Merge pull request #329 from fasiondog/feature/one_side_sg

add SG_OneSide

hikyuu_cpp/hikyuu/trade_sys/signal/SignalBase.cpp

@@ -41,7 +41,9 @@ void SignalBase::initParam() {
 }
 
 void SignalBase::baseCheckParam(const string& name) const {}
-void SignalBase::paramChanged() {}
+void SignalBase::paramChanged() {
+    m_calculated = false;
+}
 
 SignalPtr SignalBase::clone() {
     SignalPtr p;
@@ -60,6 +62,7 @@ SignalPtr SignalBase::clone() {
     p->m_name = m_name;
     p->m_params = m_params;
     p->m_kdata = m_kdata;
+    p->m_calculated = m_calculated;
     p->m_hold_long = m_hold_long;
     p->m_hold_short = m_hold_short;
     p->m_buySig = m_buySig;
@@ -70,8 +73,9 @@ SignalPtr SignalBase::clone() {
 }
 
 void SignalBase::setTO(const KData& kdata) {
-    HKU_IF_RETURN(m_kdata == kdata, void());
+    HKU_IF_RETURN(m_calculated && m_kdata == kdata, void());
     m_kdata = kdata;
+    m_calculated = false;
     HKU_IF_RETURN(kdata.empty(), void());
 
     bool cycle = getParam<bool>("cycle");

hikyuu_cpp/hikyuu/trade_sys/signal/SignalBase.h

@@ -139,6 +139,8 @@ class HKU_API SignalBase : public enable_shared_from_this<SignalBase> {
 protected:
     string m_name;
     KData m_kdata;
+    bool m_calculated{false};  // 仅针对 setTO 时的计算
+
     /* 多头持仓 */
     bool m_hold_long;
     /* 空头持仓 */
@@ -169,6 +171,7 @@ class HKU_API SignalBase : public enable_shared_from_this<SignalBase> {
         ar& BOOST_SERIALIZATION_NVP(m_ignore_cycle);
         // m_kdata都是系统运行时临时设置，不需要序列化
         // ar & BOOST_SERIALIZATION_NVP(m_kdata);
+        // ar & BOOST_SERIALIZATION_NVP(m_calculated);
     }
 
     template <class Archive>
@@ -182,6 +185,7 @@ class HKU_API SignalBase : public enable_shared_from_this<SignalBase> {
         ar& BOOST_SERIALIZATION_NVP(m_ignore_cycle);
         // m_kdata都是系统运行时临时设置，不需要序列化
         // ar & BOOST_SERIALIZATION_NVP(m_kdata);
+        // ar & BOOST_SERIALIZATION_NVP(m_calculated);
     }
 
     BOOST_SERIALIZATION_SPLIT_MEMBER()

hikyuu_cpp/hikyuu/trade_sys/signal/build_in.h

@@ -19,5 +19,6 @@
 #include "crt/SG_Band.h"
 #include "crt/SG_Logic.h"
 #include "crt/SG_Manual.h"
+#include "crt/SG_OneSide.h"
 
 #endif /* SIGNAL_BUILD_IN_H_ */

hikyuu_cpp/hikyuu/trade_sys/signal/crt/SG_OneSide.h

@@ -0,0 +1,28 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-02-13
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef TRADE_SYS_SIGNAL_CRT_SG_ONESIDE_H_
+#define TRADE_SYS_SIGNAL_CRT_SG_ONESIDE_H_
+
+#include "../../../indicator/Indicator.h"
+#include "../SignalBase.h"
+
+namespace hku {
+
+/**
+ * 根据输入指标构建单边信号（单纯的只包含买入或卖出信号），如果指标值大于0，则加入信号
+ * @param ind 指示指标
+ * @param is_buy 加入的是买入信号还是卖出信号
+ * @return 信号指示器
+ * @ingroup Signal
+ */
+SignalPtr HKU_API SG_OneSide(const Indicator& ind, bool is_buy);
+
+} /* namespace hku */
+
+#endif /* TRADE_SYS_SIGNAL_CRT_SG_ONESIDE_H_ */

hikyuu_cpp/hikyuu/trade_sys/signal/imp/OneSideSignal.cpp

@@ -0,0 +1,68 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-02-13
+ *      Author: fasiondog
+ */
+
+#include "hikyuu/indicator/crt/ALIGN.h"
+#include "hikyuu/indicator/crt/KDATA.h"
+#include "OneSideSignal.h"
+
+#if HKU_SUPPORT_SERIALIZATION
+BOOST_CLASS_EXPORT(hku::OneSideSignal)
+#endif
+
+namespace hku {
+
+OneSideSignal::OneSideSignal() : SignalBase("SG_OneSide") {
+    setParam<bool>("alternate", false);
+    setParam<bool>("is_buy", true);  // 买入信号，否则为添加卖出信号
+}
+
+OneSideSignal::OneSideSignal(const Indicator& ind, bool is_buy)
+: SignalBase("SG_OneSide"), m_ind(ind.clone()) {
+    setParam<bool>("alternate", false);
+    setParam<bool>("is_buy", is_buy);
+}
+
+OneSideSignal::~OneSideSignal() {}
+
+void OneSideSignal::_checkParam(const string& name) const {
+    if (name == "alternate") {
+        HKU_CHECK(!getParam<bool>(name), "alternate only be false!");
+    }
+}
+
+SignalPtr OneSideSignal::_clone() {
+    auto p = make_shared<OneSideSignal>();
+    p->m_ind = m_ind.clone();
+    return p;
+}
+
+void OneSideSignal::_calculate(const KData& kdata) {
+    Indicator ind = m_ind(kdata);
+    HKU_IF_RETURN(ind.empty() || ind.size() != kdata.size(), void());
+
+    bool is_buy = getParam<bool>("is_buy");
+    const auto* src = ind.data();
+    auto const* ks = kdata.data();
+    size_t discard = ind.discard();
+    size_t total = ind.size();
+
+    for (size_t i = discard; i < total; ++i) {
+        if (src[i] > 0.0) {
+            if (is_buy) {
+                _addBuySignal(ks[i].datetime);
+            } else {
+                _addSellSignal(ks[i].datetime);
+            }
+        }
+    }
+}
+
+SignalPtr HKU_API SG_OneSide(const Indicator& ind, bool is_buy) {
+    return make_shared<OneSideSignal>(ind, is_buy);
+}
+
+} /* namespace hku */

hikyuu_cpp/hikyuu/trade_sys/signal/imp/OneSideSignal.h

@@ -0,0 +1,46 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-02-13
+ *      Author: fasiondog
+ */
+
+#pragma once
+#ifndef TRADE_SYS_SIGNAL_IMP_ONESIDESIGNAL_H_
+#define TRADE_SYS_SIGNAL_IMP_ONESIDESIGNAL_H_
+
+#include "../../../indicator/Indicator.h"
+#include "../SignalBase.h"
+
+namespace hku {
+
+// 根据输入指标构建单边信号（单纯的只包含买入或卖出信号），如果指标值大于0，则加入信号
+class OneSideSignal : public SignalBase {
+public:
+    OneSideSignal();
+    OneSideSignal(const Indicator& ind, bool is_buy);
+    virtual ~OneSideSignal();
+
+    virtual SignalPtr _clone() override;
+    virtual void _calculate(const KData& kdata) override;
+    virtual void _checkParam(const string& name) const override;
+
+private:
+    Indicator m_ind;
+
+//============================================
+// 序列化支持
+//============================================
+#if HKU_SUPPORT_SERIALIZATION
+    friend class boost::serialization::access;
+    template <class Archive>
+    void serialize(Archive& ar, const unsigned int version) {
+        ar& BOOST_SERIALIZATION_BASE_OBJECT_NVP(SignalBase);
+        ar& BOOST_SERIALIZATION_NVP(m_ind);
+    }
+#endif
+};
+
+} /* namespace hku */
+
+#endif /* TRADE_SYS_SIGNAL_IMP_ONESIDESIGNAL_H_ */

hikyuu_cpp/unit_test/hikyuu/trade_sys/signal/test_SG_OneSide.cpp

@@ -0,0 +1,95 @@
+/*
+ *  Copyright (c) 2025 hikyuu.org
+ *
+ *  Created on: 2025-02-13
+ *      Author: fasiondog
+ */
+
+#include "doctest/doctest.h"
+#include "hikyuu/StockManager.h"
+#include "hikyuu/indicator/crt/KDATA.h"
+#include "hikyuu/indicator/crt/REF.h"
+#include "hikyuu/trade_sys/signal/crt/SG_Logic.h"
+#include "hikyuu/trade_sys/signal/crt/SG_Bool.h"
+#include "hikyuu/trade_sys/signal/crt/SG_OneSide.h"
+
+using namespace hku;
+
+/**
+ * @defgroup test_Signal test_Signal
+ * @ingroup test_hikyuu_trade_sys_suite
+ * @{
+ */
+
+/** @par 检测点 */
+TEST_CASE("test_SG_OneSide") {
+    auto k = getKData("sh000001", KQuery(-30));
+    Indicator ind;
+    SignalPtr sg;
+
+    /** @arg 输入ind为空 */
+    sg = SG_OneSide(ind, true);
+    sg->setTO(k);
+    CHECK_UNARY(sg->getBuySignal().empty());
+    CHECK_UNARY(sg->getSellSignal().empty());
+
+    sg = SG_OneSide(ind, false);
+    sg->setTO(k);
+    CHECK_UNARY(sg->getBuySignal().empty());
+    CHECK_UNARY(sg->getSellSignal().empty());
+
+    /** @arg 单边买入信号 */
+    ind = CLOSE() > REF(CLOSE(), 1);
+    auto sg_buy = SG_OneSide(ind, true);
+    sg_buy->setTO(k);
+    auto expect = ind(k);
+    for (size_t i = expect.discard(); i < expect.size(); i++) {
+        if (expect[i] > 0.0) {
+            CHECK_UNARY(sg_buy->shouldBuy(k[i].datetime));
+            CHECK_UNARY(!sg_buy->shouldSell(k[i].datetime));
+        } else {
+            CHECK_UNARY(!sg_buy->shouldBuy(k[i].datetime));
+            CHECK_UNARY(!sg_buy->shouldSell(k[i].datetime));
+        }
+    }
+
+    /** @arg 单边卖出信号 */
+    ind = CLOSE() < REF(CLOSE(), 1);
+    auto sg_sell = SG_OneSide(ind, false);
+    sg_sell->setTO(k);
+    expect = ind(k);
+    for (size_t i = expect.discard(); i < expect.size(); i++) {
+        if (expect[i] > 0.0) {
+            CHECK_UNARY(sg_sell->shouldSell(k[i].datetime));
+            CHECK_UNARY(!sg_sell->shouldBuy(k[i].datetime));
+        } else {
+            CHECK_UNARY(!sg_sell->shouldSell(k[i].datetime));
+            CHECK_UNARY(!sg_sell->shouldBuy(k[i].datetime));
+        }
+    }
+
+    /** @arg 尝试改变 alternate 参数 */
+    sg_sell->setParam<bool>("alternate", false);
+    CHECK_THROWS(sg_sell->setParam<bool>("alternate", true));
+
+    /** @arg 单边买入 + 单边卖出 */
+    sg = sg_buy + sg_sell;
+    sg->setTO(k);
+    auto sg_expect = SG_Bool(CLOSE() > REF(CLOSE(), 1), CLOSE() < REF(CLOSE(), 1));
+    sg_expect->setTO(k);
+    for (size_t i = 0; i < k.size(); i++) {
+        CHECK_EQ(sg->shouldBuy(k[i].datetime), sg_expect->shouldBuy(k[i].datetime));
+        CHECK_EQ(sg->shouldSell(k[i].datetime), sg_expect->shouldSell(k[i].datetime));
+    }
+
+    sg->setParam<bool>("alternate", false);
+    sg_expect = SG_Bool(CLOSE() > REF(CLOSE(), 1), CLOSE() < REF(CLOSE(), 1), false);
+    sg->setTO(k);
+    sg_expect->setTO(k);
+    for (size_t i = 0; i < k.size(); i++) {
+        CHECK_EQ(sg->shouldBuy(k[i].datetime), sg_expect->shouldBuy(k[i].datetime));
+        CHECK_EQ(sg->shouldSell(k[i].datetime), sg_expect->shouldSell(k[i].datetime));
+    }
+}
+
+/** @} */

hikyuu_pywrap/trade_sys/_Signal.cpp

@@ -246,4 +246,13 @@ void export_Signal(py::module& m) {
     m.def("SG_Cycle", SG_Cycle, R"(SG_Cycle()
     
     一个特殊的SG，配合PF使用，以 PF 调仓周期为买入信号)");
+
+    m.def("SG_OneSide", SG_OneSide, py::arg("ind"), py::arg("is_buy"),
+          R"(SG_OneSide(ind, is_buy)
+          
+    根据输入指标构建单边信号（单纯的只包含买入或卖出信号），如果指标值大于0，则加入信号
+    
+    :param Indicator ind: 输入指标
+    :param bool is_buy: 构建的是买入信号，否则为卖出信号
+    :return: 信号指示器)");
 }

hikyuu_pywrap/xmake.lua

@@ -72,8 +72,15 @@ target("core")
         end
 
         -- get python include directory.
-        local pydir = try { function () return os.iorun("python3-config --includes"):trim() end }
-        target:add("cxflags", pydir)
+        local pydir = nil;
+        if os.getenv("CONDA_PREFIX") ~= nil then
+            local py3config = os.getenv("CONDA_PREFIX") .. "/bin/python3-config"
+            pydir = os.iorun(py3config .. " --includes"):trim()
+        else
+            pydir = os.iorun("python3-config --includes"):trim()
+        end
+        assert(pydir, "python3-config not found!")
+        target:add("cxflags", pydir)           
     end)
 
     after_build(function(target)

xmake.lua

@@ -149,20 +149,20 @@ add_requires("boost " .. boost_version, {
   },
 })
 
-add_requires("fmt " .. fmt_version, {configs = {header_only = true}})
-add_requires("spdlog " .. spdlog_version, {configs = {header_only = true, fmt_external = true}})
-add_requireconfs("spdlog.fmt", {override = true, version=fmt_version, configs = {header_only = true}})
+add_requires("fmt " .. fmt_version, {system = false, configs = {header_only = true}})
+add_requires("spdlog " .. spdlog_version, {system = false, configs = {header_only = true, fmt_external = true}})
+add_requireconfs("spdlog.fmt", {override = true, version=fmt_version, system = false, configs = {header_only = true}})
 add_requires("sqlite3 " .. sqlite_version, {configs = {shared = true, safe_mode="2", cxflags = "-fPIC"}})
 add_requires("flatbuffers v" .. flatbuffers_version, {system = false, configs= {runtimes = get_config("runtimes")}})
-add_requires("nng " .. nng_version, {configs = {NNG_ENABLE_TLS = has_config("http_client_ssl"), cxflags = "-fPIC"}})
-add_requires("nlohmann_json")
+add_requires("nng " .. nng_version, {system = false, configs = {NNG_ENABLE_TLS = has_config("http_client_ssl"), cxflags = "-fPIC"}})
+add_requires("nlohmann_json", {system = false})
 
 if has_config("http_client_zip") then
-    add_requires("gzip-hpp")
+    add_requires("gzip-hpp", {system = false})
 end
 
 if has_config("ta_lib") then
-    add_requires("ta-lib")
+    add_requires("ta-lib", {system = false})
 end
 
 add_defines("SPDLOG_DISABLE_DEFAULT_LOGGER") -- 禁用 spdlog 默认ogger