backtest功能完善

Author: yuanwenbin

service/include/Interprecter/Stmt.h

@@ -78,7 +78,7 @@ class FormulaParser {
     bool parse(const String& code);
     bool parse(const String& code, TradeAction action);
 
-    List<TradeDecision> envoke(const Vector<symbol_t>& symbols, const List<String>& variantNames, DataContext* context);
+    List<TradeDecision> envoke(const Vector<symbol_t>& symbols, const Set<String>& variantNames, DataContext* context);
 
 private:
     double eval(const symbol_t& symbol, const peg::Ast& ast, DataContext* context);

service/include/Nodes/DecisionNode.h

@@ -6,14 +6,12 @@ class FunctionNode: public QNode {
 public:
     ~FunctionNode();
 
-    virtual bool Init(DataContext& context, const nlohmann::json& config);
+    virtual bool Init(const nlohmann::json& config);
 
     virtual bool Process(const String& strategy, DataContext& context);
 
     virtual Map<String, ArgType> out_elements();
 
-    void SetFunctionName(const String& name) { _funcionName = name; }
-
     template<typename T>
     void AddArgument(const String& name, T val) {
         _args[name] = val;
@@ -23,8 +21,9 @@ class FunctionNode: public QNode {
 
 
 private:
-    String _funcionName;
     Map<String, std::variant<int>> _args;
     ICallable* _callable = nullptr;
     Map<String, ArgType> _params;
+    // 输出的数据名
+    Map<String, ArgType> _outputs;
 };

service/include/Nodes/FunctionNode.h

@@ -1,21 +1,20 @@
 #pragma once
 #include "StrategyNode.h"
+#include "Util/system.h"
 
 class Server;
 class QuoteInputNode : public QNode {
 public:
     QuoteInputNode(Server* server);
 
-    bool Init(DataContext& context, const nlohmann::json& config);
+    bool Init(const nlohmann::json& config);
 
     virtual bool Process(const String& strategy, DataContext& context);
 
     void AddSymbol(symbol_t symbol) { _symbols.insert(symbol); }
 
     void EraseSymbol(symbol_t symbol) { _symbols.erase(symbol); }
 
-    void Connect(QNode* next, const String& from, const String& to);
-
     Map<String, ArgType> out_elements();
 private:
     bool Init();

service/include/Nodes/QuoteNode.h

@@ -0,0 +1,27 @@
+#pragma once
+#include "StrategyNode.h"
+#include "Util/system.h"
+
+class FormulaParser;
+class Server;
+// 构建买入/卖出信号
+class SignalNode: public QNode {
+public:
+    SignalNode(Server* server);
+    ~SignalNode();
+
+    virtual bool Init(const nlohmann::json& config);
+    virtual bool Process(const String& strategy, DataContext& context);
+
+    bool ParseBuyExpression(const String& expression);
+    bool ParseSellExpression(const String& expression);
+
+private:
+
+
+private:
+    Server* _server;
+    FormulaParser* _buyParser;
+    FormulaParser* _sellParser;
+    Vector<symbol_t> _pools;
+};

service/include/Nodes/SignalNode.h

@@ -77,6 +77,7 @@ class QStrategy: public QNode {
 struct AgentStrategyInfo;
 // AgentStrategyInfo parse_strategy_script(const nlohmann::json& content);
 
+class Server;
 List<QNode*> parse_strategy_script_v2(const nlohmann::json& content, Server* server);
 // 对输入的有向图节点作topo排序，返回排序后的节点
 List<QNode*> topo_sort(const List<QNode*>& graph);

service/include/Strategy.h

@@ -1,12 +1,7 @@
 #pragma once
 #include "std_header.h"
-#include "Feature.h"
-#include "server.h"
 #include "json.hpp"
-#include "Util/system.h"
 #include <functional>
-#include <utility>
-#include "BrokerSubSystem.h"
 
 class ICallable;
 // 数据上下文，用于管理节点间传输的数据
@@ -51,7 +46,7 @@ class QNode {
     using Edges = MultiMap<String, QNode*>;
 public:
     virtual ~QNode(){}
-    virtual bool Init(DataContext& context, const nlohmann::json& config) = 0;
+    virtual bool Init(const nlohmann::json& config) = 0;
     /**
      * @brief 对输入数据做处理，并返回处理后的数据
      */
@@ -86,7 +81,7 @@ class QNode {
 
 class OperationNode: public QNode {
 public:
-    virtual bool Init(DataContext& context, const nlohmann::json& config);
+    virtual bool Init(const nlohmann::json& config);
 
     virtual bool Process(const String& strategy, DataContext& context);
 
@@ -96,31 +91,3 @@ class OperationNode: public QNode {
 private:
     std::function<void ()> _callable;
 };
-
-class FeatureNode: public QNode {
-public:
-    virtual bool Init(DataContext& context, const nlohmann::json& config);
-    virtual bool Process(const String& strategy, DataContext& context);
-};
-
-class FormulaParser;
-// 构建买入/卖出信号
-class SignalNode: public QNode {
-public:
-    SignalNode(Server* server);
-    ~SignalNode();
-
-    virtual bool Init(DataContext& context, const nlohmann::json& config);
-    virtual bool Process(const String& strategy, DataContext& context);
-
-    bool ParseBuyExpression(const String& expression);
-    bool ParseSellExpression(const String& expression);
-
-private:
-
-
-private:
-    Server* _server;
-    FormulaParser* _buyParser;
-    FormulaParser* _sellParser;
-};

service/include/StrategyNode.h

@@ -80,4 +80,4 @@ using UnorderedSet = std::unordered_set<T, Args...>;
 #include "Eigen/Core"
 #include "Util/log.h"
 
-using feature_t = std::variant<uint64_t, double, Vector<double>, Eigen::MatrixXd>;
+using feature_t = std::variant<std::string, uint64_t, double, Vector<double>, Eigen::MatrixXd>;

service/include/std_header.h

@@ -86,12 +86,12 @@ void FlowSubsystem::Start(const String& strategy) {
         DataContext context;
         try {
             auto& flow = _flows[strategy];
-            for (auto node: flow._graph) {
-                if (flow._running && !node->Init(context, flow._config)) {
-                    INFO("strategy thread exit.");
-                    return;
-                }
-            }
+            // for (auto node: flow._graph) {
+            //     if (flow._running && !node->Init(context, flow._config)) {
+            //         INFO("strategy thread exit.");
+            //         return;
+            //     }
+            // }
             uint64_t epoch = 0;
             while (flow._running) {
                 context.SetEpoch(++epoch);

service/src/AgentSubSystem.cpp

@@ -332,6 +332,7 @@ bool StockSimulation::Once(uint& curIndex) {
 
 bool StockSimulation::Once(symbol_t symbol, time_t timeAxis) {
 
+    return true;
 }
 
 double StockSimulation::GetAvailableFunds()