feat(kernel): add stop loss unit back (#189)

No-Trade-No-Life · Oct 17, 2023 · 908e4be · 908e4be
1 parent b47dd36
commit 908e4be
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Showing 12 changed files with 98 additions and 247 deletions.
diff --git a/common/changes/@yuants/agent/2023-10-17-09-20.json b/common/changes/@yuants/agent/2023-10-17-09-20.json
@@ -0,0 +1,10 @@
+{
+  "changes": [
+    {
+      "packageName": "@yuants/agent",
+      "comment": "add stop loss",
+      "type": "patch"
+    }
+  ],
+  "packageName": "@yuants/agent"
+}
diff --git a/common/changes/@yuants/kernel/2023-10-17-09-20.json b/common/changes/@yuants/kernel/2023-10-17-09-20.json
@@ -0,0 +1,10 @@
+{
+  "changes": [
+    {
+      "packageName": "@yuants/kernel",
+      "comment": "add stop loss",
+      "type": "patch"
+    }
+  ],
+  "packageName": "@yuants/kernel"
+}
diff --git a/libraries/agent/etc/agent.api.md b/libraries/agent/etc/agent.api.md
@@ -129,6 +129,7 @@ export interface IAgentConf {
     publish_account?: boolean;
     resume_on_source_margin_below?: number;
     start_time?: string;
+    stop_loss_drawdown_quota?: number;
     use_general_product?: boolean;
 }
 

diff --git a/libraries/agent/src/AgentScene.ts b/libraries/agent/src/AgentScene.ts
@@ -66,6 +66,8 @@ export interface IAgentConf {
   allow_fallback_specific_product?: boolean;
   /** 止损后恢复开仓的保证金阈值（小于） */
   resume_on_source_margin_below?: number;
+  /** 止损浮亏阈值 */
+  stop_loss_drawdown_quota?: number;
   /** 仓位映射函数 */
   coefficient_fn_str?: string;
   /** 是否禁用打印日志 */
@@ -152,6 +154,10 @@ export const agentConfSchema: JSONSchema7 = {
       type: 'number',
       title: '恢复交易的使用保证金线',
     },
+    stop_loss_drawdown_quota: {
+      type: 'number',
+      title: '止损浮亏阈值',
+    },
     coefficient_fn_str: {
       type: 'string',
       title: '仓位映射函数',
@@ -385,7 +391,7 @@ export const AgentScene = async (terminal: Terminal, agentConf: IAgentConf) => {
   let portfolioAccountPerformanceUnit: AccountPerformanceUnit | undefined;
   let portfolioHistoryOrderUnit: HistoryOrderUnit | undefined;
 
-  if (agentConf.resume_on_source_margin_below) {
+  if (agentConf.resume_on_source_margin_below && agentConf.stop_loss_drawdown_quota) {
     // TODO: 止损信号
     const stopLossInitAccountInfo = createEmptyAccountInfo(
       `${resolved_account_id}-SL`,
@@ -401,27 +407,30 @@ export const AgentScene = async (terminal: Terminal, agentConf: IAgentConf) => {
       stopLossHistoryOrderUnit,
     );
 
-    new StopLossOrderMapperUnit(
+    stopLossAccountInfoUnit = new AccountSimulatorUnit(
       kernel,
-      stopLossInitAccountInfo.account_id,
-      agentConf.resume_on_source_margin_below,
       productDataUnit,
       quoteDataUnit,
-      originAccountInfoUnit,
-      originAccountPerformanceUnit,
-      originHistoryOrderUnit,
-      stopLossOrderMatchingUnit,
       stopLossHistoryOrderUnit,
+      stopLossInitAccountInfo,
     );
+    stopLossAccountPerformanceUnit = new AccountPerformanceUnit(kernel, stopLossAccountInfoUnit);
 
-    stopLossAccountInfoUnit = new AccountSimulatorUnit(
+    new StopLossOrderMapperUnit(
       kernel,
+      stopLossInitAccountInfo.account_id,
+      agentConf.resume_on_source_margin_below,
+      agentConf.stop_loss_drawdown_quota,
       productDataUnit,
       quoteDataUnit,
+      positionLimitAccountInfoUnit || originAccountInfoUnit,
+      positionLimitAccountPerformanceUnit || originAccountPerformanceUnit,
+      positionLimitHistoryOrderUnit || originHistoryOrderUnit,
+      stopLossAccountInfoUnit,
+      stopLossOrderMatchingUnit,
       stopLossHistoryOrderUnit,
-      stopLossInitAccountInfo,
     );
-    stopLossAccountPerformanceUnit = new AccountPerformanceUnit(kernel, stopLossAccountInfoUnit);
+
     if (agentConf.publish_account) {
       const unit = new BasicUnit(kernel);
       const accountInfo$ = new Subject<IAccountInfo>();

diff --git a/libraries/kernel/etc/kernel.api.md b/libraries/kernel/etc/kernel.api.md
@@ -791,16 +791,9 @@ export const ShellScene: (terminal: Terminal, shellConf: IShellConf, scriptResol
     portfolioHistoryOrderUnit: HistoryOrderUnit | undefined;
 }>;
 
-// @public
-export const StopLossAccountReplayScene: (terminal: Terminal, account_id: string, currency: string, leverage: number, start_timestamp: number, end_timestamp: number, period_in_sec: number, resumeOnSourceMarginBelow: number, datasource_id?: string) => {
-    kernel: Kernel;
-    accountInfoUnit: AccountSimulatorUnit;
-    accountPerformanceUnit: AccountPerformanceUnit;
-};
-
 // @public
 export class StopLossOrderMapperUnit extends BasicUnit {
-    constructor(kernel: Kernel, account_id: string, resumeOnSourceMarginBelow: number, productDataUnit: ProductDataUnit, quoteDataUnit: QuoteDataUnit, sourceAccountSimulatorUnit: AccountSimulatorUnit, sourceAccountPerformanceUnit: AccountPerformanceUnit, sourceHistoryOrderUnit: HistoryOrderUnit, targetOrderMatchingUnit: OrderMatchingUnit, targetHistoryOrderUnit: HistoryOrderUnit);
+    constructor(kernel: Kernel, account_id: string, resumeOnSourceMarginBelow: number, stopLossDrawdownQuota: number, productDataUnit: ProductDataUnit, quoteDataUnit: QuoteDataUnit, sourceAccountSimulatorUnit: AccountSimulatorUnit, sourceAccountPerformanceUnit: AccountPerformanceUnit, sourceHistoryOrderUnit: HistoryOrderUnit, targetAccountSimulatorUnit: AccountSimulatorUnit, targetOrderMatchingUnit: OrderMatchingUnit, targetHistoryOrderUnit: HistoryOrderUnit);
     // (undocumented)
     account_id: string;
     // (undocumented)
@@ -826,6 +819,10 @@ export class StopLossOrderMapperUnit extends BasicUnit {
     // (undocumented)
     sourceHistoryOrderUnit: HistoryOrderUnit;
     // (undocumented)
+    stopLossDrawdownQuota: number;
+    // (undocumented)
+    targetAccountSimulatorUnit: AccountSimulatorUnit;
+    // (undocumented)
     targetHistoryOrderUnit: HistoryOrderUnit;
     // (undocumented)
     targetOrderMatchingUnit: OrderMatchingUnit;

diff --git a/libraries/kernel/src/scenes/ShellScene.ts b/libraries/kernel/src/scenes/ShellScene.ts
@@ -398,27 +398,30 @@ export const ShellScene = async (
       stopLossHistoryOrderUnit,
     );
 
+    stopLossAccountInfoUnit = new AccountSimulatorUnit(
+      kernel,
+      productDataUnit,
+      quoteDataUnit,
+      stopLossHistoryOrderUnit,
+      stopLossInitAccountInfo,
+    );
+    stopLossAccountPerformanceUnit = new AccountPerformanceUnit(kernel, stopLossAccountInfoUnit);
+
     new StopLossOrderMapperUnit(
       kernel,
       stopLossInitAccountInfo.account_id,
+      30000,
       shellConf.resume_on_source_margin_below,
       productDataUnit,
       quoteDataUnit,
       accountInfoUnit,
       accountPerformanceUnit,
       historyOrderUnit,
+      stopLossAccountInfoUnit,
       stopLossOrderMatchingUnit,
       stopLossHistoryOrderUnit,
     );
 
-    stopLossAccountInfoUnit = new AccountSimulatorUnit(
-      kernel,
-      productDataUnit,
-      quoteDataUnit,
-      stopLossHistoryOrderUnit,
-      stopLossInitAccountInfo,
-    );
-    stopLossAccountPerformanceUnit = new AccountPerformanceUnit(kernel, stopLossAccountInfoUnit);
     if (shellConf.publish_account) {
       const unit = new BasicUnit(kernel);
       const accountInfo$ = new Subject<IAccountInfo>();

diff --git a/libraries/kernel/src/scenes/StopLossAccountReplayScene.ts b/libraries/kernel/src/scenes/StopLossAccountReplayScene.ts
diff --git a/libraries/kernel/src/scenes/index.ts b/libraries/kernel/src/scenes/index.ts
@@ -1,5 +1,4 @@
 export * from './AccountReplayScene';
 export * from './OrderMergeReplayScene';
 export * from './ShellScene';
-export * from './StopLossAccountReplayScene';
 export * from './ActivePortfolioManagementScene';