      ]
     }
    ],
@@ -319,8 +328,10 @@
     "my_tm = crtTM(init_cash=300000, date=Datetime(201701010000))\n",
     "\n",
     "#注册实盘交易订单代理\n",
-    "my_tm.reg_broker(crtOB(TestOrderBroker(), False)) #TestOerderBroker是测试用订单代理对象，只打印\n",
-    "#my_tm.regBroker(crtOB(MailOrderBroker(\"smtp.sina.com\", \"yourmail@sina.com\", \"yourpwd\", \"receivermail@XXX.yy)))\n",
+    "ob = crtOB(TestOrderBroker())\n",
+    "my_tm.reg_broker(ob) #TestOerderBroker是测试用订单代理对象，只打印\n",
+    "# 注意：pybind 不支持下面这种方式调用，必须先生成实例再传入！！！\n",
+    "# my_tm.reg_broker(crtOB(TestOrderBroker(), False))\n",
     "\n",
     "#根据需要修改订单代理最后的时间戳，后续只有大于该时间戳时，订单代理才会实际发出订单指令\n",
     "my_tm.broker_last_datetime=Datetime(201701010000)\n",
@@ -360,7 +371,7 @@
    "name": "python",
    "nbconvert_exporter": "python",
    "pygments_lexer": "ipython3",
-   "version": "3.9.16"
+   "version": "3.11.7"
   }
  },
  "nbformat": 4,

hikyuu/trade_manage/broker.py

@@ -24,10 +24,10 @@
 # OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
 # SOFTWARE.
 
-#===============================================================================
+# ===============================================================================
 # History:
 # 1. 20170704, Added by fasiondog
-#===============================================================================
+# ===============================================================================
 
 from hikyuu import OrderBrokerBase
 
@@ -36,16 +36,13 @@ class OrderBrokerWrap(OrderBrokerBase):
     """订单代理包装类，用户可以参考自定义自己的订单代理，加入额外的处理
        包装只有买卖操作参数只有(code, price, num)的交易接口类
     """
-    def __init__(self, broker, slip=0.03):
+
+    def __init__(self, broker, name):
         """
         订单代理包装类，用户可以参考自定义自己的订单代理，加入额外的处理
-    
-        :param float slip: 如果当前的卖一价格和指示买入的价格绝对差值不超过slip则下单，
-                            否则忽略; 对卖出操作无效，立即以当前价卖出
         """
-        super(OrderBrokerWrap, self).__init__()
+        super(OrderBrokerWrap, self).__init__(name)
         self._broker = broker
-        self._slip = slip
 
     def _buy(self, datetime, market, code, price, num):
         """实现 OrderBrokerBase 的 _buy 接口"""
@@ -60,6 +57,7 @@ def _sell(self, datetime, market, code, price, num):
 
 class TestOrderBroker:
     """用于测试的订单代理，仅在执行买入/卖出时打印信息"""
+
     def __init__(self):
         pass
 
@@ -70,12 +68,12 @@ def sell(self, code, price, num):
         print("卖出：%s  %.3f  %i" % (code, price, num))
 
 
-def crtOB(broker, slip=0.03):
+def crtOB(broker, name="NO_NAME"):
     """
     快速生成订单代理包装对象
-    
+
     :param broker: 订单代理示例，必须拥有buy和sell方法，并且参数为 code, price, num
     :param float slip: 如果当前的卖一价格和指示买入的价格绝对差值不超过slip则下单，
                         否则忽略; 对卖出操作无效，立即以当前价卖出
     """
-    return OrderBrokerWrap(broker, slip)
+    return OrderBrokerWrap(broker, name)

hikyuu/trade_sys/trade_sys.py

@@ -82,17 +82,25 @@ def crtEV(func, params={}, name='crtEV'):
 # ------------------------------------------------------------------
 # moneymanager
 # ------------------------------------------------------------------
-def crtMM(func, params={}, name='crtMM'):
+def crtMM(get_buy_num, get_sell_num, params={}, name='crtMM', buy_notify=None, sell_notify=None):
     """
     快速创建资金管理策略
 
-    :param func: 资金管理策略计算函数
+    :param get_buy_num: 买入数量接口
+    :param sell_buy_num: 卖出数量接口
     :param {} params: 参数字典
     :param str name: 自定义名称
+    :param buy_notify: 接收买入交易记录通知
+    :param sell_notify: 接收卖出交易记录通知
     :return: 自定义资金管理策略实例
     """
     meta_x = type(name, (MoneyManagerBase, ), {'__init__': part_init, '_clone': part_clone})
-    meta_x._calculate = func
+    meta_x._get_buy_num = get_buy_num
+    meta_x._get_sell_num = get_sell_num
+    if buy_notify is not None:
+        meta_x._buy_notify = buy_notify
+    if sell_notify is not None:
+        meta_x._sell_notify = sell_notify
     return meta_x(name, params)
 
 
@@ -188,17 +196,22 @@ def crtMF(calculate_func, params={}, name='crtMF'):
 # ------------------------------------------------------------------
 # slippage
 # ------------------------------------------------------------------
-def crtSL(func, params={}, name='crtSL'):
+def crtSP(get_real_buy_price, get_real_sell_price, params={}, name='crtSP', calculate=None):
     """
     快速创建移滑价差算法
 
-    :param func: 移滑价差算法函数
+    :param get_real_buy_price: 移滑价差算法接口计算实际买入价格
+    :param get_real_sell_price: 移滑价差算法接口计算实际买入价格
     :param {} params: 参数字典
     :param str name: 自定义名称
+    :param calculate: 预处理函数
     :return: 移滑价差算法实例
     """
     meta_x = type(name, (SlippageBase, ), {'__init__': part_init, '_clone': part_clone})
-    meta_x._calculate = func
+    meta_x.get_real_buy_price = get_real_buy_price
+    meta_x.get_real_sell_price = get_real_sell_price
+    if calculate is not None:
+        meta_x._calculate = calculate
     return meta_x(name, params)