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允许 Selector 插入 null sys 的 SystemWeight 进行占位
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@fasiondog
fasiondog committed Sep 14, 2024
1 parent cfbb008 commit 9653d44
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Showing 3 changed files with 46 additions and 38 deletions.
34 changes: 19 additions & 15 deletions hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -100,16 +100,6 @@ AFPtr AllocateFundsBase::clone() {
return p;
}

void AllocateFundsBase::_check_weight(const SystemWeightList& sw_list) {
price_t sum_weight = 0.0;
for (const auto& sw : sw_list) {
HKU_CHECK(!std::isnan(sw.weight) && sw.weight >= 0.0 && sw.weight <= 1.0,
"Invalid weight ({}, {})", sw.sys->name(), sw.weight);
sum_weight += sw.weight;
}
HKU_CHECK(sum_weight <= 1.001, "The cumulative weight exceeds 1! sum_weight: {}", sum_weight);
}

SystemWeightList AllocateFundsBase::adjustFunds(const Datetime& date,
const SystemWeightList& se_list,
const std::unordered_set<SYSPtr>& running_list) {
Expand Down Expand Up @@ -211,6 +201,10 @@ void AllocateFundsBase::_adjust_without_running(const Datetime& date,
break;
}

if (!iter->sys) {
continue;
}

// 如果是运行中系统，不使用计算的权重，更新累积权重和
if (running_set.find(iter->sys) != running_set.cend()) {
FundsRecord sub_funds = m_tm->getFunds(date, m_query.kType());
Expand Down Expand Up @@ -274,11 +268,13 @@ SystemWeightList AllocateFundsBase::_adjust_with_running(
// 回收所有运行中系统剩余资金，用于重新分配
//-----------------------------------------------------------------
for (const auto& sys : running_set) {
auto sub_tm = sys->getTM();
auto sub_cash = sub_tm->currentCash();
if (sub_cash > 0.0 && sub_tm->checkout(date, sub_cash)) {
m_cash_tm->checkin(date, sub_cash);
HKU_INFO_IF(trace, "[AF] Recycle cash: {:<.2f} from {}", sub_cash, sys->name());
if (sys) {
auto sub_tm = sys->getTM();
auto sub_cash = sub_tm->currentCash();
if (sub_cash > 0.0 && sub_tm->checkout(date, sub_cash)) {
m_cash_tm->checkin(date, sub_cash);
HKU_INFO_IF(trace, "[AF] Recycle cash: {:<.2f} from {}", sub_cash, sys->name());
}
}
}

Expand Down Expand Up @@ -336,6 +332,10 @@ SystemWeightList AllocateFundsBase::_adjust_with_running(

std::unordered_set<SYSPtr> reduced_running_set; // 缓存已执行过减仓的运行中系统
for (auto iter = sw_list.begin(), end_iter = sw_list.end(); iter != end_iter; ++iter) {
if (!iter->sys) {
continue;
}

// 如果当前系统是运行中的系统
if (running_set.find(iter->sys) != running_set.cend()) {
TMPtr sub_tm = iter->sys->getTM();
Expand Down Expand Up @@ -418,6 +418,10 @@ SystemWeightList AllocateFundsBase::_adjust_with_running(
break;
}

if (!iter->sys) {
continue;
}

// 系统期望分配的资产额
price_t will_funds = roundUp(total_funds * iter->weight, precision);

Expand Down
3 changes: 0 additions & 3 deletions hikyuu_cpp/hikyuu/trade_sys/allocatefunds/AllocateFundsBase.h
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Original file line number Diff line number Diff line change
Expand Up @@ -112,9 +112,6 @@ class HKU_API AllocateFundsBase : public enable_shared_from_this<AllocateFundsBa
void _adjust_without_running(const Datetime& date, const SystemWeightList& se_list,
const std::unordered_set<SYSPtr>& running_list);

/* 检查分配的权重是否在 0 和 1 之间，如果存在错误，抛出异常，仅在 trace 时生效*/
void _check_weight(const SystemWeightList&);

private:
string m_name; // 组件名称
KQuery m_query; // 查询条件
Expand Down
47 changes: 27 additions & 20 deletions hikyuu_cpp/hikyuu/trade_sys/portfolio/Portfolio.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -143,20 +143,22 @@ void Portfolio::_readyForRun() {
m_real_sys_list.reserve(total);
for (size_t i = 0; i < total; i++) {
SystemPtr& pro_sys = pro_sys_list[i];
SystemPtr sys = pro_sys->clone();
m_se->bindRealToProto(sys, pro_sys);
m_real_sys_list.emplace_back(sys);

// 为内部实际执行的系统创建初始资金为0的子账户
sys->setTM(pro_tm->clone());
string sys_name = fmt::format("{}_{}_{}", sys->name(), sys->getStock().market_code(),
sys->getStock().name());
sys->getTM()->name(fmt::format("TM_SUB_{}", sys_name));
sys->name(fmt::format("PF_{}", sys_name));

sys->readyForRun();
KData k = sys->getStock().getKData(m_query);
sys->setTO(k);
if (pro_sys) {
SystemPtr sys = pro_sys->clone();
m_se->bindRealToProto(sys, pro_sys);
m_real_sys_list.emplace_back(sys);

// 为内部实际执行的系统创建初始资金为0的子账户
sys->setTM(pro_tm->clone());
string sys_name = fmt::format("{}_{}_{}", sys->name(), sys->getStock().market_code(),
sys->getStock().name());
sys->getTM()->name(fmt::format("TM_SUB_{}", sys_name));
sys->name(fmt::format("PF_{}", sys_name));

sys->readyForRun();
KData k = sys->getStock().getKData(m_query);
sys->setTO(k);
}
}

// 告知 se 当前实际运行的系统列表
Expand Down Expand Up @@ -325,14 +327,17 @@ void Portfolio::_runMoment(const Datetime& date, const Datetime& nextCycle, bool

// 如果选中的系统不在已有列表中, 则先清除其延迟买入操作，防止在调仓日出现未来信号
for (auto& sys : m_tmp_selected_list) {
if (m_running_sys_set.find(sys.sys) == m_running_sys_set.end()) {
sys.sys->clearDelayBuyRequest();
if (sys.sys) {
if (m_running_sys_set.find(sys.sys) == m_running_sys_set.end()) {
sys.sys->clearDelayBuyRequest();
}
}
}

if (trace && !m_tmp_selected_list.empty()) {
for (auto& sys : m_tmp_selected_list) {
HKU_INFO("[PF] select: {}, score: {:<.4f}", sys.sys->name(), sys.weight);
HKU_INFO_IF(sys.sys, "[PF] select: {}, score: {:<.4f}", sys.sys->name(),
sys.weight);
}
}

Expand All @@ -350,9 +355,11 @@ void Portfolio::_runMoment(const Datetime& date, const Datetime& nextCycle, bool

// 如果选中的系统不在已有列表中，且账户已经被分配了资金，则将其加入运行系统列表
for (auto& sys : m_tmp_selected_list) {
if (m_running_sys_set.find(sys.sys) == m_running_sys_set.end()) {
if (sys.sys->getTM()->cash(date, m_query.kType()) > 0.0) {
m_running_sys_set.insert(sys.sys);
if (sys.sys) {
if (m_running_sys_set.find(sys.sys) == m_running_sys_set.end()) {
if (sys.sys->getTM()->cash(date, m_query.kType()) > 0.0) {
m_running_sys_set.insert(sys.sys);
}
}
}
}
Expand Down

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