只支持两个交易所, 可自定义差价的类型, 支持2.77托管者的自定义图表功能
var __lastDiff = 0;
var __AType = ["Last", "Buy", "Sell"][AType];
var __BType = ["Last", "Buy", "Sell"][BType];
function _N(v, precision) {
if (typeof(precision) != 'number') {
precision = 4;
}
var d = parseFloat(v.toFixed(Math.max(10, precision + 5)));
s = d.toString().split(".");
if (s.length < 2 || s[1].length <= precision) {
return d;
}
var b = Math.pow(10, precision);
return Math.floor(d * b) / b;
}
function EnsureCall(method) {
var r;
while (!(r = method.apply(this, Array.prototype.slice.call(arguments).slice(1)))) {
Sleep(Interval);
}
return r;
}
function onTick() {
var a = EnsureCall(exchange.SetContractType, AInstrument);
var tickerA = EnsureCall(exchange.GetTicker);
var b = EnsureCall(exchange.SetContractType, BInstrument);
var tickerB = EnsureCall(exchange.GetTicker);
var diff = _N(tickerA[__AType] - tickerB[__BType]);
LogStatus(a.InstrumentName, _N(tickerA[__AType]), b.InstrumentName, _N(tickerB[__BType]), "差价:", diff);
if (__lastDiff != 0) {
if (Math.abs(Math.abs(diff) - Math.abs(__lastDiff)) > 200) {
return;
}
}
if (diff != __lastDiff) {
// add添加数据到series, 参数格式为[series序号, 数据];
__chart.add([0, [new Date().getTime(), diff]]);
__lastDiff = diff;
}
}
function main() {
if (exchange.GetName().indexOf("Futures_CTP") == -1) {
throw "只支持传统期货(CTP)";
}
SetErrorFilter("login|ready|流控|连接失败|Timeout");
// 传给Chart函数的必须是一个与上下文无关的结构体(附合HighStocks规则, 详情参数HighStocks使用方法)
__chart = Chart({
tooltip: {
xDateFormat: '%Y-%m-%d %H:%M:%S, %A'
},
title: {
text: '差价分析图'
},
rangeSelector: {
buttons: [{
type: 'hour',
count: 1,
text: '1h'
}, {
type: 'hour',
count: 3,
text: '3h'
}, {
type: 'hour',
count: 8,
text: '8h'
}, {
type: 'all',
text: 'All'
}],
selected: 0,
inputEnabled: false
},
xAxis: {
type: 'datetime'
},
yAxis: {
plotLines: [{
value: NormalDiff,
color: 'green',
dashStyle: 'shortdash',
width: 1,
}, {
value: HighDiff,
color: 'red',
dashStyle: 'shortdash',
width: 1,
}, {
value: -NormalDiff,
color: 'green',
dashStyle: 'shortdash',
width: 1,
}, {
value: -HighDiff,
color: 'red',
dashStyle: 'shortdash',
width: 1,
}]
},
series: [{
name: '价差',
data: [],
tooltip: {
valueDecimals: 2
}
}]
});
// reset 清空所有图表之前的信息
// __chart.reset();
var a = EnsureCall(exchange.SetContractType, AInstrument);
var b = EnsureCall(exchange.SetContractType, BInstrument);
Log(a.InstrumentName + "." + __AType, "-", b.InstrumentName + "." + __BType, '差价做为收益显示到图表');
TickInterval = Math.max(TickInterval, 50);
Interval = Math.max(Interval, 50);
while (true) {
onTick();
Sleep(TickInterval);
}
}