Merge pull request #213 from fasiondog/feature/factor

add AF_MultiFactor/SE_MultiFactor//SG_Allways_buy

hikyuu/trade_sys/trade_sys.py

@@ -133,19 +133,6 @@ def crtSG(func, params={}, name='crtSG'):
 # ------------------------------------------------------------------
 # Selector
 # ------------------------------------------------------------------
-def se_add_stock_list(self, stk_list, proto_sys):
-    result = True
-    for stk in stk_list:
-        success = self.add_stock(stk, proto_sys)
-        if not success:
-            result = False
-            break
-    return result
-
-
-SelectorBase.add_stock_list = se_add_stock_list
-
-
 def crtSE(calculate, get_selected, is_match_af=None, params={}, name='crtSE'):
     """
     快速创建交易对象选择算法

hikyuu_cpp/hikyuu/trade_sys/all.h

@@ -19,6 +19,6 @@
 #include "system/build_in.h"
 #include "allocatefunds/build_in.h"
 #include "selector/build_in.h"
-#include "factor/build_in.h"
+#include "multifactor/build_in.h"
 
 #endif /* ALL_TRADE_SYS_H_ */

hikyuu_cpp/hikyuu/trade_sys/allocatefunds/build_in.h

@@ -11,5 +11,6 @@
 
 #include "crt/AF_EqualWeight.h"
 #include "crt/AF_FixedWeight.h"
+#include "crt/AF_MultiFactor.h"
 
 #endif /* TRADE_SYS_ALLOCATEFUNDS_BUILD_IN_H_ */

hikyuu_cpp/hikyuu/trade_sys/allocatefunds/crt/AF_MultiFactor.h

@@ -0,0 +1,21 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-30
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../AllocateFundsBase.h"
+
+namespace hku {
+
+/**
+ * 创建 MultiFactor 评分权重的资产分配算法实例
+ * @return AFPtr
+ * @ingroup AllocateFunds
+ */
+AFPtr HKU_API AF_MultiFactor();
+
+}  // namespace hku

hikyuu_cpp/hikyuu/trade_sys/allocatefunds/imp/MultiFactorAllocaterFunds.cpp

@@ -0,0 +1,25 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-30
+ *      Author: fasiondog
+ */
+
+#include "MultiFactorAllocaterFunds.h"
+
+namespace hku {
+
+MultiFactorAllocaterFunds::MultiFactorAllocaterFunds() : AllocateFundsBase("AF_Multi_factor") {}
+
+MultiFactorAllocaterFunds::~MultiFactorAllocaterFunds() {}
+
+SystemWeightList MultiFactorAllocaterFunds::_allocateWeight(const Datetime& date,
+                                                            const SystemWeightList& se_list) {
+    return se_list;
+}
+
+AFPtr HKU_API AF_MultiFactor() {
+    return make_shared<MultiFactorAllocaterFunds>();
+}
+
+}  // namespace hku

hikyuu_cpp/hikyuu/trade_sys/allocatefunds/imp/MultiFactorAllocaterFunds.h

@@ -0,0 +1,23 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-30
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "../AllocateFundsBase.h"
+
+namespace hku {
+
+class MultiFactorAllocaterFunds : public AllocateFundsBase {
+    ALLOCATEFUNDS_IMP(MultiFactorAllocaterFunds)
+    ALLOCATEFUNDS_NO_PRIVATE_MEMBER_SERIALIZATION
+
+public:
+    MultiFactorAllocaterFunds();
+    virtual ~MultiFactorAllocaterFunds();
+};
+
+}  // namespace hku

hikyuu_cpp/hikyuu/trade_sys/factor/MultiFactorBase.cpp → hikyuu_cpp/hikyuu/trade_sys/multifactor/MultiFactorBase.cpp

@@ -123,6 +123,14 @@ void MultiFactorBase::paramChanged() {
     m_calculated = false;
 }
 
+void MultiFactorBase::reset() {
+    std::lock_guard<std::mutex> lock(m_mutex);
+    _reset();
+
+    // 仅重置 m_calculated，其他缓存不重置，否则线程不安全
+    m_calculated = false;
+}
+
 MultiFactorPtr MultiFactorBase::clone() {
     std::lock_guard<std::mutex> lock(m_mutex);
     MultiFactorPtr p;
@@ -142,23 +150,23 @@ MultiFactorPtr MultiFactorBase::clone() {
     p->m_stks = m_stks;
     p->m_ref_stk = m_ref_stk;
     p->m_query = m_query;
-    p->m_stk_map = m_stk_map;
-    p->m_all_factors = m_all_factors;
-    p->m_date_index = m_date_index;
-    p->m_stk_factor_by_date = m_stk_factor_by_date;
     p->m_ref_dates = m_ref_dates;
-    p->m_ic = m_ic.clone();
-    p->m_calculated = m_calculated;
 
     p->m_inds.reserve(m_inds.size());
     for (const auto& ind : m_inds) {
         p->m_inds.emplace_back(ind.clone());
     }
 
-    p->m_all_factors.reserve(m_all_factors.size());
-    for (const auto& ind : m_all_factors) {
-        p->m_all_factors.emplace_back(ind.clone());
-    }
+    p->m_calculated = false;
+    // 强制重算，不克隆以下缓存，避免非线程安全
+    // p->m_stk_map = m_stk_map;
+    // p->m_date_index = m_date_index;
+    // p->m_stk_factor_by_date = m_stk_factor_by_date;
+    // p->m_ic = m_ic.clone();
+    // p->m_all_factors.reserve(m_all_factors.size());
+    // for (const auto& ind : m_all_factors) {
+    //     p->m_all_factors.emplace_back(ind.clone());
+    // }
     return p;
 }
 
@@ -181,6 +189,22 @@ const ScoreRecordList& MultiFactorBase::getScore(const Datetime& d) {
     return m_stk_factor_by_date[iter->second];
 }
 
+ScoreRecordList MultiFactorBase::getScores(const Datetime& date, size_t start, size_t end) {
+    ScoreRecordList ret;
+    HKU_IF_RETURN(start >= end, ret);
+
+    const auto& cross = getScore(date);
+    if (end == Null<size_t>() || end > cross.size()) {
+        end = cross.size();
+    }
+
+    for (size_t i = start; i < end; i++) {
+        ret.emplace_back(cross[i]);
+    }
+
+    return ret;
+}
+
 ScoreRecordList MultiFactorBase::getScores(const Datetime& date, size_t start, size_t end,
                                            std::function<bool(const ScoreRecord&)>&& filter) {
     ScoreRecordList ret;

hikyuu_cpp/hikyuu/trade_sys/factor/MultiFactorBase.h → hikyuu_cpp/hikyuu/trade_sys/multifactor/MultiFactorBase.h

@@ -82,20 +82,20 @@ class HKU_API MultiFactorBase : public enable_shared_from_this<MultiFactorBase>
     /** 获取指定日期截面的所有因子值，已经降序排列 */
     const ScoreRecordList& getScore(const Datetime&);
 
+    ScoreRecordList getScores(const Datetime& date, size_t start, size_t end = Null<size_t>());
+
     /**
      * 获取指定日期截面 [start, end] 范围内的因子值（评分）, 并通过filer进行过滤
      * @param date 指定日期
      * @param start 排序起始点
      * @param end 排序起始点(不含该点)
      * @param filter 过滤函数
      */
-    ScoreRecordList getScores(
-      const Datetime& date, size_t start, size_t end = Null<size_t>(),
-      std::function<bool(const ScoreRecord&)>&& filter = std::function<bool(const ScoreRecord&)>());
+    ScoreRecordList getScores(const Datetime& date, size_t start, size_t end,
+                              std::function<bool(const ScoreRecord&)>&& filter);
 
-    ScoreRecordList getScores(const Datetime& date, size_t start, size_t end = Null<size_t>(),
-                              std::function<bool(const Datetime&, const ScoreRecord&)>&& filter =
-                                std::function<bool(const Datetime&, const ScoreRecord&)>());
+    ScoreRecordList getScores(const Datetime& date, size_t start, size_t end,
+                              std::function<bool(const Datetime&, const ScoreRecord&)>&& filter);
 
     /** 获取所有截面数据，已按降序排列 */
     const vector<ScoreRecordList>& getAllScores();
@@ -123,9 +123,12 @@ class HKU_API MultiFactorBase : public enable_shared_from_this<MultiFactorBase>
      */
     vector<IndicatorList> getAllSrcFactors();
 
+    void reset();
+
     typedef std::shared_ptr<MultiFactorBase> MultiFactorPtr;
     MultiFactorPtr clone();
 
+    virtual void _reset() {}
     virtual MultiFactorPtr _clone() = 0;
     virtual IndicatorList _calculate(const vector<IndicatorList>&) = 0;
 

hikyuu_cpp/hikyuu/trade_sys/portfolio/Portfolio.cpp

@@ -370,18 +370,21 @@ void Portfolio::_runMoment(const Datetime& date, bool adjust) {
     // 跟踪打印持仓情况
     //----------------------------------------------------------------------
     if (trace && !m_running_sys_set.empty()) {
+        // clang-format off
         HKU_INFO(
-          "+------------+------------+------------+--------------+--------------+-------------+");
+          "+------------+------------+------------+--------------+--------------+-------------+-------------+");
         HKU_INFO(
-          "| code       | name       | position   | market value | remain cash  | close price |");
+          "| code       | name       | position   | market value | remain cash  | open price  | close price  |");
         HKU_INFO(
-          "+------------+------------+------------+--------------+--------------+-------------+");
+          "+------------+------------+------------+--------------+--------------+-------------+-------------+");
+        // clang-format on
 
         size_t count = 0;
         for (const auto& sys : m_running_sys_set) {
             Stock stk = sys->getStock();
             auto funds = sys->getTM()->getFunds(date, m_query.kType());
             size_t position = sys->getTM()->getHoldNumber(date, stk);
+            KRecord krecord = stk.getKRecord(date, m_query.kType());
 #if HKU_OS_WINDOWS
             auto stk_name =
               runningInPython() && pythonInJupyter() ? stk.name() : UTF8ToGB(stk.name());
@@ -390,18 +393,18 @@ void Portfolio::_runMoment(const Datetime& date, bool adjust) {
                     stk_name.push_back(' ');
                 }
             }
-            HKU_INFO("| {:<11}| {}| {:<11}| {:<13.2f}| {:<13.2f}| {:<12.2f}|", stk.market_code(),
-                     stk_name, position, funds.market_value, funds.cash,
-                     stk.getKRecord(date, m_query.kType()).closePrice);
+            HKU_INFO("| {:<11}| {}| {:<11}| {:<13.2f}| {:<13.2f}| {:<12.2f}| {:<12.2f}|",
+                     stk.market_code(), stk_name, position, funds.market_value, funds.cash,
+                     krecord.openPrice, krecord.closePrice);
 #else
             auto stk_name = stk.name();
-            HKU_INFO("| {:<11}| {:<11}| {:<11}| {:<13.2f}| {:<13.2f}| {:<12.2f}|",
+            HKU_INFO("| {:<11}| {:<11}| {:<11}| {:<13.2f}| {:<13.2f}| {:<12.2f}| {:<12.2f}|",
                      stk.market_code(), stk_name, position, funds.market_value, funds.cash,
-                     stk.getKRecord(date, m_query.kType()).closePrice);
+                     krecord.openPrice, krecord.closePrice);
 #endif
             HKU_INFO(
               "+------------+------------+------------+--------------+--------------+-------------"
-              "+");
+              "+-------------+");
             if (++count >= 10) {
                 break;
             }

hikyuu_cpp/hikyuu/trade_sys/selector/build_in.h

@@ -10,6 +10,7 @@
 #define TRADE_SYS_SELECTOR_BUILD_IN_H_
 
 #include "crt/SE_Fixed.h"
+#include "crt/SE_MultiFactor.h"
 #include "crt/SE_Signal.h"
 
 #endif /* TRADE_SYS_SELECTOR_BUILD_IN_H_ */

hikyuu_cpp/hikyuu/trade_sys/selector/crt/SE_MultiFactor.h

@@ -0,0 +1,42 @@
+/*
+ *  Copyright (c) 2024 hikyuu.org
+ *
+ *  Created on: 2024-03-30
+ *      Author: fasiondog
+ */
+
+#pragma once
+
+#include "hikyuu/trade_sys/multifactor/MultiFactorBase.h"
+#include "../SelectorBase.h"
+
+namespace hku {
+
+/**
+ * 基于 MultiFactor 选股算法
+ * @param mf MultiFactor 实例
+ * @param topn 只选取时间截面中前 topn 个系统
+ * @return SelectorPtr
+ * @ingroup Selector
+ */
+SelectorPtr HKU_API SE_MultiFactor(const MFPtr& mf, int topn = 10);
+
+/**
+ * 基于 MultiFactor 选股算法
+ * @param src_inds 原始因子公式
+ * @param stks 证券列表
+ * @param query 查询条件
+ * @param topn 只选取时间截面中前 topn 个系统
+ * @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 mode "MF_ICIRWeight" | "MF_ICWeight" | "MF_EqualWeight" 因子合成算法名称
+ * @return SelectorPtr
+ * @ingroup Selector
+ */
+SelectorPtr HKU_API SE_MultiFactor(const IndicatorList& src_inds, const StockList& stks,
+                                   const KQuery& query, int topn = 10, int ic_n = 5,
+                                   int ic_rolling_n = 120, const Stock& ref_stk = Stock(),
+                                   const string& mode = "MF_ICIRWeight");
+
+}  // namespace hku