CN110389752A - A kind of financial business logical code implementation method separated with mathematical logic - Google Patents
A kind of financial business logical code implementation method separated with mathematical logic Download PDFInfo
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- CN110389752A CN110389752A CN201910681011.3A CN201910681011A CN110389752A CN 110389752 A CN110389752 A CN 110389752A CN 201910681011 A CN201910681011 A CN 201910681011A CN 110389752 A CN110389752 A CN 110389752A
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06F—ELECTRIC DIGITAL DATA PROCESSING
- G06F8/00—Arrangements for software engineering
- G06F8/20—Software design
- G06F8/24—Object-oriented
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06F—ELECTRIC DIGITAL DATA PROCESSING
- G06F9/00—Arrangements for program control, e.g. control units
- G06F9/06—Arrangements for program control, e.g. control units using stored programs, i.e. using an internal store of processing equipment to receive or retain programs
- G06F9/44—Arrangements for executing specific programs
- G06F9/448—Execution paradigms, e.g. implementations of programming paradigms
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
Abstract
The invention discloses a kind of financial business logical code implementation methods separated with mathematical logic, it include: step S1, BacktestPattern class is realized respectively, Strategy class and library class, the BacktestPattern class for realizing reading data and conversion operation, and it additionally does one layer and has been abstracted, realize the function of generating order and bring together, the Strategy class is for realizing market conditions readjustment, K line number is received according to readjustment, strike a bargain readjustment in market, acknowledgement of orders readjustment, order refusal readjustment, list is removed successfully to adjust back, remove single refusal readjustment, order strikes a bargain readjustment completely, strike a bargain readjustment for order part, the function of heartbeat timing readjustment；The library class returns for realizing historical data and surveys required power function, returns the main flow control logic surveyed and keep back surveying and true sale accordant interface function；Step S2 is interacted with the function in BacktestPattern class, Strategy class by the function provided in Library class in the realization of financial business logical code, realizes corresponding financial business function.
Description
Technical field
The present invention relates to technical field of software development, more particularly to a kind of financial business logic separated with mathematical logic
Code realization method.
Background technique
Generally unavoidably must in the sequencing transaction field of financial business in order to develop a new trading strategies
By using the correctness of historical data verifying logical transaction.This previous logic of class is all voluntarily opened by deal maker or quantization engineer
It sends out, and often all has to take into account that the reading and conversion of different types of data in exploitation.
However, data cleansing and reading are not what it was good at for deal maker or quantization engineer, and in order to
Realize that oneself logical transaction is but had to each overlapping development.When the different types of data for encountering different business scene, very may be used
It can develop again again one time；The data type of reading will affect the implementation procedure of trading strategies again, such as wherefrom obtain into
Price is handed over, market quotes, opening price, closing price etc. are wherefrom obtained.Deal maker for unsturdy Foundation of Software Engineering or
For quantifying engineer, data can not often accomplish to decouple with logical transaction, increase the process debugged repeatedly, waste originally
The time on adjustment trading strategies should be spent；In addition, after a trading strategies have been verified in historical data often
True market and true sale interface are accessed, so that the code of logical transaction makes modification again, increases further verifying
With the workload of test, it is therefore desirable to a kind of method can free deal maker or quantization engineer from Data processing,
It is absorbed in the realization of logical transaction.
Summary of the invention
In order to overcome the deficiencies of the above existing technologies, it separates purpose of the present invention is to provide a kind of with mathematical logic
Financial business logical code implementation method pay close attention to developer need not again during financial transaction logic development with realization trivial
Broken data cleansing and reading by data and the separable processing of service logic, and keeps historical data to return survey and hands over true market
Logical consistency between easily.
In order to achieve the above object, the present invention proposes a kind of financial business logical code implementation method separated with mathematical logic,
Include the following steps:
Step S1 realizes BacktestPattern class, Strategy class and library class respectively, described
BacktestPattern class for realizing reading data and conversion operation, and additionally done one layer it is abstract, realize generation and order
List and the function of brining together, the Strategy class adjust back for realizing market conditions, receive K line number according to readjustment, market conclusion of the business
Readjustment, acknowledgement of orders readjustment, order refusal readjustment, remove it is single successfully adjust back, remove single refusal readjustment, order strike a bargain completely readjustment, order
The function of single part conclusion of the business readjustment, heartbeat timing readjustment；The library class is returned for realizing historical data surveys required function
Energy function returns the main flow control logic surveyed and keeps back surveying and true sale accordant interface function；
Step S2, in the realization of financial business logical code, by the function that is provided in Library class with
Function in BacktestPattern class, Strategy class is interacted, and realizes corresponding financial business function.
Preferably, the data type that the call back function of the Strategy class is received is defined in the Library
Uniform data structure.
Preferably, in step S2, for true market and transaction interface, after having carried out initialization, pass through institute
Function provided by the interface.exchange in Library is stated to be interacted with strategy Strategy class.
Preferably, the function that the interface.exchange in the Library is provided includes market conditions readjustment, receives
To K line number according to readjustment, market strike a bargain readjustment, acknowledgement of orders readjustment, order refusal readjustment, remove single refusal readjustment, remove list and successfully return
Adjust, order part strike a bargain readjustment, order strike a bargain completely readjustment, heartbeat timing readjustment, Policy Service state update, remove Policy Service
Outside state renewal function, other correspond to call back function defined in the Strategy strategy.
Preferably, in Yu Suoshu Policy Service state renewal function, definition updates the logic of Policy Service state, includes
Pnl, storage, cash storage state.
Preferably, in step S2, historical data is returned and is surveyed, after having carried out initialization, is then used by Library
Start_backtest function provided by middle main_backtest starts back to survey, and the start_backtest function is used for
Realize back all processes surveyed.
Compared with prior art, a kind of financial business logical code implementation method separated with mathematical logic of the present invention passes through
Realize BacktestPattern class, Strategy class and library class respectively in advance, and real in financial business logical code
In existing, interacted by the function provided in Library class with the function in BacktestPattern class, Strategy class,
It realizes corresponding financial business function, is substantially shorter the size of code write needed for deal maker and scramble time.
Detailed description of the invention
Fig. 1 is a kind of step flow chart of the financial business logical code implementation method separated with mathematical logic of the present invention；
Fig. 2 is the flow chart that flow gauge is returned in the specific embodiment of the invention；
Fig. 3 is the flow chart for brining process in the specific embodiment of the invention together；
Fig. 4 is the flow chart that order fills process in the specific embodiment of the invention；
Fig. 5 is the flow chart that strategy order is lined up process in the specific embodiment of the invention；
Fig. 6 is the flow chart of period transmission flow in the specific embodiment of the invention；
Fig. 7 is the flow chart that transmission flow is forced in the specific embodiment of the invention.
Specific embodiment
Below by way of specific specific example and embodiments of the present invention are described with reference to the drawings, those skilled in the art can
Understand further advantage and effect of the invention easily by content disclosed in the present specification.The present invention can also pass through other differences
Specific example implemented or applied, details in this specification can also be based on different perspectives and applications, without departing substantially from
Various modifications and change are carried out under spirit of the invention.
Fig. 1 is a kind of step flow chart of the financial business logical code implementation method separated with mathematical logic of the present invention.
As shown in Figure 1, a kind of financial business logical code implementation method separated with mathematical logic of the present invention, includes the following steps:
Step S1 realizes BacktestPattern class, Strategy class and library class respectively, described
BacktestPattern class for realizing reading data and conversion operation, and additionally done one layer it is abstract, realize generation and order
Single (generate_order) and the function of brining (match) together, the Strategy class is for realizing market conditions readjustment
(on_receive_marketdata), K line number is received according to readjustment (on_receive_ohlc), market conclusion of the business readjustment (on_
Receive_transaction), acknowledgement of orders readjustment (on_submit_accepted), order refusal readjustment (on_submit_
Rejected), remove it is single successfully adjust back (on_order_cancelled), remove single refusal readjustment (on_cancel_rejected),
Order strike a bargain completely readjustment (on_order_executed), order part strike a bargain readjustment (on_order_partial_
Executed), the function of (on_receive_heartbeat) is adjusted back in heartbeat timing；The library class is for realizing history
Data return and survey required power function, return the main flow control logic surveyed and keep back surveying and true sale accordant interface
Function.
Specifically, BacktestPattern refers to a class, instead of the reading data for needing deal maker to develop originally
With the operation of conversion, and additionally done one layer it is abstract, realize and generate order (generate_order) and bring together (match)
Function, rather than read and order and bring together.In the generate_order function defined needed for BacktestPattern,
Code needs mono- Order(order of yield) object goes out, the Order(order) object can read from historical data,
Can voluntarily be generated by code, thus the BacktestPattern class also for it is entire return survey provide realize numerical simulation can
It can property.BacktestPattern class is mainly realized by the development support team of deal maker behind or Library provides common mould
Plate.
Strategy equally refers to a class, realizes market conditions readjustment (on_receive_marketdata), receives
K line number strikes a bargain according to readjustment (on_receive_ohlc), market and adjusts back (on_receive_transaction), acknowledgement of orders is returned
It adjusts (on_submit_accepted), order refusal readjustment (on_submit_rejected), remove single successfully readjustment (on_
Order_cancelled), single refusal readjustment (on_cancel_rejected) is removed, order strikes a bargain readjustment (on_order_ completely
Executed), strike a bargain readjustment (on_order_partial_executed), heartbeat timing readjustment (on_ for order part
Receive_heartbeat function), the data type that above-mentioned call back function is received are unified number defined in Library
According to structure, which is realized by deal maker.
Library then mainly realizes historical data and returns the main flow control logic surveyed required power function, return survey
And it keeps back surveying and true sale accordant interface function.
Specifically, the entitled RuntimeState of class is defined in Library, in deposit strategy operational process
Stateful and parameter, the example is defined as a global variable state, to guarantee state and parameter in operation process
Uniqueness.It is initialize that a class method manes are defined in RuntimeState, and the ginseng that enters of this method includes:
Strategy_class, pattern_class, symbols, params, settings, respectively represent Strategy class object,
List, Strategy and the BacktestPattern of the code name of trade variety needed for BacktestPattern class object, operation
Configuration item set needed for parameter sets, operation needed for operation.This method is survey or connect true market connecing with transaction
The initialization function that has to carry out before mouthful, for initializing overall pnl(Profit and Loss, the profit and loss), order id counts
(all order sent out in the call back function of a Strategy can be designated as one for device, bundle id counter
Bundle), market order id counter, trade variety list, All Activity kind a newest clob(orders received book,
Orderbook), the newest K line OHLC data (open, high, low, close) of All Activity kind, strategy performance meter
Device is calculated, and initializes the readjustment binding of BacktestPattern example, Strategy example and each strategy.
In above three part, deal maker need to only pay close attention to Strategy class part, which essentially consists in is mentioned by it
The call back function of confession can define itself behavior, the data type that call back function is received after the generation of all market events
It is uniform data structure defined in Library entirely, logical transaction can be opened referring to the true process in market later in this way
Hair, without again because of data type Different Effects pol-icy code.
Step S2, in the realization of financial business logical code, by the function that is provided in Library class with
Function in BacktestPattern class, Strategy class is interacted, and realizes corresponding financial business function.
It specifically,, can be by Library after having carried out initialization for true market and transaction interface
Interface.exchange provided by function interacted with strategy.Interface.exchange in Library
The function of offer includes: market conditions readjustment on_receive_marketdata, receives K line number according to readjustment on_receive_
Ohlc, market strike a bargain and adjust back on_receive_transaction, on_submit_accepted is adjusted back in acknowledgement of orders, order is refused
Readjustment on_submit_rejected absolutely, single refusal readjustment on_cancel_rejected is removed, removes and single successfully adjusts back on_order_
Cancelled, order part, which strike a bargain and adjust back on_order_partial_executed, order strikes a bargain completely adjusts back on_order_
Executed, heartbeat timing readjustment on_receive_heartbeat, Policy Service state update on_receive_status_
Update, other than the last one, other correspond to callback method defined in Strategy strategy, in Policy Service state
Update on_receive_status_update function in, define update Policy Service state logic, comprising pnl, storage,
Policy logic can be decoupled and be separated with true market interface or transaction interface by these functions by the states such as cash storage,
The mating operation of market interface and transaction interface can even be moved on to other frames or programming language is realized, finally only need energy
The interface that Library code is exposed enough is accessed.
Historical data is returned and is surveyed, after having carried out initialization, is then needed using by main_ in Library
Start_backtest function provided by backtest starts back to survey, which realizes back all processes surveyed, specific
Process is as shown in Fig. 2, its time flow gauge is as follows:
Step 1, it returns when survey starts and sets back measured data time started (START_TIME) for current time first, initialization is ordered
Single queue, heart time are set to back the measured data time started；
Step 2, into circulation, judge current time whether be less than back measured data end time or indent queue whether non-empty, if
It is then to enter step 3 and continue to execute, otherwise exits circulation, current time is set as back measured data end time (END_TIME),
And judge whether to need periodically to send market conditions (MARKETDATA), if then sending cycle market conditions
(MARKETDATA), and terminate, if otherwise directly terminating；
Step 3, in each cycle, judge whether non-empty and first order time are equal to current time to indent queue,
If when indent queue non-empty and when current time is equal to the timestamp of first order, by first order pop dequeue, and it is right
It calls and brings function together defined in BacktestPattern, will bring the clob of function return together according to its symbol(intensive good
Kind) record, the market trade(of return is struck a bargain) and execution(transation report-back) it is respectively sent to on_receive_
Transaction readjustment and each transation report-back adjust back and (strike a bargain, all strike a bargain, remove single success, remove list unsuccessfully in such as part), and
4 are entered step, if otherwise in indent queue non-empty and first order time is greater than back measured data end time (END_TIME)
When, circulation is exited, current time is set as back measured data end time (END_TIME), and judges whether to need periodically to send city
Market (MARKETDATA), then when sending cycle market conditions (MARKETDATA) and terminate, otherwise enter step 4；
Step 4, judge whether to need periodically to send market conditions (MARKETDATA)；
Step 5, if desired, then judge whether current time reaches each symbol(trade variety) time point for periodically sending,
The clob recorded when being sent in and bring together if time point is less than back the measured data end time judges order if not needing
Whether it is a kind of order of special update K line number evidence of OHLCOrderUpdater(), if then forcing to send the symbol's
MARKETDATA is specifically shown in subsequent pressure transmission flow, if it is not, then entering step 6；
Step 6, for all symbol(trade varieties), order list is filled, its quantity on order in indent queue is mended
A fixed quantity (generally 3) are charged to, subsequent order filling process is specifically shown in；
Step 7, judge current point in time whether need to send heartbeat (heartbeat function for can closing function, whether judge it here
It opens)；Specifically, before judging whether to send heartbeat, also need to determine whether total data has read and whether is indent queue
For sky, when and indent queue unread complete in total data is not sky, using next_order_timestamp as indent queue
First timestamp, when the unread complete and indent queue in total data is empty, using next_order_timestamp as
It returns measured data end time (END_TIME).
Step 8, if so, next heart time point next_heartbeat_timestamp is calculated, when enabling next heartbeat
Between point next_heartbeat_timestamp=(current time+heart beat cycle)-(current time % heart beat cycle), if otherwise will
Next heart time point next_heartbeat_timestamp is set as back measured data end time (END_TIME)；
Step 9, then judge once whether need to send market data (MARKETDATA), if desired then calculate next_
Marketdata_timestamp is that all symbol last time sending time minimum values add the MARKETDATA period, is otherwise enabled
Next_marketdata_timestamp is back measured data end time (END_TIME).
Step 10, judge whether to need that heartbeat occurs, if so, will send heart time point last time is set as current time
Point sends heartbeat with current time, enters step 11, be otherwise directly entered step 12；
Step 11, tactful bill enters indent queue, is specifically shown in subsequent strategy order and is lined up process；
Step 12, current time is set as next_order_timestamp, next_heartbeat_timestamp, next_
Minimum value in marketdata_timestamp, and return step 2.
Fig. 3 is the flow chart for brining process in the specific embodiment of the invention together.As shown in figure 3, it is as follows to bring process together:
Step 1, judge whether order ownership is market list, if so, entering step 2, is otherwise entered step
Step 2, brining together for BackTestPattern realization is called, the center clob(limit order book is returned), the market trades(
Fetched data), executions(strategy transation report-back data)；
Step 3, judge whether non-empty enters step 4, otherwise enter step 7 clob if non-empty；
Step 4, the performance_calculator in Library updates clob, which is recorded as corresponding symbol
Newest clob；
Step 5, judge whether order is a kind of order of special update K line number evidence of OHLCOrderUpdater(), if so,
Send OHLCDATA(K line number evidence), and MARKETDATA will be sent the period and be set as False, 7 are entered step, if it is not, entering step
6；
Step 6, judge whether be not transmitted across MARKETDATA before the corresponding symbol of order, if so, sending the at once
One MARKETDATA, and 7 are entered step, otherwise it is directly entered step 7；
Step 7, corresponding readjustment is triggered to the execution that all ownership are strategy, and entered step；
Step 8, All Activity trade is triggered and is adjusted back；
Step 9, tactful bill enters indent queue.
Step 10, judge whether order price < 0 or qty < 0 or Limit Order price is 0, if then refusing list, send and refuse list
Execution enters step 9, otherwise gives order market_order_id, and enter step 11；
Step 11, judge whether order action is the movement of PLACE(sheet), if so, confirming an order, send confirmation
Execution, and brining together for BackTestPattern realization is called, clob, trades, executions are returned to, if otherwise
Brining together for BackTestPattern realization is called directly, clob, trades, executions are returned；
Step 12, judge clob whether non-empty, if non-empty, performance_calculator update clob, by the clob
It is recorded as the corresponding newest clob of symbol, 8 is entered step, is otherwise directly entered step 8.
It in the present invention, brings process together and is ranked up by price priority time priority, i.e., first price is pressed to all orders always
Time-sequencing afterwards is directly judged as the order without conclusion of the business chance the end time that can not strike a bargain during traversing price
It goes through.
Fig. 4 is the flow chart that order fills process in the specific embodiment of the invention.As shown in figure 4, order filling process is such as
Under:
Step 1, judge the symbol for each unread complete data, whether the quantity in indent queue reaches
SYMBOL_AMOUNT_IN_QUEUE enters step 2 if not, otherwise enters step 8；
Step 2, judge whether that all symbol have read data, enter step 3 if not, if then returning to True, represent complete
Portion's data have been read；
Step 3, for the symbol of each unread complete data, the side generate_orders of BackTestPattern is called
Method；
Step 4, judge whether to have traversed, enter step 5 if not, otherwise enter step 8,
Step 5, judge that whether quantity reaches SYMBOL_AMOUNT_IN_QUEUE to the symbol order in the queue, enters if not
Step 6, otherwise return step 4；
Step 6, judge whether that the next data of the symbol can also be read, if entering step 7, otherwise return step 4；
Step 7, judge whether the data read are empty, if otherwise temporally stamp timestamp ascending order is inserted into indent queue, otherwise
Return step 4；
Step 8, False is returned, total data is represented and has not read.
Here order filling sub-process allows to accomplish to retransmit after current all orders have all been brought together the feelings of new order
Condition, the logic that BacktestPattern is generated with bigger freedom degree control order, such as ordered according to what is generated before
Single result of brining together generates next group order.
Fig. 5 is the flow chart that strategy order is lined up process in the specific embodiment of the invention.As shown in figure 5, strategy order is arranged
Team's process is as follows:
Step 1, acquisition strategy current time has placed an order；
Step 2, for the order of each non-delay, timestamp timestamp increases ORDER_DELAY, and labeled as
delay；
Step 3, the strategy order of acquisition is incorporated to indent queue, and temporally ascending order arranges.
Here strategy order is lined up sub-process and increases ORDER_DELAY, can freely simulate in truth order by
Mechanism locating for deal maker is dealt into the network delay in mechanism locating for exchange.
Fig. 6 is the flow chart of period transmission flow in the specific embodiment of the invention.As shown in fig. 6, period transmission flow is such as
Under:
Step 1, for each symbol, the newest clob of the symbol is obtained；
Step 2, judge whether to have traversed, enter step 3 if not, otherwise enter step 5,
Step 3, judge whether clob non-empty and the last time symbol sends the time of marketdata plus sending cycle etc.
In current time, if so, deepcopy marketdata, is set as current time for its time, saves as and send recently
Marketdata simultaneously records sending time, otherwise, return step 2；
Step 4, judge whether marketdata time≤time measured data end time (END_TIME), if then sending
Marketdata, otherwise return step 2；
Step 5, tactful bill enters indent queue.
Fig. 7 is the flow chart that transmission flow is forced in the specific embodiment of the invention.As shown in fig. 7, forcing transmission flow such as
Under:
Step 1, the newest clob of the symbol is obtained；
Step 2, judge whether clob non-empty, if so, entering step 3, otherwise terminate process；
Step 3, marketdata is subjected to deep copy, its time is set as current time, saved as and send recently
Marketdata and when recording transmission；
Step 4, marketdata is sent；
Step 5, tactful bill enters indent queue.
Pass through above-mentioned specific embodiment, it is seen then that the present invention by realizing BacktestPattern class, Strategy respectively
Class and library class, to unitized, the abstract of interface, data structure and process so that deal maker only need to be concerned about " when
What market events do after occurring ", rather than " in order to handle what market events will also do ", then it can no longer be concerned about business
Part other than logic substantially reduces the size of code write needed for deal maker and scramble time.
By taking the optimum bidding price strategy that order is brought together as an example, deal maker needs to realize reading data logic, number in traditional technology
According to conversion logic, Row control logic, bring logic, policy logic together, altogether at least 5 parts.And use deal maker after the present invention
This part of implementation strategy logic is needed, 80% size of code is at least reduced.
In conclusion a kind of financial business logical code implementation method separated with mathematical logic of the present invention by dividing in advance
Not Shi Xian BacktestPattern class, Strategy class and library class, and financial business logical code realization in,
It is interacted, is realized with the function in BacktestPattern class, Strategy class by the function provided in Library class
Corresponding financial business function, is substantially shorter the size of code write needed for deal maker and scramble time.
The above-described embodiments merely illustrate the principles and effects of the present invention, and is not intended to limit the present invention.Any
Without departing from the spirit and scope of the present invention, modifications and changes are made to the above embodiments by field technical staff.Therefore,
The scope of the present invention, should be as listed in the claims.
Claims (6)
1. a kind of financial business logical code implementation method separated with mathematical logic, includes the following steps:
Step S1 realizes BacktestPattern class, Strategy class and library class respectively, described
BacktestPattern class for realizing reading data and conversion operation, and additionally done one layer it is abstract, realize generation and order
List and the function of brining together, the Strategy class adjust back for realizing market conditions, receive K line number according to readjustment, market conclusion of the business
Readjustment, acknowledgement of orders readjustment, order refusal readjustment, remove it is single successfully adjust back, remove single refusal readjustment, order strike a bargain completely readjustment, order
The function of single part conclusion of the business readjustment, heartbeat timing readjustment；The library class is returned for realizing historical data surveys required function
Energy function returns the main flow control logic surveyed and keeps back surveying and true sale accordant interface function；
Step S2, in the realization of financial business logical code, by the function that is provided in Library class with
Function in BacktestPattern class, Strategy class is interacted, and realizes corresponding financial business function.
2. a kind of financial business logical code implementation method separated with mathematical logic as described in claim 1, feature exist
In: the data type that the call back function of the Strategy class is received is uniform data structure defined in the Library.
3. a kind of financial business logical code implementation method separated with mathematical logic as claimed in claim 2, feature exist
In: in step S2, for true market and transaction interface, after having carried out initialization, by the Library
Function provided by interface.exchange is interacted with strategy Strategy class.
4. a kind of financial business logical code implementation method separated with mathematical logic as claimed in claim 3, feature exist
In: the function that the interface.exchange in the Library is provided includes market conditions readjustment, receives K line number evidence time
Adjust, market strike a bargain readjustment, acknowledgement of orders readjustment, order refusal readjustment, remove single refusal readjustment, remove it is single successfully adjust back, order part
Conclusion of the business readjustment, order strike a bargain completely, and periodically readjustment, Policy Service state update for readjustment, heartbeat, remove Policy Service state and update letter
Number is outer, other correspond to call back function defined in the Strategy strategy.
5. a kind of financial business logical code implementation method separated with mathematical logic as claimed in claim 4, feature exist
In: in Yu Suoshu Policy Service state renewal function, definition updates the logic of Policy Service state, includes pnl, storage, cash
Storage state.
6. a kind of financial business logical code implementation method separated with mathematical logic as claimed in claim 2, feature exist
In: in step S2, historical data is returned and is surveyed, after having carried out initialization, utilizes main_ in the Library class
Start_backtest function provided by backtest starts back to survey, and the start_backtest function is for realizing time survey
All processes.
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| Publication number | Priority date | Publication date | Assignee | Title |
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| CN112966382A (en) * | 2021-03-10 | 2021-06-15 | 华泰证券股份有限公司 | Securities trading simulation method and system |
| CN113568604A (en) * | 2021-09-26 | 2021-10-29 | 深圳万顺叫车云信息技术有限公司 | Method and device for updating wind control strategy and computer readable storage medium |
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