主题：[原创]高频交易

sub marketdata_reportnotify(reportdata) 
  dim multiplier
  dim mintick
  dim shortpercent
  dim longpercent
 
  dim buyhoding
  dim buytodayhoding
  dim sellhoding
  dim selltodayhoding
  dim buycost
  dim sellcost
  dim pnl
  dim usemargin
    
  dim orderid1
  dim consign1
  dim filled1
  dim remaining1
  dim ordertype1
  dim lmtprice1 
  
  dim orderid2
  dim consign2
  dim filled2
  dim remaining2
  dim ordertype2
  dim lmtprice2
  
   dim orderid3
  dim consign3
  dim filled3
  dim remaining3
  dim ordertype3
  dim lmtprice3
  
  dim orderid4
  dim consign4
  dim filled4
  dim remaining4
  dim ordertype4
  dim lmtprice4  
 
  lots=1
  account="888888"
  
  code=reportdata.label
  market=reportdata.marketname
  
  t0=code&"_trend0"
  t1=code&"_trend1"
  
  mybarpos=code&"_barpos"  
  
  set md=marketdata.getminutedata(code,market)
  
  barpos=md.count-1
  
  if barpos<=document.getextdata(mybarpos) then
  exit sub
  end if
  
  call document.setextdata(mybarpos,barpos)
  
  call document.setextdata(t1,document.getextdata(t0))
  
  if md.newprice(barpos)>md.newprice(barpos-1) then
   call document.setextdata(t0,1)
  end if
  
  if md.newprice(barpos)<md.newprice(barpos-1) then
   call document.setextdata(t0,-1)
  end if
 
  entrylongcond=document.getextdata(t0)=1 and document.getextdata(t1)=1 and md.newprice(barpos)>md.newprice(barpos-1)
  entryshortcond=document.getextdata(t0)=-1 and document.getextdata(t1)=-1 and md.newprice(barpos)<md.newprice(barpos-1)

'  sleeptime=2
'  
'  actiontime=code&"_actiontime"
'  
'  if document.getextstring(actiontime)="" then
'    actiondiff=sleeptime
'  else
'    actiondiff=datediff("s",document.getextstring(actiontime),now)  
'  end if
'  
'  if actiondiff<sleeptime then
'    exit sub
'  end if  
  
  call order.contract(code,market,multiplier,mintick,shortpercent,longpercent)
  call order.holdinginfobycode2(code,market,buyholding,buycost,buytodayholding,sellholding,sellcost,selltodayholding,pnl,usemargin,account)    

  call getpendingorder(orderid1,consign1,filled1,remaining1,0,ordertype1,lmtprice1,account,0,code,market)
  call getpendingorder(orderid2,consign2,filled2,remaining2,1,ordertype2,lmtprice2,account,2,code,market)
  call getpendingorder(orderid3,consign3,filled3,remaining3,1,ordertype3,lmtprice3,account,0,code,market)
  call getpendingorder(orderid4,consign4,filled4,remaining4,0,ordertype4,lmtprice4,account,2,code,market)
  
  'application.MsgOut("lmtprice1="&lmtprice1)
  application.MsgOut("lmtprice2="&lmtprice2)
  'application.MsgOut("lmtprice3="&lmtprice3)
  application.MsgOut("lmtprice4="&lmtprice4)
  
  a=orderid2>0 and md.askprice(barpos)<lmtprice2
  b=orderid4>0 and md.bidprice(barpos)>lmtprice4
  
  application.MsgOut("多头追价:"&a )
  application.MsgOut("空头追价:"&b )
  
  order.orderqueue=0
  
  offset=3*mintick   

  '多头条件成立时，将卖平和卖开未成交单撤单
  if entrylongcond then
   call order.cancelorder(orderid2)
   call order.cancelorder(orderid3)
   'call document.setextstring(actiontime,now)
  end if
  
  '空头条件成立时，将买开和买平未成交单撤单
  if entryshortcond then
   call order.cancelorder(orderid1)
   call order.cancelorder(orderid4)
   'call document.setextstring(actiontime,now)
  end if
  
  '多头开仓
  if buyholding=0 then
   if entrylongcond then
    if orderid1=0 then
     call order.buy(0,lots,md.bidprice(barpos),0,code,market,account,0)
     'call document.setextstring(actiontime,now)
    end if
   end if 
  end if   
  
  '多头平仓
  if buyholding>0 then   
   if entryshortcond then    
    if orderid2=0 then
     '多头止盈
     call order.sell(0,buyholding,md.askprice(barpos),0,code,market,account,0)
     'call document.setextstring(actiontime,now)
    end if    
   end if
   
   '多头追价
   if orderid2>0 and md.askprice(barpos)<lmtprice2 then
    order.orderqueue=1
   call order.cancelorder(orderid2)
   call order.sell(0,buyholding,md.askprice(barpos),0,code,market,account,0)
   'call document.setextstring(actiontime,now)   
   end if
   
   '多头止损
   if buycost-md.bidprice(barpos)>=offset then
    order.orderqueue=1
    call order.cancelorder(orderid2)
    call order.sell(0,buyholding,md.bidprice(barpos),0,code,market,account,0)
    'call document.setextstring(actiontime,now)
   end if    
  end if
  
  '空头开仓
  if sellholding=0 then   
   if entryshortcond then    
    if orderid3=0 then
     call order.buyshort(0,lots,md.askprice(barpos),0,code,market,account,0)
     'call document.setextstring(actiontime,now)
    end if  
   end if
  end if  
  
  '空头平仓
  if sellholding>0 then
   if entrylongcond then    
    if orderid4=0 then
     '空头止盈
     call order.sellshort(0,sellholding,md.bidprice(barpos),0,code,market,account,0)
     'call document.setextstring(actiontime,now)
    end if     
   end if
   
   '空头追价
   if orderid4>0 and md.bidprice(barpos)>lmtprice4 then
    order.orderqueue=1
   call order.cancelorder(orderid4)
   call order.sellshort(0,sellholding,md.bidprice(barpos),0,code,market,account,0)
   'call document.setextstring(actiontime,now)   
   end if
   
   '空头止损
   if md.askprice(barpos)-sellcost>=offset then
    order.orderqueue=1
    call order.cancelorder(orderid4)
    call order.sellshort(0,sellholding,md.askprice(barpos),0,code,market,account,0)
    'call document.setextstring(actiontime,now)
   end if    
  end if
end sub

sub getpendingorder(myorderid,myconsign,myfilled,myremaining,myaction,myordertype,mylmtprice,myaccount,mykaiping,mycode,mymarket)
  dim orderid
  dim consign
  dim filled
  dim remaining
  dim action
  dim ordertype
  dim lmtprice
  dim account
  dim kaiping
  dim code
  dim market
  
  for i=0 to order.ordernum2-1
    call order.orderinfo2(i,orderid,consign,filled,remaining,action,ordertype,lmtprice,account,kaiping,code,market)
        
    if code=mycode and market=mymarket and action=myaction and kaiping=mykaiping and account=myaccount then        
      myorderid=orderid
      myconsign=consign
      myfilled=filled
      myremaining=remaining
      myordertype=ordertype
      mylmtprice=lmtprice
      exit for 
    else
      myorderid=0
      myconsign=0
      myfilled=0
      myremaining=0
      myordertype=0
      mylmtprice=0  
    end if
  next
end sub

sub test2()

end sub