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商品期货移仓类库

Author: 雨幕（youquant）, Date: 2020-07-06 10:07:52
Tags: 商品期货
参考帖子：https://www.youquant.com/bbs-topic/5855
// 导出函数（接口）
$.NewTransfer = function (e, taskQueue, IsTrading) {
    var self = {}
    self.currSymbol = ""
    self.e = e
    self.q = taskQueue
    self.IsTrading = IsTrading
    self.arrAction = []
    
    self.process = function(symbolA, symbolB) {
        if((typeof(symbolB) == "undefined" && !self.IsTrading(symbolA)) || (typeof(symbolB) != "undefined" && !self.IsTrading(symbolA) && !self.IsTrading(symbolB))) {
            return 
        }
        
        self.arrAction = []
        // 检测参数是否有symbolB , 没有即为检测主力合约 , 有则为移仓具体合约
        if(typeof(symbolB) == "undefined") {
            // 检测symbolA合约是否为XX888 或者 XX000
            if(symbolA.indexOf("888") == -1 && symbolA.indexOf("000") == -1) {
                throw "缺少symbolB参数！"
            }

            // 检测是否触发移仓
            var insDetail = null
            if(self.currSymbol == "") {
                insDetail = _C(self.e.SetContractType, symbolA)
                self.currSymbol = insDetail.InstrumentID
            }

            insDetail = _C(self.e.SetContractType, symbolA)
            if(self.currSymbol != insDetail.InstrumentID) {
                var oldSymbol = self.currSymbol
                var pos = self.q.GetPosition(self.e, oldSymbol)
                if(pos && pos.Amount > 0) {
                    // 移仓
                    self.arrAction = [oldSymbol, insDetail.InstrumentID, pos]
                    Log("开始移仓：", self.arrAction[0], "->", self.arrAction[1], self.arrAction, "#FF0000")
                } else {
                    self.currSymbol = insDetail.InstrumentID
                }
            }
        } else {
            // 检测是否有symbolA持仓
            var pos = self.q.GetPosition(self.e, symbolA)
            if(pos && pos.Amount > 0) {
                // 移仓
                self.arrAction = [symbolA, symbolB, pos]
                Log("开始移仓：", self.arrAction[0], "->", self.arrAction[1], self.arrAction, "#FF0000")
            } else {
                Log("没有检测到", symbolA, "的仓位，pos:", pos, "#FF0000")
            }
        }

        if(self.arrAction.length == 3) {
            self.q.pushTask(self.e, self.arrAction[0], (self.arrAction[2].Type == PD_LONG || self.arrAction[2].Type == PD_LONG_YD ? "closebuy" : "closesell"), self.arrAction[2].Amount, function(task, ret){
                if(!ret) {
                    Log(self.arrAction[0], "移仓平仓失败！", self.arrAction[0], "->", self.arrAction[1], "#FF0000")
                    return 
                }

                Log("移仓进度平仓成功，开始开仓!", self.arrAction[1], "数量：", self.arrAction[2].Amount, "#FF0000")
                self.q.pushTask(self.e, self.arrAction[1], (self.arrAction[2].Type == PD_LONG || self.arrAction[2].Type == PD_LONG_YD ? "buy" : "sell"), self.arrAction[2].Amount, function(task, ret){
                    if(!ret) {
                        Log(self.arrAction[1], "移仓开仓失败！", self.arrAction[0], "->", self.arrAction[1], "#FF0000")
                        return 
                    }
                    Log("移仓成功！", self.arrAction[0], "->", self.arrAction[1], "#FF0000")
                })
            })
        }

        while(self.q.size() > 0) {
            self.q.poll()
            Sleep(500)
        }
    }

    return self
}

// 测试函数,在主策略中执行
function main() {
    var q = $.NewTaskQueue()
    var t = $.NewTransfer(exchange, q, $.IsTrading)
    var isTransfer = false
    var isFirst = true
    var n = 0
    while(true) {
        if(exchange.IO("status")) {
            LogStatus(_D(), "已经连接！")
            if(isFirst) {
                isFirst = false 
                exchange.SetContractType("rb1905")
                exchange.SetDirection("buy")
                var ticker = exchange.GetTicker()
                exchange.Buy(ticker.Last + 10, 1)
                Log(exchange.GetPosition())
            }
            
            // 检测主力合约移仓
            t.process("rb888")
            
            // 模拟触发一次
            /*
            if(n == 20) {
                t.process("rb1905", "rb1910")   
            }
            */

            // 检测条件触发移仓
            /*
            var cmd = GetCommand()
            if(cmd) {
                isTransfer = true
            }
            if(isTransfer) {
                t.process("rb2010", "rb2101")
                isTransfer = false
            }
            */
        } else {
            LogStatus(_D(), "未连接！")
        }
        n++
        Sleep(1000)
    }
}
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