TradeManager.h

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/*
 * TradeManager.h
 *
 *  Created on: 2013-2-13
 *      Author: fasiondog
 */

#ifndef TRADEMANAGER_H_
#define TRADEMANAGER_H_

#include <boost/tuple/tuple.hpp>
#include "../utilities/Parameter.h"
#include "../utilities/util.h"
#include "TradeRecord.h"
#include "PositionRecord.h"
#include "BorrowRecord.h"
#include "FundsRecord.h"
#include "LoanRecord.h"
#include "OrderBrokerBase.h"
#include "crt/TC_Zero.h"

#if HKU_SUPPORT_SERIALIZATION
#include <boost/serialization/map.hpp>
#include <boost/serialization/vector.hpp>
#include <boost/serialization/list.hpp>
#endif

namespace hku {

class HKU_API TradeManager {
    PARAMETER_SUPPORT

public:
    TradeManager(const Datetime& datetime = Datetime(199001010000LL),
            price_t initcash = 100000.0,
            const TradeCostPtr& costfunc = TC_Zero(),
            const string& name = "SYS");
    virtual ~TradeManager();

    void reset();

    void regBroker(const OrderBrokerPtr& broker);

    void clearBroker();

    Datetime getBrokerLastDatetime() const { return m_broker_last_datetime; }

    void setBrokerLastDatetime(const Datetime& date) {
        m_broker_last_datetime = date;
    }

    shared_ptr<TradeManager> clone();

    double getMarginRate(const Datetime& datetime, const Stock& stock);

    string name() const { return m_name; }

    void name(const string& name) { m_name = name; }

    price_t initCash() const { return m_init_cash; }

    Datetime initDatetime() const { return m_init_datetime; }

    Datetime firstDatetime() const;

    Datetime lastDatetime() const {
        return m_trade_list.empty()
                ? m_init_datetime : m_trade_list.back().datetime;
    }

    bool reinvest() const { return getParam<bool>("reinvest"); }

    int precision() const { return getParam<int>("precision"); }

    TradeCostPtr costFunc() const { return m_costfunc; }

    void costFunc(const TradeCostPtr& func) { m_costfunc = func; }

    price_t currentCash() const { return m_cash; }

    price_t cash(const Datetime& datetime, KQuery::KType ktype = KQuery::DAY);

    bool have(const Stock& stock) const{
        return m_position.count(stock.id()) ? true : false;
    }

    bool haveShort(const Stock& stock) const{
        return m_short_position.count(stock.id()) ? true : false;
    }

    size_t getStockNumber() const { return m_position.size(); }

    size_t getShortStockNumber() const { return m_short_position.size(); }

    size_t getHoldNumber(const Datetime& datetime, const Stock& stock);

    size_t getShortHoldNumber(const Datetime& datetime, const Stock& stock);

    size_t getDebtNumber(const Datetime& datetime, const Stock& stock);

    price_t getDebtCash(const Datetime& datetime);

    const TradeRecordList& getTradeList() const { return m_trade_list; }

    TradeRecordList getTradeList(const Datetime& start, const Datetime& end) const;

    PositionRecordList getPositionList() const;

    const PositionRecordList& getHistoryPositionList() const {
        return m_position_history;
    }

    PositionRecordList getShortPositionList() const;

    const PositionRecordList& getShortHistoryPositionList() const {
        return m_short_position_history;
    }

    PositionRecord getPosition(const Stock&) const;

    PositionRecord getShortPosition(const Stock&) const;

    BorrowRecordList getBorrowStockList() const;

    CostRecord getBuyCost(const Datetime& datetime, const Stock& stock,
            price_t price, size_t num) const{
        return m_costfunc
                ? m_costfunc->getBuyCost(datetime, stock, price, num)
                : CostRecord();
    }

    CostRecord getSellCost(const Datetime& datetime, const Stock& stock,
            price_t price, size_t num) const{
        return m_costfunc
                ? m_costfunc->getSellCost(datetime, stock, price, num)
                : CostRecord();
    }

    CostRecord getBorrowCashCost(const Datetime& datetime, price_t cash) {
        return m_costfunc
                ? m_costfunc->getBorrowCashCost(datetime, cash)
                : CostRecord();
    }

    CostRecord getReturnCashCost(const Datetime& borrow_datetime,
            const Datetime& return_datetime,
            price_t cash) {
        return m_costfunc
                ? m_costfunc->getReturnCashCost(borrow_datetime,
                                                return_datetime, cash)
                : CostRecord();
    }

    CostRecord getBorrowStockCost(const Datetime& datetime,
            const Stock& stock, price_t price, size_t num) {
        return m_costfunc
                ? m_costfunc->getBorrowStockCost(datetime, stock, price, num)
                : CostRecord();
    }

    CostRecord getReturnStockCost(const Datetime& borrow_datetime,
            const Datetime& return_datetime,
            const Stock& stock, price_t price, size_t num) {
        return m_costfunc
                ? m_costfunc->getReturnStockCost(borrow_datetime,
                        return_datetime, stock, price, num)
                : CostRecord();
    }

    bool checkin(const Datetime& datetime, price_t cash);

    bool checkout(const Datetime& datetime, price_t cash);

    bool checkinStock(const Datetime& datetime, const Stock& stock,
            price_t price, size_t number);

    bool checkoutStock(const Datetime& datetime, const Stock& stock,
            price_t price, size_t number);

    TradeRecord buy(const Datetime& datetime, const Stock& stock,
            price_t realPrice, size_t number,
            price_t stoploss = 0.0,
            price_t goalPrice = 0.0,
            price_t planPrice = 0.0,
            SystemPart from = PART_INVALID);

    TradeRecord sell(const Datetime& datetime, const Stock& stock,
            price_t realPrice,
            size_t number = Null<size_t>(),
            price_t stoploss = 0.0,
            price_t goalPrice = 0.0,
            price_t planPrice = 0.0,
            SystemPart from = PART_INVALID);

    TradeRecord sellShort(const Datetime& datetime, const Stock& stock,
            price_t realPrice, size_t number,
            price_t stoploss = 0.0,
            price_t goalPrice = 0.0,
            price_t planPrice = 0.0,
            SystemPart from = PART_INVALID);

    TradeRecord buyShort(const Datetime& datetime, const Stock& stock,
            price_t realPrice,
            size_t number = Null<size_t>(),
            price_t stoploss = 0.0,
            price_t goalPrice = 0.0,
            price_t planPrice = 0.0,
            SystemPart from = PART_INVALID);

    bool borrowCash(const Datetime& datetime, price_t cash);

    bool returnCash(const Datetime& datetime, price_t cash);

    bool borrowStock(const Datetime& datetime, const Stock& stock,
            price_t price, size_t number);

    bool returnStock(const Datetime& datetime, const Stock& stock,
            price_t price, size_t number);

    FundsRecord getFunds(KQuery::KType ktype = KQuery::DAY) const;

    FundsRecord getFunds(const Datetime& datetime,
            KQuery::KType ktype = KQuery::DAY);

    PriceList getFundsCurve(const DatetimeList& dates,
            KQuery::KType ktype = KQuery::DAY);

    PriceList getProfitCurve(const DatetimeList& dates,
            KQuery::KType ktype = KQuery::DAY);

    bool addTradeRecord(const TradeRecord& tr);

    string toString() const;

    void tocsv(const string& path);

private:
    //根据权息信息，更新交易记录及持仓
    void _update(const Datetime&);

    //以脚本的形式保存交易动作，便于修正和校准
    void _saveAction(const TradeRecord&);

    bool _add_init_tr(const TradeRecord&);
    bool _add_buy_tr(const TradeRecord&);
    bool _add_sell_tr(const TradeRecord&);
    bool _add_gift_tr(const TradeRecord&);
    bool _add_bonus_tr(const TradeRecord&);
    bool _add_checkin_tr(const TradeRecord&);
    bool _add_checkout_tr(const TradeRecord&);
    bool _add_checkin_stock_tr(const TradeRecord&);
    bool _add_checkout_stock_tr(const TradeRecord&);
    bool _add_borrow_cash_tr(const TradeRecord&);
    bool _add_return_cash_tr(const TradeRecord&);
    bool _add_borrow_stock_tr(const TradeRecord&);
    bool _add_return_stock_tr(const TradeRecord&);
    bool _add_sell_short_tr(const TradeRecord&);
    bool _add_buy_short_tr(const TradeRecord&);

private:
    string       m_name;            //账户名称
    Datetime     m_init_datetime;   //账户建立日期
    price_t      m_init_cash;       //初始资金
    TradeCostPtr m_costfunc;        //成本算法

    price_t      m_cash;            //当前现金
    price_t      m_checkin_cash;    //累计存入资金，初始资金视为存入
    price_t      m_checkout_cash;   //累计取出资金
    price_t      m_checkin_stock;   //累计存入股票价值
    price_t      m_checkout_stock;  //累计取出股票价值
    price_t      m_borrow_cash;     //当前借入资金，负债

    list<LoanRecord> m_loan_list;   //当前融资情况

    typedef map<hku_uint64, BorrowRecord> borrow_stock_map_type;
    borrow_stock_map_type m_borrow_stock;  //当前借入的股票及其数量

    TradeRecordList m_trade_list;  //交易记录

    typedef map<hku_uint64, PositionRecord > position_map_type;
    position_map_type m_position; //当前持仓交易对象的持仓记录 ["sh000001"-> ]
    PositionRecordList m_position_history; //持仓历史记录
    position_map_type m_short_position; //空头仓位记录
    PositionRecordList m_short_position_history; //空头仓位历史记录

    list<OrderBrokerPtr>  m_broker_list; //订单代理列表
    Datetime m_broker_last_datetime; //订单代理最近一次执行操作的时刻

    list<string> m_actions; //记录交易动作，便于修改或校准实盘时的交易

//==================================================
// 支持序列化
//==================================================
#if HKU_SUPPORT_SERIALIZATION
private:
    friend class boost::serialization::access;
    template<class Archive>
    void save(Archive & ar, const unsigned int version) const {
        string name(GBToUTF8(m_name));
        ar & boost::serialization::make_nvp("m_name", name);
        ar & BOOST_SERIALIZATION_NVP(m_params);
        ar & BOOST_SERIALIZATION_NVP(m_init_datetime);
        ar & BOOST_SERIALIZATION_NVP(m_init_cash);
        ar & BOOST_SERIALIZATION_NVP(m_costfunc);
        ar & BOOST_SERIALIZATION_NVP(m_cash);
        ar & BOOST_SERIALIZATION_NVP(m_checkin_cash);
        ar & BOOST_SERIALIZATION_NVP(m_checkout_cash);
        ar & BOOST_SERIALIZATION_NVP(m_checkin_stock);
        ar & BOOST_SERIALIZATION_NVP(m_checkout_stock);
        ar & BOOST_SERIALIZATION_NVP(m_borrow_cash);
        ar & BOOST_SERIALIZATION_NVP(m_loan_list);
        namespace bs = boost::serialization;
        BorrowRecordList borrow = getBorrowStockList();
        ar & bs::make_nvp<BorrowRecordList>("m_borrow_stock", borrow);
        PositionRecordList position = getPositionList();
        ar & bs::make_nvp<PositionRecordList>("m_position", position);
        ar & BOOST_SERIALIZATION_NVP(m_position_history);
        position = getShortPositionList();
        ar & bs::make_nvp<PositionRecordList>("m_short_position", position);
        ar & BOOST_SERIALIZATION_NVP(m_short_position_history);
        ar & BOOST_SERIALIZATION_NVP(m_trade_list);
        ar & BOOST_SERIALIZATION_NVP(m_actions);
    }

    template<class Archive>
    void load(Archive & ar, const unsigned int version) {
        string name;
        ar & boost::serialization::make_nvp("m_name", name);
        m_name = UTF8ToGB(name);
        ar & BOOST_SERIALIZATION_NVP(m_params);
        ar & BOOST_SERIALIZATION_NVP(m_init_datetime);
        ar & BOOST_SERIALIZATION_NVP(m_init_cash);
        ar & BOOST_SERIALIZATION_NVP(m_costfunc);
        ar & BOOST_SERIALIZATION_NVP(m_cash);
        ar & BOOST_SERIALIZATION_NVP(m_checkin_cash);
        ar & BOOST_SERIALIZATION_NVP(m_checkout_cash);
        ar & BOOST_SERIALIZATION_NVP(m_checkin_stock);
        ar & BOOST_SERIALIZATION_NVP(m_checkout_stock);
        ar & BOOST_SERIALIZATION_NVP(m_borrow_cash);
        ar & BOOST_SERIALIZATION_NVP(m_loan_list);
        namespace bs = boost::serialization;
        BorrowRecordList borrow;
        ar & bs::make_nvp<BorrowRecordList>("m_borrow_stock", borrow);
        BorrowRecordList::const_iterator bor_iter = borrow.begin();
        for (; bor_iter != borrow.end(); ++bor_iter) {
            m_borrow_stock[bor_iter->stock.id()] = *bor_iter;
        }
        PositionRecordList position;
        ar & bs::make_nvp<PositionRecordList>("m_position", position);
        PositionRecordList::const_iterator iter = position.begin();
        for (; iter != position.end(); ++iter) {
            m_position[iter->stock.id()] = *iter;
        }
        ar & BOOST_SERIALIZATION_NVP(m_position_history);

        position.clear();
        ar & bs::make_nvp<PositionRecordList>("m_short_position", position);
        iter = position.begin();
        for (; iter != position.end(); ++iter) {
            m_short_position[iter->stock.id()] = *iter;
        }
        ar & BOOST_SERIALIZATION_NVP(m_short_position_history);
        ar & BOOST_SERIALIZATION_NVP(m_trade_list);
        ar & BOOST_SERIALIZATION_NVP(m_actions);
    }

    BOOST_SERIALIZATION_SPLIT_MEMBER()
#endif /* HKU_SUPPORT_SERIALIZATION */
};


typedef shared_ptr<TradeManager> TradeManagerPtr;
typedef shared_ptr<TradeManager> TMPtr;

HKU_API std::ostream & operator<<(std::ostream &, const TradeManager&);
HKU_API std::ostream & operator<<(std::ostream &, const TradeManagerPtr&);

} /* namespace hku */
#endif /* TRADEMANAGER_H_ */