run_in_strategy 等添加其他订单代理参数，以便可以进行其他通知

fasiondog · Oct 22, 2024 · ef40fe7 · ef40fe7
1 parent 0190e93
commit ef40fe7
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Showing 10 changed files with 82 additions and 19 deletions.
diff --git a/hikyuu_cpp/hikyuu/strategy/BrokerTradeManager.cpp b/hikyuu_cpp/hikyuu/strategy/BrokerTradeManager.cpp
@@ -310,8 +310,15 @@ string BrokerTradeManager::str() const {
 }
 
 TradeManagerPtr HKU_API crtBrokerTM(const OrderBrokerPtr& broker, const TradeCostPtr& costfunc,
-                                    const string& name) {
-    return std::make_shared<BrokerTradeManager>(broker, costfunc, name);
+                                    const string& name,
+                                    const std::vector<OrderBrokerPtr>& other_brokers) {
+    auto tm = std::make_shared<BrokerTradeManager>(broker, costfunc, name);
+    for (const auto& brk : other_brokers) {
+        if (brk) {
+            tm->regBroker(brk);
+        }
+    }
+    return tm;
 }
 
 }  // namespace hku
diff --git a/hikyuu_cpp/hikyuu/strategy/BrokerTradeManager.h b/hikyuu_cpp/hikyuu/strategy/BrokerTradeManager.h
@@ -427,6 +427,7 @@ class HKU_API BrokerTradeManager : public TradeManagerBase {
 
 TradeManagerPtr HKU_API crtBrokerTM(const OrderBrokerPtr& broker,
                                     const TradeCostPtr& costfunc = TC_Zero(),
-                                    const string& name = "SYS");
+                                    const string& name = "SYS",
+                                    const std::vector<OrderBrokerPtr>& other_brokers = {});
 
 }  // namespace hku
diff --git a/hikyuu_cpp/hikyuu/strategy/RunPortfolioInStrategy.cpp b/hikyuu_cpp/hikyuu/strategy/RunPortfolioInStrategy.cpp
@@ -45,10 +45,19 @@ void RunPortfolioInStrategy::run() {
 
 StrategyPtr HKU_API crtPFStrategy(const PFPtr& pf, const KQuery& query, int adjust_cycle,
                                   const OrderBrokerPtr& broker, const TradeCostPtr& costfunc,
-                                  const string& name, const string& config_file) {
+                                  const string& name,
+                                  const std::vector<OrderBrokerPtr>& other_brokers,
+                                  const string& config_file) {
     std::shared_ptr<RunPortfolioInStrategy> runner =
       std::make_shared<RunPortfolioInStrategy>(pf, query, adjust_cycle, broker, costfunc);
 
+    auto tm = pf->getTM();
+    for (const auto& brk : other_brokers) {
+        if (brk) {
+            tm->regBroker(brk);
+        }
+    }
+
     std::function<void()> func = [=]() { runner->run(); };
 
     vector<string> code_list;

diff --git a/hikyuu_cpp/hikyuu/strategy/RunPortfolioInStrategy.h b/hikyuu_cpp/hikyuu/strategy/RunPortfolioInStrategy.h
@@ -31,6 +31,7 @@ class HKU_API RunPortfolioInStrategy {
 StrategyPtr HKU_API crtPFStrategy(const PFPtr& pf, const KQuery& query, int adjust_cycle,
                                   const OrderBrokerPtr& broker, const TradeCostPtr& costfunc,
                                   const string& name = "PFStrategy",
+                                  const std::vector<OrderBrokerPtr>& other_brokers = {},
                                   const string& config_file = "");
 
 }  // namespace hku
diff --git a/hikyuu_cpp/hikyuu/strategy/RunSystemInStrategy.cpp b/hikyuu_cpp/hikyuu/strategy/RunSystemInStrategy.cpp
@@ -63,10 +63,18 @@ void RunSystemInStrategy::run(const Stock& stock) {
 StrategyPtr HKU_API crtSysStrategy(const SYSPtr& sys, const string& stk_market_code,
                                    const KQuery& query, const OrderBrokerPtr& broker,
                                    const TradeCostPtr& costfunc, const string& name,
+                                   const std::vector<OrderBrokerPtr>& other_brokers,
                                    const string& config_file) {
     std::shared_ptr<RunSystemInStrategy> runner =
       std::make_shared<RunSystemInStrategy>(sys, broker, query, costfunc);
 
+    auto tm = sys->getTM();
+    for (const auto& brk : other_brokers) {
+        if (brk) {
+            tm->regBroker(brk);
+        }
+    }
+
     std::function<void()> func = [=]() { runner->run(getStock(stk_market_code)); };
 
     KQuery::KType ktype = query.kType();

diff --git a/hikyuu_cpp/hikyuu/strategy/RunSystemInStrategy.h b/hikyuu_cpp/hikyuu/strategy/RunSystemInStrategy.h
@@ -32,6 +32,7 @@ class HKU_API RunSystemInStrategy {
 StrategyPtr HKU_API crtSysStrategy(const SYSPtr& sys, const string& stk_market_code,
                                    const KQuery& query, const OrderBrokerPtr& broker,
                                    const TradeCostPtr& costfunc, const string& name = "SYSStrategy",
+                                   const std::vector<OrderBrokerPtr>& other_brokers = {},
                                    const string& config_file = "");
 
 }  // namespace hku
diff --git a/hikyuu_cpp/hikyuu/strategy/Strategy.cpp b/hikyuu_cpp/hikyuu/strategy/Strategy.cpp
@@ -324,22 +324,24 @@ void Strategy::_startEventLoop() {
 }
 
 void HKU_API runInStrategy(const SYSPtr& sys, const Stock& stk, const KQuery& query,
-                           const OrderBrokerPtr& broker, const TradeCostPtr& costfunc) {
+                           const OrderBrokerPtr& broker, const TradeCostPtr& costfunc,
+                           const std::vector<OrderBrokerPtr>& other_brokers) {
     HKU_ASSERT(sys && broker && sys->getTM());
     HKU_ASSERT(!stk.isNull());
     HKU_ASSERT(query != Null<KQuery>());
     HKU_CHECK(!sys->getParam<bool>("buy_delay") && !sys->getParam<bool>("sell_delay"),
               "Thie method only support buy|sell on close!");
 
-    auto tm = crtBrokerTM(broker, costfunc, sys->name());
+    auto tm = crtBrokerTM(broker, costfunc, sys->name(), other_brokers);
     tm->fetchAssetInfoFromBroker(broker);
     sys->setTM(tm);
     sys->setSP(SlippagePtr());  // 清除移滑价差算法
     sys->run(stk, query);
 }
 
 void HKU_API runInStrategy(const PFPtr& pf, const KQuery& query, int adjust_cycle,
-                           const OrderBrokerPtr& broker, const TradeCostPtr& costfunc) {
+                           const OrderBrokerPtr& broker, const TradeCostPtr& costfunc,
+                           const std::vector<OrderBrokerPtr>& other_brokers) {
     HKU_ASSERT(pf && broker && pf->getTM());
     HKU_ASSERT(query != Null<KQuery>());
 
@@ -352,7 +354,7 @@ void HKU_API runInStrategy(const PFPtr& pf, const KQuery& query, int adjust_cycl
                   "Thie method only support buy|sell on close!");
     }
 
-    auto tm = crtBrokerTM(broker, costfunc, pf->name());
+    auto tm = crtBrokerTM(broker, costfunc, pf->name(), other_brokers);
     tm->fetchAssetInfoFromBroker(broker);
     pf->setTM(tm);
     pf->run(query, adjust_cycle, true);

diff --git a/hikyuu_cpp/hikyuu/strategy/Strategy.h b/hikyuu_cpp/hikyuu/strategy/Strategy.h
@@ -156,23 +156,27 @@ typedef shared_ptr<Strategy> StrategyPtr;
  * @param sys 交易系统
  * @param stk 交易对象
  * @param query 查询条件
- * @param broker 订单代理
+ * @param broker 订单代理（专用与和账户资产同步的订单代理）
  * @param costfunc 成本函数
+ * @param other_brokers 其他的订单代理
  */
 void HKU_API runInStrategy(const SYSPtr& sys, const Stock& stk, const KQuery& query,
-                           const OrderBrokerPtr& broker, const TradeCostPtr& costfunc);
+                           const OrderBrokerPtr& broker, const TradeCostPtr& costfunc,
+                           const std::vector<OrderBrokerPtr>& other_brokers = {});
 
 /**
  * @brief 在策略运行时中执行组合策略 PF
  * @note 目前仅支持 buy_delay| sell_delay 均为 false 的系统，即 close 时执行交易
  * @param pf 资产组合
  * @param query 查询条件
  * @param adjust_cycle 调仓周期
- * @param broker 订单代理
+ * @param broker 订单代理（专用与和账户资产同步的订单代理）
  * @param costfunc 成本函数
+ * @param other_brokers 其他的订单代理
  */
 void HKU_API runInStrategy(const PFPtr& pf, const KQuery& query, int adjust_cycle,
-                           const OrderBrokerPtr& broker, const TradeCostPtr& costfunc);
+                           const OrderBrokerPtr& broker, const TradeCostPtr& costfunc,
+                           const std::vector<OrderBrokerPtr>& other_brokers = {});
 
 /**
  * 从 hikyuu 数据缓存服务器拉取更新最新的缓存数据

diff --git a/hikyuu_pywrap/strategy/_Strategy.cpp b/hikyuu_pywrap/strategy/_Strategy.cpp
@@ -9,6 +9,7 @@
 #include <hikyuu/strategy/Strategy.h>
 #include <hikyuu/strategy/BrokerTradeManager.h>
 #include <hikyuu/strategy/RunSystemInStrategy.h>
+#include <hikyuu/strategy/RunPortfolioInStrategy.h>
 #include <pybind11/pybind11.h>
 #include <pybind11/stl.h>
 
@@ -152,22 +153,51 @@ void export_Strategy(py::module& m) {
     :param ignore_holiday: 节假日不执行)");
 
     m.def("crtBrokerTM", crtBrokerTM, py::arg("broker"), py::arg("cost_func") = TC_Zero(),
-          py::arg("name") = "SYS");
+          py::arg("name") = "SYS", py::arg("other_brokers") = std::vector<OrderBrokerPtr>());
 
     m.def("run_in_strategy",
           py::overload_cast<const SYSPtr&, const Stock&, const KQuery&, const OrderBrokerPtr&,
-                            const TradeCostPtr&>(runInStrategy),
+                            const TradeCostPtr&, const std::vector<OrderBrokerPtr>&>(runInStrategy),
           py::arg("sys"), py::arg("stock"), py::arg("query"), py::arg("broker"),
-          py::arg("cost_func"));
+          py::arg("cost_func"), py::arg("other_brokers") = std::vector<OrderBrokerPtr>(),
+          R"(run_in_strategy(sys, stk, query, broker, costfunc, [other_brokers=[]])
+          
+    在策略运行时中执行系统交易 SYS
+    目前仅支持 buy_delay| sell_delay 均为 false 的系统，即 close 时执行交易
+ 
+    :param sys: 交易系统
+    :param stk: 交易对象
+    :param query: 查询条件
+    :param broker: 订单代理（专用与和账户资产同步的订单代理）
+    :param costfunc: 成本函数
+    :param other_brokers: 其他的订单代理)");
+
     m.def("run_in_strategy",
           py::overload_cast<const PFPtr&, const KQuery&, int, const OrderBrokerPtr&,
-                            const TradeCostPtr&>(runInStrategy),
+                            const TradeCostPtr&, const std::vector<OrderBrokerPtr>&>(runInStrategy),
           py::arg("pf"), py::arg("query"), py::arg("adjust_cycle"), py::arg("broker"),
-          py::arg("cost_func"));
+          py::arg("cost_func"), py::arg("other_brokers") = std::vector<OrderBrokerPtr>(),
+          R"(run_in_strategy(pf, query, adjust_cycle, broker, costfunc, [other_brokers=[]])
+          
+    在策略运行时中执行组合策略 PF
+    目前仅支持 buy_delay| sell_delay 均为 false 的系统，即 close 时执行交易
+
+    :param Portfolio pf: 资产组合
+    :param Query query: 查询条件
+    :param int adjust_cycle: 调仓周期
+    :param broker: 订单代理（专用与和账户资产同步的订单代理）
+    :param costfunc: 成本函数
+    :param other_brokers: 其他的订单代理)");
 
     m.def("crt_sys_strategy", crtSysStrategy, py::arg("sys"), py::arg("stk_market_code"),
           py::arg("query"), py::arg("broker"), py::arg("cost_func"),
-          py::arg("name") = "SYSStrategy", py::arg("config") = "");
+          py::arg("other_brokers") = std::vector<OrderBrokerPtr>(), py::arg("name") = "SYSStrategy",
+          py::arg("config") = "");
+
+    m.def("crt_pf_strategy", crtPFStrategy, py::arg("pf"), py::arg("query"),
+          py::arg("adjust_cycle"), py::arg("broker"), py::arg("cost_func"),
+          py::arg("name") = "PFStrategy", py::arg("other_brokers") = std::vector<OrderBrokerPtr>(),
+          py::arg("config") = "");
 
     m.def("get_data_from_buffer_server", getDataFromBufferServer);
 }
diff --git a/readme.md b/readme.md
@@ -67,6 +67,6 @@ Hikyuu Quant Framework是一款基于C++/Python的开源量化交易研究框架
 
 ![weixin](docs/source/_static/weixin.jpg)
 
-## QQ交流群（逐渐废弃）：114910869, 或扫码加入
+## QQ交流群：114910869, 或扫码加入
 
 ![img](docs/source/_static/10003-qq.png)