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2. 多品种对冲

多品种对冲

Author: 量价时空, Date: 2020-07-24 11:54:42
Tags:

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void main() {
    Sleep(10000);
   
    Log(exchange.GetAccount());
    auto t1=0;
    auto t2=0;
 
    auto x1=0;
    auto x2=0;
 
    while (1) {
         int chi1=0;
         int chi2=0;
   
        
         int pl1=0;
         int pl2=0;
     
        
         auto m1=0;
         auto m2=0;
    
         exchange.SetContractType(Symbol11);
         auto ticker1 = exchange.GetTicker();
         exchange.SetContractType(Symbol12);
         auto ticker2 = exchange.GetTicker();
         exchange.SetContractType(Symbol21);
         auto ticker3 = exchange.GetTicker();
         exchange.SetContractType(Symbol22);
         auto ticker4 = exchange.GetTicker();
   
    
      

   
        if (exchange.IO("status") == 1 && ticker1.Last > 500 && ticker2.Last >500  && ticker3.Last >500  && ticker4.Last >500) {
     
        
                            Sleep(1100);
            //判断持仓方向和位置
             auto time1 = UnixNano();
   
   
              auto position = exchange.GetPosition();
              if(position.size() > 0){
              for( int u=0; u < (int)position.size(); u++  ){
            
              if( position[position.size()-u].ContractType == Symbol11){
               chi1=1;
               pl1=position.size()-u;   
              }   
               if( position[position.size()-u].ContractType == Symbol21){
               chi2=1;
               pl2=position.size()-u;   
              }       
             
            }
            }else if( !(position.size() > 0)){
            chi1=-1;
            chi2=-1;    
         
            }
              if(chi1 != 1){ chi1=-1;}
              if(chi2 != 1){ chi2=-1;}
            

           
             exchange.SetContractType(Symbol11);
                   auto ticker11 = exchange.GetTicker();
                   exchange.SetContractType(Symbol12);
                   auto ticker21 = exchange.GetTicker();
                   int y1=(int)(ticker11.Last -ticker21.Last);  
                   int w1=((int)(y1-k1))/(int)v1;
                   int a11=(int)(ticker11.Buy -ticker21.Sell-k1)%(int)v1; 
                   int b11=(int)(ticker11.Buy -ticker21.Sell-k1)/(int)v1; 
                   int a21=(int)(ticker11.Sell -ticker21.Buy-k1)%(int)v1; 
                   int b21=(int)(ticker11.Sell -ticker21.Buy-k1)/(int)v1; 
                   if(b11<0){b11=-b11;}
                   if(b21<0){b21=-b21;}
                if(y1-k1 == 0){t1=0;}
                if(y1-k1 < 0){w1=-w1;
                 t1=-1;
                }else if(y1-k1 >0){ t1=1;}
                 if(chi1 == 1){            //1
            m1=position[pl1].Amount;
            }else{
                if(chi1 == -1){
                    
                     if (t1>0  &&  b11 >= 1 ) {
                    exchange.SetContractType(Symbol11);
                    exchange.SetDirection("sell");
                    exchange.Sell(ticker11.Last - 10, 1);
                    
                     exchange.SetContractType(Symbol12);
                    exchange.SetDirection("buy");
                   exchange.Buy(ticker21.Last + 10, 1);
                         continue;
                } else if (t1<0 && b21 >= 1  ) {
                    
                    exchange.SetContractType(Symbol11);
                    exchange.SetDirection("buy");
                    exchange.Buy(ticker11.Last + 10, 1);
                    
                    exchange.SetContractType(Symbol12);
                    exchange.SetDirection("sell");
                    exchange.Sell(ticker21.Last - 10, 1);
                         continue;
            }}}
             if(chi1 == 1){
                      if(position[pl1].ContractType == Symbol11 ){
            if(position[pl1].Type == 0 || position[pl1].Type == 2){
            x1=1;
            }else if(position[pl1].Type == 1 || position[pl1].Type == 3){
            x1=-1; 
            }
            }}
             
             if(chi1 == 1){
            if(( ticker11.Sell -ticker21.Buy-k1) <= 0 &&  x1 < 0){
                     if(position[pl1].Type < 2){
                        exchange.SetContractType(Symbol11);
                        exchange.SetDirection("closesell_today");
                        auto id1=exchange.Buy(ticker11.Last + 10, 1);
                      
                        exchange.SetContractType(Symbol12);
                        exchange.SetDirection("closebuy_today");
                        auto id2=exchange.Sell(ticker21.Last - 10, 1);
                         continue;
                     }
                     if(position[pl1].Type > 1){
                        exchange.SetContractType(Symbol11);
                        exchange.SetDirection("closesell");
                        exchange.Buy(ticker11.Last + 10, 1);
                      
                        exchange.SetContractType(Symbol12);
                        exchange.SetDirection("closebuy");
                        exchange.Sell(ticker21.Last - 10, 1);
                         continue;
                     }

            }else if(( ticker11.Buy -ticker21.Sell-k1) >= 0 &&  x1 > 0){
                if(position[pl1].Type < 2){
                       exchange.SetContractType(Symbol12);
                        exchange.SetDirection("closesell_today");
                        auto id1=exchange.Buy(ticker21.Last + 10, 1);
                      
                        exchange.SetContractType(Symbol11);
                        exchange.SetDirection("closebuy_today");
                        auto id2=exchange.Sell(ticker11.Last - 10, 1);
                    continue;
                }
                     if(position[pl1].Type > 1){
                        exchange.SetContractType(Symbol12);
                        exchange.SetDirection("closesell");
                        exchange.Buy(ticker21.Last + 10, 1);
                      
                        exchange.SetContractType(Symbol11);
                        exchange.SetDirection("closebuy");
                        exchange.Sell(ticker11.Last - 10, 1);
                         continue;
                     } 
            
            
            
            
            
            }
             }
          
                //开平仓1
            if (m1>w1 && chi1 == 1 && m1 > 1) {   //1
                    if(  x1 > 0 && t1 < 0 && ((a11==0 && m1 > b11) || m1 > b11+1) ){
                        if(position[pl1].Type < 2 ){
                        exchange.SetContractType(Symbol12);
                        exchange.SetDirection("closesell_today");
                        auto id1=exchange.Buy(ticker21.Last + 10, 1);
                      
                        exchange.SetContractType(Symbol11);
                        exchange.SetDirection("closebuy_today");
                        auto id2=exchange.Sell(ticker11.Last - 10, 1);
                            continue;
                        }
                     if(position[pl1].Type > 1){
                        exchange.SetContractType(Symbol12);
                        exchange.SetDirection("closesell");
                        exchange.Buy(ticker21.Last + 10, 1);
                      
                        exchange.SetContractType(Symbol11);
                        exchange.SetDirection("closebuy");
                        exchange.Sell(ticker11.Last - 10, 1);
                         continue;
                     } 
                        
                       }

                  if(   x1 < 0 && t1 > 0 && ((a21==0 && m1 > b21) || m1 > b21+1) ){
                        if(position[pl1].Type < 2){
                        exchange.SetContractType(Symbol11);
                        exchange.SetDirection("closesell_today");
                        auto id1=exchange.Buy(ticker11.Last + 10, 1);
                      
                        exchange.SetContractType(Symbol12);
                        exchange.SetDirection("closebuy_today");
                        auto id2=exchange.Sell(ticker21.Last - 10, 1);
                           continue;
                       }
                     if(position[pl1].Type > 1){
                        exchange.SetContractType(Symbol11);
                        exchange.SetDirection("closesell");
                        exchange.Buy(ticker11.Last + 10, 1);
                      
                        exchange.SetContractType(Symbol12);
                        exchange.SetDirection("closebuy");
                        exchange.Sell(ticker21.Last - 10, 1);
                         continue;
                     }
                      
                        } 
            } else if( w1>m1 && chi1 == 1 ) {
                exchange.SetContractType(Symbol11);
                 auto ticker11 = exchange.GetTicker();
                 exchange.SetContractType(Symbol12);
                 auto ticker21 = exchange.GetTicker();
                 int b11=(int)(ticker11.Buy -ticker21.Sell-k1)/(int)v1; 
                 int b21=(int)(ticker11.Sell -ticker21.Buy-k1)/(int)v1; 
                 if(b11<0){b11=-b11;}
                 if(b21<0){b21=-b21;}
                if (t1>0 &&  b11 > m1) {
                    
                    exchange.SetContractType(Symbol11);
                    exchange.SetDirection("sell");
                    exchange.Sell(ticker11.Last - 10, 1);
                    
                     exchange.SetContractType(Symbol12);
                    exchange.SetDirection("buy");
                   exchange.Buy(ticker21.Last + 10, 1);
                   continue;
                   
                } else if (t1<0 && b21 >m1) {
                    
                    exchange.SetContractType(Symbol11);
                    exchange.SetDirection("buy");
                    exchange.Buy(ticker11.Last + 10, 1);
                    
                    exchange.SetContractType(Symbol12);
                    exchange.SetDirection("sell");
                    exchange.Sell(ticker21.Last - 10, 1);
                    continue;
                    
                }
            }
            
                     auto time2 = UnixNano();
                             
            
                       auto time3 = UnixNano();
            
                   exchange.SetContractType(Symbol21);
                   auto ticker12 = exchange.GetTicker();
                   exchange.SetContractType(Symbol22);
                   auto ticker22 = exchange.GetTicker();
                   int y2=(int)(ticker12.Last -ticker22.Last);  
                   int w2=((int)(y2-k2))/(int)v2;
                   int a12=(int)(ticker12.Buy -ticker22.Sell-k2)%(int)v2; 
                   int b12=(int)(ticker12.Buy -ticker22.Sell-k2)/(int)v2; 
                   int a22=(int)(ticker12.Sell -ticker22.Buy-k2)%(int)v2; 
                   int b22=(int)(ticker12.Sell -ticker22.Buy-k2)/(int)v2; 
                   if(b12<0){b12=-b12;}
                   if(b22<0){b22=-b22;}
                   if(y2-k2 == 0){t2=0;}
                   if(y2-k2 < 0){w2=-w2;
                      t2=-1;
                    }else if(y2-k2 >0){ t2=1;} 
                    if(chi2 == 1){        //2
            m2=position[pl2].Amount;
            }else{
            
                if(chi2 == -1){
                     if (t2>0  &&  b12 >= 1 ) {
                    exchange.SetContractType(Symbol21);
                    exchange.SetDirection("sell");
                    exchange.Sell(ticker12.Last - 10, 1);
                    
                     exchange.SetContractType(Symbol22);
                    exchange.SetDirection("buy");
                   exchange.Buy(ticker22.Last + 10, 1);
                         continue;
                        
                } else if (t2<0 && b22 >= 1  ) {
                    
                    exchange.SetContractType(Symbol21);
                    exchange.SetDirection("buy");
                    exchange.Buy(ticker12.Last + 10, 1);
                    
                    exchange.SetContractType(Symbol22);
                    exchange.SetDirection("sell");
                    exchange.Sell(ticker22.Last - 10, 1);
                         continue;
                         
            }}}
             if(chi2 == 1){
                    if(position[pl2].ContractType == Symbol21 ){
            if(position[pl2].Type == 0 || position[pl2].Type == 2){
            x2=1;
            }else if(position[pl2].Type == 1 || position[pl2].Type == 3){
            x2=-1; 
            }
            }}
            
            if(chi2 == 1){
            if((ticker12.Sell -ticker22.Buy-k2) <= 0 &&  x2 < 0){
                
                if(position[pl2].Type < 2){
                        exchange.SetContractType(Symbol21);
                        exchange.SetDirection("closesell_today");
                        auto id1=exchange.Buy(ticker12.Last + 10, 1);
                      
                        exchange.SetContractType(Symbol22);
                        exchange.SetDirection("closebuy_today");
                        auto id2=exchange.Sell(ticker22.Last - 10, 1);
                    continue;
                }
                        
                     if(position[pl2].Type > 1){
                        exchange.SetContractType(Symbol21);
                        exchange.SetDirection("closesell");
                        exchange.Buy(ticker12.Last + 10, 1);
                      
                        exchange.SetContractType(Symbol22);
                        exchange.SetDirection("closebuy");
                        exchange.Sell(ticker22.Last - 10, 1);
                         continue;
                     }
                
                
                
            }else if((ticker12.Buy -ticker22.Sell-k2) >= 0 &&  x2 > 0){
                if(position[pl2].Type < 2){
                     exchange.SetContractType(Symbol22);
                        exchange.SetDirection("closesell_today");
                        auto id1=exchange.Buy(ticker22.Last+ 10, 1);
                      
                        exchange.SetContractType(Symbol21);
                        exchange.SetDirection("closebuy_today");
                        auto id2=exchange.Sell(ticker12.Last - 10, 1);
                        continue;
                }
                     if(position[pl2].Type > 1){
                        exchange.SetContractType(Symbol22);
                        exchange.SetDirection("closesell");
                        exchange.Buy(ticker22.Last + 10, 1);
                      
                        exchange.SetContractType(Symbol21);
                        exchange.SetDirection("closebuy");
                        exchange.Sell(ticker12.Last - 10, 1);
                         continue;
                     } 
            
            
            
            
            }
            
            
            }
            
            
            
               //开平仓2
             if (m2>w2 &&  chi2 == 1 && m2 > 1) {   //2
                    if( x2 > 0 && t2 < 0 && ((a12==0 && m1 > b12) || m2 > b12+1) ){
                        if(position[pl2].Type < 2){
                         exchange.SetContractType(Symbol22);
                        exchange.SetDirection("closesell_today");
                        auto id1=exchange.Buy(ticker22.Last+ 10, 1);
                      
                        exchange.SetContractType(Symbol21);
                        exchange.SetDirection("closebuy_today");
                        auto id2=exchange.Sell(ticker12.Last - 10, 1);
                            continue;
                        }
                     if(position[pl2].Type > 1){
                        exchange.SetContractType(Symbol22);
                        exchange.SetDirection("closesell");
                        exchange.Buy(ticker22.Last + 10, 1);
                      
                        exchange.SetContractType(Symbol21);
                        exchange.SetDirection("closebuy");
                        exchange.Sell(ticker12.Last - 10, 1);
                         continue;
                     } 

                       }

                  if( x2 < 0 && t2 > 0 && ((a22==0 && m2 > b22) || m2 > b22+1) ){
                       if(position[pl2].Type <2){
                      exchange.SetContractType(Symbol21);
                        exchange.SetDirection("closesell_today");
                        auto id1=exchange.Buy(ticker12.Last+ 10, 1);
                      
                        exchange.SetContractType(Symbol22);
                        exchange.SetDirection("closebuy_today");
                        auto id2=exchange.Sell(ticker22.Last - 10, 1);
                           continue;
                       }
                     if(position[pl2].Type > 1){
                        exchange.SetContractType(Symbol21);
                        exchange.SetDirection("closesell");
                        exchange.Buy(ticker12.Last + 10, 1);
                      
                        exchange.SetContractType(Symbol22);
                        exchange.SetDirection("closebuy");
                        exchange.Sell(ticker22.Last - 10, 1);
                         continue;
                     }
                     
                        } 
            } else if( w2>m2 && chi2 == 1 ) {
                exchange.SetContractType(Symbol21);
                 auto ticker12 = exchange.GetTicker();
                 exchange.SetContractType(Symbol22);
                 auto ticker22 = exchange.GetTicker();
                 int b12=(int)(ticker12.Buy -ticker22.Sell-k2)/(int)v2; 
                 int b22=(int)(ticker12.Sell -ticker22.Buy-k2)/(int)v2; 
                 if(b12<0){b12=-b12;}
                 if(b22<0){b22=-b22;}
                if (t2>0 &&  b12 > m2) {
                    
                    exchange.SetContractType(Symbol21);
                    exchange.SetDirection("sell");
                    exchange.Sell(ticker12.Last - 10, 1);
                    
                     exchange.SetContractType(Symbol22);
                    exchange.SetDirection("buy");
                   exchange.Buy(ticker22.Last + 10, 1);
                   continue;
                   
                } else if (t2<0 && b22 >m2) {
                    
                    exchange.SetContractType(Symbol21);
                    exchange.SetDirection("buy");
                    exchange.Buy(ticker12.Last + 10, 1);
                    
                    exchange.SetContractType(Symbol22);
                    exchange.SetDirection("sell");
                    exchange.Sell(ticker22.Last - 10, 1);
                  continue;
                }
            }
             auto time4 = UnixNano();
            
             Log("第一段时间：   " ,(time2-time1)/1000000,"/第二段时间：",(time4-time3)/1000000);
            Log("chi1=",chi1,"/ chi2=",chi2," /m1=",m1,"/ m2=",m2 ,"/ w1=",w1," /w2=",w2," /t1=",t1," /t2=",t2," /a11=" ,a11," /a21=",a21," /b12=",b12,"/ b22=",b22 );
            if(chi1 == 1){
            Log("position[pl1].Type=",position[pl1].Type,"/position[pl1].ContractType= " ,position[pl1].ContractType);    
            }
            if(chi2 == 1){
              Log("position[pl2].Type=",position[pl2].Type,"/position[pl2].ContractType= " ,position[pl2].ContractType);
            }
           //  Log(m1);
        } else {
            LogStatus(_D(), "未连接CTP ！");
            Sleep(1000);
        }
      
    }
}

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