自動(dòng)處理中金所平今倉(cāng)公式代碼案例

作者：開(kāi)拓者 TB 來(lái)源：cxh99.com 發(fā)布時(shí)間：2016年02月16日

咨詢內(nèi)容： 本帖最后由 hyjok 于 2015-11-16 15:20 編輯

自動(dòng)處理中金所平今倉(cāng)公式代碼案例（實(shí)盤運(yùn)行已經(jīng)2個(gè)月的代碼邏輯）
一、AorderDataNBuy、AorderDataNSellShort函數(shù)處理平今倉(cāng)邏輯：
1、無(wú)今倉(cāng)時(shí)，優(yōu)先平昨倉(cāng)代替開(kāi)倉(cāng)
2、有今倉(cāng)時(shí)，優(yōu)先開(kāi)倉(cāng)代替平倉(cāng)
3、設(shè)置交易賬戶最大持倉(cāng)手?jǐn)?shù)，預(yù)先考慮資金不足時(shí)的情況，開(kāi)倉(cāng)達(dá)到最大持倉(cāng)手?jǐn)?shù)時(shí)按正常邏輯平今倉(cāng)（其實(shí)TB中已經(jīng)有自動(dòng)處理平今倉(cāng)的功能，無(wú)奈沒(méi)有考慮賬戶資金不足的情況怎么處理，只好自己寫代碼實(shí)現(xiàn)，直接設(shè)定最大手?jǐn)?shù)的方式雖然粗略，但基本夠用了）

二、AutoChangeExitToday自動(dòng)轉(zhuǎn)換平今倉(cāng)發(fā)單案例測(cè)試策略公式代碼（以帶止損的雙均線策略為例）
TB設(shè)置忽略自動(dòng)交易，由公式中的兩個(gè)函數(shù)里面的A函數(shù)發(fā)單

三、Amaxlots尾盤自動(dòng)鎖倉(cāng)下單公式

特別需要注意：
1、函數(shù)中用到"Data/[i/].Close()"調(diào)用，而且是利用忽略自動(dòng)交易后Buy類函數(shù)只顯示信號(hào)但A函數(shù)仍然可以發(fā)單交易的特性，因此本案例公式代碼只能用于V5.1.0.16版本到V5.2.2.5版本
（TB V5.1.0.16版本起支持"Data/[i/].Close()"調(diào)用，而且保留忽略自動(dòng)交易不包括A函數(shù)發(fā)單，從TB V5.2.2.5版本之后的版本起忽略自動(dòng)交易包括了A函數(shù)發(fā)單，因此V5.2.2.5版本之后的版本不適用）
2、TB系統(tǒng)設(shè)置“中金所股指日內(nèi)開(kāi)倉(cāng)不超過(guò)10手”，防止開(kāi)倉(cāng)手?jǐn)?shù)超過(guò)10手限制
TB技術(shù)人員： 本帖最后由 hyjok 于 2015-11-16 11:39 編輯

買入發(fā)單函數(shù)AorderDataNBuy
1. //------------------------------------------------------------------------
2. // 簡(jiǎn)稱: AorderDataNBuy
3. // 名稱:
4. // 類別: 用戶函數(shù)
5. // 類型: 用戶函數(shù)
6. // 輸出: 布爾型
7. //------------------------------------------------------------------------
9. Params
10. Numeric DataN(0); //發(fā)單合約序列，Data0為0、Data1為1，以此類推DataN
11. Numeric myLots(1);//下單手?jǐn)?shù)
12. Numeric iLastPrice(1);//1為用最新價(jià)報(bào)單，其他為對(duì)手價(jià)報(bào)單
13. Numeric OffSet(10);//委托偏移跳數(shù)
14. Numeric MaxLots(4);//對(duì)鎖持倉(cāng)最大手?jǐn)?shù),根據(jù)交易賬戶資金大小自行預(yù)設(shè)最大持倉(cāng)手?jǐn)?shù)
15. Vars
16. Numeric myBuyPosition;
17. Numeric myTodayBuyPosition;
18. Numeric myPreDayBuyPosition;
19. Numeric mySellPosition;
20. Numeric myTodaySellPosition;
21. Numeric myPreDaySellPosition;
22. Numeric myAskPrice;
23. Numeric myBidPrice;
24. Numeric MinPoint;
25. Bool con;
26. Begin
27. MinPoint = Data[DataN].MinMove*Data[DataN].PriceScale;
28. myAskPrice = IIF(iLastPrice==1,Data[DataN].Q_Last,Data[DataN].Q_AskPrice) + MinPoint*OffSet;
29. myBidPrice = IIF(iLastPrice==1,Data[DataN].Q_Last,Data[DataN].Q_BidPrice) - MinPoint*OffSet;
30. If (A_AccountID<>"")
31. {
32. myBuyPosition=Data[DataN].A_BuyPosition;
33. myTodayBuyPosition=Data[DataN].A_TodayBuyPosition;
34. myPreDayBuyPosition=myBuyPosition-myTodayBuyPosition;
35. mySellPosition=Data[DataN].A_SellPosition;
36. myTodaySellPosition=Data[DataN].A_TodaySellPosition;
37. myPreDaySellPosition=mySellPosition-myTodaySellPosition;
38. }
39. if (myTodaySellPosition==0 && mySellPosition>=myLots)//無(wú)今倉(cāng)時(shí)平昨倉(cāng)，昨倉(cāng)足夠
40. {
41. con=Data[DataN].A_SendOrder(Enum_Buy,Enum_Exit,myLots,myAskPrice);
42. mySellPosition = mySellPosition - myLots;
43. }Else
44. if (myTodaySellPosition==0 && mySellPosition<myLots && mySellPosition>=0)//無(wú)今倉(cāng)時(shí)平昨倉(cāng)，昨倉(cāng)不夠時(shí)有多少平多少，余下的轉(zhuǎn)為開(kāi)倉(cāng)
45. {
46. con=Data[DataN].A_SendOrder(Enum_Buy,Enum_Exit,mySellPosition,myAskPrice);
47. con=Data[DataN].A_SendOrder(Enum_Buy,Enum_Entry,myLots-mySellPosition,myAskPrice);
48. myTodayBuyPosition = myTodayBuyPosition + myLots-mySellPosition;
49. myBuyPosition = myBuyPosition + myLots-mySellPosition;
50. mySellPosition = 0;
51. }Else
52. if (myTodaySellPosition>0 && myBuyPosition + myLots<=MaxLots)//有今倉(cāng)，開(kāi)倉(cāng)后持倉(cāng)不超過(guò)MaxLots的情況，平倉(cāng)轉(zhuǎn)為開(kāi)倉(cāng)
53. {
54. con=Data[DataN].A_SendOrder(Enum_Buy,Enum_Entry,myLots,myAskPrice);
55. myTodayBuyPosition = myTodayBuyPosition + myLots;
56. myBuyPosition = myBuyPosition + myLots;
57. }Else
58. if (myTodaySellPosition>0 && myBuyPosition + myLots>MaxLots)//有今倉(cāng)，開(kāi)倉(cāng)后持倉(cāng)超過(guò)MaxLots的情況，能開(kāi)多少開(kāi)多少，余下的轉(zhuǎn)為開(kāi)倉(cāng)
59. {
60. if (myBuyPosition<MaxLots)
61. {
62. con=Data[DataN].A_SendOrder(Enum_Buy,Enum_Entry,MaxLots-myBuyPosition,myAskPrice);
63. con=Data[DataN].A_SendOrder(Enum_Buy,Enum_ExitToday,myLots-(MaxLots-myBuyPosition),myAskPrice);
64. myTodaySellPosition = myTodaySellPosition - (myLots-(MaxLots-myBuyPosition));
65. mySellPosition = mySellPosition - (myLots-(MaxLots-myBuyPosition));
66. myTodayBuyPosition = myTodayBuyPosition + (MaxLots-myBuyPosition);
67. myBuyPosition = MaxLots;
68. }Else if (myBuyPosition>=MaxLots)
69. {
70. con=Data[DataN].A_SendOrder(Enum_Buy,Enum_ExitToday,myLots,myAskPrice);
71. myTodaySellPosition = myTodaySellPosition - myLots;
72. mySellPosition = mySellPosition - myLots;
73. }
74. }
75. Return con;
76. End
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TB客服： 本帖最后由 hyjok 于 2015-11-16 11:43 編輯

賣出發(fā)單函數(shù)AorderDataNSellShort
1. //------------------------------------------------------------------------
2. // 簡(jiǎn)稱: AorderDataNSellShort
3. // 名稱:
4. // 類別: 用戶函數(shù)
5. // 類型: 用戶函數(shù)
6. // 輸出: 布爾型
7. //------------------------------------------------------------------------
9. Params
10. Numeric DataN(0); //發(fā)單合約序列，Data0為0、Data1為1，以此類推DataN
11. Numeric myLots(1);//下單手?jǐn)?shù)
12. Numeric iLastPrice(1);//1為用最新價(jià)報(bào)單，其他為對(duì)手價(jià)報(bào)單
13. Numeric OffSet(10);//委托偏移跳數(shù)
14. Numeric MaxLots(4);//對(duì)鎖持倉(cāng)最大手?jǐn)?shù),根據(jù)交易賬戶資金大小自行預(yù)設(shè)最大持倉(cāng)手?jǐn)?shù)
15. Vars
16. Numeric myBuyPosition;
17. Numeric myTodayBuyPosition;
18. Numeric myPreDayBuyPosition;
19. Numeric mySellPosition;
20. Numeric myTodaySellPosition;
21. Numeric myPreDaySellPosition;
22. Numeric myAskPrice;
23. Numeric myBidPrice;
24. Numeric MinPoint;
25. Bool con;
26. Begin
27. MinPoint = Data[DataN].MinMove*Data[DataN].PriceScale;
28. myAskPrice = IIF(iLastPrice==1,Data[DataN].Q_Last,Data[DataN].Q_AskPrice) + MinPoint*OffSet;
29. myBidPrice = IIF(iLastPrice==1,Data[DataN].Q_Last,Data[DataN].Q_BidPrice) - MinPoint*OffSet;
30. If (A_AccountID<>"")
31. {
32. myBuyPosition=Data[DataN].A_BuyPosition;
33. myTodayBuyPosition=Data[DataN].A_TodayBuyPosition;
34. myPreDayBuyPosition=myBuyPosition-myTodayBuyPosition;
35. mySellPosition=Data[DataN].A_SellPosition;
36. myTodaySellPosition=Data[DataN].A_TodaySellPosition;
37. myPreDaySellPosition=mySellPosition-myTodaySellPosition;
38. }
39. if (myTodayBuyPosition==0 && myBuyPosition>=myLots)
40. {
41. con=Data[DataN].A_SendOrder(Enum_Sell,Enum_Exit,myLots,myBidPrice);
42. myBuyPosition = myBuyPosition - myLots;
43. }Else
44. if (myTodayBuyPosition==0 && myBuyPosition<myLots && myBuyPosition>=0)
45. {
46. con=Data[DataN].A_SendOrder(Enum_Sell,Enum_Exit,myBuyPosition,myBidPrice);
47. con=Data[DataN].A_SendOrder(Enum_Sell,Enum_Entry,myLots-myBuyPosition,myBidPrice);
48. myTodaySellPosition = myTodaySellPosition + (myLots-myBuyPosition);
49. mySellPosition = mySellPosition + (myLots-myBuyPosition);
50. myBuyPosition = 0;
51. }Else
52. if (myTodayBuyPosition>0 && mySellPosition + myLots<=MaxLots)//有今倉(cāng)，平倉(cāng)轉(zhuǎn)為開(kāi)倉(cāng)
53. {
54. con=Data[DataN].A_SendOrder(Enum_Sell,Enum_Entry,myLots,myBidPrice);
55. myTodaySellPosition = myTodaySellPosition - myLots;
56. mySellPosition = mySellPosition - myLots;
57. }Else
58. if (myTodayBuyPosition>0 && mySellPosition + myLots>MaxLots)
59. {
60. if (mySellPosition<MaxLots)
61. {
62. con=Data[DataN].A_SendOrder(Enum_Sell,Enum_Entry,MaxLots-mySellPosition,myBidPrice);
63. con=Data[DataN].A_SendOrder(Enum_Sell,Enum_ExitToday,myLots-(MaxLots-mySellPosition),myBidPrice);
64. myTodayBuyPosition = myTodayBuyPosition - (myLots-(MaxLots-mySellPosition));
65. myBuyPosition = myBuyPosition - (myLots-(MaxLots-mySellPosition));
66. myTodaySellPosition = myTodaySellPosition + (MaxLots-mySellPosition);
67. mySellPosition = MaxLots;
68. }Else if (mySellPosition>=MaxLots)
69. {
70. con=Data[DataN].A_SendOrder(Enum_Sell,Enum_ExitToday,myLots,myBidPrice);
71. myTodayBuyPosition = myTodayBuyPosition - myLots;
72. myBuyPosition = myBuyPosition - myLots;
73. }
74. }
75. Return con;
76. End
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網(wǎng)友回復(fù)： 本帖最后由 hyjok 于 2015-11-16 11:44 編輯

雙均線策略測(cè)試公式
1. //------------------------------------------------------------------------
2. // 簡(jiǎn)稱: AutoChangeExitToday
3. // 名稱: 自動(dòng)轉(zhuǎn)換平今倉(cāng)發(fā)單案例
4. // 類別: 公式應(yīng)用
5. // 類型: 用戶應(yīng)用
6. // 輸出:
7. //------------------------------------------------------------------------
9. Params
10. Numeric FastLength(5);
11. Numeric SlowLength(20);
13. Numeric DataN(0); //發(fā)單合約序列，不疊加合約時(shí)Data0為0、疊加合約Data1為1，以此類推DataN
14. Numeric Lots(1);
15. Numeric AOrder(1);//A函數(shù)發(fā)單開(kāi)關(guān)，1為A函數(shù)發(fā)單，其他為不允許A函數(shù)發(fā)單
16. Numeric iLastPrice(1);//1為用最新價(jià)報(bào)單，其他為對(duì)手價(jià)報(bào)單
17. Numeric OffSet(10);//委托偏移跳數(shù)
18. Numeric MaxLots(4);//對(duì)鎖持倉(cāng)最大手?jǐn)?shù)，用戶根據(jù)賬戶資金大小預(yù)設(shè)最大持倉(cāng)手?jǐn)?shù),
19. //應(yīng)用時(shí)設(shè)置忽略所有自動(dòng)交易，用A函數(shù)發(fā)單,適用于TBV5.2.3.16之前的版本（V5.2.3.16版本開(kāi)始忽略自動(dòng)交易也會(huì)忽略A函數(shù)發(fā)單）
20. Vars
21. NumericSeries AvgValue1;
22. NumericSeries AvgValue2;
24. Numeric myBuyPosition;
25. Numeric myTodayBuyPosition;
26. Numeric mySellPosition;
27. Numeric myTodaySellPosition;
28. Numeric myLots;
29. Numeric MinPoint;
30. Begin
31. MinPoint = MinMove*PriceScale;
32. If (A_AccountID<>"" && BarStatus==2)
33. {
34. myBuyPosition=Data[DataN].A_BuyPosition;
35. myTodayBuyPosition=Data[DataN].A_TodayBuyPosition;
36. mySellPosition=Data[DataN].A_SellPosition;
37. myTodaySellPosition=Data[DataN].A_TodaySellPosition;
38. }
39. Commentary("myBuyPosition="+Text(myBuyPosition));
40. Commentary("myTodayBuyPosition="+Text(myTodayBuyPosition));
41. Commentary("mySellPosition="+Text(mySellPosition));
42. Commentary("myTodaySellPosition="+Text(myTodaySellPosition));
44. AvgValue1 = AverageFC(Close,FastLength);
45. AvgValue2 = AverageFC(Close,SlowLength);
47. If(MarketPosition <>1 && AvgValue1[1] > AvgValue2[1])
48. {
49. If (AOrder==1 && GetGlobalVar(0)<>1)//全局變量的作用是控制重復(fù)發(fā)單
50. {
51. If (AorderDataNBuy(DataN,IIF(MarketPosition==-1,2,1)*Lots,iLastPrice,OffSet,MaxLots)) SetGlobalVar(0,1);
52. }
53. Buy(Lots,Open);
54. }
56. If(MarketPosition <>-1 && AvgValue1[1] < AvgValue2[1])
57. {
58. If (AOrder==1 && GetGlobalVar(0)<>-1)
59. {
60. If (AOrderDataNSellShort(DataN,IIF(MarketPosition==1,2,1)*Lots,iLastPrice,OffSet,MaxLots)) SetGlobalVar(0,-1);
61. }
62. SellShort(Lots,Open);
63. }
65. If (MarketPosition==1 && C[1]<=EntryPrice*0.99)
66. {
67. If (AOrder==1 && GetGlobalVar(0)<>2)
68. {
69. If (AOrderDataNSellShort(DataN,Abs(CurrentContracts),iLastPrice,OffSet,MaxLots)) SetGlobalVar(0,2);
70. }
71. Sell(0,Open);
72. }
73. If (MarketPosition==-1 && C[1]>=EntryPrice*1.01)
74. {
75. If (AOrder==1 && GetGlobalVar(0)<>-2)
76. {
77. If (AorderDataNBuy(DataN,Abs(CurrentContracts),iLastPrice,OffSet,MaxLots)) SetGlobalVar(0,-2);
78. }
79. BuyToCover(0,Open);
80. }
82. PlotNumeric("MA1",AvgValue1);
83. PlotNumeric("MA2",AvgValue2);
84. End
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網(wǎng)友回復(fù)： 本帖最后由 hyjok 于 2015-11-16 14:52 編輯

尾盤鎖倉(cāng)代碼
1. //------------------------------------------------------------------------
2. // 簡(jiǎn)稱: Amaxlots
3. // 名稱: A函數(shù)鎖倉(cāng)下單
4. // 類別: 公式應(yīng)用
5. // 類型: 用戶應(yīng)用
6. // 輸出:
7. //------------------------------------------------------------------------
8. //應(yīng)用場(chǎng)景，尾盤鎖倉(cāng)下單，特別注意時(shí)間設(shè)置，確保其他策略在ActionTime之后不會(huì)再交易,Tick周期圖表運(yùn)行
9. Params
10. Numeric ActionTime(1514.02);
11. Numeric AOrder(1);
12. Numeric OffSet(2);//委托偏移跳數(shù)
13. Numeric MaxLots(2);//對(duì)鎖持倉(cāng)最大手?jǐn)?shù)
14. Numeric ABspreadTick(5);//買賣價(jià)差跳數(shù)
15. Vars
16. Numeric myBuyPosition;
17. Numeric myTodayBuyPosition;
18. Numeric mySellPosition;
19. Numeric myTodaySellPosition;
20. Numeric myLots;
21. Numeric MinPoint;
22. Numeric wthd;//委托滑點(diǎn)
23. Numeric bcLots;//補(bǔ)充對(duì)鎖手?jǐn)?shù)
25. Numeric i;
26. Numeric todayEntryLots;//今開(kāi)手?jǐn)?shù)
27. Numeric nCount;
28. Begin
29. Commentary("10000*Time="+Text(10000*Time));
30. If (BarStatus<2) Return;
31. If (A_AccountID=="") Return;
32. MinPoint = MinMove*PriceScale;
33. wthd = MinPoint*OffSet;
35. If (A_AccountID<>"")
36. {
37. myBuyPosition=A_BuyPosition;
38. myTodayBuyPosition=A_TodayBuyPosition;
39. mySellPosition=A_SellPosition;
40. myTodaySellPosition=A_TodaySellPosition;
41. }
42. Commentary("myBuyPosition="+Text(myBuyPosition));
43. Commentary("myTodayBuyPosition="+Text(myTodayBuyPosition));
44. Commentary("mySellPosition="+Text(mySellPosition));
45. Commentary("myTodaySellPosition="+Text(myTodaySellPosition));
46. If (Date<>Date[1]) SetGlobalVar(2,0);
47. If (AOrder==1 && 10000*Time>ActionTime)
48. {
49. If (GetGlobalVar(2)==InvalidNumeric || GetGlobalVar(2)==0)
50. {
51. todayEntryLots = 0;
52. nCount = A_GetOrderCount();
53. For i = 1 To nCount
54. {
55. If (A_OrderStatus(i)==Enum_Filled && A_OrderEntryOrExit(i)==Enum_Entry)
56. {
57. todayEntryLots = todayEntryLots + A_OrderLot(i);
58. }
59. }
60. bcLots = MaxLots-Max(myBuyPosition,mySellPosition);
61. If ((todayEntryLots+2*bcLots)>10) bcLots = IntPart((10-todayEntryLots)/2);
62. SetGlobalVar(2,bcLots);
63. Commentary("GetGlobalVar(2)="+Text(GetGlobalVar(2)));
64. Commentary("bcLots="+Text(bcLots));
65. }
67. If (GetGlobalVar(2)>0 && GetGlobalVar(0)<>1 && A_GetOpenOrderCount()==0 && Q_AskPrice-Q_BidPrice<=ABspreadTick*MinPoint)
68. {
69. If (A_SendOrder(Enum_Sell,Enum_Entry,GetGlobalVar(2),Q_BidPrice-wthd)) SetGlobalVar(0,1);
70. Return;
71. }Else
72. If (GetGlobalVar(2)>0 && GetGlobalVar(1)<>1 && A_GetOpenOrderCount()==0 && Q_AskPrice-Q_BidPrice<=ABspreadTick*MinPoint)
73. {
74. If (A_SendOrder(Enum_Buy,Enum_Entry,GetGlobalVar(2),Q_AskPrice+wthd)) SetGlobalVar(1,1);
75. Return;
76. }
77. }
78. Commentary("GetGlobalVar(0)="+Text(GetGlobalVar(0)));
79. Commentary("GetGlobalVar(1)="+Text(GetGlobalVar(1)));
80. Commentary("GetGlobalVar(2)="+Text(GetGlobalVar(2)));
81. End
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