private void BuyOrSell(ThostFtdcDepthMarketDataField data)
{
try
{
var instrumentId = data.InstrumentID;
var dateTime = Convert.ToDateTime(data.UpdateTime);
var currentSwing = (data.HighestPrice - data.LowestPrice) / data.PreClosePrice;
if (dateTime.Hour == 14 && dateTime.Minute == 59 && dateTime.Second >= 50)
{
var bProcessed = false;
Utils.WriteLine(string.Format("当前价:{0}，前收价:{1}，开盘价:{2}，最高价:{3}，最低价:{4}", data.LastPrice, data.PreClosePrice, data.OpenPrice, data.HighestPrice, data.LowestPrice), true);
if (data.LastPrice < data.PreClosePrice && data.LastPrice < data.OpenPrice && _trader.ContainsPositionByInstrument(instrumentId, EnumPosiDirectionType.Long) && data.LastPrice < data.LowestPrice * 1.01)
{
_trader.CloseLongPositionByInstrument(data.InstrumentID, "平多", false, 0);
Thread.Sleep(2000);
}
if (data.LastPrice > data.PreClosePrice && data.LastPrice > data.OpenPrice && _trader.ContainsPositionByInstrument(instrumentId, EnumPosiDirectionType.Short) && data.LastPrice > data.HighestPrice * 0.99)
{
_trader.CloseShortPositionByInstrument(data.InstrumentID, "平空", false, 9999);
Thread.Sleep(2000);
}
if (data.LastPrice / data.OpenPrice > 1.0095 && data.LastPrice > data.HighestPrice * 0.99)
{
var reason = string.Format("{0}收盘看多信号，开多", instrumentId);
if (noOpening)
{
noOpening = false;
_trader.OpenLongPositionByInstrument(instrumentId, reason, 0, true, true, 0, data.UpperLimitPrice);
bProcessed = true;
noOpening = true;
}
else
{
Utils.WriteLine("正在开仓", true);
}
}
if (data.LastPrice / data.OpenPrice < 0.9905 && data.LastPrice < data.LowestPrice * 1.01)
{
var reason = string.Format("{0}收盘看空信号，开空", instrumentId);
if (noOpening)
{
_trader.OpenShortPositionByInstrument(instrumentId, reason, 9999, true, true, 0, data.LowerLimitPrice);
bProcessed = true;
noOpening = true;
}
else
{
Utils.WriteLine("正在开仓", true);
}
}
if (bProcessed)
{
_timerOrder.Stop();
}
}
else
{
var highestPriceFile = Utils.AssemblyPath + "highestPrice.ini";
if (_trader.ContainsPositionByInstrument(instrumentId, EnumPosiDirectionType.Long))
{
//读取持仓高点
var highestPrice = data.HighestPrice;
if (File.Exists(highestPriceFile))
{
bool store = false;
var sr = new StreamReader(highestPriceFile, Encoding.UTF8);
var line = sr.ReadLine();
if (line != null)
{
var storedPrice = Convert.ToDouble(line);
if (storedPrice < highestPrice)
{
store = true;
}
else
{
highestPrice = storedPrice;
}
}
sr.Close();
if (store)
{
Utils.StorePrice(highestPriceFile, highestPrice);
}
}
else
{
Utils.StorePrice(highestPriceFile, data.HighestPrice);
}
if (data.LastPrice / highestPrice < 0.982 && currentSwing > 0.02)
{
_trader.CloseLongPositionByInstrument(data.InstrumentID, "最高价回落,平多", false, 0);
}
if (data.LastPrice / data.OpenPrice < 0.982)
{
_trader.CloseLongPositionByInstrument(data.InstrumentID, "平多", false, 0);
}
}
else
{
Utils.DeleteStorePrice(highestPriceFile);
}
var lowestPriceFile = Utils.AssemblyPath + "lowestPrice.ini";
if (_trader.ContainsPositionByInstrument(instrumentId, EnumPosiDirectionType.Short))
{
//读取持仓低点
var lowestPrice = data.LowestPrice;
if (File.Exists(lowestPriceFile))
{
bool store = false;
var sr = new StreamReader(lowestPriceFile, Encoding.UTF8);
var line = sr.ReadLine();
if (line != null)
{
var storedPrice = Convert.ToDouble(line);
if (storedPrice > lowestPrice)
{
store = true;
}
else
{
lowestPrice = storedPrice;
}
}
sr.Close();
if (store)
{
Utils.StorePrice(lowestPriceFile, lowestPrice);
}
}
else
{
Utils.StorePrice(lowestPriceFile, data.LowestPrice);
}
if (data.LastPrice / data.LowestPrice > 1.018 && currentSwing > 0.02)
{
_trader.CloseShortPositionByInstrument(data.InstrumentID, "最低价上涨,平空", false, 9999);
}
if (data.LastPrice / data.OpenPrice > 1.018)
{
_trader.CloseShortPositionByInstrument(data.InstrumentID, "平空", false, 9999);
}
}
else
{
Utils.DeleteStorePrice(lowestPriceFile);
}
if (data.LastPrice / data.OpenPrice > 1.015 && data.LastPrice > data.HighestPrice * 0.99)
{
var reason = string.Format("{0}盘中看多信号，开多", instrumentId);
if (noOpening)
{
noOpening = false;
_trader.OpenLongPositionByInstrument(instrumentId, reason, 0, true, true, 0, data.UpperLimitPrice);
noOpening = true;
}
else
{
Utils.WriteLine("正在开仓", true);
}
}
if (data.LastPrice / data.OpenPrice < 0.985 && data.LastPrice < data.LowestPrice * 1.01)
{
var reason = string.Format("{0}盘中看空信号，开空", instrumentId);
if (noOpening)
{
noOpening = false;
_trader.OpenShortPositionByInstrument(instrumentId, reason, 9999, true, true, 0, data.LowerLimitPrice);
noOpening = true;
}
else
{
Utils.WriteLine("正在开仓", true);
}
}
}
}
catch (Exception ex)
{
Utils.WriteException(ex);
}
}
private void BuyOrSell(ThostFtdcDepthMarketDataField data)
{
try
{
if (Utils.InstrumentToStopLossPrices.ContainsKey(data.InstrumentID))
{
var stopLossPrices = Utils.InstrumentToStopLossPrices[data.InstrumentID];
var stopLossValue = Utils.绝对止损点数;
//多仓止损
if (data.LastPrice < stopLossPrices.CostLong - stopLossValue)
{
var reason = string.Format("{0}从多仓的成本价{1}跌到了绝对止损值{2}以下，即{3}，平掉多仓", data.InstrumentID,
stopLossPrices.CostLong, stopLossValue, data.LastPrice);
_trader.CloseLongPositionByInstrument(data.InstrumentID, reason, false, 0);
}
//空仓止损
if (data.LastPrice > stopLossPrices.CostShort + stopLossValue)
{
var reason = string.Format("{0}从空仓的成本价{1}涨到了绝对止损值{2}以上，即{3}，平掉空仓", data.InstrumentID,
stopLossPrices.CostShort, stopLossValue, data.LastPrice);
_trader.CloseShortPositionByInstrument(data.InstrumentID, reason, false, 99999);
}
var longDistance = stopLossPrices.ForLong - stopLossPrices.CostLong;
var currentLongDistance = data.LastPrice - stopLossPrices.CostLong;
var movingStopLossValueForLong = longDistance * 0.5;
//多仓止损
if (longDistance > 10 && longDistance <= 20 && data.LastPrice < stopLossPrices.ForLong - movingStopLossValueForLong)
{
var reason = string.Format("{0}从多仓的最高盈利价{1}跌到了移动止损价{2}以下，即{3}，平掉多仓", data.InstrumentID,
stopLossPrices.ForLong, stopLossPrices.ForLong - movingStopLossValueForLong, data.LastPrice);
_trader.CloseLongPositionByInstrument(data.InstrumentID, reason, false, 0);
}
else
{
if (longDistance > 20 && currentLongDistance < 10)
{
_trader.CloseLongPositionByInstrument(data.InstrumentID, "移动止损，平掉多仓", false, 0);
}
}
var shortDistance = stopLossPrices.CostShort - stopLossPrices.ForShort;
var currentShortDistance = stopLossPrices.CostShort - data.LastPrice;
var movingStopLossValueForShort = shortDistance * 0.5;
//空仓止损
if (shortDistance > 10 && shortDistance <= 20 && data.LastPrice > stopLossPrices.ForShort + movingStopLossValueForShort)
{
var reason = string.Format("{0}从空仓的最高盈利价{1}涨到了移动止损价{2}以上，即{3}，平掉空仓", data.InstrumentID,
stopLossPrices.ForShort, stopLossPrices.ForShort + movingStopLossValueForShort, data.LastPrice);
_trader.CloseShortPositionByInstrument(data.InstrumentID, reason, false, 99999);
}
else
{
if (shortDistance > 20 && currentShortDistance < 10)
{
_trader.CloseShortPositionByInstrument(data.InstrumentID, "移动止损，平掉空仓", false, 99999);
}
}
if (stopLossPrices.ForLong - stopLossPrices.CostLong >= 20)
{
_trader.CloseLongPositionByInstrument(data.InstrumentID, "多仓止盈", false, 0);
}
if (stopLossPrices.CostShort - stopLossPrices.ForShort >= 20)
{
_trader.CloseShortPositionByInstrument(data.InstrumentID, "空仓止盈", false, 99999);
}
var stop = Utils.立即平仓点数;
if (data.LastPrice - stopLossPrices.CostLong >= stop)
{
_trader.CloseLongPositionByInstrument(data.InstrumentID, "立即平多仓", false, stopLossPrices.CostLong + Utils.立即平仓点数);
}
if (stopLossPrices.CostShort - data.LastPrice >= stop)
{
_trader.CloseShortPositionByInstrument(data.InstrumentID, "立即平空仓", false, stopLossPrices.CostShort - Utils.立即平仓点数);
}
}
}
catch (Exception ex)
{
Utils.WriteException(ex);
}
}
private void BuyOrSell(ThostFtdcDepthMarketDataField data)
{
if (!Utils.IsInInstrumentTradingTime(data.InstrumentID))
{
return;
}
try
{
if (Utils.InstrumentUpDownCount.ContainsKey(data.InstrumentID))
{
var countXX = Utils.InstrumentUpDownCount[data.InstrumentID];
//上涨信号出现，平空仓 开多仓
if (countXX.UpCount >= 3)
{
var reason = string.Format("{0}看多信号，平空", data.InstrumentID);
_trader.CloseShortPositionByInstrument(data.InstrumentID, reason);
//暂时不设置涨跌幅条件限制
//if ((data.LastPrice / data.PreClosePrice) > 0.98)
//{
reason = string.Format("{0}看多信号，开多", data.InstrumentID);
_trader.OpenLongPositionByInstrument(data.InstrumentID, reason, 0, true, true, 0);
//}
}
//下跌信号出现，平多仓 开空仓
if (countXX.DownCount >= 3)
{
var reason = string.Format("{0}看空信号，平多", data.InstrumentID);
_trader.CloseLongPositionByInstrument(data.InstrumentID, reason);
//if ((data.LastPrice / data.PreClosePrice) < 1.02)
//{
reason = string.Format("{0}看空信号，开空", data.InstrumentID);
_trader.OpenShortPositionByInstrument(data.InstrumentID, reason, 9999, true, true, 0);
//}
}
}
if (Utils.InstrumentToStopLossPrices.ContainsKey(data.InstrumentID))
{
var stopLossPrices = Utils.InstrumentToStopLossPrices[data.InstrumentID];
var stopLossValue = 10;
//多仓止损
if (data.LastPrice < stopLossPrices.CostLong - stopLossValue)
{
var reason = string.Format("{0}从多仓的成本价{1}跌到了绝对止损值{2}以下，即{3}，平掉多仓", data.InstrumentID,
stopLossPrices.CostLong, stopLossValue, data.LastPrice);
_trader.CloseLongPositionByInstrument(data.InstrumentID, reason);
}
//空仓止损
if (data.LastPrice > stopLossPrices.CostShort + stopLossValue)
{
var reason = string.Format("{0}从空仓的成本价{1}涨到了绝对止损值{2}以上，即{3}，平掉空仓", data.InstrumentID,
stopLossPrices.CostShort, stopLossValue, data.LastPrice);
_trader.CloseShortPositionByInstrument(data.InstrumentID, reason);
}
var longDistance = stopLossPrices.ForLong - stopLossPrices.CostLong;
var currentLongDistance = data.LastPrice - stopLossPrices.CostLong;
var movingStopLossValueForLong = longDistance * 0.5;
//多仓止损
if (longDistance > 10 && longDistance <= 20 && data.LastPrice < stopLossPrices.ForLong - movingStopLossValueForLong)
{
var reason = string.Format("{0}从多仓的最高盈利价{1}跌到了移动止损价{2}以下，即{3}，平掉多仓", data.InstrumentID,
stopLossPrices.ForLong, stopLossPrices.ForLong - movingStopLossValueForLong, data.LastPrice);
_trader.CloseLongPositionByInstrument(data.InstrumentID, reason);
}
else
{
if (longDistance > 20 && currentLongDistance < 10)
{
_trader.CloseLongPositionByInstrument(data.InstrumentID, "移动止损，平掉多仓");
}
}
var shortDistance = stopLossPrices.CostShort - stopLossPrices.ForShort;
var currentShortDistance = stopLossPrices.CostShort - data.LastPrice;
var movingStopLossValueForShort = shortDistance * 0.5;
//空仓止损
if (shortDistance > 10 && shortDistance <= 20 && data.LastPrice > stopLossPrices.ForShort + movingStopLossValueForShort)
{
var reason = string.Format("{0}从空仓的最高盈利价{1}涨到了移动止损价{2}以上，即{3}，平掉空仓", data.InstrumentID,
stopLossPrices.ForShort, stopLossPrices.ForShort + movingStopLossValueForShort, data.LastPrice);
_trader.CloseShortPositionByInstrument(data.InstrumentID, reason);
}
else
{
if (shortDistance > 20 && currentShortDistance < 10)
{
_trader.CloseShortPositionByInstrument(data.InstrumentID, "移动止损，平掉空仓");
}
}
if (stopLossPrices.ForLong - stopLossPrices.CostLong >= 20)
{
_trader.CloseLongPositionByInstrument(data.InstrumentID, "多仓止盈");
}
if (stopLossPrices.CostShort - stopLossPrices.ForShort >= 20)
{
_trader.CloseShortPositionByInstrument(data.InstrumentID, "空仓止盈");
}
}
}
catch (Exception ex)
{
Utils.WriteException(ex);
}
}
private void BuyOrSell(ThostFtdcDepthMarketDataField data)
{
try
{
#region 平仓策略
if (Utils.InstrumentToStopLossPrices.ContainsKey(data.InstrumentID))
{
var stopLossPrices = Utils.InstrumentToStopLossPrices[data.InstrumentID];
var stopLossValue = 2;
//多仓止损
if (data.LastPrice < stopLossPrices.CostLong - stopLossValue)
{
var reason = string.Format("{0}从多仓的成本价{1}跌到了绝对止损值{2}以下，即{3}，平掉多仓", data.InstrumentID,
stopLossPrices.CostLong, stopLossValue, data.LastPrice);
_trader.CloseLongPositionByInstrument(data.InstrumentID, reason);
}
//空仓止损
if (data.LastPrice > stopLossPrices.CostShort + stopLossValue)
{
var reason = string.Format("{0}从空仓的成本价{1}涨到了绝对止损值{2}以上，即{3}，平掉空仓", data.InstrumentID,
stopLossPrices.CostShort, stopLossValue, data.LastPrice);
_trader.CloseShortPositionByInstrument(data.InstrumentID, reason);
}
var minuteByMinute = Utils.InstrumentToMinuteByMinuteChart[data.InstrumentID];
Tuple <bool, double, double> isPointingUpMinuteLong2 = new Tuple <bool, double, double>(false, 0, 0);
Tuple <bool, double, double> isPointingDownMinuteLong2 = new Tuple <bool, double, double>(false, 0, 0);
Tuple <bool, double, double> isPointingUpMinuteHalf = new Tuple <bool, double, double>(false, 0, 0);
Tuple <bool, double, double> isPointingDownMinuteHalf = new Tuple <bool, double, double>(false, 0, 0);
if (minuteByMinute.Count >= Utils.MinuteByMinuteSizeLong)
{
var sizeHalf = Utils.MinuteByMinuteSizeLong / 2;
var count = minuteByMinute.Count;
var minuteByMinuteQuotesLong = new List <double>();
for (var i = count - Utils.MinuteByMinuteSizeLong; i < count; i++)
{
if (minuteByMinute[i] != null)
{
minuteByMinuteQuotesLong.Add(minuteByMinute[i].Item2.LastPrice);
}
}
var minuteByMinuteQuotesHalf = new List <double>();
for (var i = count - sizeHalf; i < count; i++)
{
if (minuteByMinute[i] != null)
{
minuteByMinuteQuotesHalf.Add(minuteByMinute[i].Item2.LastPrice);
}
}
isPointingUpMinuteLong2 = MathUtils.IsPointingUp(Utils.MinuteLongXData,
minuteByMinuteQuotesLong, MathUtils.Slope2);
isPointingDownMinuteLong2 = MathUtils.IsPointingDown(Utils.MinuteLongXData,
minuteByMinuteQuotesLong, MathUtils.Slope2);
Utils.WriteLine(string.Format("检查当前长角度{0}", isPointingUpMinuteLong2.Item3));
var minuteHalfXData = new List <double>();
for (var i = 0; i < sizeHalf; i++)
{
minuteHalfXData.Add(i);
}
isPointingUpMinuteHalf = MathUtils.IsPointingUp(minuteHalfXData, minuteByMinuteQuotesHalf,
MathUtils.Slope2);
isPointingDownMinuteHalf = MathUtils.IsPointingDown(minuteHalfXData, minuteByMinuteQuotesHalf,
MathUtils.Slope2);
Utils.WriteLine(string.Format("检查当前短角度{0}", isPointingUpMinuteHalf.Item3));
}
double openTrendStartPoint = 0;
//从多仓的最高盈利跌了一定幅度，平掉多仓，保护盈利，忽略掉小波动
if (stopLossPrices.CostLong > 0 && stopLossPrices.ForLong > stopLossPrices.CostLong &&
stopLossPrices.ForLong > data.LastPrice)
{
var keyLongPosition = Utils.GetOpenTrendStartPointKey(data.InstrumentID,
EnumPosiDirectionType.Long);
if (Utils.InstrumentToOpenTrendStartPoint.ContainsKey(keyLongPosition))
{
openTrendStartPoint = Utils.InstrumentToOpenTrendStartPoint[keyLongPosition];
}
var highestDistance = stopLossPrices.ForLong - stopLossPrices.CostLong;
var currentDistance = data.LastPrice - stopLossPrices.CostLong;
var keyLongAngle = Utils.GetOpenPositionKey(data.InstrumentID, EnumDirectionType.Buy);
//double limitAngle = 0;
//if (Utils.InstrumentToOpenAngle.ContainsKey(keyLongAngle))
//{
// limitAngle = Utils.InstrumentToOpenAngle[keyLongAngle];
//}
if (currentDistance >= 2 && isPointingUpMinuteLong2.Item3 < MathUtils.Slope2)
{
var reason = string.Format("{0}的多仓开仓角度开始减小，平掉多仓，当前角{1}，界限角{2}", data.InstrumentID, isPointingUpMinuteLong2.Item3, MathUtils.Slope2);
_trader.CloseLongPositionByInstrument(data.InstrumentID, reason);
}
//if (isPointingUpMinuteLong2.Item3 > limitAngle)
//{
// Utils.InstrumentToOpenAngle[keyLongAngle] = limitAngle;
//}
if (highestDistance >= 5 && isPointingUpMinuteHalf.Item3 < MathUtils.Slope2 / 2)
{
_trader.CloseLongPositionByInstrument(data.InstrumentID, "多仓止盈");
Thread.Sleep(2000);
Utils.WriteLine("盈利目标达到，退出...", true);
Email.SendMail("盈利目标达到，退出...", DateTime.Now.ToString(CultureInfo.InvariantCulture));
Utils.Exit(_trader);
}
}
//从空仓的最高盈利跌了一半，平掉空仓，保护盈利，忽略掉小波动
if (stopLossPrices.CostShort > 0 && stopLossPrices.ForShort < stopLossPrices.CostShort &&
stopLossPrices.ForShort < data.LastPrice)
{
var keyShortPosition = Utils.GetOpenTrendStartPointKey(data.InstrumentID,
EnumPosiDirectionType.Short);
if (Utils.InstrumentToOpenTrendStartPoint.ContainsKey(keyShortPosition))
{
openTrendStartPoint = Utils.InstrumentToOpenTrendStartPoint[keyShortPosition];
}
var highestDistance = stopLossPrices.CostShort - stopLossPrices.ForShort;
var currentDistance = stopLossPrices.CostShort - data.LastPrice;
var keyShortAngle = Utils.GetOpenPositionKey(data.InstrumentID, EnumDirectionType.Sell);
//double limitAngle = 0;
//if (Utils.InstrumentToOpenAngle.ContainsKey(keyShortAngle))
//{
// limitAngle = Utils.InstrumentToOpenAngle[keyShortAngle];
//}
if (currentDistance >= 2 && isPointingDownMinuteLong2.Item3 > -MathUtils.Slope2)
{
var reason = string.Format("{0}的空仓开仓角度开始减小，平掉空仓，当前角{1}，界限角{2}", data.InstrumentID, isPointingDownMinuteLong2.Item3, -MathUtils.Slope2);
_trader.CloseShortPositionByInstrument(data.InstrumentID, reason);
}
//if (isPointingDownMinuteLong2.Item3 < limitAngle)
//{
// Utils.InstrumentToOpenAngle[keyShortAngle] = limitAngle;
//}
if (highestDistance >= 5 && isPointingDownMinuteHalf.Item3 > -MathUtils.Slope2 / 2)
{
_trader.CloseShortPositionByInstrument(data.InstrumentID, "空仓止盈");
Thread.Sleep(2000);
Utils.WriteLine("盈利目标达到，退出...", true);
Email.SendMail("盈利目标达到，退出...", DateTime.Now.ToString(CultureInfo.InvariantCulture));
Utils.Exit(_trader);
}
}
}
//接近涨停价，平掉空仓
var upperLimitRange = (data.UpperLimitPrice + data.LowerLimitPrice) / 2;
var lowerLimitRange = upperLimitRange;
if (data.LastPrice > data.PreSettlementPrice + upperLimitRange * Utils.LimitCloseRange)
{
var reason = string.Format("{0}最新价{1}上涨到了涨停价{2}的{3}以上，平掉空仓", data.InstrumentID, data.LastPrice,
data.UpperLimitPrice, Utils.LimitCloseRange);
_trader.CloseShortPositionByInstrument(data.InstrumentID, reason);
}
//接近跌停价，平掉多仓
if (data.LastPrice < data.PreSettlementPrice - lowerLimitRange * Utils.LimitCloseRange)
{
var reason = string.Format("{0}最新价{1}下跌到了跌停价{2}的{3}以下，平掉多仓", data.InstrumentID, data.LastPrice,
data.LowerLimitPrice, Utils.LimitCloseRange);
_trader.CloseLongPositionByInstrument(data.InstrumentID, reason);
}
#endregion
#region 开仓策略
if (Utils.InstrumentToMinuteByMinuteChart.ContainsKey(data.InstrumentID))
{
lock (Utils.Locker2)
{
OpenStrategy(data, false);
}
}
#endregion
}
catch (Exception ex)
{
Utils.WriteException(ex);
}
}
private void CheckOpenOrClose()
{
try
{
if (Utils.InstrumentToLastTick.ContainsKey(Utils.A1) && Utils.InstrumentToLastTick.ContainsKey(Utils.A2) && Utils.IsInInstrumentTradingTime(Utils.A1) && Utils.IsInInstrumentTradingTime(Utils.A2))
{
var A1LastTick = Utils.InstrumentToLastTick[Utils.A1];
var A2LastTick = Utils.InstrumentToLastTick[Utils.A2];
var a1 = Utils.InstrumentToLastTick[Utils.A1].LastPrice;
var a2 = Utils.InstrumentToLastTick[Utils.A2].LastPrice;
var currentPriceDiff = a1 - a2;
if (currentPriceDiff < lowestPriceDiff)
{
lowestPriceDiff = currentPriceDiff;
}
if (currentPriceDiff > highestPriceDiff)
{
highestPriceDiff = currentPriceDiff;
}
if (priceDiffToCount.ContainsKey(currentPriceDiff))
{
priceDiffToCount[currentPriceDiff]++;
}
else
{
priceDiffToCount[currentPriceDiff] = 1;
}
double total = 0;
double count = 0;
foreach (var kv in priceDiffToCount)
{
total += kv.Key * kv.Value;
count += kv.Value;
}
averagePriceDiff = total / count;
Utils.WriteLine(string.Format("价差:{0:N2} - {1:N2} = {2:N2}, 平均价差:{3:N2}, 最低最高价差:{4:N2}, {5:N2}", a1, a2, currentPriceDiff, averagePriceDiff, lowestPriceDiff, highestPriceDiff), true);
if (a1 - a2 >= Utils.价差上限) //卖a1买a2
{
if (!_trader.ContainsPositionByInstrument(Utils.A1, EnumPosiDirectionType.Short))
{
_trader.ReqOrderInsert(Utils.A1, EnumDirectionType.Sell, A1LastTick.LowerLimitPrice, Utils.OpenVolumePerTime, EnumOffsetFlagType.Open, EnumTimeConditionType.GFD, EnumVolumeConditionType.AV, "卖a1");
_trader.ReqOrderInsert(Utils.A2, EnumDirectionType.Buy, A2LastTick.UpperLimitPrice, Utils.OpenVolumePerTime, EnumOffsetFlagType.Open, EnumTimeConditionType.GFD, EnumVolumeConditionType.AV, "买a2");
}
}
if (a1 - a2 <= Utils.价差下限) //买a1卖a2
{
if (!_trader.ContainsPositionByInstrument(Utils.A1, EnumPosiDirectionType.Long))
{
_trader.ReqOrderInsert(Utils.A1, EnumDirectionType.Buy, A1LastTick.UpperLimitPrice, Utils.OpenVolumePerTime, EnumOffsetFlagType.Open, EnumTimeConditionType.GFD, EnumVolumeConditionType.AV, "买a1");
_trader.ReqOrderInsert(Utils.A2, EnumDirectionType.Sell, A2LastTick.LowerLimitPrice, Utils.OpenVolumePerTime, EnumOffsetFlagType.Open, EnumTimeConditionType.GFD, EnumVolumeConditionType.AV, "卖a2");
}
}
if (a1 - a2 <= Utils.价差上限 - 12) //平a2多a1空
{
if (_trader.ContainsPositionByInstrument(Utils.A2, EnumPosiDirectionType.Long))
{
_trader.CloseLongPositionByInstrument(Utils.A2, "平a2多", false, 0);
_trader.CloseShortPositionByInstrument(Utils.A1, "平a1空", false, 9999);
}
}
if (a1 - a2 >= Utils.价差下限 + 12) //平a1多a2空
{
if (_trader.ContainsPositionByInstrument(Utils.A1, EnumPosiDirectionType.Long))
{
_trader.CloseLongPositionByInstrument(Utils.A1, "平a1多", false, 0);
_trader.CloseShortPositionByInstrument(Utils.A2, "平a2空", false, 9999);
}
}
}
}
catch (Exception ex)
{
Utils.WriteException(ex);
}
}
private void BuyOrSell(ThostFtdcDepthMarketDataField data)
{
try
{
#region 平仓策略
if (Utils.InstrumentToStopLossPrices.ContainsKey(data.InstrumentID))
{
var stopLossPrices = Utils.InstrumentToStopLossPrices[data.InstrumentID];
//var directions = MinuteAllDirection(data.InstrumentID);
//if (directions.Item1)//大趋势向上，平空仓
//{
// _trader.CloseShortPositionByInstrument(data.InstrumentID, "大趋势向上，平掉空仓");
//}
//if (directions.Item2)//大趋势向下，平多仓
//{
// _trader.CloseLongPositionByInstrument(data.InstrumentID, "大趋势向下，平掉多仓");
//}
var stopLossValue = data.LastPrice * Utils.SwingLimit * 2;
//多仓止损
if (data.LastPrice < stopLossPrices.CostLong - stopLossValue)
{
var reason = string.Format("{0}从多仓的成本价{1}跌到了绝对止损值{2}以下，即{3}，平掉多仓", data.InstrumentID,
stopLossPrices.CostLong, stopLossValue, data.LastPrice);
_trader.CloseLongPositionByInstrument(data.InstrumentID, reason);
}
//空仓止损
if (data.LastPrice > stopLossPrices.CostShort + stopLossValue)
{
var reason = string.Format("{0}从空仓的成本价{1}涨到了绝对止损值{2}以上，即{3}，平掉空仓", data.InstrumentID,
stopLossPrices.CostShort, stopLossValue, data.LastPrice);
_trader.CloseShortPositionByInstrument(data.InstrumentID, reason);
}
double openTrendStartPoint = 0;
//从多仓的最高盈利跌了一定幅度，平掉多仓，保护盈利，忽略掉小波动
if (stopLossPrices.CostLong > 0 && stopLossPrices.ForLong > stopLossPrices.CostLong &&
stopLossPrices.ForLong > data.LastPrice)
{
var keyLongPosition = Utils.GetOpenTrendStartPointKey(data.InstrumentID,
EnumPosiDirectionType.Long);
if (Utils.InstrumentToOpenTrendStartPoint.ContainsKey(keyLongPosition))
{
openTrendStartPoint = Utils.InstrumentToOpenTrendStartPoint[keyLongPosition];
}
var highestDistance = Math.Abs(stopLossPrices.ForLong - stopLossPrices.CostLong);
var currentDistance = Math.Abs(data.LastPrice - stopLossPrices.CostLong);
var trendDistance = Math.Abs(stopLossPrices.CostLong - openTrendStartPoint);
if (highestDistance > data.LastPrice * Utils.HighestDistanceConsiderLimit &&
highestDistance > currentDistance &&
currentDistance <= Utils.CurrentDistanceToHighestDistanceRatioLimit * highestDistance)
{
var reason = string.Format("{0}从多仓的最高趋势点{1}跌到了{2}以下，即{3}，平掉多仓，多仓成本价{4}，多仓最高盈利价{5}",
data.InstrumentID, highestDistance + trendDistance,
Utils.CurrentDistanceToHighestDistanceRatioLimit, currentDistance + trendDistance,
stopLossPrices.CostLong, stopLossPrices.ForLong);
_trader.CloseLongPositionByInstrument(data.InstrumentID, "移动止损平多仓");
}
if (highestDistance > data.LastPrice * Utils.StopProfitRatio)
{
_trader.CloseLongPositionByInstrument(data.InstrumentID, "多仓止盈");
}
}
//从空仓的最高盈利跌了一半，平掉空仓，保护盈利，忽略掉小波动
if (stopLossPrices.CostShort > 0 && stopLossPrices.ForShort < stopLossPrices.CostShort &&
stopLossPrices.ForShort < data.LastPrice)
{
var keyShortPosition = Utils.GetOpenTrendStartPointKey(data.InstrumentID,
EnumPosiDirectionType.Short);
if (Utils.InstrumentToOpenTrendStartPoint.ContainsKey(keyShortPosition))
{
openTrendStartPoint = Utils.InstrumentToOpenTrendStartPoint[keyShortPosition];
}
var highestDistance = Math.Abs(stopLossPrices.ForShort - stopLossPrices.CostShort);
var currentDistance = Math.Abs(data.LastPrice - stopLossPrices.CostShort);
var trendDistance = Math.Abs(openTrendStartPoint - stopLossPrices.CostShort);
if (highestDistance > data.LastPrice * Utils.HighestDistanceConsiderLimit &&
highestDistance > currentDistance &&
currentDistance <= Utils.CurrentDistanceToHighestDistanceRatioLimit * highestDistance)
{
var reason = string.Format("{0}从空仓的最低趋势点{1}涨到了{2}以上，即{3}，平掉空仓，空仓成本价{4}，空仓最高盈利价{5}",
data.InstrumentID, highestDistance + trendDistance,
Utils.CurrentDistanceToHighestDistanceRatioLimit,
currentDistance + trendDistance, stopLossPrices.CostShort, stopLossPrices.ForShort);
_trader.CloseShortPositionByInstrument(data.InstrumentID, "移动止损平空仓");
}
if (highestDistance > data.LastPrice * Utils.StopProfitRatio)
{
_trader.CloseShortPositionByInstrument(data.InstrumentID, "空仓止盈");
}
}
}
//接近涨停价，平掉空仓
var upperLimitRange = (data.UpperLimitPrice + data.LowerLimitPrice) / 2;
var lowerLimitRange = upperLimitRange;
if (data.LastPrice > data.PreSettlementPrice + upperLimitRange * Utils.LimitCloseRange)
{
var reason = string.Format("{0}最新价{1}上涨到了涨停价{2}的{3}以上，平掉空仓", data.InstrumentID, data.LastPrice,
data.UpperLimitPrice, Utils.LimitCloseRange);
_trader.CloseShortPositionByInstrument(data.InstrumentID, reason);
}
//接近跌停价，平掉多仓
if (data.LastPrice < data.PreSettlementPrice - lowerLimitRange * Utils.LimitCloseRange)
{
var reason = string.Format("{0}最新价{1}下跌到了跌停价{2}的{3}以下，平掉多仓", data.InstrumentID, data.LastPrice,
data.LowerLimitPrice, Utils.LimitCloseRange);
_trader.CloseLongPositionByInstrument(data.InstrumentID, reason);
}
#endregion
#region 开仓策略
if (Utils.InstrumentToMinuteByMinuteChart.ContainsKey(data.InstrumentID))
{
OpenStrategy(data, false);
}
#endregion
}
catch (Exception ex)
{
Utils.WriteException(ex);
}
}
private void BuyOrSell(ThostFtdcDepthMarketDataField data)
{
try
{
if (Utils.InstrumentToMarketData.ContainsKey(data.InstrumentID))
{
var marketDataList = Utils.InstrumentToMarketData[data.InstrumentID];
if (marketDataList.Count > 0)
{
var marketData = marketDataList[marketDataList.Count - 1];
if (marketData.信号 == 信号.多)
{
var reason = string.Format("{0}看多信号，平空", data.InstrumentID);
_trader.CloseShortPositionByInstrument(data.InstrumentID, reason);
reason = string.Format("{0}看多信号，开多", data.InstrumentID);
_trader.OpenLongPositionByInstrument(data.InstrumentID, reason, 0, true, true, 0);
}
if (marketData.信号 == 信号.空)
{
var reason = string.Format("{0}看空信号，平多", data.InstrumentID);
_trader.CloseLongPositionByInstrument(data.InstrumentID, reason);
reason = string.Format("{0}看空信号，开空", data.InstrumentID);
_trader.OpenShortPositionByInstrument(data.InstrumentID, reason, 9999, true, true, 0);
}
}
}
if (Utils.InstrumentToStopLossPrices.ContainsKey(data.InstrumentID))
{
var stopLossPrices = Utils.InstrumentToStopLossPrices[data.InstrumentID];
var stopLossValue = data.LastPrice * 0.005;
//多仓止损
if (data.LastPrice < stopLossPrices.CostLong - stopLossValue)
{
var reason = string.Format("{0}从多仓的成本价{1}跌到了绝对止损值{2}以下，即{3}，平掉多仓", data.InstrumentID,
stopLossPrices.CostLong, stopLossValue, data.LastPrice);
_trader.CloseLongPositionByInstrument(data.InstrumentID, reason);
}
//空仓止损
if (data.LastPrice > stopLossPrices.CostShort + stopLossValue)
{
var reason = string.Format("{0}从空仓的成本价{1}涨到了绝对止损值{2}以上，即{3}，平掉空仓", data.InstrumentID,
stopLossPrices.CostShort, stopLossValue, data.LastPrice);
_trader.CloseShortPositionByInstrument(data.InstrumentID, reason);
}
var movingStopLossValueForLong = (stopLossPrices.ForLong - stopLossPrices.CostLong) * 0.5;
//多仓止损
if (stopLossPrices.ForLong - stopLossPrices.CostLong > 10 && data.LastPrice < stopLossPrices.ForLong - movingStopLossValueForLong)
{
var reason = string.Format("{0}从多仓的最高盈利价{1}跌到了移动止损价{2}以下，即{3}，平掉多仓", data.InstrumentID,
stopLossPrices.ForLong, stopLossPrices.ForLong - movingStopLossValueForLong, data.LastPrice);
_trader.CloseLongPositionByInstrument(data.InstrumentID, reason);
}
var movingStopLossValueForShort = (stopLossPrices.CostShort - stopLossPrices.ForShort) * 0.5;
//空仓止损
if (stopLossPrices.CostShort - stopLossPrices.ForShort > 10 && data.LastPrice > stopLossPrices.ForShort + movingStopLossValueForShort)
{
var reason = string.Format("{0}从空仓的最高盈利价{1}涨到了移动止损价{2}以上，即{3}，平掉空仓", data.InstrumentID,
stopLossPrices.ForShort, stopLossPrices.ForShort + movingStopLossValueForShort, data.LastPrice);
_trader.CloseShortPositionByInstrument(data.InstrumentID, reason);
}
if (stopLossPrices.ForLong - stopLossPrices.CostLong >= 20)
{
_trader.CloseLongPositionByInstrument(data.InstrumentID, "多仓止盈");
}
if (stopLossPrices.CostShort - stopLossPrices.ForShort >= 20)
{
_trader.CloseShortPositionByInstrument(data.InstrumentID, "空仓止盈");
}
}
}
catch (Exception ex)
{
Utils.WriteException(ex);
}
}