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test_Simple_SYS_for_base.cpp
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1 /*
2  * test_SYS_Simple.cpp
3  *
4  * Created on: 2013-4-20
5  * Author: fasiondog
6  */
7 
8 
9 #ifdef TEST_ALL_IN_ONE
10  #include <boost/test/unit_test.hpp>
11 #else
12  #define BOOST_TEST_MODULE test_hikyuu_trade_sys_suite
13  #include <boost/test/unit_test.hpp>
14 #endif
15 
16 #include "test_sys.h"
17 #include <hikyuu/StockManager.h>
18 #include <hikyuu/indicator/crt/MA.h>
19 #include <hikyuu/trade_manage/crt/crtTM.h>
20 #include <hikyuu/trade_sys/system/crt/SYS_Simple.h>
21 #include <hikyuu/trade_sys/signal/crt/SG_Cross.h>
22 #include <hikyuu/trade_sys/moneymanager/crt/MM_FixedCount.h>
23 #include <hikyuu/trade_sys/stoploss/crt/ST_FixedPercent.h>
24 #include <hikyuu/trade_sys/stoploss/crt/ST_Indicator.h>
25 
26 
27 using namespace hku;
28 
36 BOOST_AUTO_TEST_CASE( test_SYS_Simple_for_base) {
37  TradeRecordList tr_list;
38  price_t current_cash;
39 
40  StockManager& sm = StockManager::instance();
41 
42  //初始参数
43  Datetime init_date(199001010000LL); //账户初始日期
44  price_t init_cash = 100000; //账户初始金额
45  TradeCostPtr costfunc = TC_Zero(); //零成本函数
46  Stock stk = sm["sh600000"]; //选定标的
47  Datetime start_date(199911100000LL); //测试起始日期
48  Datetime end_date(200002250000LL); //测试结束日期
49 
50  KQuery query = KQueryByDate(start_date, end_date, KQuery::DAY);
51 
52  //构建系统部件
53  TMPtr tm = crtTM(init_date, init_cash, costfunc, "TEST_TM");
54  SGPtr sg = SG_Cross(OP(MA(5)), OP(MA(10)), "CLOSE");
55  MMPtr mm = MM_FixedCount(100);
56  SYSPtr sys;
57 
59  sys = SYS_Simple();
60  BOOST_CHECK(sys->readyForRun() == false);
61  sys->run(stk, query);
62  BOOST_CHECK(!sys->getTM());
63 
65  sys = SYS_Simple();
66  sys->setTM(tm->clone());
67  BOOST_CHECK(sys->readyForRun() == false);
68  sys->run(stk, query);
69  BOOST_CHECK(sys->getTM()->currentCash() == init_cash);
70  tr_list = sys->getTM()->getTradeList();
71  BOOST_CHECK(tr_list.size() == 1);
72  BOOST_CHECK(tr_list[0].business == BUSINESS_INIT);
73 
75  sys = SYS_Simple();
76  sys->setTM(tm->clone());
77  sys->setSG(sg->clone());
78  BOOST_CHECK(sys->readyForRun() == false);
79  sys->run(stk, query);
80  BOOST_CHECK(sys->getTM()->currentCash() == init_cash);
81  tr_list = sys->getTM()->getTradeList();
82  BOOST_CHECK(tr_list.size() == 1);
83  BOOST_CHECK(tr_list[0].business == BUSINESS_INIT);
84 
86  sys = SYS_Simple();
87  sys->setParam("delay", false);
88  sys->setTM(tm->clone());
89  sys->setSG(sg->clone());
90  sys->setMM(mm->clone());
91  BOOST_CHECK(sys->readyForRun() == true);
92  sys->run(stk, query);
93  BOOST_CHECK(sys->getTM()->currentCash() != init_cash);
94  tr_list = sys->getTM()->getTradeList();
95  BOOST_CHECK(tr_list.size() != 1);
96  BOOST_CHECK(tr_list[0].business == BUSINESS_INIT);
97 
98  BOOST_CHECK(tr_list[1].stock == stk);
99  BOOST_CHECK(tr_list[1].datetime == Datetime(199912150000LL));
100  BOOST_CHECK(tr_list[1].business == BUSINESS_BUY);
101  BOOST_CHECK(std::fabs(tr_list[1].planPrice - 26.45) < 0.00001);
102  BOOST_CHECK(std::fabs(tr_list[1].realPrice - 26.45) < 0.00001);
103  BOOST_CHECK(tr_list[1].goalPrice == Null<price_t>());
104  BOOST_CHECK(tr_list[1].number == 100);
105  BOOST_CHECK(std::fabs(tr_list[1].cost.total - 0) < 0.00001);
106  BOOST_CHECK(std::fabs(tr_list[1].stoploss - 0) < 0.00001);
107  current_cash = init_cash - 2645;
108  BOOST_CHECK(std::fabs(tr_list[1].cash - current_cash) < 0.00001);
109  BOOST_CHECK(tr_list[1].from == PART_SIGNAL);
110 
111  BOOST_CHECK(tr_list[2].stock == stk);
112  BOOST_CHECK(tr_list[2].datetime == Datetime(199912220000LL));
113  BOOST_CHECK(tr_list[2].business == BUSINESS_SELL);
114  BOOST_CHECK(std::fabs(tr_list[2].planPrice - 25.15) < 0.00001);
115  BOOST_CHECK(std::fabs(tr_list[2].realPrice - 25.15) < 0.00001);
116  BOOST_CHECK(tr_list[2].goalPrice == Null<price_t>());
117  BOOST_CHECK(tr_list[2].number == 100);
118  BOOST_CHECK(std::fabs(tr_list[2].cost.total - 0) < 0.00001);
119  BOOST_CHECK(std::fabs(tr_list[2].stoploss - 0) < 0.00001);
120  current_cash += 2515;
121  BOOST_CHECK(std::fabs(tr_list[2].cash - current_cash) < 0.00001);
122  BOOST_CHECK(tr_list[2].from == PART_SIGNAL);
123 
124  BOOST_CHECK(tr_list[3].stock == stk);
125  BOOST_CHECK(tr_list[3].datetime == Datetime(200001050000LL));
126  BOOST_CHECK(tr_list[3].business == BUSINESS_BUY);
127  BOOST_CHECK(std::fabs(tr_list[3].planPrice - 25.28) < 0.00001);
128  BOOST_CHECK(std::fabs(tr_list[3].realPrice - 25.28) < 0.00001);
129  BOOST_CHECK(tr_list[3].goalPrice == Null<price_t>());
130  BOOST_CHECK(tr_list[3].number == 100);
131  BOOST_CHECK(std::fabs(tr_list[3].cost.total - 0) < 0.00001);
132  BOOST_CHECK(std::fabs(tr_list[3].stoploss - 0) < 0.00001);
133  current_cash -= 2528;
134  BOOST_CHECK(std::fabs(tr_list[3].cash - current_cash) < 0.00001);
135  BOOST_CHECK(tr_list[3].from == PART_SIGNAL);
136 
138  sys = SYS_Simple();
139  sys->setParam("delay", true);
140  sys->setTM(tm->clone());
141  sys->setSG(sg->clone());
142  sys->setMM(mm->clone());
143  BOOST_CHECK(sys->readyForRun() == true);
144  sys->run(stk, query);
145  BOOST_CHECK(sys->getTM()->currentCash() != init_cash);
146  tr_list = sys->getTM()->getTradeList();
147  BOOST_CHECK(tr_list.size() != 1);
148  BOOST_CHECK(tr_list[0].business == BUSINESS_INIT);
149 
150  BOOST_CHECK(tr_list[1].stock == stk);
151  BOOST_CHECK(tr_list[1].datetime == Datetime(199912160000LL));
152  BOOST_CHECK(tr_list[1].business == BUSINESS_BUY);
153  BOOST_CHECK(std::fabs(tr_list[1].planPrice - 26.50) < 0.00001);
154  BOOST_CHECK(std::fabs(tr_list[1].realPrice - 26.50) < 0.00001);
155  BOOST_CHECK(tr_list[1].goalPrice == Null<price_t>());
156  BOOST_CHECK(tr_list[1].number == 100);
157  BOOST_CHECK(std::fabs(tr_list[1].cost.total - 0) < 0.00001);
158  BOOST_CHECK(std::fabs(tr_list[1].stoploss - 0) < 0.00001);
159  current_cash = init_cash - 2650;
160  BOOST_CHECK(std::fabs(tr_list[1].cash - current_cash) < 0.00001);
161  BOOST_CHECK(tr_list[1].from == PART_SIGNAL);
162 
163  BOOST_CHECK(tr_list[2].stock == stk);
164  BOOST_CHECK(tr_list[2].datetime == Datetime(199912230000LL));
165  BOOST_CHECK(tr_list[2].business == BUSINESS_SELL);
166  BOOST_CHECK(std::fabs(tr_list[2].planPrice - 25.20) < 0.00001);
167  BOOST_CHECK(std::fabs(tr_list[2].realPrice - 25.20) < 0.00001);
168  BOOST_CHECK(tr_list[2].goalPrice == Null<price_t>());
169  BOOST_CHECK(tr_list[2].number == 100);
170  BOOST_CHECK(std::fabs(tr_list[2].cost.total - 0) < 0.00001);
171  BOOST_CHECK(std::fabs(tr_list[2].stoploss - 0) < 0.00001);
172  current_cash += 2520;
173  BOOST_CHECK(std::fabs(tr_list[2].cash - current_cash) < 0.00001);
174  BOOST_CHECK(tr_list[2].from == PART_SIGNAL);
175 
176  BOOST_CHECK(tr_list[3].stock == stk);
177  BOOST_CHECK(tr_list[3].datetime == Datetime(200001060000LL));
178  BOOST_CHECK(tr_list[3].business == BUSINESS_BUY);
179  BOOST_CHECK(std::fabs(tr_list[3].planPrice - 25.18) < 0.00001);
180  BOOST_CHECK(std::fabs(tr_list[3].realPrice - 25.18) < 0.00001);
181  BOOST_CHECK(tr_list[3].goalPrice == Null<price_t>());
182  BOOST_CHECK(tr_list[3].number == 100);
183  BOOST_CHECK(std::fabs(tr_list[3].cost.total - 0) < 0.00001);
184  BOOST_CHECK(std::fabs(tr_list[3].stoploss - 0) < 0.00001);
185  current_cash -= 2518;
186  BOOST_CHECK(std::fabs(tr_list[3].cash - current_cash) < 0.00001);
187  BOOST_CHECK(tr_list[3].from == PART_SIGNAL);
188 
189  /*for (auto iter = tr_list.begin(); iter != tr_list.end(); ++iter) {
190  std::cout << *iter << std::endl;
191  }*/
192 }
193 
BOOST_AUTO_TEST_CASE
BOOST_AUTO_TEST_CASE(test_SYS_Simple_for_base)
Definition: test_Simple_SYS_for_base.cpp:36
test_sys.h
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