Merge pull request #211 from fasiondog/feature/factor

StockManager/Block/MF 增加过滤函数；其他

hikyuu_cpp/hikyuu/Block.cpp

@@ -62,12 +62,20 @@ Stock Block::get(const string& market_code) const {
     return result;
 }
 
-vector<Stock> Block::getAllStocks() const {
-    vector<Stock> ret;
+StockList Block::getStockList(std::function<bool(const Stock&)>&& filter) const {
+    StockList ret;
     ret.reserve(size());
     auto iter = m_data->m_stockDict.begin();
-    for (; iter != m_data->m_stockDict.end(); ++iter) {
-        ret.emplace_back(iter->second);
+    if (filter) {
+        for (; iter != m_data->m_stockDict.end(); ++iter) {
+            if (filter(iter->second)) {
+                ret.emplace_back(iter->second);
+            }
+        }
+    } else {
+        for (; iter != m_data->m_stockDict.end(); ++iter) {
+            ret.emplace_back(iter->second);
+        }
     }
     return ret;
 }

hikyuu_cpp/hikyuu/Block.h

@@ -87,7 +87,8 @@ class HKU_API Block {
     }
 
     /** 获取板块下所有证券 */
-    vector<Stock> getAllStocks() const;
+    StockList getStockList(
+      std::function<bool(const Stock&)>&& filter = std::function<bool(const Stock&)>()) const;
 
     /** 加入指定证券 */
     bool add(const Stock& stock);

hikyuu_cpp/hikyuu/StockManager.cpp

@@ -327,6 +327,25 @@ Stock StockManager::getStock(const string& querystr) const {
     return (iter != m_stockDict.end()) ? iter->second : result;
 }
 
+StockList StockManager::getStockList(std::function<bool(const Stock&)>&& filter) const {
+    StockList ret;
+    ret.reserve(m_stockDict.size());
+    std::lock_guard<std::mutex> lock(*m_stockDict_mutex);
+    auto iter = m_stockDict.begin();
+    if (filter) {
+        for (; iter != m_stockDict.end(); ++iter) {
+            if (filter(iter->second)) {
+                ret.emplace_back(iter->second);
+            }
+        }
+    } else {
+        for (; iter != m_stockDict.end(); ++iter) {
+            ret.emplace_back(iter->second);
+        }
+    }
+    return ret;
+}
+
 MarketInfo StockManager::getMarketInfo(const string& market) const {
     MarketInfo result;
     string market_tmp = market;

hikyuu_cpp/hikyuu/StockManager.h

@@ -100,6 +100,9 @@ class HKU_API StockManager {
     /** 同 getStock @see getStock */
     Stock operator[](const string&) const;
 
+    StockList getStockList(
+      std::function<bool(const Stock&)>&& filter = std::function<bool(const Stock&)>()) const;
+
     /**
      * 获取相应的市场信息
      * @param market 指定的市场标识

hikyuu_cpp/hikyuu/analysis/combinate.cpp

@@ -71,7 +71,7 @@ vector<CombinateAnalysisOutput> HKU_API combinateIndicatorAnalysisWithBlock(
     }
 
     vector<CombinateAnalysisOutput> result;
-    auto stocks = blk.getAllStocks();
+    auto stocks = blk.getStockList();
     size_t total = stocks.size();
     HKU_IF_RETURN(total == 0, result);
 

hikyuu_cpp/hikyuu/indicator/crt/POS.cpp

@@ -36,7 +36,7 @@ Indicator HKU_API POS(const Block& block, KQuery query, SignalPtr sg) {
         }
     }
 
-    auto stks = block.getAllStocks();
+    auto stks = block.getStockList();
     vector<SGPtr> sgs = parallel_for_index(0, stks.size(), [&](size_t i) {
         auto tmpsg = sg->clone();
         auto kdata = stks[i].getKData(query);

hikyuu_cpp/hikyuu/indicator/imp/IIc.cpp

@@ -117,7 +117,7 @@ Indicator HKU_API IC(const StockList& stks, const KQuery& query, const Stock& re
 }
 
 Indicator HKU_API IC(const Block& blk, const KQuery& query, const Stock& ref_stk, int n) {
-    StockList stks = blk.getAllStocks();
+    StockList stks = blk.getStockList();
     return IC(stks, query, ref_stk, n);
 }
 

hikyuu_cpp/hikyuu/trade_sys/factor/MultiFactorBase.cpp

@@ -198,6 +198,18 @@ ScoreRecordList MultiFactorBase::getScore(const Datetime& date, size_t start, si
     return ret;
 }
 
+ScoreRecordList MultiFactorBase::getScore(const Datetime& date,
+                                          std::function<bool(const ScoreRecord&)> filter) {
+    ScoreRecordList ret;
+    const auto& all_scores = getScore(date);
+    for (const auto& score : all_scores) {
+        if (filter(score)) {
+            ret.emplace_back(score);
+        }
+    }
+    return ret;
+}
+
 const vector<ScoreRecordList>& MultiFactorBase::getAllScores() {
     calculate();
     return m_stk_factor_by_date;

hikyuu_cpp/hikyuu/trade_sys/factor/MultiFactorBase.h

@@ -13,7 +13,7 @@
 namespace hku {
 
 /**
- * 合成多因子
+ * 合成多因子，当只有一个因子时相当于简易的评分板
  * @ingroup MultiFactor
  */
 class HKU_API MultiFactorBase : public enable_shared_from_this<MultiFactorBase> {
@@ -84,6 +84,9 @@ class HKU_API MultiFactorBase : public enable_shared_from_this<MultiFactorBase>
 
     ScoreRecordList getScore(const Datetime& date, size_t start, size_t end = Null<size_t>());
 
+    /** 获取指定日期截面的所有因子值, 并通过指定的filer进行过滤 */
+    ScoreRecordList getScore(const Datetime& date, std::function<bool(const ScoreRecord&)> filter);
+
     /** 获取所有截面数据，已按降序排列 */
     const vector<ScoreRecordList>& getAllScores();
 

hikyuu_cpp/hikyuu/trade_sys/factor/ScoreRecord.h

@@ -29,6 +29,7 @@ struct HKU_API ScoreRecord {
 };
 
 typedef vector<ScoreRecord> ScoreRecordList;
+typedef vector<ScoreRecord> ScoreList;
 
 HKU_API std::ostream& operator<<(std::ostream& out, const ScoreRecord& td);
 

hikyuu_cpp/hikyuu/trade_sys/system/System.cpp

@@ -696,11 +696,13 @@ TradeRecord System::_sellForce(const Datetime& date, double num, Part from, bool
                         "Failed to sellForce {}, the day {} could'nt sell!", m_stock.market_code(),
                         date);
 
+    PositionRecord position = m_tm->getPosition(date, m_stock);
+    HKU_IF_RETURN(position.number <= 0.0, record);
+
     const auto& krecord = m_kdata.getKRecord(pos);
     const auto& src_krecord =
       m_stock.getKRecord(m_kdata.startPos() + pos, m_kdata.getQuery().kType());
 
-    PositionRecord position = m_tm->getPosition(date, m_stock);
     price_t realPrice =
       _getRealSellPrice(krecord.datetime, on_open ? src_krecord.openPrice : src_krecord.closePrice);
 

hikyuu_cpp/hikyuu/utilities/SpendTimer.cpp

@@ -66,7 +66,10 @@ SpendTimer::~SpendTimer() {
 #endif
 
 #else
-            printf("%5zu keep: %7.3f %s - %s\n", i, duration, unit.c_str(), m_keep_desc[i].c_str());
+            // printf("%5zu keep: %7.3f %s - %s\n", i, duration, unit.c_str(),
+            // m_keep_desc[i].c_str());
+            std::cout << std::setw(5) << " keep: " << i << std::setw(7) << std::setprecision(3)
+                      << duration << " " << unit << " - " << m_keep_desc[i] << std::endl;
 #endif /* __ANDROID__ */
         }
     }
@@ -113,7 +116,8 @@ void SpendTimer::show() const {
 #endif
 
 #else
-    printf("%s", outmsg);
+    // printf("%s", outmsg);
+    std::cout << outmsg;
 #endif /* __ANDROID__ */
 }
 

hikyuu_pywrap/_Block.cpp

@@ -92,5 +92,25 @@ void export_Block(py::module& m) {
         },
         py::keep_alive<0, 1>())
 
+      .def(
+        "get_stock_list",
+        [](const Block& self, py::object filter) {
+            StockList ret;
+            if (filter.is_none()) {
+                ret = self.getStockList();
+            } else {
+                HKU_CHECK(py::hasattr(filter, "__call__"), "filter not callable!");
+                py::object filter_func = filter.attr("__call__");
+                ret = self.getStockList(
+                  [&](const Stock& stk) { return filter_func(stk).cast<bool>(); });
+            }
+            return ret;
+        },
+        py::arg("filter") = py::none(), R"(get_stock_list(self[, filter=None])
+        
+    获取证券列表
+
+    :param func filter: 输入参数为 stock, 返回 True | False 的过滤函数)")
+
         DEF_PICKLE(Block);
 }

hikyuu_pywrap/_StockManager.cpp

@@ -83,6 +83,26 @@ void export_StockManager(py::module& m) {
     :return: 对应的证券实例，如果实例不存在，则Null<Stock>()，不抛出异常
     :rtype: Stock)")
 
+      .def(
+        "get_stock_list",
+        [](const StockManager& self, py::object filter) {
+            StockList ret;
+            if (filter.is_none()) {
+                ret = self.getStockList();
+            } else {
+                HKU_CHECK(py::hasattr(filter, "__call__"), "filter not callable!");
+                py::object filter_func = filter.attr("__call__");
+                ret = self.getStockList(
+                  [&](const Stock& stk) { return filter_func(stk).cast<bool>(); });
+            }
+            return ret;
+        },
+        py::arg("filter") = py::none(), R"(get_stock_list(self[, filter=None])
+        
+    获取证券列表
+
+    :param func filter: 输入参数为 stock, 返回 True | False 的过滤函数)")
+
       .def("get_block", &StockManager::getBlock, R"(get_block(self, category, name)
 
     获取预定义的板块

hikyuu_pywrap/trade_sys/_MultiFactor.cpp

@@ -136,6 +136,14 @@ void export_MultiFactor(py::module& m) {
     :param int end: 取当日排名结束(不包含本身)
     :rtype: ScoreRecordList)")
 
+      .def("get_score",
+           [](MultiFactorBase& self, const Datetime& date, py::object filter) {
+               HKU_CHECK(py::hasattr(filter, "__call__"), "filter not callable!");
+               py::object filter_func = filter.attr("__call__");
+               return self.getScore(
+                 date, [&](const ScoreRecord& score) { return filter_func(score).cast<bool>(); });
+           })
+
       .def("get_all_scores", &MultiFactorBase::getAllScores, py::return_value_policy::copy,
            R"(get_all_scores(self)
 

requirements.txt

@@ -15,4 +15,5 @@ flatbuffers>=23.5.6
 pynng
 akshare
 pyecharts
-pipdeptree
+pipdeptree
+h5py