System “delay" 参数拆分为 "buy_delay" 和 "sell_delay" 分别控制

tianhm · Sep 17, 2022 · 58bca1b · 58bca1b
1 parent 4745dde
commit 58bca1b
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Showing 12 changed files with 59 additions and 34 deletions.
diff --git a/docs/source/trade_sys/system.rst b/docs/source/trade_sys/system.rst
@@ -8,7 +8,8 @@
 
 公共参数：
 
-    * **delay=True** *(bool)* : 是否延迟到下一个bar开盘时进行交易
+    * **buy_delay=True** *(bool)* : 买入操作是否延迟到下一个bar开盘时进行交易
+    * **sell_delay=True** *(bool)* : 卖出操作是否延迟到下一个bar开盘时进行交易
     * **delay_use_current_price=True** *(bool)* : 延迟操作的情况下，是使用当前交易时bar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
     * **max_delay_count=3** *(int)* : 连续延迟交易请求的限制次数，应大于等于0，0表示只允许延迟1次
     * **tp_monotonic=True** *(bool)* : 止赢单调递增

diff --git a/hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp b/hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp
@@ -330,8 +330,9 @@ void AllocateFundsBase::_adjust_with_running(const Datetime& date, const SystemL
                     KRecord k = kdata.getKRecord(pos);
                     KRecord srcK = stock.getKRecord(kdata.startPos() + pos);
                     TradeRecord tr;
-                    double need_sell_num = sys->getParam<bool>("delay") ? need_cash / k.closePrice
-                                                                        : need_cash / k.openPrice;
+                    double need_sell_num = sys->getParam<bool>("sell_delay")
+                                             ? need_cash / k.closePrice
+                                             : need_cash / k.openPrice;
                     if (position.number <= need_sell_num) {
                         // 如果当前持仓数小于等于需要卖出的数量，则全部卖出
                         tr = sys->sellForce(k, srcK, position.number, PART_ALLOCATEFUNDS);

diff --git a/hikyuu_cpp/hikyuu/trade_sys/portfolio/Portfolio.cpp b/hikyuu_cpp/hikyuu/trade_sys/portfolio/Portfolio.cpp
@@ -221,7 +221,7 @@ void Portfolio::_runMomentOnOpen(const Datetime& date) {
 
     // 在开盘时执行所有运行中的非延迟交易系统系统
     for (auto& sub_sys : m_running_sys_list) {
-        if (!sub_sys->getParam<bool>("delay")) {
+        if (!sub_sys->getParam<bool>("buy_delay")) {
             auto tr = sub_sys->runMoment(date);
             if (!tr.isNull()) {
                 m_tm->addTradeRecord(tr);
@@ -263,7 +263,7 @@ void Portfolio::_runMomentOnClose(const Datetime& date) {
 
     // 执行所有非延迟运行中系统
     for (auto& sub_sys : m_running_sys_list) {
-        if (sub_sys->getParam<bool>("delay")) {
+        if (sub_sys->getParam<bool>("buy_delay")) {
             auto tr = sub_sys->runMoment(date);
             if (!tr.isNull()) {
                 m_tm->addTradeRecord(tr);

diff --git a/hikyuu_cpp/hikyuu/trade_sys/selector/imp/FixedSelector.cpp b/hikyuu_cpp/hikyuu/trade_sys/selector/imp/FixedSelector.cpp
@@ -20,7 +20,7 @@ bool FixedSelector::isMatchAF(const AFPtr& af) {
 SystemList FixedSelector::getSelectedOnOpen(Datetime date) {
     SystemList result;
     for (auto& sys : m_real_sys_list) {
-        if (!sys->getParam<bool>("delay")) {
+        if (!sys->getParam<bool>("buy_delay")) {
             result.emplace_back(sys);
         }
     }
@@ -30,7 +30,7 @@ SystemList FixedSelector::getSelectedOnOpen(Datetime date) {
 SystemList FixedSelector::getSelectedOnClose(Datetime date) {
     SystemList result;
     for (auto& sys : m_real_sys_list) {
-        if (sys->getParam<bool>("delay")) {
+        if (sys->getParam<bool>("buy_delay")) {
             result.emplace_back(sys);
         }
     }

diff --git a/hikyuu_cpp/hikyuu/trade_sys/selector/imp/SignalSelector.cpp b/hikyuu_cpp/hikyuu/trade_sys/selector/imp/SignalSelector.cpp
@@ -37,7 +37,7 @@ void SignalSelector::_calculate() {
         auto sg = sys->getSG();
         auto dates = sg->getBuySignal();
         unordered_map<Datetime, SystemList>* date_dict;
-        date_dict = sys->getParam<bool>("delay") ? &m_sys_dict_on_close : &m_sys_dict_on_open;
+        date_dict = sys->getParam<bool>("buy_delay") ? &m_sys_dict_on_close : &m_sys_dict_on_open;
         for (auto& date : dates) {
             auto iter = date_dict->find(date);
             if (iter != date_dict->end()) {

diff --git a/hikyuu_cpp/hikyuu/trade_sys/system/System.cpp b/hikyuu_cpp/hikyuu/trade_sys/system/System.cpp
@@ -83,7 +83,8 @@ void System::initParam() {
     setParam<int>("max_delay_count", 3);
 
     //是否延迟到下一个bar开盘时进行交易
-    setParam<bool>("delay", true);  //非延迟操作取当前Bar的收盘价操作；延迟取下一BAR开盘价
+    setParam<bool>("buy_delay", true);  //非延迟操作取当前Bar的收盘价操作；延迟取下一BAR开盘价
+    setParam<bool>("sell_delay", true);
 
     //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);
@@ -467,7 +468,7 @@ TradeRecord System::_runMoment(const KRecord& today, const KRecord& src_today) {
 
 TradeRecord System::_buy(const KRecord& today, const KRecord& src_today, Part from) {
     TradeRecord result;
-    if (getParam<bool>("delay")) {
+    if (getParam<bool>("buy_delay")) {
         _submitBuyRequest(today, src_today, from);
         return result;
     } else {
@@ -599,7 +600,7 @@ TradeRecord System::sellForce(const KRecord& today, const KRecord& src_today, do
     HKU_ASSERT_M(from == PART_ALLOCATEFUNDS || from == PART_PORTFOLIO,
                  "Only Allocator or Portfolis can perform this operation!");
     TradeRecord result;
-    if (getParam<bool>("delay")) {
+    if (getParam<bool>("sell_delay")) {
         if (m_sellRequest.valid) {
             if (m_sellRequest.count > getParam<int>("max_delay_count")) {
                 //超出最大延迟次数，清除买入请求
@@ -635,7 +636,7 @@ TradeRecord System::sellForce(const KRecord& today, const KRecord& src_today, do
 
 TradeRecord System::_sell(const KRecord& today, const KRecord& src_today, Part from) {
     TradeRecord result;
-    if (getParam<bool>("delay")) {
+    if (getParam<bool>("sell_delay")) {
         _submitSellRequest(today, src_today, from);
         return result;
     } else {
@@ -771,7 +772,7 @@ TradeRecord System::_buyShort(const KRecord& today, const KRecord& src_today, Pa
     if (getParam<bool>("support_borrow_stock") == false)
         return result;
 
-    if (getParam<bool>("delay")) {
+    if (getParam<bool>("buy_delay")) {
         _submitBuyShortRequest(today, src_today, from);
         return result;
     } else {
@@ -915,7 +916,7 @@ TradeRecord System::_sellShort(const KRecord& today, const KRecord& src_today, P
     if (getParam<bool>("support_borrow_stock") == false)
         return result;
 
-    if (getParam<bool>("delay")) {
+    if (getParam<bool>("sell_delay")) {
         _submitSellShortRequest(today, src_today, from);
         return result;
     } else {

diff --git a/hikyuu_cpp/unit_test/hikyuu/trade_sys/system/test_Simple_SYS_for_base.cpp b/hikyuu_cpp/unit_test/hikyuu/trade_sys/system/test_Simple_SYS_for_base.cpp
@@ -76,7 +76,8 @@ TEST_CASE("test_SYS_Simple_for_base") {
 
     /** @arg 指定了TM、SG、MM，但未指定其他策略组件，非延迟操作 */
     sys = SYS_Simple();
-    sys->setParam("delay", false);
+    sys->setParam("buy_delay", false);
+    sys->setParam("sell_delay", false);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
     sys->setMM(mm->clone());
@@ -128,7 +129,8 @@ TEST_CASE("test_SYS_Simple_for_base") {
 
     /** @arg 指定了TM、SG、MM，但未指定其他策略组件，延迟操作 */
     sys = SYS_Simple();
-    sys->setParam("delay", true);
+    sys->setParam("buy_delay", true);
+    sys->setParam("sell_delay", true);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
     sys->setMM(mm->clone());

diff --git a/hikyuu_cpp/unit_test/hikyuu/trade_sys/system/test_Simple_SYS_for_cn.cpp b/hikyuu_cpp/unit_test/hikyuu/trade_sys/system/test_Simple_SYS_for_cn.cpp
@@ -64,7 +64,8 @@ TEST_CASE("test_SYS_Simple_for_cn") {
 
     /** @arg 指定了TM、SG、MM、ST、TP、EV、CN，CN有效日期和EV重合 */
     sys = SYS_Simple();
-    sys->setParam<bool>("delay", false);
+    sys->setParam<bool>("buy_delay", false);
+    sys->setParam<bool>("sell_delay", false);
     sys->setParam<bool>("ev_open_position", true);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
@@ -122,7 +123,8 @@ TEST_CASE("test_SYS_Simple_for_cn") {
 
     /** @arg 指定了TM、SG、MM、ST、TP、EV、CN，CN的有效日期范围完全覆盖并大于EV的范围 */
     sys = SYS_Simple();
-    sys->setParam<bool>("delay", false);
+    sys->setParam<bool>("buy_delay", false);
+    sys->setParam<bool>("sell_delay", false);
     sys->setParam<bool>("ev_open_position", true);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
@@ -180,7 +182,8 @@ TEST_CASE("test_SYS_Simple_for_cn") {
 
     /** @arg 指定了TM、SG、MM、EV、CN（不触发建仓），CN的有效日期范围在EV的范围之内 */
     sys = SYS_Simple();
-    sys->setParam<bool>("delay", false);
+    sys->setParam<bool>("buy_delay", false);
+    sys->setParam<bool>("sell_delay", false);
     sys->setParam<bool>("ev_open_position", true);
     sys->setParam<bool>("cn_open_position", false);
     sys->setTM(tm->clone());
@@ -237,7 +240,8 @@ TEST_CASE("test_SYS_Simple_for_cn") {
 
     /** @arg 指定了TM、SG、MM、EV、CN（触发建仓），CN的有效日期范围在EV的范围之内 */
     sys = SYS_Simple();
-    sys->setParam<bool>("delay", false);
+    sys->setParam<bool>("buy_delay", false);
+    sys->setParam<bool>("sell_delay", false);
     sys->setParam<bool>("ev_open_position", true);
     sys->setParam<bool>("cn_open_position", true);
     sys->setTM(tm->clone());

diff --git a/hikyuu_cpp/unit_test/hikyuu/trade_sys/system/test_Simple_SYS_for_ev.cpp b/hikyuu_cpp/unit_test/hikyuu/trade_sys/system/test_Simple_SYS_for_ev.cpp
@@ -60,7 +60,8 @@ TEST_CASE("test_SYS_Simple_for_ev") {
 
     /** @arg 指定了TM、SG、MM、ST、TP、EV（不触发建仓），但未指定其他策略组件，非延迟操作 */
     sys = SYS_Simple();
-    sys->setParam<bool>("delay", false);
+    sys->setParam<bool>("buy_delay", false);
+    sys->setParam<bool>("sell_delay", false);
     sys->setParam<bool>("ev_open_position", false);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
@@ -104,7 +105,8 @@ TEST_CASE("test_SYS_Simple_for_ev") {
 
     /** @arg 指定了TM、SG、MM、ST、TP、EV（触发建仓），但未指定其他策略组件，非延迟操作 */
     sys = SYS_Simple();
-    sys->setParam<bool>("delay", false);
+    sys->setParam<bool>("buy_delay", false);
+    sys->setParam<bool>("sell_delay", false);
     sys->setParam<bool>("ev_open_position", true);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
@@ -161,7 +163,8 @@ TEST_CASE("test_SYS_Simple_for_ev") {
 
     /** @arg 指定了TM、SG、MM、ST、TP、EV（不触发建仓），但未指定其他策略组件，延迟操作 */
     sys = SYS_Simple();
-    sys->setParam<bool>("delay", true);
+    sys->setParam<bool>("buy_delay", true);
+    sys->setParam<bool>("sell_delay", true);
     sys->setParam<bool>("ev_open_position", false);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
@@ -205,7 +208,8 @@ TEST_CASE("test_SYS_Simple_for_ev") {
 
     /** @arg 指定了TM、SG、MM、ST、TP、EV（触发建仓），但未指定其他策略组件，延迟操作 */
     sys = SYS_Simple();
-    sys->setParam<bool>("delay", true);
+    sys->setParam<bool>("buy_delay", true);
+    sys->setParam<bool>("sell_delay", true);
     sys->setParam<bool>("ev_open_position", true);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
@@ -260,9 +264,12 @@ TEST_CASE("test_SYS_Simple_for_ev") {
     CHECK_LT(std::fabs(tr_list[3].cash - current_cash), 0.00001);
     CHECK_EQ(tr_list[3].from, PART_ENVIRONMENT);
 
-    /** @arg 指定了TM、SG、MM、EV（刚好覆盖一对买入/卖出信号、不触发建仓），但未指定其他策略组件，非延迟操作 */
+    /** @arg
+     * 指定了TM、SG、MM、EV（刚好覆盖一对买入/卖出信号、不触发建仓），但未指定其他策略组件，非延迟操作
+     */
     sys = SYS_Simple();
-    sys->setParam<bool>("delay", false);
+    sys->setParam<bool>("buy_delay", false);
+    sys->setParam<bool>("sell_delay", false);
     sys->setParam<bool>("ev_open_position", false);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
@@ -302,9 +309,12 @@ TEST_CASE("test_SYS_Simple_for_ev") {
     CHECK_LT(std::fabs(tr_list[2].cash - current_cash), 0.00001);
     CHECK_EQ(tr_list[2].from, PART_SIGNAL);
 
-    /** @arg 指定了TM、SG、MM、EV（刚好覆盖一对买入/卖出信号、触发建仓），但未指定其他策略组件，非延迟操作 */
+    /** @arg
+     * 指定了TM、SG、MM、EV（刚好覆盖一对买入/卖出信号、触发建仓），但未指定其他策略组件，非延迟操作
+     */
     sys = SYS_Simple();
-    sys->setParam<bool>("delay", false);
+    sys->setParam<bool>("buy_delay", false);
+    sys->setParam<bool>("sell_delay", false);
     sys->setParam<bool>("ev_open_position", true);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
@@ -346,7 +356,8 @@ TEST_CASE("test_SYS_Simple_for_ev") {
 
     /** @arg 指定了TM、SG、MM、EV（触发建仓），EV的有效起始日期刚好是买入信号日期 */
     sys = SYS_Simple();
-    sys->setParam<bool>("delay", false);
+    sys->setParam<bool>("buy_delay", false);
+    sys->setParam<bool>("sell_delay", false);
     sys->setParam<bool>("ev_open_position", true);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());

diff --git a/hikyuu_cpp/unit_test/hikyuu/trade_sys/system/test_Simple_SYS_for_pg.cpp b/hikyuu_cpp/unit_test/hikyuu/trade_sys/system/test_Simple_SYS_for_pg.cpp
@@ -53,7 +53,8 @@ TEST_CASE("test_SYS_Simple_for_pg") {
 
     /** @arg 指定了TM、SG、MM、ST、TP、PG，但未指定其他策略组件，非延迟操作 */
     sys = SYS_Simple();
-    sys->setParam("delay", false);
+    sys->setParam("buy_delay", false);
+    sys->setParam("sell_delay", false);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
     sys->setMM(mm->clone());

diff --git a/hikyuu_cpp/unit_test/hikyuu/trade_sys/system/test_Simple_SYS_for_st.cpp b/hikyuu_cpp/unit_test/hikyuu/trade_sys/system/test_Simple_SYS_for_st.cpp
@@ -50,7 +50,8 @@ TEST_CASE("test_SYS_Simple_for_st") {
 
     /** @arg 指定了TM、SG、MM、ST，但未指定其他策略组件，非延迟操作 */
     sys = SYS_Simple();
-    sys->setParam("delay", false);
+    sys->setParam("buy_delay", false);
+    sys->setParam("sell_delay", false);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
     sys->setMM(mm->clone());
@@ -103,7 +104,8 @@ TEST_CASE("test_SYS_Simple_for_st") {
 
     /** @arg 指定了TM、SG、MM、ST，但未指定其他策略组件，延迟操作 */
     sys = SYS_Simple();
-    sys->setParam("delay", true);
+    sys->setParam("buy_delay", true);
+    sys->setParam("sell_delay", true);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
     sys->setMM(mm->clone());

diff --git a/hikyuu_cpp/unit_test/hikyuu/trade_sys/system/test_Simple_SYS_for_tp.cpp b/hikyuu_cpp/unit_test/hikyuu/trade_sys/system/test_Simple_SYS_for_tp.cpp
@@ -51,7 +51,8 @@ TEST_CASE("test_SYS_Simple_for_tp") {
 
     /** @arg 指定了TM、SG、MM、ST、TP，但未指定其他策略组件，非延迟操作 */
     sys = SYS_Simple();
-    sys->setParam("delay", false);
+    sys->setParam("buy_delay", false);
+    sys->setParam("sell_delay", false);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
     sys->setMM(mm->clone());
@@ -118,7 +119,8 @@ TEST_CASE("test_SYS_Simple_for_tp") {
 
     /** @arg 指定了TM、SG、MM、ST、TP，但未指定其他策略组件，延迟操作 */
     sys = SYS_Simple();
-    sys->setParam("delay", true);
+    sys->setParam("buy_delay", true);
+    sys->setParam("sell_delay", true);
     sys->setTM(tm->clone());
     sys->setSG(sg->clone());
     sys->setMM(mm->clone());