update for strategy trade

hikyuu_cpp/hikyuu/strategy/StrategyTradeManager.cpp → hikyuu_cpp/hikyuu/strategy/AccountTradeManager.cpp

@@ -5,6 +5,6 @@
  *     Author: fasiondog
  */
 
-#include "StrategyTradeManager.h"
+#include "AccountTradeManager.h"
 
 namespace hku {}  // namespace hku
\ No newline at end of file

hikyuu_cpp/hikyuu/strategy/AccountTradeManager.h

+/*
+ *  Copyright(C) 2021 hikyuu.org
+ *
+ *  Create on: 2021-03-23
+ *     Author: fasiondog
+ */
+
+#pragma once
+
+#include "../trade_manage/TradeManagerBase.h"
+
+namespace hku {
+
+class HKU_API AccountTradeManager : public TradeManagerBase {
+public:
+    AccountTradeManager() = default;
+    AccountTradeManager(const string& name) : TradeManagerBase(name, TC_Zero()) {}
+    virtual ~AccountTradeManager() = default;
+
+    virtual void _reset() override {}
+
+    virtual shared_ptr<TradeManagerBase> _clone() override {
+        return std::make_shared<AccountTradeManager>();
+    }
+
+    /**
+     * 获取指定对象的保证金比率
+     * @param datetime 日期
+     * @param stock 指定对象
+     */
+    virtual double getMarginRate(const Datetime& datetime, const Stock& stock) override {
+        HKU_WARN("The subclass does not implement a getMarginRate method");
+        return 0.0;
+    }
+
+    /** 初始资金 */
+    virtual price_t initCash() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return 0.0;
+    }
+
+    /** 账户建立日期 */
+    virtual Datetime initDatetime() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return Datetime();
+    }
+
+    /** 第一笔买入交易发生日期，如未发生交易返回Null<Datetime>() */
+    virtual Datetime firstDatetime() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return Datetime();
+    }
+
+    /** 最后一笔交易日期，注意和交易类型无关，如未发生交易返回账户建立日期 */
+    virtual Datetime lastDatetime() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return Datetime();
+    }
+
+    /**
+     * 返回当前现金
+     * @note 仅返回当前信息，不会根据权息进行调整
+     */
+    virtual price_t currentCash() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return 0.0;
+    }
+
+    /**
+     * 获取指定日期的现金
+     * @note 如果不带日期参数，无法根据权息信息调整持仓
+     */
+    virtual price_t cash(const Datetime& datetime, KQuery::KType ktype = KQuery::DAY) override {
+        HKU_WARN("The subclass does not implement this method");
+        return 0.0;
+    }
+
+    /**
+     * 当前是否持有指定的证券
+     * @note 这里未使用日期参数，必须保证是按日期顺序执行
+     * @param stock 指定证券
+     * @return true 是 | false 否
+     */
+    virtual bool have(const Stock& stock) const override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 当前空头仓位是否持有指定的证券
+     * @note 这里未使用日期参数，必须保证是按日期顺序执行
+     * @param stock 指定证券
+     * @return true 是 | false 否
+     */
+    virtual bool haveShort(const Stock& stock) const override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /** 当前持有的证券种类数量 */
+    virtual size_t getStockNumber() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return 0;
+    }
+
+    /** 当前空头持有的证券种类数量 */
+    virtual size_t getShortStockNumber() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return 0;
+    }
+
+    /** 获取指定时刻的某证券持有数量 */
+    virtual double getHoldNumber(const Datetime& datetime, const Stock& stock) override {
+        HKU_WARN("The subclass does not implement this method");
+        return 0.0;
+    }
+
+    /** 获取指定时刻的空头某证券持有数量 */
+    virtual double getShortHoldNumber(const Datetime& datetime, const Stock& stock) override {
+        HKU_WARN("The subclass does not implement this method");
+        return 0.0;
+    }
+
+    /** 获取指定时刻已借入的股票数量 */
+    virtual double getDebtNumber(const Datetime& datetime, const Stock& stock) override {
+        HKU_WARN("The subclass does not implement this method");
+        return 0.0;
+    }
+
+    /** 获取指定时刻已借入的现金额 */
+    virtual price_t getDebtCash(const Datetime& datetime) override {
+        HKU_WARN("The subclass does not implement this method");
+        return 0.0;
+    }
+
+    /** 获取全部交易记录 */
+    virtual TradeRecordList getTradeList() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return TradeRecordList();
+    }
+
+    /**
+     * 获取指定日期范围内的交易记录[start, end)
+     * @param start 起始日期
+     * @param end 结束日期
+     * @return 交易记录列表
+     */
+    virtual TradeRecordList getTradeList(const Datetime& start,
+                                         const Datetime& end) const override {
+        HKU_WARN("The subclass does not implement this method");
+        return TradeRecordList();
+    }
+
+    /** 获取当前全部持仓记录 */
+    virtual PositionRecordList getPositionList() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return PositionRecordList();
+    }
+
+    /** 获取全部历史持仓记录，即已平仓记录 */
+    virtual PositionRecordList getHistoryPositionList() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return PositionRecordList();
+    }
+
+    /** 获取当前全部空头仓位记录 */
+    virtual PositionRecordList getShortPositionList() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return PositionRecordList();
+    }
+
+    /** 获取全部空头历史仓位记录 */
+    virtual PositionRecordList getShortHistoryPositionList() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return PositionRecordList();
+    }
+
+    /** 获取指定证券的当前持仓记录，如当前未持有该票，返回Null<PositionRecord>() */
+    virtual PositionRecord getPosition(const Stock&) const override {
+        HKU_WARN("The subclass does not implement this method");
+        return PositionRecord();
+    }
+
+    /** 获取指定证券的当前空头仓位持仓记录，如当前未持有该票，返回Null<PositionRecord>() */
+    virtual PositionRecord getShortPosition(const Stock&) const override {
+        HKU_WARN("The subclass does not implement this method");
+        return PositionRecord();
+    }
+
+    /** 获取当前借入的股票列表 */
+    virtual BorrowRecordList getBorrowStockList() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return BorrowRecordList();
+    }
+
+    /**
+     * 存入资金
+     * @param datetime 存入时间
+     * @param cash 存入的资金量
+     * @return true | false
+     */
+    virtual bool checkin(const Datetime& datetime, price_t cash) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 取出资金
+     * @param datetime 取出时间
+     * @param cash 取出的资金量
+     * @return true | false
+     */
+    virtual bool checkout(const Datetime& datetime, price_t cash) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 存入资产
+     * @param datetime 存入日期
+     * @param stock 待存入的股票
+     * @param price 存入股票的每股价格
+     * @param number 存入股票的数量
+     * @return true | false
+     */
+    virtual bool checkinStock(const Datetime& datetime, const Stock& stock, price_t price,
+                              double number) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 取出当前资产
+     * @param datetime 取出日期
+     * @param stock 待取出的股票
+     * @param price 取出的每股价格
+     * @param number 取出的数量
+     * @return true | false
+     * @note 应该不会被用到
+     */
+    virtual bool checkoutStock(const Datetime& datetime, const Stock& stock, price_t price,
+                               double number) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 买入操作
+     * @param datetime 买入时间
+     * @param stock 买入的证券
+     * @param realPrice 实际买入价格
+     * @param number 买入数量
+     * @param stoploss 止损价
+     * @param goalPrice 目标价格
+     * @param planPrice 计划买入价格
+     * @param from 记录是哪个系统部件发出的买入指示
+     * @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
+     */
+    virtual TradeRecord buy(const Datetime& datetime, const Stock& stock, price_t realPrice,
+                            double number, price_t stoploss = 0.0, price_t goalPrice = 0.0,
+                            price_t planPrice = 0.0, SystemPart from = PART_INVALID) override {
+        HKU_WARN("The subclass does not implement this method");
+        return TradeRecord();
+    }
+
+    /**
+     * 卖出操作
+     * @param datetime 卖出时间
+     * @param stock 卖出的证券
+     * @param realPrice 实际卖出价格
+     * @param number 卖出数量，如果是 MAX_DOUBLE, 表示全部卖出
+     * @param stoploss 新的止损价
+     * @param goalPrice 新的目标价格
+     * @param planPrice 原计划卖出价格
+     * @param from 记录是哪个系统部件发出的卖出指示
+     * @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
+     */
+    virtual TradeRecord sell(const Datetime& datetime, const Stock& stock, price_t realPrice,
+                             double number = MAX_DOUBLE, price_t stoploss = 0.0,
+                             price_t goalPrice = 0.0, price_t planPrice = 0.0,
+                             SystemPart from = PART_INVALID) override {
+        HKU_WARN("The subclass does not implement this method");
+        return TradeRecord();
+    }
+
+    /**
+     * 卖空
+     * @param datetime 卖空时间
+     * @param stock 卖空的证券
+     * @param realPrice 实际卖空价格
+     * @param number 卖出数量
+     * @param stoploss 止损价
+     * @param goalPrice 目标价格
+     * @param planPrice 计划卖空价格
+     * @param from 记录是哪个系统部件发出的买入指示
+     * @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
+     */
+    virtual TradeRecord sellShort(const Datetime& datetime, const Stock& stock, price_t realPrice,
+                                  double number, price_t stoploss = 0.0, price_t goalPrice = 0.0,
+                                  price_t planPrice = 0.0,
+                                  SystemPart from = PART_INVALID) override {
+        HKU_WARN("The subclass does not implement this method");
+        return TradeRecord();
+    }
+
+    /**
+     * 卖空后回补
+     * @param datetime 买入时间
+     * @param stock 买入的证券
+     * @param realPrice 实际买入价格
+     * @param number 卖出数量，如果是 MAX_DOUBLE, 表示全部卖出
+     * @param stoploss 止损价
+     * @param goalPrice 目标价格
+     * @param planPrice 计划买入价格
+     * @param from 记录是哪个系统部件发出的卖出指示
+     * @return 返回对应的交易记录，如果操作失败，business等于BUSINESS_INVALID
+     */
+    virtual TradeRecord buyShort(const Datetime& datetime, const Stock& stock, price_t realPrice,
+                                 double number = MAX_DOUBLE, price_t stoploss = 0.0,
+                                 price_t goalPrice = 0.0, price_t planPrice = 0.0,
+                                 SystemPart from = PART_INVALID) override {
+        HKU_WARN("The subclass does not implement this method");
+        return TradeRecord();
+    }
+
+    /**
+     * 借入资金，从其他来源借取的资金，如融资
+     * @param datetime 借入时间
+     * @param cash 借入的现金
+     * @return true | false
+     */
+    virtual bool borrowCash(const Datetime& datetime, price_t cash) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 归还资金
+     * @param datetime 归还日期
+     * @param cash 归还现金
+     * @return true | false
+     */
+    virtual bool returnCash(const Datetime& datetime, price_t cash) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 借入证券
+     * @param datetime 借入时间
+     * @param stock 借入的stock
+     * @param price 借入时单股价格
+     * @param number 借入时数量
+     * @return true | false
+     */
+    virtual bool borrowStock(const Datetime& datetime, const Stock& stock, price_t price,
+                             double number) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 归还证券
+     * @param datetime 归还时间
+     * @param stock 归还的stock
+     * @param price 归还时单股价格
+     * @param number 归还数量
+     * @return true | false
+     */
+    virtual bool returnStock(const Datetime& datetime, const Stock& stock, price_t price,
+                             double number) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /**
+     * 获取账户当前时刻的资产详情
+     * @param ktype 日期的类型
+     * @return 资产详情
+     */
+    virtual FundsRecord getFunds(KQuery::KType ktype = KQuery::DAY) const override {
+        HKU_WARN("The subclass does not implement this method");
+        return FundsRecord();
+    }
+
+    /**
+     * 获取指定时刻的资产市值详情
+     * @param datetime 必须大于帐户建立的初始日期，或为Null<Datetime>()
+     * @param ktype 日期的类型
+     * @return 资产详情
+     * @note 当datetime等于Null<Datetime>()时，与getFunds(KType)同
+     */
+    virtual FundsRecord getFunds(const Datetime& datetime,
+                                 KQuery::KType ktype = KQuery::DAY) override {
+        HKU_WARN("The subclass does not implement this method");
+        return FundsRecord();
+    }
+
+    /**
+     * 获取资产净值曲线，含借入的资产
+     * @param dates 日期列表，根据该日期列表获取其对应的资产净值曲线
+     * @param ktype K线类型，必须与日期列表匹配，默认KQuery::DAY
+     * @return 资产净值列表
+     */
+    virtual PriceList getFundsCurve(const DatetimeList& dates,
+                                    KQuery::KType ktype = KQuery::DAY) override {
+        HKU_WARN("The subclass does not implement this method");
+        return PriceList();
+    }
+
+    /**
+     * 获取从账户建立日期到系统当前日期的资产净值曲线（按自然日），含借入的资产
+     * @return 资产净值列表
+     */
+    virtual PriceList getFundsCurve() override {
+        HKU_WARN("The subclass does not implement this method");
+        return PriceList();
+    }
+
+    /**
+     * 获取收益曲线，即扣除历次存入资金后的资产净值曲线
+     * @param dates 日期列表，根据该日期列表获取其对应的收益曲线，应为递增顺序
+     * @param ktype K线类型，必须与日期列表匹配，默认为KQuery::DAY
+     * @return 收益曲线
+     */
+    virtual PriceList getProfitCurve(const DatetimeList& dates,
+                                     KQuery::KType ktype = KQuery::DAY) override {
+        HKU_WARN("The subclass does not implement this method");
+        return PriceList();
+    }
+
+    /**
+     * 获取获取从账户建立日期到系统当前日期的收益曲线，即扣除历次存入资金后的资产净值曲线
+     * @return 收益曲线
+     */
+    virtual PriceList getProfitCurve() override {
+        HKU_WARN("The subclass does not implement this method");
+        return PriceList();
+    }
+
+    /**
+     * 直接加入交易记录
+     * @note 如果加入初始化账户记录，将清除全部已有交易及持仓记录
+     * @param tr 待加入的交易记录
+     * @return bool true 成功 | false 失败
+     */
+    virtual bool addTradeRecord(const TradeRecord& tr) override {
+        HKU_WARN("The subclass does not implement this method");
+        return false;
+    }
+
+    /** 字符串输出 */
+    virtual string str() const override {
+        HKU_WARN("The subclass does not implement this method");
+        return string();
+    }
+
+    /**
+     * 以csv格式输出交易记录、未平仓记录、已平仓记录、资产净值曲线
+     * @param path 输出文件所在目录
+     */
+    virtual void tocsv(const string& path) override {
+        HKU_WARN("The subclass does not implement this method");
+    }
+};
+
+}  // namespace hku
\ No newline at end of file

hikyuu_cpp/hikyuu/strategy/StrategyTradeManager.h

-/*
- *  Copyright(C) 2021 hikyuu.org
- *
- *  Create on: 2021-03-23
- *     Author: fasiondog
- */
-
-#pragma once
-
-#include "../trade_manage/TradeManagerBase.h"
-
-namespace hku {
-
-class HKU_API StrategyTradeManager : public TradeManagerBase {
-public:
-    StrategyTradeManager() = default;
-    virtual ~StrategyTradeManager() = default;
-};
-
-}  // namespace hku
\ No newline at end of file

hikyuu_cpp/hikyuu/trade_manage/TradeManager.cpp

@@ -152,14 +152,6 @@ TradeManagerPtr TradeManager::_clone() {
     return TradeManagerPtr(p);
 }
 
-void TradeManager::regBroker(const OrderBrokerPtr& broker) {
-    m_broker_list.push_back(broker);
-}
-
-void TradeManager::clearBroker() {
-    m_broker_list.clear();
-}
-
 double TradeManager::getMarginRate(const Datetime& datetime, const Stock& stock) {
     // TODO 获取保证金比率，默认固定取60%
     return 0.6;

hikyuu_cpp/hikyuu/trade_manage/TradeManager.h

@@ -51,17 +51,6 @@ public:
     /** 复位，清空交易、持仓记录 */
     virtual void _reset() override;
 
-    /**
-     * 注册订单代理
-     * @param broker 订单代理实例
-     */
-    virtual void regBroker(const OrderBrokerPtr& broker) override;
-
-    /**
-     * 清空已注册的订单代理
-     */
-    virtual void clearBroker() override;
-
     virtual shared_ptr<TradeManagerBase> _clone() override;
 
     /**
@@ -437,7 +426,7 @@ private:
     position_map_type m_short_position;           //空头仓位记录
     PositionRecordList m_short_position_history;  //空头仓位历史记录
 
-    list<OrderBrokerPtr> m_broker_list;  //订单代理列表
+    // list<OrderBrokerPtr> m_broker_list;  //订单代理列表
     // Datetime m_broker_last_datetime;     //订单代理最近一次执行操作的时刻
 
     list<string> m_actions;  //记录交易动作，便于修改或校准实盘时的交易

hikyuu_cpp/hikyuu/trade_manage/TradeManagerBase.h

@@ -40,7 +40,7 @@ public:
     TradeManagerBase() : TradeManagerBase("", TC_Zero()) {}
 
     TradeManagerBase(const string& name, const TradeCostPtr& costFunc)
-    : m_name(name), m_broker_last_datetime(Datetime::now()), m_costfunc(costFunc) {
+    : m_name(name), m_costfunc(costFunc), m_broker_last_datetime(Datetime::now()) {
         setParam<int>("precision", 2);  //计算精度
     }
 
@@ -186,15 +186,15 @@ public:
      * 注册订单代理
      * @param broker 订单代理实例
      */
-    virtual void regBroker(const OrderBrokerPtr& broker) {
-        HKU_WARN("The subclass does not implement a regBroker method");
+    void regBroker(const OrderBrokerPtr& broker) {
+        m_broker_list.push_back(broker);
     }
 
     /**
      * 清空已注册的订单代理
      */
-    virtual void clearBroker() {
-        HKU_WARN("The subclass does not implement a clearBroker method");
+    void clearBroker() {
+        m_broker_list.clear();
     }
 
     /**
@@ -633,9 +633,11 @@ public:
     }
 
 protected:
-    string m_name;                    //账户名称
-    Datetime m_broker_last_datetime;  // 当前启动运行时间
-    TradeCostPtr m_costfunc;          //成本算法
+    string m_name;            // 账户名称
+    TradeCostPtr m_costfunc;  // 成本算法
+
+    Datetime m_broker_last_datetime;  // 订单代理最近一次执行操作的时刻,当前启动运行时间
+    list<OrderBrokerPtr> m_broker_list;  // 订单代理列表
 
 //============================================
 // 序列化支持
@@ -647,16 +649,18 @@ private:
     void save(Archive& ar, const unsigned int version) const {
         ar& BOOST_SERIALIZATION_NVP(m_params);
         ar& BOOST_SERIALIZATION_NVP(m_name);
-        ar& BOOST_SERIALIZATION_NVP(m_broker_last_datetime);
         ar& BOOST_SERIALIZATION_NVP(m_costfunc);
+        ar& BOOST_SERIALIZATION_NVP(m_broker_last_datetime);
+        ar& BOOST_SERIALIZATION_NVP(m_broker_list);
     }
 
     template <class Archive>
     void load(Archive& ar, const unsigned int version) {
         ar& BOOST_SERIALIZATION_NVP(m_params);
         ar& BOOST_SERIALIZATION_NVP(m_name);
-        ar& BOOST_SERIALIZATION_NVP(m_broker_last_datetime);
         ar& BOOST_SERIALIZATION_NVP(m_costfunc);
+        ar& BOOST_SERIALIZATION_NVP(m_broker_last_datetime);
+        ar& BOOST_SERIALIZATION_NVP(m_broker_list);
     }
 
     BOOST_SERIALIZATION_SPLIT_MEMBER()

xmake.lua

@@ -40,7 +40,6 @@ add_requires("fmt", {system=false, configs = {header_only = true, vs_runtime = "
 add_requires("spdlog", {system=false, configs = {header_only = true, fmt_external=true, vs_runtime = "MD"}})
 add_requires("flatbuffers", {system=false, configs = {vs_runtime="MD"}})
 add_requires("nng", {system=false, configs = {vs_runtime="MD"}})
-add_requires("yyjson", {system=false, configs = {vs_runtime="MD"}})
 
 add_defines("SPDLOG_DISABLE_DEFAULT_LOGGER")  -- 禁用 spdlog 默认 logger