策略基类

基类原型

策略类简介

策略类集成了行情、交易和事件的接口，用户的策略都从此类继承实现自己的业务逻辑。每个进程只能实例化一个策略类对象。

策略类定义

class GM_CLASS Strategy
{
public:
    Strategy(const char *token, const char *strategy_id, int mode);
    Strategy();
    virtual ~Strategy();

public: //基础函数

    //运行策略
    int run();

    //停止策略
    void stop();

    //设置策略ID
    void set_strategy_id(const char *strategy_id);

    //设置用户token
    void set_token(const char *token);

    //设置策略运行模式
    void set_mode(int mode);

    //定时任务
    int schedule(const char *data_rule, const char *time_rule);

    //当前时间
    double now();

    //设置回测参数
    int set_backtest_config(
        const char  *start_time,
        const char  *end_time,
        double initial_cash = 1000000,
        double transaction_ratio = 1,
        double commission_ratio = 0,
        double slippage_ratio = 0,
        int    adjust = 0,
        int    check_cache = 1
    );

public: //数据函数

        // 订阅行情
    int subscribe(const char *symbols, const char * frequency, bool unsubscribe_previous = false);

    // 退订行情
    int unsubscribe(const char *symbols, const char * frequency);


public: //交易函数

    //查询交易账号
    DataArray<Account>* get_accounts();

    //查询指定交易账号状态
    int get_account_status(const char *account, AccountStatus &as);

    //查询所有交易账号状态
    DataArray<AccountStatus>* get_all_account_status();

    //按指定量委托
    Order order_volume(const char *symbol, int volume, int side, int order_type, int position_effect, double price = 0, const char *account = NULL);

    //按指定价值委托
    Order order_value(const char *symbol, double value, int side, int order_type, int position_effect, double price = 0, const char *account = NULL);

    //按总资产指定比例委托
    Order order_percent(const char *symbol, double percent, int side, int order_type, int position_effect, double price = 0, const char *account = NULL);

    //调仓到目标持仓量
    Order order_target_volume(const char *symbol, int volume, int position_side, int order_type, double price = 0, const char *account = NULL);

    //调仓到目标持仓额
    Order order_target_value(const char *symbol, double value, int position_side, int order_type, double price = 0, const char *account = NULL);

    //调仓到目标持仓比例（总资产的比例）
    Order order_target_percent(const char *symbol, double percent, int position_side, int order_type, double price = 0, const char *account = NULL);

    //平当前所有可平持仓
    DataArray<Order>* order_close_all();

    //委托撤单
    int order_cancel(const char *cl_ord_id, const char *account = NULL);

    //撤销所有委托
    int order_cancel_all();

    //委托下单
    Order place_order(const char *symbol, int volume, int side, int order_type, int position_effect, double price = 0, int order_duration = 0, int order_qualifier = 0, double stop_price = 0, int order_business = 0, const char *account = NULL);

    //盘后定价交易
    Order order_after_hour(const char *symbol, int volume, int side, double price, const char *account = NULL);

    //查询委托
    DataArray<Order>* get_orders(const char *account = NULL);

    //查询未结委托
    DataArray<Order>* get_unfinished_orders(const char *account = NULL);

    //查询成交
    DataArray<ExecRpt>* get_execution_reports(const char *account = NULL);

    //查询资金
    DataArray<Cash>* get_cash(const char *accounts = NULL);

    //查询持仓
    DataArray<Position>* get_position(const char *account = NULL);

    //委托算法单
    AlgoOrder order_algo(const char *symbol, int volume, int position_effect, int side, int order_type, double price, AlgoParam &algo_param, const char *account = NULL);

    //撤单算法委托
    int algo_order_cancel(const char *cl_ord_id, const char *account = NULL);

    //暂停/恢复算法单
    int algo_order_pause(const char *cl_ord_id, int status, const char *account = NULL);

    //查询算法委托
    DataArray<AlgoOrder>* get_algo_orders(const char *account = NULL);

    //查询算法子委托
    DataArray<Order>* get_algo_child_orders(const char *cl_ord_id, const char *account = NULL);

    //功能号调用
    int raw_func(const char *account, const char *func_id, const char *func_args, char*&rsp);


    /* 两融业务 */

    //融资买入
    Order credit_buying_on_margin(int position_src, const char *symbol, int volume, double price, int order_type = OrderType_Limit, int order_duration = OrderDuration_Unknown, int order_qualifier = OrderQualifier_Unknown, const char *account = NULL);
    //融券卖出
    Order credit_short_selling(int position_src, const char *symbol, int volume, double price, int order_type = OrderType_Limit, int order_duration = OrderDuration_Unknown, int order_qualifier = OrderQualifier_Unknown, const char *account = NULL);
    //买券还券
    Order credit_repay_share_by_buying_share(const char *symbol, int volume, double price, int order_type = OrderType_Limit, int order_duration = OrderDuration_Unknown, int order_qualifier = OrderQualifier_Unknown, const char *account = NULL);
    //卖券还款
    Order credit_repay_cash_by_selling_share(const char *symbol, int volume, double price, int order_type = OrderType_Limit, int order_duration = OrderDuration_Unknown, int order_qualifier = OrderQualifier_Unknown, const char *account = NULL);
    //担保品买入
    Order credit_buying_on_collateral(const char *symbol, int volume, double price, int order_type = OrderType_Limit, int order_duration = OrderDuration_Unknown, int order_qualifier = OrderQualifier_Unknown, const char *account = NULL);
    //担保品卖出
    Order credit_selling_on_collateral(const char *symbol, int volume, double price, int order_type = OrderType_Limit, int order_duration = OrderDuration_Unknown, int order_qualifier = OrderQualifier_Unknown, const char *account = NULL);
    //直接还券
    Order credit_repay_share_directly(const char *symbol, int volume, const char *account = NULL);
    //直接还款
    int credit_repay_cash_directly(double amount, const char *account = NULL, double *actual_repay_amount = NULL, char *error_msg_buf = NULL, int buf_len = 0);
    //担保品转入
    Order credit_collateral_in(const char *symbol, int volume, const char *account = NULL);
    //担保品转出
    Order credit_collateral_out(const char *symbol, int volume, const char *account = NULL);
    //查询担保证券
    DataArray<CollateralInstrument>* credit_get_collateral_instruments(const char *account = NULL);
    //查询标的证券，可做融券标的股票列表
    DataArray<BorrowableInstrument>* credit_get_borrowable_instruments(int position_src, const char *account = NULL);
    //查询券商融券账户头寸，可用融券的数量
    DataArray<BorrowableInstrumentPosition>* credit_get_borrowable_instruments_positions(int position_src, const char *account = NULL);
    //查询融资融券合约
    DataArray<CreditContract>* credit_get_contracts(int position_src, const char *account = NULL);
    //查询融资融券资金
    int credit_get_cash(CreditCash &cash, const char *account = NULL);

    /* 新股业务 */

    //新股申购
    Order ipo_buy(const char *symbol, int volume, double price, const char *account = NULL);
    //查询客户新股申购额度
    int ipo_get_quota(double &quota, const char *account = NULL);
    //查询当日新股清单
    DataArray<IPOInstruments>* ipo_get_instruments(const char *account = NULL);
    //配号查询
    DataArray<IPOMatchNumber>* ipo_get_match_number(const char *account = NULL);
    //中签查询
    DataArray<IPOLotInfo>* ipo_get_lot_info(const char *account = NULL);

    /* 基金业务 */

    //ETF申购
    Order fund_etf_buy(const char *symbol, int volume, double price, const char *account = NULL);
    //ETF赎回
    Order fund_etf_redemption(const char *symbol, int volume, double price, const char *account = NULL);
    //基金认购
    Order fund_subscribing(const char *symbol, int volume, const char *account = NULL);
    //基金申购
    Order fund_buy(const char *symbol, int volume, const char *account = NULL);
    //基金赎回
    Order fund_redemption(const char *symbol, int volume, const char *account = NULL);

    /* 债券业务 */

    //国债逆回购
    Order bond_reverse_repurchase_agreement(const char *symbol, int volume, double price, int order_type = OrderType_Limit, int order_duration = OrderDuration_Unknown, int order_qualifier = OrderQualifier_Unknown, const char *account = NULL);

public: //策略参数类函数

    //添加参数
    int add_parameters(Parameter *params, int count);

    //删除参数
    int del_parameters(const char *keys);

    //设置参数
    int set_parameters(Parameter *params, int count);

    //获取参数
    DataArray<Parameter>* get_parameters();

    //设置标的
    int set_symbols(const char *symbols);

    //获取标的
    DataArray<Symbol>* get_symbols();


public: //事件函数

        //初始化完成
        virtual void on_init();
        //收到Tick行情
        virtual void on_tick(Tick *tick);
        //收到bar行情
        virtual void on_bar(Bar *bar);
        //收到逐笔成交（L2行情时有效）
        virtual void on_l2transaction(L2Transaction *l2transaction);
        //收到逐笔委托（深交所L2行情时有效）
        virtual void on_l2order(L2Order *l2order);
        //收到委托队列（上交所L2行情时有效）
        virtual void on_l2order_queue(L2OrderQueue *l2queue);
        //委托变化
        virtual void on_order_status(Order *order);
        //执行回报
        virtual void on_execution_report(ExecRpt *rpt);
        //算法委托变化
        virtual void on_algo_order_status(AlgoOrder *order);
        //参数变化
        virtual void on_parameter(Parameter *param);
        //定时任务触发
        virtual void on_schedule(const char *data_rule, const char *time_rule);
        //回测完成后收到绩效报告
        virtual void on_backtest_finished(Indicator *indicator);
        //实盘账号状态变化
        virtual void on_account_status(AccountStatus *account_status);
        //错误产生
        virtual void on_error(int error_code, const char *error_msg);
        //收到策略停止信号
        virtual void on_stop();
        //数据已经连接上
        virtual void on_market_data_connected();
        //交易已经连接上
        virtual void on_trade_data_connected();
        //数据连接断开了
        virtual void on_market_data_disconnected();
        //交易连接断开了
        virtual void on_trade_data_disconnected();

};