主题：建议开发c#作为自动交易语言

国外先进的自动交易软件，openquant，quantdeveloper都是把c#作为交易语言，并且，技术指标全部用c#编写。

那样的话，用户直接就用VS2008的C#编写交易策略就行了，还用金字塔何干。

此外，金字塔也提供了基于C++的接口规范，你同样可以使用这些高级语言编写策略然后通过金字塔下单。

要用到金字塔的交易测试，执行体系； mt还是用c、c++写的指标、交易体系呢

主流开发语言写策略，没有编程基础的人很难接受自动化交易，如果用简单的语言，那客户群体就大多了。

可以通过C++插件接口，采用IPC技术，把接口封装成可以被C#调用的DLL。

using OpenQuant.API; using OpenQuant.API.Indicators; using System.Drawing; public class MyStrategy : Strategy { // quantity to buy on a trade [Parameter("Order quantity (number of contracts to trade)")] double Qty = 100; [Parameter("Bar Block Size")] int BarBlockSize = 6; [Parameter("Length of SMA in blocks (weeks)", "SMA")] int FastSMALength = 22; [Parameter("Length of SMA in blocks (weeks)", "SMA")] int SlowSMALength = 55; int positionInBlock = 0; bool buyOnNewBlock; bool sellOnNewBlock; // two moving averages SMA fastSMA; SMA slowSMA; public override void OnStrategyStart() { // set up the fast average fastSMA = new SMA(Bars, FastSMALength * 7, Color.Yellow); Draw(fastSMA, 0); // set up the slow average slowSMA = new SMA(Bars, SlowSMALength * 7, Color.Pink); Draw(slowSMA, 0); } public override void OnBarOpen(Bar bar) { // calc quantity to reverse a position double orderQty = 2 * Qty; if (!HasPosition) orderQty = Qty; if (positionInBlock == 0) { if (buyOnNewBlock) { Buy(orderQty, "Reverse to Long"); buyOnNewBlock = false; } if (sellOnNewBlock) { Sell(orderQty, "Reverse to Short"); sellOnNewBlock = false; } } } public override void OnBar(Bar bar) { // if our SMAs contain the current bar date if (fastSMA.Contains(bar.DateTime) && slowSMA.Contains(bar.DateTime)) { // see which one is above the other Cross cross = fastSMA.Crosses(slowSMA, bar); if (cross == Cross.Above) buyOnNewBlock = true; if (cross == Cross.Below) sellOnNewBlock = true; } positionInBlock = (positionInBlock++) % BarBlockSize; } }

using OpenQuant.API;
using OpenQuant.API.Indicators;

using System.Drawing;

public class MyStrategy : Strategy
{
// quantity to buy on a trade
[Parameter("Order quantity (number of contracts to trade)")]
double Qty = 100;

[Parameter("Bar Block Size")]
int BarBlockSize = 6;

[Parameter("Length of SMA in blocks (weeks)", "SMA")]
int FastSMALength = 22;

[Parameter("Length of SMA in blocks (weeks)", "SMA")]
int SlowSMALength = 55;

int positionInBlock = 0;
bool buyOnNewBlock;
bool sellOnNewBlock;

// two moving averages
SMA fastSMA;
SMA slowSMA;

public override void OnStrategyStart()
{
// set up the fast average
fastSMA = new SMA(Bars, FastSMALength * 7, Color.Yellow);
Draw(fastSMA, 0);
// set up the slow average
slowSMA = new SMA(Bars, SlowSMALength * 7, Color.Pink);
Draw(slowSMA, 0);
}

public override void OnBarOpen(Bar bar)
{
// calc quantity to reverse a position
double orderQty = 2 * Qty;

if (!HasPosition)
orderQty = Qty;

if (positionInBlock == 0)
{
if (buyOnNewBlock)
{
Buy(orderQty, "Reverse to Long");

buyOnNewBlock = false;
}

if (sellOnNewBlock)
{
Sell(orderQty, "Reverse to Short");

sellOnNewBlock = false;
}
}
}

public override void OnBar(Bar bar)
{
// if our SMAs contain the current bar date
if (fastSMA.Contains(bar.DateTime) && slowSMA.Contains(bar.DateTime))
{
// see which one is above the other
Cross cross = fastSMA.Crosses(slowSMA, bar);

if (cross == Cross.Above)
buyOnNewBlock = true;

if (cross == Cross.Below)
sellOnNewBlock = true;
}

positionInBlock = (positionInBlock++) % BarBlockSize;
}
}

或者如何做成控件并供vba调用？

C#编写ACTIVEX控件的知识，网上多得是，建议你到书店买书回去正规学习。

相对于VB，对于大众化不讲，个人觉得lua脚本简单一些，金字塔有没有考虑过调用lua脚本公式