高频1

Author: 量价时空, Date: 2020-07-13 22:35:25
Tags: C++高频
/*backtest
start: 2020-07-01 09:00:00
end: 2020-07-13 15:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
mode: 1
*/


void main() {
    Sleep(10000);
    Log(exchange.GetAccount());
    while (1) {
        if (exchange.IO("status") == 1) {
            exchange.SetContractType(Symbol);
            auto records = exchange.GetRecords(60*5);
           auto a = records[records.size()-1].Volume - records[records.size()-2].Volume; 
           auto b = records[records.size()-2].Open - records[records.size()-2].Close;
            
           /* auto ma = TA.MA(r, 20);
            auto a = ma[ma.size() - 1];
            auto b = ma[ma.size() - 3];
            auto r1 = exchange.GetRecords(70);
            auto ma1 = TA.MA(r1, 120);
            auto c = ma1[ma1.size() - 1];
            auto d = ma1[ma1.size() - 3];*/
            auto ticker = exchange.GetTicker();
            auto position = exchange.GetPosition();
            auto orders = exchange.GetOrders();
            if (position.size() > 0 && !(orders.size() > 0)) {
                if (!position[0].Type ) {
                    exchange.SetContractType(Symbol);
                    exchange.SetDirection("closebuy_today");
                    exchange.Sell(position[0].Price + 200, 1);
                }
                if (position[0].Type) {
                    exchange.SetContractType(Symbol);
                    exchange.SetDirection("closesell_today");
                   exchange.Buy(position[0].Price - 200, 1);
                }
            } else if (!(orders.size() > 0)) {
                auto position1 = exchange.GetPosition();
               
                    if (a < 0 && b < 0) {
                       /* exchange.SetContractType(Symbol);
                        exchange.SetDirection("sell");
                       exchange.Sell(ticker.Sell - 1000, 1);*/
                       
                        continue;
                    } else if ( a > 0 && b > 0) {
                        
                      exchange.SetContractType(Symbol);
                        exchange.SetDirection("buy");
                      exchange.Buy(ticker.Buy + 1000, 1);
                       
                        continue;
                    }
            
            } else if (orders.size() > 0 && position[0].Profit < -160) {
                auto orders = exchange.GetOrders();
                 exchange.CancelOrder(orders[0].Id);  
                  Sleep(100);
                auto position = exchange.GetPosition();
                if (position[0].Type == 0) {    
                    exchange.SetContractType(Symbol);
                    exchange.SetDirection("closebuy_today");
                    exchange.Sell(ticker.Buy - 1000, 1);
                } else if (position[0].Type == 1) {                 
                    exchange.SetContractType(Symbol);
                    exchange.SetDirection("closesell_today");
                    exchange.Buy(orders[0].Price + 1000, 1);
                }
            }
        } else {
            LogStatus(_D(), "未连接CTP ！");
            Sleep(1000);
        }

    }
}
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