较完善的日内交易系统框架.doc

/-/ 簡稱: s007/ 名稱:/ 類別: 交易指令/ 類型: 其他/ 輸出:/-ParamsNumeric maxLots(1);/單次開倉手數Numeric maxTrad(3);/最大交易次數Numeric splitRate(3); /交易滑點和佣金Numeric ma1(5);Numeric ma2(18);Numeric tradBegin(909); /開倉時間Numeric tradEnd(1440); /開倉時間Numeric closeTime(1456); /bar的時間超過此值後平倉Numeric stopLoss(40); /虧損大于于此值時止損，為0不判斷Numeric stopProfis(200); /盈利高於此值時止贏，為0不判斷Numeric tracProfis(0); /盈利高於此值後執行追蹤止贏，為0不判斷Numeric tracLoss(0); /追蹤止盈的回撤值，為0不判斷，Numeric returnProfis(70); /盈利高於此值後執行回撤止贏，為0不判斷Numeric minProfis(10); /持倉bar數超過maxHoles後盈利小於此值平倉，為0不判斷Numeric maxHolds(7);/為0不判斷VarsString fileName; String fileName2;String toDay;Numeric splitDot;/交易滑點Bool b1(False);/開多條件Bool b2(False);/開多條件Bool s1(False);/開空條件Bool s2(False);/開空條件Bool bc(False);/開多條件Bool sc(False);/開多條件Numeric tradePrice(0);/發單的價格StringSeriestradMem();/交易描述Numeric tradProve(0);/可否開倉：0/禁止，1/允許Numeric tradNum(0);/交易次數Numeric tradState(0);/持倉狀態：0/無，1/多，-1/空Numeric tradCost(0);/持倉成本Numeric tradIdx(0);/持倉Bar的indexNumeric tradCyc(0);/持倉週期String pKey;/String pKeyTradProve(TRADPROVE);/String pKeyTradState(TRADSTATE);/String pKeyTradCost(TRADCOST);/String pKeyTradNum(TRADNUM);/String pKeyTradIdx(TRADIDX);/Numeric curProfit(0);/持倉當前浮動盈虧NumericSeries maxProfit(0);/持倉最大浮盈NumericSeries maxLoss(0);/持倉最大浮虧Stringdopos();/持倉處理代碼NumericSeries m1(0);NumericSeries m2(0);BeginsplitDot=splitRate*MinMove();pKey=FormulaName()+SymbolName()+Text(BarType()+Text(BarInterval();pKeyTradProve=TRADPROVE;/pKeyTradState=TRADSTATE;/pKeyTradCost=TRADCOST;/pKeyTradNum=TRADNUM;/pKeyTradIdx=TRADIDX;/初始化If(BarStatus=0)SetTBProfileString(pKey,pKeyTradProve,Text(1);SetTBProfileString(pKey,pKeyTradState,Text(0);SetTBProfileString(pKey,pKeyTradCost,Text(0);SetTBProfileString(pKey,pKeyTradNum,Text(0);SetTBProfileString(pKey,pKeyTradIdx,Text(0);tradMem=;maxProfit=0;maxLoss=0;Return;if(Day !=Day1)SetTBProfileString(pKey,pKeyTradProve,Text(1);SetTBProfileString(pKey,pKeyTradState,Text(0);SetTBProfileString(pKey,pKeyTradCost,Text(0);SetTBProfileString(pKey,pKeyTradNum,Text(0);SetTBProfileString(pKey,pKeyTradIdx,Text(0);tradMem= ;maxProfit=0;maxLoss=0;Else/獲取交易狀態tradProve=Value(GetTBProfileString(pKey,pKeyTradProve);tradState=Value(GetTBProfileString(pKey,pKeyTradState);tradCost=Value(GetTBProfileString(pKey,pKeyTradCost);tradNum=Value(GetTBProfileString(pKey,pKeyTradNum);tradIdx=Value(GetTBProfileString(pKey,pKeyTradIdx);tradMem= ;maxProfit=maxProfit1;maxLoss=maxLoss1;m1=iTodayEMA(Open,ma1);/指標m2=iTodayEMA(Open,ma2);/指標/開倉條件/跌停板附近不開多倉，漲停附近不開空倉if(BarStatus=2)b1=Close(Q_LowerLimit()+15*MinMove();s1=Close(Q_UpperLimit()-15*MinMove() ;Elseb1=Not(High=Low And High=Close Or High1=Low1 );s1=Not(High=Low And High=Close Or High1=Low1 );If(tradNum=0.0001*tradBegin And TimemaxProfit)maxProfit=curProfit;If(curProfitmaxProfit) maxProfit=(High-tradCost);If(Low-tradCost)maxProfit)maxProfit=tradCost-Low;If(tradCost-High)maxLoss)maxLoss=tradCost-High;/平多反空If(tradState=1 And sc And tradNum=0.0001*tradBegin And Time=0.0001*tradEnd)if(BarStatus=2)tradePrice= Q_BidPrice -splitDot; Else tradePrice=Open-splitDot;If(SellShort(maxLots,tradePrice)tradMem=平多反空-+Text(tradePrice);Commentary(tradMem);SetTBProfileString(pKey,pKeyTradProve,Text(1);SetTBProfileString(pKey,pKeyTradState,Text(-1);SetTBProfileString(pKey,pKeyTradCost,Text(tradePrice);SetTBProfileString(pKey,pKeyTradNum,Text(1+tradNum);SetTBProfileString(pKey,pKeyTradIdx,Text(CurrentBar();maxProfit=0;maxLoss=0;curProfit=0;/平空反多If(tradState=-1 And bc And tradNum=0.0001*tradBegin And Time0)/開倉後第一根BAR的處理-應對bar走完後的信號消失問題*if(tradCyc=1)。Elsedopos=DoPosition(tradState,tradCyc,curProfit,maxProfit,stopLoss,stopProfis,tracProfis,tracLoss,returnProfis,minProfis,maxHolds,closeTime);dopos=DoPosition(tradState,tradCyc,curProfit,maxProfit,stopLoss,stopProfis,tracProfis,tracLoss,returnProfis,minProfis,maxHolds,closeTime);/統一的平倉處理-if(Len(dopos)2)/處理交易價格，叫賣叫買價加上滑點，便於成交if(BarStatus=2)If(tradState=1) tradePrice= Q_BidPrice -splitDot;If(tradState=-1) tradePrice= Q_AskPrice +splitDot;Else tradePrice=Close-tradState*splitDot;/平多If(tradState=1)If(Sell(maxLots,tradePrice)tradMem=dopos+:平多-+Text(tradePrice);SetTBProfileString(pKey,pKeyTradProve,Text(1);SetTBProfileString(pKey,pKeyTradState,Text(0);maxProfit=0;maxLoss=0;/平空If