CTA仿真完整篇2: 初始化

#include "WtStraDualThrust.h"

#include "../Includes/ICtaStraCtx.h"

#include "../Includes/WTSContractInfo.hpp"
#include "../Includes/WTSVariant.hpp"
#include "../Includes/WTSDataDef.hpp"
#include "../Share/decimal.h"

extern const char* FACT_NAME;

//By Wesley @ 2022.01.05
#include "../Share/fmtlib.h"

WtStraDualThrust::WtStraDualThrust(const char* id)
	: CtaStrategy(id)
{
}

WtStraDualThrust::~WtStraDualThrust()
{
}

const char* WtStraDualThrust::getFactName()
{
	return FACT_NAME;
}

const char* WtStraDualThrust::getName()
{
	return "DualThrust";
}

bool WtStraDualThrust::init(WTSVariant* cfg)
{
	if (cfg == NULL)
		return false;

	_days = cfg->getUInt32("days");
	_k1 = cfg->getDouble("k1");
	_k2 = cfg->getDouble("k2");

	_period = cfg->getCString("period");
	_count = cfg->getUInt32("count");
	_code = cfg->getCString("code");

	_isstk = cfg->getBoolean("stock");

	return true;
}

void WtStraDualThrust::on_schedule(ICtaStraCtx* ctx, uint32_t curDate, uint32_t curTime)
{
	ctx->stra_log_info(fmt::format("策略回调on_schedule, {}", ctx->stra_get_time()).c_str());

	std::string code = _code;
	if (_isstk)
		code += "-";
	WTSKlineSlice *kline = ctx->stra_get_bars(code.c_str(), _period.c_str(), _count, true);
	if(kline == NULL)
	{
		//这里可以输出一些日志
		return;
	}

	if (kline->size() == 0)
	{
		kline->release();
		return;
	}

	//这个释放一定要做
	kline->release();

	// 每笔交易手数
	uint32_t trdUnit = 1;
	if (_isstk)
		trdUnit = 100;

	double curPos = ctx->stra_get_position(_code.c_str()) / trdUnit;
	if(decimal::eq(curPos,0))
	{
		ctx->stra_enter_long(_code.c_str(), 2 * trdUnit, "DT_EnterLong");
		//向上突破
		ctx->stra_log_info(fmt::format("多仓进场").c_str());

	}
	else if (decimal::gt(curPos, 1))
	{

		//多仓出场
		ctx->stra_exit_long(_code.c_str(), 2 * trdUnit, "DT_ExitLong");
		ctx->stra_log_info(fmt::format("多单离场").c_str());

		ctx->stra_save_user_data("test", "waht");
	}

}

void WtStraDualThrust::on_init(ICtaStraCtx* ctx)
{
	ctx->stra_log_info(fmt::format("策略回调on_init, {}", ctx->stra_get_time()).c_str());

	std::string code = _code;
	if (_isstk)
		code += "-";
	WTSKlineSlice *kline = ctx->stra_get_bars(code.c_str(), _period.c_str(), _count, true);
	if (kline == NULL)
	{
		//这里可以输出一些日志
		return;
	}

	ctx->stra_sub_ticks(code.c_str());

	kline->release();
}

void WtStraDualThrust::on_tick(ICtaStraCtx* ctx, const char* stdCode, WTSTickData* newTick)
{
	//没有什么要处理
	ctx->stra_log_info(fmt::format("策略回调on_tick, {}", ctx->stra_get_time()).c_str());
}

// 1. executers.yaml 配置文件内容
WTSVariant* cfgItem = cfgExecuter->get(idx);
if (!cfgItem->getBoolean("active"))
    continue;

const char* id = cfgItem->getCString("id");
bool bLocal = cfgItem->getBoolean("local");

if (bLocal)
{
    // 2. 创建本地执行器对象
    WtLocalExecuter* executer = new WtLocalExecuter(&_exe_factory, id, &_data_mgr);
    if (!executer->init(cfgItem))
        return false;

    // 3. 将执行器和交易接口相互绑定
    TraderAdapterPtr trader = _traders.getAdapter(cfgItem->getCString("trader"));
    executer->setTrader(trader.get());
    trader->addSink(executer);
    // 4. 将执行器添加到cta引擎中
    _cta_engine.addExecuter(ExecCmdPtr(executer));
}