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Merge pull request #219 from fasiondog/feature/factor
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System support trace
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@fasiondog
fasiondog committed Apr 2, 2024
2 parents dd7b0d6 + ddefc37 commit d8cd94a
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Showing 11 changed files with 80 additions and 193 deletions.
68 changes: 0 additions & 68 deletions hikyuu_cpp/hikyuu/trade_sys/moneymanager/imp/FixedRatioMoneyManager.cpp
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46 changes: 0 additions & 46 deletions hikyuu_cpp/hikyuu/trade_sys/moneymanager/imp/FixedRatioMoneyManager.h
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6 changes: 5 additions & 1 deletion hikyuu_cpp/hikyuu/trade_sys/portfolio/Portfolio.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -63,6 +63,10 @@ void Portfolio::baseCheckParam(const string& name) const {
if ("adjust_cycle" == name) {
int adjust_cycle = getParam<int>("adjust_cycle");
HKU_ASSERT(adjust_cycle >= 1);
} else if ("trace" == name) {
if (getParam<bool>("trace") && pythonInJupyter()) {
HKU_THROW("You can't trace in jupyter!");
}
}
}

Expand Down Expand Up @@ -148,7 +152,7 @@ void Portfolio::_readyForRun() {
sys->getTM()->name(fmt::format("TM_SUB_{}", sys_name));
sys->name(fmt::format("PF_{}", sys_name));

HKU_CHECK(sys->readyForRun(), "Exist invalid system, it could not ready for run!");
sys->readyForRun();
KData k = sys->getStock().getKData(m_query);
sys->setTO(k);
}
Expand Down
109 changes: 70 additions & 39 deletions hikyuu_cpp/hikyuu/trade_sys/system/System.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -5,6 +5,7 @@
* Author: fasiondog
*/

#include "hikyuu/global/sysinfo.h"
#include "System.h"

namespace hku {
Expand Down Expand Up @@ -82,6 +83,8 @@ System::System(const TradeManagerPtr& tm, const MoneyManagerPtr& mm, const Envir
System::~System() {}

void System::initParam() {
setParam<bool>("trace", false);

// 连续延迟交易请求的限制次数，需大于等于0，0表示只允许延迟1次
setParam<int>("max_delay_count", 3);

Expand All @@ -92,7 +95,7 @@ void System::initParam() {
// 延迟操作的情况下，是使用当前的价格计算新的止损价/止赢价/目标价还是使用上次计算的结果
setParam<bool>("delay_use_current_price", true);
setParam<bool>("tp_monotonic", true); // 止赢单调递增
setParam<int>("tp_delay_n", 3); // 止赢延迟判断天数
setParam<int>("tp_delay_n", 1); // 止赢延迟判断天数
setParam<bool>("ignore_sell_sg", false); // 忽略卖出信号，只使用止损/止赢等其他方式卖出

// 最高价等于最低价时，是否可进行交易
Expand Down Expand Up @@ -128,6 +131,10 @@ void System::baseCheckParam(const string& name) const {
HKU_ASSERT(getParam<int>("max_delay_count") >= 0);
} else if ("tp_delay_n" == name) {
HKU_ASSERT(getParam<int>("tp_delay_n") >= 0);
} else if ("trace" == name) {
if (getParam<bool>("trace") && pythonInJupyter()) {
HKU_THROW("You can't trace in jupyter!");
}
}
}

Expand Down Expand Up @@ -318,10 +325,10 @@ void System::_sellNotifyAll(const TradeRecord& record) {
m_pg->sellNotify(record);
}

bool System::readyForRun() {
HKU_ERROR_IF_RETURN(!m_tm, false, "Not setTradeManager!");
HKU_ERROR_IF_RETURN(!m_mm, false, "Not setMoneyManager!");
HKU_ERROR_IF_RETURN(!m_sg, false, "Not setSignal!");
void System::readyForRun() {
HKU_CHECK(m_tm, "Not setTradeManager! {}", name());
HKU_CHECK(m_mm, "Not setMoneyManager! {}", name());
HKU_CHECK(m_sg, "Not setSignal! {}", name());

// 如果存在市场环境判断策略，则需要将默认的前一日市场有效标志置为false
// 因为需要由市场环境判断策略全权判定市场是否有效
Expand All @@ -344,62 +351,56 @@ bool System::readyForRun() {

m_tm->setParam<bool>("support_borrow_cash", getParam<bool>("support_borrow_cash"));
m_tm->setParam<bool>("support_borrow_stock", getParam<bool>("support_borrow_stock"));

return true;
}

void System::run(const KQuery& query, bool reset, bool resetAll) {
HKU_CHECK(!m_stock.isNull(), "m_stock is NULL!");

// reset必须在readyForRun之前，否则m_pre_cn_valid、m_pre_ev_valid将会被赋为错误的初值
if (resetAll) {
this->forceResetAll();
} else if (reset) {
this->reset();
}

KData kdata = m_stock.getKData(query);
HKU_DEBUG_IF_RETURN(m_calculated && m_kdata == kdata, void(), "Not need calculate.");

HKU_IF_RETURN(!readyForRun(), void());

setTO(kdata);
size_t total = kdata.size();
auto const* ks = kdata.data();
auto const* src_ks = m_src_kdata.data();
for (size_t i = 0; i < total; ++i) {
if (ks[i].datetime >= m_tm->initDatetime()) {
_runMoment(ks[i], src_ks[i]);
}
}
m_calculated = true;
run(kdata, reset, resetAll);
}

void System::run(const Stock& stock, const KQuery& query, bool reset, bool resetAll) {
m_stock = stock;
run(query, reset, resetAll);
HKU_CHECK(!stock.isNull(), "stock is NULL!");
KData kdata = stock.getKData(query);
run(kdata, reset, resetAll);
}

void System::run(const KData& kdata, bool reset, bool resetAll) {
// reset必须在readyForRun之前，否则m_pre_cn_valid、m_pre_ev_valid将会被赋为错误的初值
if (resetAll) {
this->forceResetAll();
} else if (reset) {
// System::run 供单体系统进行回测，需要强制复位所有的组件，忽略组件的共享属性
this->reset();
}

HKU_DEBUG_IF_RETURN(m_calculated && m_kdata == kdata, void(), "Not need calculate.");

HKU_IF_RETURN(!readyForRun(), void());
readyForRun();

bool trace = getParam<bool>("trace");
setTO(kdata);
size_t total = kdata.size();
auto const* ks = kdata.data();
auto const* src_ks = m_src_kdata.data();
for (size_t i = 0; i < total; ++i) {
if (ks[i].datetime >= m_tm->initDatetime()) {
_runMoment(ks[i], src_ks[i]);
auto tr = _runMoment(ks[i], src_ks[i]);
if (trace) {
HKU_INFO_IF(!tr.isNull(), "{}", tr);
PositionRecord position = m_tm->getPosition(ks[i].datetime, m_stock);
FundsRecord funds = m_tm->getFunds(kdata.getQuery().kType());
if (position.number > 0.0) {
// clang-format off
HKU_INFO("+-------------+-------------+-------------+-------------+-------------+-------------+-------------+-------------+-------------+");
HKU_INFO("| total | cash | profit | market | position | close price | stoploss | goal price | total cost |");
HKU_INFO("+-------------+-------------+-------------+-------------+-------------+-------------+-------------+-------------+-------------+");
HKU_INFO("| {:<12.2f}| {:<12.2f}| {:<12.2f}| {:<12.2f}| {:<12.2f}| {:<12.2f}| {:<12.2f}| {:<12.2f}| {:<12.2f}|",
funds.total_assets(), funds.cash, funds.profit(), funds.market_value, position.number, src_ks[i].closePrice,
position.stoploss, position.goalPrice, position.totalCost);
HKU_INFO("+-------------+-------------+-------------+-------------+-------------+-------------+-------------+-------------+-------------+");
// clang-format on
}
}
}
}
m_calculated = true;
Expand All @@ -422,12 +423,21 @@ TradeRecord System::runMoment(const Datetime& datetime) {
}

TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) {
bool trace = getParam<bool>("trace");
if (trace) {
HKU_INFO("{} ------------------------------------------------------", today.datetime);
HKU_INFO("[{}] source {} ", name(), src_today);
HKU_INFO_IF(m_kdata.getQuery().recoverType() != KQuery::NO_RECOVER, "[{}] Restitution {} ",
name(), src_today);
}

m_buy_days++;
m_sell_short_days++;
TradeRecord result;
if ((today.highPrice == today.lowPrice || today.closePrice > today.highPrice ||
today.closePrice < today.lowPrice) &&
!getParam<bool>("can_trade_when_high_eq_low")) {
HKU_INFO_IF(trace, "[{}] ignore current highPrice == lowPrice", name());
return result;
}

Expand All @@ -446,6 +456,7 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) {
// 如果持有多头仓位，则立即清仓卖出
if (m_tm->have(m_stock)) {
tr = _sell(today, src_today, PART_ENVIRONMENT);
HKU_INFO_IF(trace, "[{}] EV to sell", name());
}

m_pre_ev_valid = current_ev_valid;
Expand All @@ -456,6 +467,7 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) {
if (!m_pre_ev_valid) {
// 如果使用环境判定策略进行初始建仓
if (getParam<bool>("ev_open_position")) {
HKU_INFO_IF(trace, "[{}] EV to buy", name());
TradeRecord tr = _buy(today, src_today, PART_ENVIRONMENT);
m_pre_ev_valid = current_ev_valid;
return tr.isNull() ? result : tr;
Expand All @@ -476,6 +488,7 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) {
// 如果持有多头仓位，则立即清仓卖出
if (m_tm->have(m_stock)) {
tr = _sell(today, src_today, PART_CONDITION);
HKU_INFO_IF(trace, "[{}] CN to sell", name());
}

m_pre_cn_valid = current_cn_valid;
Expand All @@ -486,6 +499,7 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) {
if (!m_pre_cn_valid) {
// 如果使用环境判定策略进行初始建仓
if (getParam<bool>("cn_open_position")) {
HKU_INFO_IF(trace, "[{}] CN to buy", name());
TradeRecord tr = _buy(today, src_today, PART_CONDITION);
m_pre_cn_valid = current_cn_valid;
return tr.isNull() ? result : tr;
Expand All @@ -501,20 +515,28 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) {
// 如果有买入信号
if (m_sg->shouldBuy(today.datetime)) {
TradeRecord tr;
if (m_tm->haveShort(m_stock))
if (m_tm->haveShort(m_stock)) {
HKU_INFO_IF(trace, "[{}] SG to buy short", name());
tr = _buyShort(today, src_today, PART_SIGNAL);
else

} else {
HKU_INFO_IF(trace, "[{}] SG to buy", name());
tr = _buy(today, src_today, PART_SIGNAL);
}
return tr.isNull() ? result : tr;
}

// 发出卖出信号
if (m_sg->shouldSell(today.datetime)) {
TradeRecord tr;
if (m_tm->have(m_stock))
if (m_tm->have(m_stock)) {
HKU_INFO_IF(trace, "[{}] SG to sell", name());
tr = _sell(today, src_today, PART_SIGNAL);
else

} else {
HKU_INFO_IF(trace, "[{}] SG to sell short", name());
tr = _sellShort(today, src_today, PART_SIGNAL);
}
return tr.isNull() ? result : tr;
}

Expand All @@ -531,10 +553,15 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) {
if (position.number != 0) {
TradeRecord tr;
if (src_current_price <= position.stoploss) {
HKU_INFO_IF(trace, "[{}] ST to sell, current price: {}, stoploss: {}", name(),
src_current_price, position.stoploss);
tr = _sell(today, src_today, PART_STOPLOSS);
//} else if (current_price >= position.goalPrice) {

} else if (src_current_price >= _getGoalPrice(today.datetime, src_current_price)) {
HKU_INFO_IF(trace, "[{}] PG to sell, current price: {}, goal: {} ", name(),
src_current_price, _getGoalPrice(today.datetime, src_current_price));
tr = _sell(today, src_today, PART_PROFITGOAL);

} else {
price_t current_take_profile = _getTakeProfitPrice(today.datetime);
if (current_take_profile != 0.0) {
Expand All @@ -549,6 +576,10 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) {
size_t position_pos = m_kdata.getPos(position.takeDatetime);
// 如果当前价格小于等于止盈价，且满足止盈延迟条件则卖出
if (pos - position_pos >= tp_delay_n && current_price <= current_take_profile) {
HKU_INFO_IF(
trace,
"[{}] TP to sell, current price after restoration: {}, take_profit: {}",
name(), current_price, current_take_profile);
tr = _sell(today, src_today, PART_TAKEPROFIT);
}
}
Expand Down
4 changes: 2 additions & 2 deletions hikyuu_cpp/hikyuu/trade_sys/system/System.h
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Original file line number Diff line number Diff line change
Expand Up @@ -206,8 +206,8 @@ class HKU_API System {
// 当前是否存在延迟的操作请求，供Portfolio
bool haveDelayRequest() const;

// 运行前准备工作
bool readyForRun();
// 运行前准备工作, 失败将抛出异常
void readyForRun();

TradeRecord sell(const KRecord& today, const KRecord& src_today, Part from) {
return _sell(today, src_today, from);
Expand Down

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