以文本方式查看主题 - 金字塔客服中心 - 专业程序化交易软件提供商 (http://weistock.com/bbs/index.asp) -- 金字塔软件问题提交 (http://weistock.com/bbs/list.asp?boardid=2) ---- 关于滑点设置问题2? (http://weistock.com/bbs/dispbbs.asp?boardid=2&id=154745) |
-- 作者:hboss38 -- 发布时间:2017/6/5 13:47:41 -- 关于滑点设置问题2? 老师,我的模拟策略是这样的 if jc then begin
sellshort(holding<0,3,limitr,c+MINDIFF); buy(holding=0,3,limitr,c+MINDIFF); end if sc then begin sell(holding>0,3,limitr,c-MINDIFF); buyshort(holding=0,3,limitr,c-MINDIFF); end 因为期货波动特别大,一旦发生金叉或者死叉,我的要求是必须平掉持仓,然后开相反的单子,哪怕多亏几个点都没有关系,是直接用市价
if jc then begin
sellshort(holding<0,3,limitr,c+MINDIFF); buy(holding=0,3,limitr,c+MINDIFF); end if sc then begin sell(holding>0,3,limitr,c-MINDIFF); buyshort(holding=0,3,limitr,c-MINDIFF); end 因为期货波动特别大,一旦发生金叉或者死叉,我的要求是必须平掉持仓,然后开相反的单子,哪怕多亏几个点都没有关系,是直接用市价
if jc then begin
sellshort(holding<0,3,limitr,c+MINDIFF); buy(holding=0,3,limitr,c+MINDIFF); end if sc then begin sell(holding>0,3,limitr,c-MINDIFF); buyshort(holding=0,3,limitr,c-MINDIFF); end 因为期货波动特别大,一旦发生金叉或者死叉,我的要求是必须平掉持仓,然后开相反的单子,哪怕多亏几个点都没有关系,是直接用市价
if jc then begin
sellshort(holding<0,3,limitr,c+MINDIFF); buy(holding=0,3,limitr,c+MINDIFF); end if sc then begin sell(holding>0,3,limitr,c-MINDIFF); buyshort(holding=0,3,limitr,c-MINDIFF); end |
-- 作者:wenarm -- 发布时间:2017/6/5 14:34:38 -- 你使用的是最新价-成交价 那你看下你的报单价格是多少?报单价-你公式中的最小变动价位就是当时最新价, 然后用这个值和成交价的差值 除以最小变动价位就是滑点的值 |