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标题：[原创]根据当日涨跌判断进行交易
1楼
wangwatercup 发表于：2011/1/2 17:06:06
 （1）采用SVM、CART和PNN进行股指期货涨跌预测，预测当日涨跌。其中输入变量为沪深300收益率、振幅、市场热度、成交额、资金净流入、趋势、道琼斯指数收益率等。
（2）根据涨跌预测，进行当日交易，规则如下：
    （2.1）开盘即买入或卖出，同时2个机制下单，争取在开盘后以最快的速度成交；
     (2.2) 2% 止损；
     (2.3) 如果未成交，则撤单之后继续在开盘价的微小区间之内追单
     (2.4) 设置滑点，默认0.2
     (2.5) 3点10分不惜一切，平仓
（3）代码如下

dim dmHY,dmJYS,signal,buy_amount,IDaccount,RangeTick,RangeStoploss,Stoploss,NumberStoploss,Slide

dim orderid
dim ConSign
dim Filled
dim Remaining
dim Action
dim OrderType
dim LmtPrice
dim Account
dim Kaiping

dim BuyHoding
dim BuyCost
dim BuyTodayHoding
dim SellHoding
dim SellCost
dim SellTodayHoding
dim PNL
dim UseMargin

dim FirstTrade,StatusFirstTrade

sub b0()    '设置参数
'一定要在开盘之前运行本程序，
signal=1    '1 买 2 卖空
buy_amount=9    '开仓数量
IDaccount="40009975"    '帐号

dmHY="if01"        '合约
dmJYS="zj"        '交易所
RangeTick=.005  '报价与开盘价之间价差变动范围百分比
RangeStoploss=.02   '止损百分比

NumberStoploss=0
Slide=.2
end sub

Sub APPLICATION_VBAStart()
    FirstTrade=1                       
'一定要在未建仓之前运行本程序；
'如果想在开盘时最先成交，一定在9点14分之前启动本程序
    call b0
    call Application.SetTimer(1,5000) '1S触发一次
    call application.SetTimer (2,50)
    call marketdata.RegReportNotify(dmHY,dmJYS)
    msgbox "启动"
End Sub

Sub APPLICATION_Close()
    call Application.KillTimer(1)
    call marketdata.UnRegReportNotify(dmHY,dmJYS)   
End Sub

Sub APPLICATION_Timer(ID)
select case ID
    case 1
        call b3
    case 2
        call b1
end select
End Sub

Sub ORDER_OrderStatusEx(oOrderID,oStatus,oFilled,oRemaining,oPrice,oCode,oMarket,oOrderType,oAspect,oKaiping)
    StatusFirstTrade = oStatus
   
    if oAspect = 0 and oKaiping = 0 then
        oTrade = 1                                '开多
    elseif  oAspect = 1 and oKaiping = 1 then
        oTrade = -.5                             '平多
    elseif  oAspect = 1 and oKaiping = 0 then
        oTrade = -1                                '开空
    elseif  oAspect = 0 and oKaiping = 1 then
        oTrade = .5                                '平空
    end if
       
'filled 是全部成交
'tradeing 已成交部分
End Sub

Sub MARKETDATA_ReportNotify(ReportData) '争取在启动的时候下单
timePart=time
if timePart<=timevalue("09:14:30") or (timePart>timevalue("11:30:10") and timePart<=timevalue("12:59:50")) then
    exit sub
end if

if FirstTrade=1 and (isempty(StatusFirstTrade) or StatusFirstTrade="Cancelled" or StatusFirstTrade="Inactive") then
    Set rpt = marketdata.GetReportData(dmHY,dmJYS)'得到这个品种的行情报价
    PriceOpen=rpt.Open
    select case signal
        case 1
            Ssx_Price_Buy=rpt.SellPrice1+Slide
            if abs((Ssx_Price_Buy-PriceOpen)/PriceOpen)<=RangeTick then
                call Order.Buy(0,buy_amount,Ssx_Price_Buy,0,dmHY,dmJYS,"",0)   
            end if       
        case 2
            Ssx_Price_Sell=rpt.BuyPrice1-Slide
            if abs((Ssx_Price_Sell-PriceOpen)/PriceOpen)<=RangeTick then
                call Order.BuyShort(0,buy_amount,Ssx_Price_Sell,0,dmHY,dmJYS,"",0)
            end if
    end select
    if StatusFirstTrade ="Filled" or StatusFirstTrade ="Tradeing" or StatusFirstTrade ="Submitted" or  StatusFirstTrade ="PreSubmitted" then
        FirstTrade = 0    '不会存在下了指令却无法成为委托的情况，因为如果能获得注册的品种发出的价格，则一定是在交易时间
        call document.WritePrivateProfileFloat("operation", "timePartReportNotify", timePart, "C:\out.ini")
    end if
end if
end sub

sub b1()    '争取在开盘的时候下第一单
timePart=time
if timePart<=timevalue("09:14:40") or timePart>=timevalue("9:15:10") then
    exit sub
end if

if FirstTrade=1 and (isempty(StatusFirstTrade) or StatusFirstTrade="Cancelled" or StatusFirstTrade="Inactive") then
    Set rpt = marketdata.GetReportData(dmHY,dmJYS)'得到这个品种的行情报价
    PriceOpen=rpt.open
    select case signal
        case 1
            Ssx_Price_Buy=rpt.SellPrice1+Slide
            if abs((Ssx_Price_Buy-PriceOpen)/PriceOpen)<=RangeTick then
                call Order.Buy(0,buy_amount,Ssx_Price_Buy,0,dmHY,dmJYS,"",0)   
            end if       
        case 2
            Ssx_Price_Sell=rpt.BuyPrice1-Slide
            if abs((Ssx_Price_Sell-PriceOpen)/PriceOpen)<=RangeTick then
                call Order.BuyShort(0,buy_amount,Ssx_Price_Sell,0,dmHY,dmJYS,"",0)
            end if
    end select
    if StatusFirstTrade ="Filled" or StatusFirstTrade ="Tradeing" or StatusFirstTrade ="Submitted" or  StatusFirstTrade ="PreSubmitted" then
        FirstTrade = 0    '不会存在下了指令却无法成为委托的情况，因为如果能获得注册的品种发出的价格，则一定是在交易时间
        call document.WritePrivateProfileFloat("operation", "timePart", timePart, "C:\out.ini")
    end if
end if

end sub

sub b3()
if FirstTrade<>0 then '若下单未成功，则退出
    exit sub
end if

timePart=time       
if (timePart>timevalue("09:14:30") and timePart<=timevalue("11:30:00")) or (timePart>=timevalue("13:00:00") and timePart<=timevalue("15:10:00")) then    '是否成交
    select case signal
        case 1
            call b31
        case 2
            call b32
    end select   
elseif timePart>timevalue("15:10:00") then    '平仓
    select case signal
        case 1
            call b41
        case 2
            call b42
    end select
end if       
end sub


[此贴子已经被作者于2011-1-2 17:30:01编辑过]
2楼
wangwatercup 发表于：2011/1/2 17:07:18
 继续

Sub b31()
    Result= order.OrderInfoByCode2(dmHY,dmJYS,orderid,ConSign,Filled,Remaining,Action,OrderType,LmtPrice,Account,Kaiping)' 取得未成交订单情况
    Result = Order.HoldingInfoByCode2(dmHY,dmJYS,BuyHoding,BuyCost,BuyTodayHoding,SellHoding,SellCost,SellTodayHoding,PNL,UseMargin,IDaccount)' 取得持仓情况
    'If Result <> 1 Then
    '    Exit Sub
    'End If
   
    Set rpt = marketdata.GetReportData(dmHY,dmJYS)'得到这个品种的行情报价
    PriceOpen=rpt.open                '开盘价
    PriceNew=rpt.SellPrice1+Slide        '
    Stoploss=(((PriceNew-PriceOpen)/PriceOpen)<-RangeStoploss)'是否需要止损
    if PriceOpen=0 or isnull(PriceOpen) then '保证不会在集合竞价阶段下单
        exit sub
    end if
       
    if isempty(BuyHoding) and isempty(SellHoding) and not isempty(ConSign) and not Stoploss then '空仓 下单未成交 不用止损
        order.OrderQueue = 0
        call order.CancelOrder(orderid)    '撤单
       
        if Action=0 and Kaiping=0 and abs((PriceNew-PriceOpen)/PriceOpen)<=RangeTick then
            call Order.Buy(0,Remaining,PriceNew,0,dmHY,dmJYS,"",0)
        end if           
         
    elseif isempty(BuyHoding) and isempty(SellHoding) and not isempty(ConSign) and Stoploss then '空仓 下单未成交 并且要止损
        order.OrderQueue = 0
        call order.CancelOrder(orderid)    '撤单
        '        NumberStoploss=NumberStoploss+1
    elseif isempty(BuyHoding) and isempty(SellHoding) and isempty(ConSign) and not Stoploss then '空仓 下单全成交 不用止损
        if NumberStoploss=0 and abs((PriceNew-PriceOpen)/PriceOpen)<=RangeTick then                '若此前未止损且价格在合理范围之内，则买进
            call Order.Buy(0,buy_amount,PriceNew,0,dmHY,dmJYS,"",0)
        end if           
   
    elseif isempty(BuyHoding) and isempty(SellHoding) and  isempty(ConSign) and Stoploss then '空仓 下单全成交 并且要止损
   
    elseif not isempty(BuyHoding) and not isempty(ConSign) and not Stoploss then '持仓 下单未成交 不用止损
        if Action=0 and Kaiping=0 then
            order.OrderQueue = 0
            call order.CancelOrder(orderid)    '撤单
           
            if abs((PriceNew-PriceOpen)/PriceOpen)<=RangeTick then
                call Order.Buy(0,Remaining,PriceNew,0,dmHY,dmJYS,"",0)
            end if   
        elseif Action=1 and Kaiping=1 then
            order.OrderQueue = 0
            call order.CancelOrder(orderid)    '撤单           

            PriceNew=rpt.BuyPrice1-Slide
            call Order.Sell(0,BuyHoding,PriceNew,0,dmHY,dmJYS,"",0)

        end if    
       
    elseif not isempty(BuyHoding) and not isempty(ConSign) and  Stoploss then '持仓 下单未成交 不用止损
        if Action=0 and Kaiping=0 then    
            order.OrderQueue = 0
            call order.CancelOrder(orderid)    '撤单       
           
            PriceNew=rpt.BuyPrice1-Slide
            call Order.Sell(0,BuyHoding,PriceNew,0,dmHY,dmJYS,"",0)   
           
            if StatusFirstTrade ="Filled"  then
                NumberStoploss=NumberStoploss+1           
            end if
        elseif Action=1 and Kaiping=1 then
            order.OrderQueue = 0
            call order.CancelOrder(orderid)    '撤单       
           
            PriceNew=rpt.BuyPrice1-Slide
            call Order.Sell(0,BuyHoding,PriceNew,0,dmHY,dmJYS,"",0)   
           
            if StatusFirstTrade ="Filled"  then
                NumberStoploss=NumberStoploss+1           
            end if
        end if                
                   
    elseif not isempty(BuyHoding) and  isempty(ConSign) and not Stoploss then    '持仓 无未成交 止损
        if NumberStoploss=0 and abs((PriceNew-PriceOpen)/PriceOpen)<=RangeTick and buy_amount>BuyHoding then    '若此前未止损且价格在合理范围之内，则买进
            call Order.Buy(0,buy_amount-BuyHoding,PriceNew,0,dmHY,dmJYS,"",0)
        end if       
             
    elseif not isempty(BuyHoding) and  isempty(ConSign) and  Stoploss then
        PriceNew=rpt.BuyPrice1-Slide
        call Order.Sell(0,BuyHoding,PriceNew,0,dmHY,dmJYS,"",0)

        if StatusFirstTrade ="Filled"  then
            NumberStoploss=NumberStoploss+1           
        end if
               
    end if
end sub


sub b32()
    Result= order.OrderInfoByCode2(dmHY,dmJYS,orderid,ConSign,Filled,Remaining,Action,OrderType,LmtPrice,Account,Kaiping)' 取得未成交订单情况
    Result = Order.HoldingInfoByCode2(dmHY,dmJYS,BuyHoding,BuyCost,BuyTodayHoding,SellHoding,SellCost,SellTodayHoding,PNL,UseMargin,IDaccount)' 取得持仓情况
    'If Result <> 1 Then
    '    Exit Sub
    'End If
   
    Set rpt = marketdata.GetReportData(dmHY,dmJYS)'得到这个品种的行情报价
    PriceOpen=rpt.open                '开盘价
    PriceNew=rpt.BuyPrice1-Slide         '
    Stoploss=(((PriceNew-PriceOpen)/PriceOpen)>RangeStoploss)'是否需要止损
    if PriceOpen=0 or isnull(PriceOpen) then '保证不会在集合竞价阶段下单
        exit sub
    end if   

    if isempty(BuyHoding) and isempty(SellHoding) and not isempty(ConSign) and not Stoploss then '空仓 下单未成交 不用止损
        order.OrderQueue = 0
        call order.CancelOrder(orderid)    '撤单
       
        if Action=1 and Kaiping=0 and abs((PriceNew-PriceOpen)/PriceOpen)<=RangeTick then
            call Order.BuyShort(0,Remaining,PriceNew,0,dmHY,dmJYS,"",0)
        end if           
         
    elseif isempty(BuyHoding) and isempty(SellHoding) and not isempty(ConSign) and Stoploss then '空仓 下单未成交 并且要止损
        order.OrderQueue = 1
        call order.CancelOrder(orderid)    '撤单
        '        NumberStoploss=NumberStoploss+1
    elseif isempty(BuyHoding) and isempty(SellHoding) and isempty(ConSign) and not Stoploss then '空仓 下单全成交 不用止损
        if NumberStoploss=0 and abs((PriceNew-PriceOpen)/PriceOpen)<=RangeTick then                '若此前未止损且价格在合理范围之内，则买进
            call Order.BuyShort(0,buy_amount,PriceNew,0,dmHY,dmJYS,"",0)
        end if           
       
    elseif isempty(BuyHoding) and isempty(SellHoding) and  isempty(ConSign) and Stoploss then '空仓 下单全成交 并且要止损
   
    elseif not isempty(SellHoding) and not isempty(ConSign) and not Stoploss then '持仓 下单未成交 不用止损
        order.OrderQueue = 0
        call order.CancelOrder(orderid)    '撤单
       
        if Action=1 and Kaiping=0 and abs((PriceNew-PriceOpen)/PriceOpen)<=RangeTick then
            call Order.BuyShort(0,Remaining,PriceNew,0,dmHY,dmJYS,"",0)
        elseif Action=0 and Kaiping=1 then
            PriceNew = rpt.SellPrice1+Slide
            call Order.SellShort(0,SellHoding,PriceNew,0,dmHY,dmJYS,"",0)
        end if   
       
    elseif not isempty(SellHoding) and not isempty(ConSign) and  Stoploss then '持仓 下单未成交 止损
        order.OrderQueue = 0
        call order.CancelOrder(orderid)    '撤单       
       
        call Order.SellShort(0,SellHoding,PriceNew,0,dmHY,dmJYS,"",0)
           
        if StatusFirstTrade ="Filled"  then
            NumberStoploss=NumberStoploss+1           
        end if    
   
    elseif not isempty(SellHoding) and  isempty(ConSign) and not Stoploss then
        if buy_amount>SellHoding and abs((PriceNew-PriceOpen)/PriceOpen)<=RangeTick and NumberStoploss=0 then
            call Order.BuyShort(0,buy_amount,PriceNew,0,dmHY,dmJYS,"",0)
        end if
       
    elseif not isempty(SellHoding) and  isempty(ConSign) and  Stoploss then
        PriceNew=rpt.SellPrice1+Slide
        call Order.SellShort(0,SellHoding,PriceNew,0,dmHY,dmJYS,"",0)

        if StatusFirstTrade ="Filled"  then
            NumberStoploss=NumberStoploss+1           
        end if
               
    end if
end sub

3楼
wangwatercup 发表于：2011/1/2 17:07:43
 继续


sub b41()
    Result= order.OrderInfoByCode2(dmHY,dmJYS,orderid,ConSign,Filled,Remaining,Action,OrderType,LmtPrice,Account,Kaiping)' 取得未成交订单情况
    Result = Order.HoldingInfoByCode2(dmHY,dmJYS,BuyHoding,BuyCost,BuyTodayHoding,SellHoding,SellCost,SellTodayHoding,PNL,UseMargin,IDaccount)' 取得持仓情况
    Set rpt = marketdata.GetReportData(dmHY,dmJYS)'得到这个品种的行情报价

    if isempty(BuyHoding) and isempty(ConSign) then
   
    elseif isempty(BuyHoding) and not isempty(ConSign) then
        order.OrderQueue = 0
        call order.CancelOrder(orderid)
       
    elseif not isempty(BuyHoding) and isempty(ConSign) then
        PriceNew=rpt.BuyPrice1-Slide
        call Order.Sell(0,BuyHoding,PriceNew,0,dmHY,dmJYS,"",0)
       
    elseif not isempty(BuyHoding) and not isempty(ConSign) then        
        order.OrderQueue = 0
        call order.CancelOrder(orderid)
       
        PriceNew=rpt.BuyPrice1-Slide
        call Order.Sell(0,BuyHoding,PriceNew,0,dmHY,dmJYS,"",0)
    end if       
end sub

sub b42()
    Result= order.OrderInfoByCode2(dmHY,dmJYS,orderid,ConSign,Filled,Remaining,Action,OrderType,LmtPrice,Account,Kaiping)' 取得未成交订单情况
    Result = Order.HoldingInfoByCode2(dmHY,dmJYS,BuyHoding,BuyCost,BuyTodayHoding,SellHoding,SellCost,SellTodayHoding,PNL,UseMargin,IDaccount)' 取得持仓情况
    Set rpt = marketdata.GetReportData(dmHY,dmJYS)'得到这个品种的行情报价
   
    if isempty(SellHoding) and isempty(ConSign) then
   
    elseif isempty(SellHoding) and not isempty(ConSign) then
        order.OrderQueue = 0
        call order.CancelOrder(orderid)
       
    elseif not isempty(SellHoding) and isempty(ConSign) then
        PriceNew=rpt.SellPrice1+Slide
        call Order.SellShort(0,SellHoding,PriceNew,0,dmHY,dmJYS,"",0)
       
    elseif not isempty(SellHoding) and not isempty(ConSign) then        
        order.OrderQueue = 0
        call order.CancelOrder(orderid)
       
        PriceNew=rpt.SellPrice1+Slide
        call Order.SellShort(0,SellHoding,PriceNew,0,dmHY,dmJYS,"",0)
    end if       
end sub



4楼
wangwatercup 发表于：2011/1/2 17:14:39
 上面的代码主要是如何交易的，关于神经网络的内容在matlab上面计算的，没有贴出。
所以内容都来自于这个论坛个位好心人的帮助，在此次一并感谢。
程序还是有些冗长，可以进一步改进的，但是关于如何判断和追单部分画了一些心思去份各种可能的情况讨论。
5楼
bdggl 发表于：2011/1/2 23:39:58
非常不错的尝试  希望后面的跟上  大家多多交流一下
6楼
天堂之上 发表于：2011/1/4 16:54:51

谢谢，但怎么提示有问题呢

7楼
stocker 发表于：2011/1/5 22:42:27

非常好的实例。

 

具体怎么用啊？是利用宏还是窗体？请讲的具体一点。

 

谢谢！

8楼
wangwatercup 发表于：2011/1/6 12:43:33
有些地方还需要修改，比如将我的帐号设为你自己的帐号。

在宏里面实施

9楼
bbking 发表于：2011/1/11 21:23:56
以下是引用wangwatercup在2011-1-2 17:14:39的发言：
 上面的代码主要是如何交易的，关于神经网络的内容在matlab上面计算的，没有贴出。
所以内容都来自于这个论坛个位好心人的帮助，在此次一并感谢。
程序还是有些冗长，可以进一步改进的，但是关于如何判断和追单部分画了一些心思去份各种可能的情况讨论。

 

我晕~还以为你真是用这个来自动交易呢...

我说如何用VBA挂上matlab一起自动运算进行交易呢~

看来是个静态的东西...

10楼
z7c9 发表于：2011/1/27 11:03:05

Matlab+VBS应该做不了实时交易。

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