主题：VBA套利模型范例

首先我们建立一个TLStart的宏，然后再响应品种报表数据变化事件，代码如下：

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

'响应注册的品种行情变化通知
Sub MARKETDATA_ReportNotify(ReportData)
 '得到这两个品种的行情报价
 Set Report1 = marketdata.GetReportData("CF09","ZQ")
 Set Report2 = marketdata.GetReportData("CF11","ZQ")
 
 '得到品种的持仓量等信息
 dim BuyHoding1
 dim BuyHlding2
 dim BuyTodayHoding1
 dim BuyTodayHoding2
 dim SellHoding1
 dim SellHoding2
 dim SellTodayHoding1
 dim SellTodayHoding2
 dim BuyCost
 dim SellCost
 dim PNL
 Dim UseMargin

 '取指定持仓品种信息
 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)
 
 '当差价出现大于1800时进行套利开仓
 '假设是09买 11卖
 Diff = Report1.SellPrice1 - Report2.BuyPrice1 '分别取卖价和买价计算差价 
 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
 
 '当差价小于1000时进行套利平仓
 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

代码编写完毕后Alt+F8，然后选择我们刚才建立的TLStart宏名即可