【高频策略】利用挂单价差实现高频交易的策略 - 交易策略发布专区 - 金字塔客服中心 - 专业程序化交易软件提供商

用在锌上试试

diff:=5;手数:=1;多持:=tbuyholding(1);空持:=tsellholding(1);

持价:=TAVGENTERPRICE;

挂单价差:(ASKPRICE-BIDPRICE)/diff,NOAXIS;

DEBUGFILE('C:\TEST.TXT','挂单价差 %.0f', 挂单价差);DEBUGOUT('挂单价差 %.0f', 挂单价差);

//开平仓条件

开仓条件:=挂单价差>=5;平仓条件:=挂单价差<=2;

//开仓挂单

if 多持=0 and 空持=0 then begin

tcancel(开仓条件=0 and tisremain(1)>0 ,1); //不满足条件就撤单

tcancel(开仓条件=0 and tisremain(3)>0 ,3);

tbuy (开仓条件 and tisremain(1)=0,手数,lmt,BIDPRICE+diff,0);

tbuyshort(开仓条件 and tisremain(3)=0,手数,lmt,ASKPRICE-diff,0);

end

//平仓挂单

if 多持>0 and 空持>0 then begin

tcancel(平仓条件=0 and tisremain(2)>0 ,2); //不满足条件就撤单

tcancel(平仓条件=0 and tisremain(4)>0 ,4);

tsell (平仓条件 and tisremain(2)=0,多持,lmt,ASKPRICE,0);

tsellshort(平仓条件 and tisremain(4)=0,空持,lmt,BIDPRICE,0);

end

//单腿处理

if 多持=0 and 空持>0 then begin

买单挂条件 :=BIDPRICE<=持价-3*diff;卖单止损条件:=ASKPRICE>=持价+3*diff and not(买单挂条件);

tcancel (卖单止损条件 or TSUBMIT(1)>60,1); //满足卖单止损条件，就撤开多单

tcancel (卖单止损条件=0 or TSUBMIT(4)>60,4); //不满足卖单止损条件或者平空单60秒未成交，就撤平空单

tbuy (卖单止损条件=0 and tisremain(4)=0 and tisremain(1)=0,手数,lmt,BIDPRICE+diff,0);

tsellshort(卖单止损条件 and tisremain(4)=0 and tisremain(1)=0,空持,lmt,BIDPRICE+diff,0);//满足卖单止损条件，就平空单，追单

end

if 多持>0 and 空持=0 then begin

卖单挂条件 :=ASKPRICE>=持价+3*diff;买单止损条件:=BIDPRICE<=持价-3*diff and not(卖单挂条件);

tcancel (买单止损条件 or TSUBMIT(1)>60,3);

tcancel (买单止损条件=0 or TSUBMIT(1)>60,2);

tbuyshort (买单止损条件=0 and tisremain(3)=0 and tisremain(2)=0,手数,lmt,ASKPRICE-diff,0);

tsell (买单止损条件 and tisremain(3)=0 and tisremain(2)=0,多持,lmt,ASKPRICE-diff,0);

end

主题：【高频策略】利用挂单价差实现高频交易的策略