文華日歷價(jià)差套利策略[文華財(cái)經(jīng)公式]

Data
	CODA0:"c2209-C-3160"; //近月合約
	CODB0:"c2211-C-3160"; //遠(yuǎn)月合約
	CODA1:"c2209-C-3120"; //近月合約
	CODB1:"c2211-C-3120"; //遠(yuǎn)月合約
	CODA2:"c2209-C-3080"; //近月合約
	CODB2:"c2211-C-3080"; //遠(yuǎn)月合約
	CODA3:"c2209-C-3040"; //近月合約
	CODB3:"c2211-C-3040"; //遠(yuǎn)月合約
	CODA4:"c2209-C-3000"; //近月合約
	CODB4:"c2211-C-3000"; //遠(yuǎn)月合約
	COD:"c2209"; //標(biāo)的期貨
Vars
	StringArray CODA; //看漲期權(quán)
	StringArray CODB; //看跌期權(quán)
	String CODF; //標(biāo)的期貨
	Numeric CDN; //期權(quán)合約數(shù)量
	Numeric N; //下單手?jǐn)?shù)
	Numeric Length; //周期
	Numeric X; //循環(huán)變量
	Numeric D; //日期間隔
	Numeric TKN; //數(shù)據(jù)區(qū)長(zhǎng)度
	Numeric TOD; //當(dāng)前日期
	Numeric HVLF; //F價(jià)格波動(dòng)率
	Numeric OPFLG; //模型處理標(biāo)志
	Var_TickData TKD; //數(shù)據(jù)區(qū)
	NumericArray LNP; //自然對(duì)數(shù)
	NumericArray EPDA; //行權(quán)日期
	NumericArray RTS; //距行權(quán)日剩余天數(shù)
	NumericArray STRA; //近月合約隱含波動(dòng)率
	NumericArray STRB; //遠(yuǎn)月合約隱含波動(dòng)率
	NumericArray PRC; //隱含波動(dòng)率綜合價(jià)差
	NumericArray NEWPA; //A最新價(jià)
	NumericArray NEWPB; //B最新價(jià)
	NumericArray RLPA,FLPA; //A漲跌停價(jià)
	NumericArray RLPB,FLPB; //B漲跌停價(jià)
	NumericArray BIDPA,ASKPA; //A買賣一價(jià)
	NumericArray BIDPB,ASKPB; //B買賣一價(jià)
	NumericArray BRPA,SRPA; //A多空頭可用持倉
	NumericArray BRPB,SRPB; //B多空頭可用持倉
	NumericArray BKDFLG; //買開處理標(biāo)志
	NumericArray SKDFLG; //賣開處理標(biāo)志
	NumericArray BPDFLG; //買平處理標(biāo)志
	NumericArray SPDFLG; //賣平處理標(biāo)志
	Global_NumericArray BCFLG; //多頭處理標(biāo)志
	Global_NumericArray SCFLG; //空頭處理標(biāo)志
	Global_NumericArray BKIDA,SKIDA; //A開倉委托
	Global_NumericArray BKIDB,SKIDB; //B開倉委托
	Global_NumericArray BPIDA,SPIDA; //A平倉委托
	Global_NumericArray BPIDB,SPIDB; //B平倉委托
	Global_NumericArray BKFLGA,SKFLGA; //A開倉標(biāo)志
	Global_NumericArray BKFLGB,SKFLGB; //B開倉標(biāo)志
	Global_NumericArray BPFLGA,SPFLGA; //A平倉標(biāo)志
	Global_NumericArray BPFLGB,SPFLGB; //B平倉標(biāo)志
	Global_NumericArray BKMA,SKMA; //A開倉委托手?jǐn)?shù)
	Global_NumericArray BKMB,SKMB; //B開倉委托手?jǐn)?shù)
	Global_NumericArray BPMA,SPMA; //A平倉委托手?jǐn)?shù)
	Global_NumericArray BPMB,SPMB; //B平倉委托手?jǐn)?shù)
	Global_NumericArray BKPA,SKPA; //A開倉委托價(jià)格
	Global_NumericArray BKPB,SKPB; //B開倉委托價(jià)格
	Global_NumericArray BPPA,SPPA; //A平倉委托價(jià)格
	Global_NumericArray BPPB,SPPB; //B平倉委托價(jià)格
Begin
	//------------------------處理開啟------------------------//
	If(1) //處理開啟
	{
		CODA[0] = "c2209-C-3160"; //近月合約
		CODB[0] = "c2211-C-3160"; //遠(yuǎn)月合約 
		CODA[1] = "c2209-C-3120"; //近月合約
		CODB[1] = "c2211-C-3120"; //遠(yuǎn)月合約 
		CODA[2] = "c2209-C-3080"; //近月合約
		CODB[2] = "c2211-C-3080"; //遠(yuǎn)月合約 
		CODA[3] = "c2209-C-3040"; //近月合約
		CODB[3] = "c2211-C-3040"; //遠(yuǎn)月合約 
		CODA[4] = "c2209-C-3000"; //近月合約
		CODB[4] = "c2211-C-3000"; //遠(yuǎn)月合約 
		CDN = GetStringArraySize(CODA); //期權(quán)合約數(shù)量
		CODF = "c2209"; //標(biāo)的期貨
		OPFLG = 1; //開啟模型處理
		If(CODF.A_IsExchangeOpen() != 1) //如果非開盤狀態(tài)
		{
			OPFLG = 2; //關(guān)閉模型處理
		}
		For X = 0 To CDN - 1 //遍歷期權(quán)合約
		{
			If(CODA[X].A_IsExchangeOpen() != 1 || CODB[X].A_IsExchangeOpen() != 1) //如果非開盤狀態(tài)
			{
				OPFLG = 2; //關(guān)閉模型處理
			}
		}
	}
	//------------------------變量賦值------------------------//
	If(OPFLG == 1) //變量賦值
	{
		N = 10; //下單手?jǐn)?shù)
		Length = 5; //周期
		D = 5; //日期間隔
		TOD = CurrentDate(); //當(dāng)前日期
		For X = 0 To CDN - 1 //遍歷期權(quán)合約
		{
			NEWPA[X] = CODA[X].Price("New"); //A最新價(jià)
			NEWPB[X] = CODB[X].Price("New"); //B最新價(jià)
			BIDPA[X] = CODA[X].Price("Bid1"); //A買一價(jià)
			ASKPA[X] = CODA[X].Price("Ask1"); //A賣一價(jià)
			BIDPB[X] = CODB[X].Price("Bid1"); //B買一價(jià)
			ASKPB[X] = CODB[X].Price("Ask1"); //B賣一價(jià)
			RLPA[X] = CODA[X].Price("RiseLimit"); //A漲停價(jià)
			FLPA[X] = CODA[X].Price("FallLimit"); //A跌停價(jià)
			RLPB[X] = CODB[X].Price("RiseLimit"); //B漲停價(jià)
			FLPB[X] = CODB[X].Price("FallLimit"); //B跌停價(jià)
			BIDPA[X] = IIF(BIDPA[X] == 0 && NEWPA[X] == FLPA[X],FLPA[X],BIDPA[X]); //A買一價(jià)
			ASKPA[X] = IIF(ASKPA[X] == 0 && NEWPA[X] == RLPA[X],RLPA[X],ASKPA[X]); //A賣一價(jià)
			BIDPB[X] = IIF(BIDPB[X] == 0 && NEWPB[X] == FLPB[X],FLPB[X],BIDPB[X]); //B買一價(jià)
			ASKPB[X] = IIF(ASKPB[X] == 0 && NEWPB[X] == RLPB[X],RLPB[X],ASKPB[X]); //B賣一價(jià)
			STRA[X] = CODA[X].Price("Stdderiation"); //A隱含波動(dòng)率
			STRB[X] = CODB[X].Price("Stdderiation"); //B隱含波動(dòng)率
			EPDA[X] = CODA[X].Price("ExpirationDate"); //A行權(quán)日期
			RTS[X] = DateDiff(TOD,EPDA[X] ); //距行權(quán)日剩余天數(shù)
			BRPA[X] = CODA[X].F_BuyRemainPosition(); //A多頭可用持倉
			SRPA[X] = CODA[X].F_SellRemainPosition(); //A空頭可用持倉
			BRPB[X] = CODB[X].F_BuyRemainPosition(); //B多頭可用持倉
			SRPB[X] = CODB[X].F_SellRemainPosition(); //B空頭可用持倉
			BRPA[X] = Min(BRPA[X],CODA[X].A_BuyRemainPosition()); //A多頭可用持倉
			SRPA[X] = Min(SRPA[X],CODA[X].A_SellRemainPosition()); //A空頭可用持倉
			BRPB[X] = Min(BRPB[X],CODB[X].A_BuyRemainPosition()); //B多頭可用持倉
			SRPB[X] = Min(SRPB[X],CODB[X].A_SellRemainPosition()); //B空頭可用持倉
		}
	}
	//------------------------數(shù)據(jù)取值------------------------//
	If(OPFLG == 1) //數(shù)據(jù)取值
	{
		TKD = Def_TickData(CODF,1,6); //數(shù)據(jù)區(qū)
		If(TKD.State == 1) //如果數(shù)據(jù)區(qū)有效
		{
			TKN = TKD.Num; //數(shù)據(jù)區(qū)長(zhǎng)度
			For X = 1 To TKN - 1 //遍歷數(shù)據(jù)區(qū)
			{
				LNP[X - 1] = Ln(TKD[X].TickPrice / TKD[X - 1].TickPrice); //自然對(duì)數(shù)
			}
			HVLF = StandardDevArray(LNP,2) * Sqrt(252) ; //F價(jià)格波動(dòng)率
			For X = 0 To CDN - 1 //遍歷期權(quán)合約
			{
				PRC[X] = STRA[X] - HVLF + STRA[X] - STRB[X]; //隱含波動(dòng)率綜合價(jià)差
			}
		}
		Else //如果數(shù)據(jù)區(qū)無效
		{
			OPFLG = 2; //關(guān)閉模型處理
		}
	}
	//------------------------成交判斷------------------------//
	If(OPFLG == 1) //成交判斷
	{
		For X = 0 To CDN - 1 //遍歷期權(quán)合約
		{
			If(SKFLGA[X] == 1) //如果有A賣開委托
			{
				If(F_OrderStatus(SKIDA[X]) == Enum_Filled) //如果A賣開委托成交
				{
					Commentary("【空頭開倉：A賣開委托" + Text(X + 1) + "成交！】");
					SKFLGA[X] = 0; //A賣開標(biāo)志歸0
				}
				Else If(F_OrderStatus(SKIDA[X]) == Enum_Deleted) //如果A賣開委托廢單
				{
					Commentary("【空頭開倉：A賣開委托" + Text(X + 1) + "廢單！】");
					SKFLGA[X] = 0; //A賣開標(biāo)志歸0
				}
			}
			If(BKFLGB[X] == 1) //如果有B買開委托
			{
				If(F_OrderStatus(BKIDB[X]) == Enum_Filled) //如果B買開委托成交
				{
					Commentary("【空頭開倉：B買開委托" + Text(X + 1) + "成交！】");
					BKFLGB[X] = 0; //B買開標(biāo)志歸0
				}
				Else If(F_OrderStatus(BKIDB[X]) == Enum_Deleted) //如果B買開委托廢單
				{
					Commentary("【空頭開倉：B買開委托" + Text(X + 1) + "廢單！】");
					BKFLGB[X] = 0; //B買開標(biāo)志歸0
				}
			}
			If(BPFLGA[X] == 1) //如果有A買平委托
			{
				If(F_OrderStatus(BPIDA[X]) == Enum_Filled) //如果A買平委托成交
				{
					Commentary("【空頭平倉：A買平委托" + Text(X + 1) + "成交！】");
					BPFLGA[X] = 0; //A買平標(biāo)志歸0
				}
				Else If(F_OrderStatus(BPIDA[X]) == Enum_Deleted) //如果A買平委托廢單
				{
					Commentary("【空頭平倉：A買平委托" + Text(X + 1) + "廢單！】");
					BPFLGA[X] = 0; //A買平標(biāo)志歸0
				}
			}
			If(SPFLGB[X] == 1) //如果有B賣平委托
			{
				If(F_OrderStatus(SPIDB[X]) == Enum_Filled) //如果B賣平委托成交
				{
					Commentary("【空頭平倉：B賣平委托" + Text(X + 1) + "成交！】");
					SPFLGB[X] = 0; //B賣平標(biāo)志歸0
				}
				Else If(F_OrderStatus(SPIDB[X]) == Enum_Deleted) //如果B賣平委托廢單
				{
					Commentary("【空頭平倉：B賣平委托" + Text(X + 1) + "廢單！】");
					SPFLGB[X] = 0; //B賣平標(biāo)志歸0
				}
			}
		}
	}
	//------------------------空頭處理------------------------//
	If(OPFLG == 1) //空頭處理
	{
		For X = 0 To CDN - 1 //遍歷期權(quán)合約
		{
			If(SKFLGA[X] == 0 && BKFLGB[X] == 0 && BPFLGA[X] == 0 && SPFLGB[X] == 0) //如果沒有開平倉委托
			{
				If(SCFLG[X] == 0) //如果未執(zhí)行空頭開倉
				{
					If(PRC[X] > 0 && RTS[X] > D) //如果滿足空頭開倉條件
					{
						SKDFLG[X] = 1; //開啟賣開處理
						SCFLG[X] = 1; //已執(zhí)行空頭開倉
					}
				}
				Else If(SCFLG[X] == 1) //如果已執(zhí)行空頭開倉
				{
					If(RTS[X] <= D) //如果滿足空頭平倉條件
					{
						BPDFLG[X] = 1; //開啟買平處理
						SCFLG[X] = 0; //空頭處理標(biāo)志歸0
					}
				}
			}
		}
	}
	//------------------------委托處理------------------------//
	If(OPFLG == 1) //委托處理
	{
		For X = 0 To CDN - 1 //遍歷期權(quán)合約
		{
			If(SKDFLG[X] == 1) //如果已開啟賣開處理
			{
				If(SKFLGA[X] == 0 && BKFLGB[X] == 0) //如果沒有開倉委托
				{
					SKMA[X] = N; //A賣開委托手?jǐn)?shù)
					SKPA[X] = BIDPA[X]; //A賣開委托價(jià)格
					Commentary("【空頭開倉：A賣開委托" + Text(X + 1) + "發(fā)出！】");
					SKIDA[X] = CODA[X].A_SendOrder(Enum_Sell,Enum_Entry,SKMA[X],SKPA[X]); //發(fā)出A賣開委托
					SKFLGA[X] = 1; //已發(fā)出A賣開委托
					BKMB[X] = N; //B買開委托手?jǐn)?shù)
					BKPB[X] = ASKPB[X]; //B買開委托價(jià)格
					Commentary("【空頭開倉：B買開委托" + Text(X + 1) + "發(fā)出！】");
					BKIDB[X] = CODB[X].A_SendOrder(Enum_Buy,Enum_Entry,BKMB[X],BKPB[X]); //發(fā)出B買開委托
					BKFLGB[X] = 1; //已發(fā)出B買開委托
				}
			}
			If(BPDFLG[X] == 1) //如果已開啟買平處理
			{
				If(BPFLGA[X] == 0 && SPFLGB[X] == 0) //如果沒有平倉委托
				{
					If(SRPA[X] >= N) //如果A空頭可用持倉達(dá)到N手
					{
						BPMA[X] = N; //A買平委托手?jǐn)?shù)
						BPPA[X] = ASKPA[X]; //A買平委托價(jià)格
						Commentary("【空頭平倉：A買平委托" + Text(X + 1) + "發(fā)出！】");
						BPIDA[X] = CODA[X].A_SendOrder(Enum_Buy,Enum_Exit,BPMA[X],BPPA[X]); //發(fā)出A買平委托
						BPFLGA[X] = 1; //已發(fā)出A買平委托
					}
					If(BRPB[X] >= N) //如果B多頭可用持倉達(dá)到N手
					{
						SPMB[X] = N; //B賣平委托手?jǐn)?shù)
						SPPB[X] = BIDPB[X]; //B賣平委托價(jià)格
						Commentary("【空頭平倉：B賣平委托" + Text(X + 1) + "發(fā)出！】");
						SPIDB[X] = CODB[X].A_SendOrder(Enum_Sell,Enum_Exit,SPMB[X],SPPB[X]); //發(fā)出B賣平委托
						SPFLGB[X] = 1; //已發(fā)出B賣平委托
					}
				}
			}
		}
	}
End