VBA套利模型范例　[金字塔]

首先我們建立一個TLStart的宏，然后再響應品種報表數(shù)據(jù)變化事件，代碼如下：

Sub TLStart()
 '注冊CF09和CF11品種
 call marketdata.RegReportNotify("CF09","ZQ")
 call marketdata.RegReportNotify("CF11","ZQ")
End Sub

'響應注冊的品種行情變化通知
Sub MARKETDATA_ReportNotify(ReportData)
 '得到這兩個品種的行情報價
 Set Report1 = marketdata.GetReportData("CF09","ZQ")
 Set Report2 = marketdata.GetReportData("CF11","ZQ")
 
 '得到品種的持倉量等信息
 dim BuyHoding1
 dim BuyHlding2
 dim BuyTodayHoding1
 dim BuyTodayHoding2
 dim SellHoding1
 dim SellHoding2
 dim SellTodayHoding1
 dim SellTodayHoding2
 dim BuyCost
 dim SellCost
 dim PNL
 Dim UseMargin

 '取指定持倉品種信息
 call Order.HoldingInfoByCode2("CF09","ZQ",BuyHoding1,BuyCost,BuyTodayHoding1,SellHoding1,SellCost,SellTodayHoding1,PNL,UseMargin)
 call Order.HoldingInfoByCode2("CF11","ZQ",BuyHoding2,BuyCost,BuyTodayHoding2,SellHoding2,SellCost,SellTodayHoding2,PNL,UseMargin)
 
 '當差價出現(xiàn)大于1800時進行套利開倉
 '假設是09買 11賣
 Diff = Report1.SellPrice1 - Report2.BuyPrice1 '分別取賣價和買價計算差價 
 if Diff > 1800 and BuyHoding1 = 0 then
  call Order.Buy(0,1,Report1.SellPrice1,0,"CF09","ZQ","",0)
  call Order.BuyShort(0,1,Report2.BuyPrice1,0,"CF11","ZQ","",0)
 end if
 
 '當差價小于1000時進行套利平倉
 Diff = Report1.BuyPrice1 - Report2.SellPrice1
 if diff < 1000 and BuyHoding1 > 0 then
  call Order.Sell(0,1,Report1.BuyPrice1,0,"CF09","ZQ","",0)
  call Order.Sellshort(0,1,Report2.SellPrice1,0,"CF11","ZQ","",0)
 end if
End Sub

代碼編寫完畢后Alt+F8，然后選擇我們剛才建立的TLStart宏名即可

建立建立TLStart宏后要怎么操作