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复合品种对冲版
Author:
量价时空, Date: 2020-08-15 11:42:34
Tags:
对冲套利 C++
void main() {
Sleep(10000);
Log(exchange.GetAccount());
while (1) {
int chi1=0;
int chi2=0;
int pl1=0;
int pl2=0;
int m1=0;
int m2=0;
exchange.SetContractType(Symbol1);
auto ticker111 = exchange.GetTicker();
if (exchange.IO("status") == 1 && ticker111.Last > 500 ) {
auto position = exchange.GetPosition();
if(position.size() > 0){
for( int u=0; u < (int)position.size(); u++ ){
if( position[position.size()-u].ContractType == Symbol1){
chi1=1;
pl1=position.size()-u;
}
if( position[position.size()-u].ContractType == Symbol2){
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;}
Sleep(1000);
auto t1 = 0;
auto x1 = 0;
exchange.SetContractType(Symbol1);
auto ticker11 = exchange.GetTicker();
exchange.SetContractType(Symbol21);
auto ticker21 = exchange.GetTicker();
int y1 = 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 > 0) {
if(position[pl1].ContractType == Symbol1){
m1 = position[pl1].Amount/(int)bei1;
}
}
if (chi1 == -1) {
if ( t1 > 0 && b11 >= 1) {
exchange.SetContractType(Symbol1);
exchange.SetDirection("sell");
exchange.Sell(ticker11.Last - 10, bei1);
exchange.SetContractType(Symbol21);
exchange.SetDirection("buy");
exchange.Buy(ticker21.Last + 10, bei1);
Sleep(1000);
continue;
} else if (t1 < 0 && b21 >= 1) {
exchange.SetContractType(Symbol1);
exchange.SetDirection("buy");
exchange.Buy(ticker11.Last + 10, bei1);
exchange.SetContractType(Symbol21);
exchange.SetDirection("sell");
exchange.Sell(ticker21.Last - 10, bei1);
Sleep(1000);
continue;
}
}
if (chi1 > 0) {
Log(position[pl1].ContractType, Symbol1);
}
if (position[pl1].ContractType == Symbol1) {
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 > 0) {
if ((ticker11.Buy - ticker21.Sell - k1) > 0 && x1 > 0) {
if (position[pl1].Type < 2) {
exchange.SetContractType(Symbol21);
exchange.SetDirection("closesell_today");
exchange.Buy(ticker21.Last + 10, bei1);
exchange.SetContractType(Symbol1);
exchange.SetDirection("closebuy_today");
exchange.Sell(ticker11.Last - 10, bei1);
Sleep(1000);
continue;
}
if (position[pl1].Type > 1) {
exchange.SetContractType(Symbol21);
exchange.SetDirection("closesell");
exchange.Buy(ticker21.Last + 10, bei1);
exchange.SetContractType(Symbol1);
exchange.SetDirection("closebuy");
exchange.Sell(ticker11.Last - 10, bei1);
Sleep(1000);
continue;
}
} else if ((ticker11.Sell - ticker21.Buy - k1) < 0 && x1 < 0) {
if (position[pl1].Type < 2) {
exchange.SetContractType(Symbol1);
exchange.SetDirection("closesell_today");
auto id1 = exchange.Buy(ticker11.Last + 10, bei1);
exchange.SetContractType(Symbol21);
exchange.SetDirection("closebuy_today");
auto id2 = exchange.Sell(ticker21.Last - 10, bei1);
Sleep(1000);
continue;
}
if (position[pl1].Type > 1) {
exchange.SetContractType(Symbol1);
exchange.SetDirection("closesell");
exchange.Buy(ticker11.Last + 10, bei1);
exchange.SetContractType(Symbol21);
exchange.SetDirection("closebuy");
exchange.Sell(ticker21.Last - 10, bei1);
Sleep(1000);
continue;
}
}
}
Log("M1=", m1, " x1=", x1, " w1=", w1, " t1=", t1, " a11=", a11, " a21=", a21, " b11=", b11, " b21=", b21);
if (m1 > 3) { //大于三的平仓
int u11=m1-3;
int h11=0;
if(ticker11.Buy - ticker21.Sell > k1){
if(u11==1){h11=15;}
if(u11==2){h11=15+6;}
if(u11==3){h11=15+6+7;}
if(u11==4){h11=15+6+7+8;}
if(u11==5){h11=15+6+7+8+9;}
if(u11==6){h11=15+6+7+8+9+10;}
if(u11==7){h11=15+6+7+8+9+10+11;}
if(u11==8){h11=15+6+7+8+9+10+11+12;}
if(u11==9){h11=15+6+7+8+9+10+11+12+13;}
if(u11==10){h11=15+6+7+8+9+10+11+12+13+14;}
if(u11==11){h11=15+6+7+8+9+10+11+12+13+14+15;}
}
if(ticker11.Sell - ticker21.Buy < k1){
if(u11==1){h11=15;}
if(u11==2){h11=15+6;}
if(u11==3){h11=15+6+7;}
if(u11==4){h11=15+6+7+8;}
if(u11==5){h11=15+6+7+8+9;}
if(u11==6){h11=15+6+7+8+9+10;}
if(u11==7){h11=15+6+7+8+9+10+11;}
if(u11==8){h11=15+6+7+8+9+10+11+12;}
if(u11==9){h11=15+6+7+8+9+10+11+12+13;}
if(u11==10){h11=15+6+7+8+9+10+11+12+13+14;}
if(u11==11){h11=15+6+7+8+9+10+11+12+13+14+15;}
h11=-h11;
}
Log( " u11=", u11, " h11=", h11);
if ((ticker11.Buy - ticker21.Sell - k1 - h11) >= 0 && x1 > 0 && h11 !=0) {
if (position[pl1].Type < 2) {
exchange.SetContractType(Symbol21);
exchange.SetDirection("closesell_today");
exchange.Buy(ticker21.Last + 10, bei1);
exchange.SetContractType(Symbol1);
exchange.SetDirection("closebuy_today");
exchange.Sell(ticker11.Last - 10, bei1);
Sleep(1000);
continue;
}
if (position[pl1].Type > 1) {
exchange.SetContractType(Symbol21);
exchange.SetDirection("closesell");
exchange.Buy(ticker21.Last + 10, bei1);
exchange.SetContractType(Symbol1);
exchange.SetDirection("closebuy");
exchange.Sell(ticker11.Last - 10, bei1);
Sleep(1000);
continue;
}
} else if ((ticker11.Sell - ticker21.Buy - k1 -h11) <= 0 && x1 < 0 && h11 !=0) {
if (position[pl1].Type < 2) {
exchange.SetContractType(Symbol1);
exchange.SetDirection("closesell_today");
exchange.Buy(ticker11.Last + 10, bei1);
exchange.SetContractType(Symbol21);
exchange.SetDirection("closebuy_today");
exchange.Sell(ticker21.Last - 10, bei1);
Sleep(1000);
continue;
}
if (position[pl1].Type > 1) {
exchange.SetContractType(Symbol1);
exchange.SetDirection("closesell");
exchange.Buy(ticker11.Last + 10, bei1);
exchange.SetContractType(Symbol21);
exchange.SetDirection("closebuy");
exchange.Sell(ticker21.Last - 10, bei1);
Sleep(1000);
continue;
}
}
}
if (m1 < 4 && m1 >1 && m1 > w1) { //小于4的平仓
if (x1 > 0 && t1 < 0 && ((a11 == 0 && m1 > b11) || m1 > b11 + 1)) {
if (position[pl1].Type < 2) {
exchange.SetContractType(Symbol21);
exchange.SetDirection("closesell_today");
exchange.Buy(ticker21.Last + 10, bei1);
exchange.SetContractType(Symbol1);
exchange.SetDirection("closebuy_today");
exchange.Sell(ticker11.Last - 10, bei1);
Sleep(1000);
continue;
}
if (position[pl1].Type > 1) {
exchange.SetContractType(Symbol21);
exchange.SetDirection("closesell");
exchange.Buy(ticker21.Last + 10, bei1);
exchange.SetContractType(Symbol1);
exchange.SetDirection("closebuy");
exchange.Sell(ticker11.Last - 10, bei1);
Sleep(1000);
continue;
}
}
if (x1 < 0 && t1 > 0 && ((a21 == 0 && m1 > b21) || m1 > b21 + 1)) {
if (position[pl1].Type < 2) {
exchange.SetContractType(Symbol1);
exchange.SetDirection("closesell_today");
exchange.Buy(ticker11.Last + 10, bei1);
exchange.SetContractType(Symbol21);
exchange.SetDirection("closebuy_today");
exchange.Sell(ticker21.Last - 10, bei1);
Sleep(1000);
continue;
}
if (position[pl1].Type > 1) {
exchange.SetContractType(Symbol1);
exchange.SetDirection("closesell");
exchange.Buy(ticker11.Last + 10, bei1);
exchange.SetContractType(Symbol21);
exchange.SetDirection("closebuy");
exchange.Sell(ticker21.Last - 10, bei1);
Sleep(1000);
continue;
}
}
}
if ( m1 < 8 && w1 > m1 && m1>0) {
if(m1<3){ //m<4
if (t1 > 0 && b11 > m1) {
exchange.SetContractType(Symbol1);
exchange.SetDirection("sell");
exchange.Sell(ticker11.Last - 10, bei1);
exchange.SetContractType(Symbol21);
exchange.SetDirection("buy");
exchange.Buy(ticker21.Last + 10, bei1);
Sleep(1000);
continue;
} else if (t1 < 0 && b21 > m1) {
exchange.SetContractType(Symbol1);
exchange.SetDirection("buy");
exchange.Buy(ticker11.Last + 10, bei1);
exchange.SetContractType(Symbol21);
exchange.SetDirection("sell");
exchange.Sell(ticker21.Last - 10, bei1);
Sleep(1000);
continue;
}
}
if(m1>2){
auto u1=m1-3;
auto h1=0;
if(ticker11.Buy - ticker21.Sell > k1){
if(u1==0){h1=15;}
if(u1==1){h1=15+6;}
if(u1==2){h1=15+6+7;}
if(u1==3){h1=15+6+7+8;}
if(u1==4){h1=15+6+7+8+9;}
if(u1==5){h1=15+6+7+8+9+10;}
if(u1==6){h1=15+6+7+8+9+10+11;}
if(u1==7){h1=15+6+7+8+9+10+11+12;}
if(u1==8){h1=15+6+7+8+9+10+11+12+13;}
if(u1==9){h1=15+6+7+8+9+10+11+12+13+14;}
if(u1==10){h1=15+6+7+8+9+10+11+12+13+14+15;}
}
if(ticker11.Sell - ticker21.Buy < k1){
if(u1==0){h1=15;}
if(u1==1){h1=15+6;}
if(u1==2){h1=15+6+7;}
if(u1==3){h1=15+6+7+8;}
if(u1==4){h1=15+6+7+8+9;}
if(u1==5){h1=15+6+7+8+9+10;}
if(u1==6){h1=15+6+7+8+9+10+11;}
if(u1==7){h1=15+6+7+8+9+10+11+12;}
if(u1==8){h1=15+6+7+8+9+10+11+12+13;}
if(u1==9){h1=15+6+7+8+9+10+11+12+13+14;}
if(u1==10){h1=15+6+7+8+9+10+11+12+13+14+15;}
h1=-h1;
}
int b11 = (int)(ticker11.Buy - ticker21.Sell - k1-h1) / (int) (v1+u1+1);
int b21 = (int)(ticker11.Sell - ticker21.Buy - k1-h1) / (int) (v1+u1+1);
if (b11 < 0) {
b11 = -b11;
}
if (b21 < 0) {
b21= -b21;
}
if (t1 > 0 && b11 >= 1) {
exchange.SetContractType(Symbol1);
exchange.SetDirection("sell");
exchange.Sell(ticker11.Last - 10, bei1);
exchange.SetContractType(Symbol21);
exchange.SetDirection("buy");
exchange.Buy(ticker21.Last + 10, bei1);
Sleep(1000);
continue;
} else if (t1 < 0 && b21 >= 1) {
exchange.SetContractType(Symbol1);
exchange.SetDirection("buy");
exchange.Buy(ticker11.Last + 10, bei1);
exchange.SetContractType(Symbol21);
exchange.SetDirection("sell");
exchange.Sell(ticker21.Last - 10, bei1);
Sleep(1000);
continue;
}
Log("M11=", m1, " x1=", x1, " w1=", w1, " t1=", t1, " u1=", u1, " h1=", h1, " b1=", b11, " b2=", b21);
}
}
// 第二回合 第二回合
Sleep(1000);
Log("第二回合");
auto t2 = 0;
auto x2 = 0;
exchange.SetContractType(Symbol2);
auto ticker12 = exchange.GetTicker();
exchange.SetContractType(Symbol22);
auto ticker22 = exchange.GetTicker();
auto y2 = ticker12.Last - ticker22.Last;
auto 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;
}
//Log( " w=", w, " t=", t," a1=",a1," a2=",a2," b1=",b1," b2=",b2);
if (chi2 > 0) {
if(position[pl2].ContractType == Symbol2){
m2 = position[pl2].Amount/(int)bei2;
}
} else {
if (chi2 < 0) {
if (t2 > 0 && b12 >= 1) {
exchange.SetContractType(Symbol2);
exchange.SetDirection("sell");
exchange.Sell(ticker12.Last - 10, bei2);
exchange.SetContractType(Symbol22);
exchange.SetDirection("buy");
exchange.Buy(ticker22.Last + 10, bei2);
Sleep(1000);
continue;
} else if (t2 < 0 && b22 >= 1) {
exchange.SetContractType(Symbol2);
exchange.SetDirection("buy");
exchange.Buy(ticker12.Last + 10, bei2);
exchange.SetContractType(Symbol22);
exchange.SetDirection("sell");
exchange.Sell(ticker22.Last - 10, bei2);
Sleep(1000);
continue;
}
continue;
}
}
if (chi2>0) {
Log(position[pl2].ContractType, Symbol2);
}
if (position[pl2].ContractType == Symbol2) {
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 > 0) {
if ((ticker12.Buy - ticker22.Sell - k2) > 0 && x2 > 0) {
if (position[pl2].Type < 2) {
exchange.SetContractType(Symbol22);
exchange.SetDirection("closesell_today");
exchange.Buy(ticker22.Last + 10, bei2);
exchange.SetContractType(Symbol1);
exchange.SetDirection("closebuy_today");
exchange.Sell(ticker12.Last - 10, bei2);
Sleep(1000);
continue;
}
if (position[pl2].Type > 1) {
exchange.SetContractType(Symbol22);
exchange.SetDirection("closesell");
exchange.Buy(ticker22.Last + 10, bei2);
exchange.SetContractType(Symbol2);
exchange.SetDirection("closebuy");
exchange.Sell(ticker12.Last - 10, bei2);
Sleep(1000);
continue;
}
} else if ((ticker12.Sell - ticker22.Buy - k2) < 0 && x2 < 0) {
if (position[pl2].Type < 2) {
exchange.SetContractType(Symbol2);
exchange.SetDirection("closesell_today");
auto id1 = exchange.Buy(ticker12.Last + 10, bei2);
exchange.SetContractType(Symbol22);
exchange.SetDirection("closebuy_today");
auto id2 = exchange.Sell(ticker22.Last - 10, bei2);
Sleep(1000);
continue;
}
if (position[pl2].Type > 1) {
exchange.SetContractType(Symbol2);
exchange.SetDirection("closesell");
exchange.Buy(ticker12.Last + 10, bei2);
exchange.SetContractType(Symbol22);
exchange.SetDirection("closebuy");
exchange.Sell(ticker22.Last - 10, bei2);
Sleep(1000);
continue;
}
}
}
Log("M1=", m2, " x1=", x2, " w1=", w2, " t1=", t2, " a11=", a12, " a21=", a22, " b11=", b12, " b21=", b22);
if (m2 > 3) { //大于三的平仓
int u12=m2-3;
int h12=0;
if(ticker12.Buy - ticker22.Sell > k2){
if(u12==1){h12=15;}
if(u12==2){h12=15+6;}
if(u12==3){h12=15+6+7;}
if(u12==4){h12=15+6+7+8;}
if(u12==5){h12=15+6+7+8+9;}
if(u12==6){h12=15+6+7+8+9+10;}
if(u12==7){h12=15+6+7+8+9+10+11;}
if(u12==8){h12=15+6+7+8+9+10+11+12;}
if(u12==9){h12=15+6+7+8+9+10+11+12+13;}
if(u12==10){h12=15+6+7+8+9+10+11+12+13+14;}
if(u12==11){h12=15+6+7+8+9+10+11+12+13+14+15;}
}
if(ticker12.Sell - ticker22.Buy < k2){
if(u12==1){h12=15;}
if(u12==2){h12=15+6;}
if(u12==3){h12=15+6+7;}
if(u12==4){h12=15+6+7+8;}
if(u12==5){h12=15+6+7+8+9;}
if(u12==6){h12=15+6+7+8+9+10;}
if(u12==7){h12=15+6+7+8+9+10+11;}
if(u12==8){h12=15+6+7+8+9+10+11+12;}
if(u12==9){h12=15+6+7+8+9+10+11+12+13;}
if(u12==10){h12=15+6+7+8+9+10+11+12+13+14;}
if(u12==11){h12=15+6+7+8+9+10+11+12+13+14+15;}
h12=-h12;
}
Log( " u11=", u12, " h11=", h12);
if ((ticker12.Buy - ticker22.Sell - k2 - h12) >= 0 && x2 > 0 && h12 !=0) {
if (position[pl2].Type < 2) {
exchange.SetContractType(Symbol22);
exchange.SetDirection("closesell_today");
exchange.Buy(ticker22.Last + 10, bei2);
exchange.SetContractType(Symbol2);
exchange.SetDirection("closebuy_today");
exchange.Sell(ticker12.Last - 10, bei2);
Sleep(1000);
continue;
}
if (position[pl2].Type > 1) {
exchange.SetContractType(Symbol22);
exchange.SetDirection("closesell");
exchange.Buy(ticker22.Last + 10, bei2);
exchange.SetContractType(Symbol2);
exchange.SetDirection("closebuy");
exchange.Sell(ticker12.Last - 10, bei2);
Sleep(1000);
continue;
}
} else if ((ticker12.Sell - ticker22.Buy - k2 -h12) <= 0 && x2 < 0 && h12 !=0) {
if (position[pl2].Type < 2) {
exchange.SetContractType(Symbol2);
exchange.SetDirection("closesell_today");
exchange.Buy(ticker12.Last + 10, bei2);
exchange.SetContractType(Symbol22);
exchange.SetDirection("closebuy_today");
exchange.Sell(ticker22.Last - 10, bei2);
Sleep(1000);
continue;
}
if (position[pl2].Type > 1) {
exchange.SetContractType(Symbol2);
exchange.SetDirection("closesell");
exchange.Buy(ticker12.Last + 10, bei2);
exchange.SetContractType(Symbol22);
exchange.SetDirection("closebuy");
exchange.Sell(ticker22.Last - 10, bei2);
Sleep(1000);
continue;
}
}
}
if (m2 < 4 && m2 >1 && m2 > w2) { //小于4的平仓
if (x2 > 0 && t2 < 0 && ((a12 == 0 && m2 > b12) || m2 > b12 + 1)) {
if (position[pl2].Type < 2) {
exchange.SetContractType(Symbol22);
exchange.SetDirection("closesell_today");
exchange.Buy(ticker22.Last + 10, bei2);
exchange.SetContractType(Symbol2);
exchange.SetDirection("closebuy_today");
exchange.Sell(ticker12.Last - 10, bei2);
Sleep(1000);
continue;
}
if (position[pl2].Type > 1) {
exchange.SetContractType(Symbol22);
exchange.SetDirection("closesell");
exchange.Buy(ticker22.Last + 10, bei2);
exchange.SetContractType(Symbol2);
exchange.SetDirection("closebuy");
exchange.Sell(ticker12.Last - 10, bei2);
Sleep(1000);
continue;
}
}
if (x2 < 0 && t2 > 0 && ((a22 == 0 && m2 > b22) || m2 > b22 + 1)) {
if (position[pl2].Type < 2) {
exchange.SetContractType(Symbol2);
exchange.SetDirection("closesell_today");
exchange.Buy(ticker12.Last + 10, bei2);
exchange.SetContractType(Symbol22);
exchange.SetDirection("closebuy_today");
exchange.Sell(ticker22.Last - 10, bei2);
Sleep(1000);
continue;
}
if (position[pl2].Type > 1) {
exchange.SetContractType(Symbol2);
exchange.SetDirection("closesell");
exchange.Buy(ticker12.Last + 10, bei2);
exchange.SetContractType(Symbol22);
exchange.SetDirection("closebuy");
exchange.Sell(ticker22.Last - 10, bei2);
Sleep(1000);
continue;
}
}
}
if ( m2 < 8 && w2 > m2 && m2>0) {
if(m2<3){ //m<4
if (t2 > 0 && b12 > m2) {
exchange.SetContractType(Symbol2);
exchange.SetDirection("sell");
exchange.Sell(ticker12.Last - 10, bei1);
exchange.SetContractType(Symbol22);
exchange.SetDirection("buy");
exchange.Buy(ticker22.Last + 10, bei2);
Sleep(1000);
continue;
} else if (t2 < 0 && b22 > m2) {
exchange.SetContractType(Symbol2);
exchange.SetDirection("buy");
exchange.Buy(ticker12.Last + 10, bei2);
exchange.SetContractType(Symbol22);
exchange.SetDirection("sell");
exchange.Sell(ticker22.Last - 10, bei2);
Sleep(1000);
continue;
}
}
if(m2>2){
auto u2=m2-3;
auto h2=0;
if(ticker12.Buy - ticker22.Sell > k2){
if(u2==0){h2=15;}
if(u2==1){h2=15+6;}
if(u2==2){h2=15+6+7;}
if(u2==3){h2=15+6+7+8;}
if(u2==4){h2=15+6+7+8+9;}
if(u2==5){h2=15+6+7+8+9+10;}
if(u2==6){h2=15+6+7+8+9+10+11;}
if(u2==7){h2=15+6+7+8+9+10+11+12;}
if(u2==8){h2=15+6+7+8+9+10+11+12+13;}
if(u2==9){h2=15+6+7+8+9+10+11+12+13+14;}
if(u2==10){h2=15+6+7+8+9+10+11+12+13+14+15;}
}
if(ticker12.Sell - ticker22.Buy < k2){
if(u2==0){h2=15;}
if(u2==1){h2=15+6;}
if(u2==2){h2=15+6+7;}
if(u2==3){h2=15+6+7+8;}
if(u2==4){h2=15+6+7+8+9;}
if(u2==5){h2=15+6+7+8+9+10;}
if(u2==6){h2=15+6+7+8+9+10+11;}
if(u2==7){h2=15+6+7+8+9+10+11+12;}
if(u2==8){h2=15+6+7+8+9+10+11+12+13;}
if(u2==9){h2=15+6+7+8+9+10+11+12+13+14;}
if(u2==10){h2=15+6+7+8+9+10+11+12+13+14+15;}
h2=-h2;
}
int b12 = (int)(ticker12.Buy - ticker22.Sell - k2-h2) / (int) (v2+u2+1);
int b22 = (int)(ticker12.Sell - ticker22.Buy - k2-h2) / (int) (v2+u2+1);
if (b12 < 0) {
b12 = -b12;
}
if (b22 < 0) {
b22= -b22;
}
if (t2 > 0 && b12 >= 1) {
exchange.SetContractType(Symbol2);
exchange.SetDirection("sell");
exchange.Sell(ticker12.Last - 10, bei2);
exchange.SetContractType(Symbol22);
exchange.SetDirection("buy");
exchange.Buy(ticker22.Last + 10, bei2);
Sleep(1000);
continue;
} else if (t2 < 0 && b22 >= 1) {
exchange.SetContractType(Symbol2);
exchange.SetDirection("buy");
exchange.Buy(ticker12.Last + 10, bei2);
exchange.SetContractType(Symbol22);
exchange.SetDirection("sell");
exchange.Sell(ticker22.Last - 10, bei2);
Sleep(1000);
continue;
}
Log("M11=", m2, " x1=", x2, " w1=", w2, " t1=", t2, " u1=", u2, " h1=", h2, " b1=", b12, " b2=", b22);
}
}
} else {
LogStatus(_D(), "未连接CTP ！");
Sleep(1000);
}
}
}
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