鼎元C++程序化交易系统教程【test.cpp文件解读】
以一个套利策略全部程式码为例：[url]http://www.qhlt.cn/thread-158982-1-1.html[/url]；下面解构一下策略模板：
1、库引用：[code]#include "pch.h"
#include "test.h"
#include <vector>
#include <windows.h>
#include <fstream>
#include <stdio.h>
#include <mmsystem.h>
#include <thread>
#pragma comment(lib,"winmm.lib")
using namespace std;[/code]2、外部文件引用：[code]extern "C" __declspec(dllexport)Interface * create(HWND hw, string sName, string sPeriod, string sInst)
{
return new test(hw, sName, sPeriod, sInst);
}
extern "C" __declspec(dllexport)void destory(Interface * p)
{
delete p;
}[/code]3、细碎功能部分：
字段分割：[code]vector<std::string> split(std::string str, std::string pattern)
{
std::string::size_type pos;
std::vector<std::string> result;
str += pattern;
int size = str.size();
for (int i = 0; i < size; i++)
{
pos = str.find(pattern, i);
if (pos < size)
{
std::string s = str.substr(i, pos - i);
result.push_back(s);
i = pos + pattern.size() - 1;
}
}
return result;
}[/code]其它细碎功能[code]test::test(HWND hw, string sn, string sp, string si)
{
hwnd = hw;
sName = sn;
sPeriod = sp;
sInst = si;
// SetTimer(NULL, 0, 1000, (TIMERPROC)TimerProc);
}
test::~test()
{
}
void test::OnState(string s)
{
state = s;
TDLLDATA* t = new TDLLDATA();
t->sName = sName;
t->sType = "state";
t->sData = s;
if (hwnd)SendMessage(hwnd, WM_DLLDATA, (WPARAM)t, 10);
}
void test::UpdateParm(string s)
{
vector<std::string> v = split(s, "@");
for (int i = 0; i < v.size(); i++)
{
string ss = v.at(i);
vector<std::string> vv = split(ss, "_");
if (vv.size() >= 3)
{
TDLLPARM t;
t.Name = vv.at(0); t.Value = vv.at(1); t.Explain = vv.at(2); tend(t);
parm[t.Name] = t;
}
}
}
void test::UpdateSub(string sub, double ratio)
{
mapSub[sub] = ratio;
}
void test::end()
{
string s;
list<string>::iterator it;
for (it = lst.begin(); it != lst.end(); ++it)
{
string key = *it;
TDLLPARM t = parm[key];
string ss = t.Name + "_" + t.Value + "_" + t.Explain;
s = s + ss + "@";
}
TDLLDATA* t = new TDLLDATA();
t->sName = sName;
t->sType = "InitParm";
t->sData = s;
if (hwnd)SendMessage(hwnd, WM_DLLDATA, (WPARAM)t, 10);
}[/code][code]void test::tend(TDLLPARM t)
{
lst.push_back(t.Name);
parm[t.Name] = t;
}
void test::SubscribeMarketData(string s)
{
TDLLDATA* t = new TDLLDATA();
t->sName = sName;
t->sType = "SubMd";
t->sData = s;
if (hwnd)SendMessage(hwnd, WM_SUBMD, (WPARAM)t, 11);
}
[/code] 订单与交易及查询相关功能[code]void test::tend(TDLLPARM t)
{
lst.push_back(t.Name);
parm[t.Name] = t;
}
void test::SubscribeMarketData(string s)
{
TDLLDATA* t = new TDLLDATA();
t->sName = sName;
t->sType = "SubMd";
t->sData = s;
if (hwnd)SendMessage(hwnd, WM_SUBMD, (WPARAM)t, 11);
}
bool test::IsbeigenOrdrSysID(string orderid)
{
list<string>::iterator it;
for (it = lstbeigenOrdrSysID.begin(); it != lstbeigenOrdrSysID.end(); it++)
{
string temp = *it;
if (temp == orderid)return true;
}
return false;
}
bool test::IsActionOrdrSysID(string orderid)
{
list<string>::iterator it;
for (it = lstActionOrdrSysID.begin(); it != lstActionOrdrSysID.end(); it++)
{
string temp = *it;
if (temp == orderid)return true;
}
return false;
}
void test::OrderInsert(string acc, string inst, char bs, char oc, int vol, double price, string forfok, string ref2)
{
TORDERINSERT* t = new TORDERINSERT();
t->sName = sName;
t->InvestorID = acc;
t->InstrumentID = inst;
t->BuySell = bs;
t->OpenClose = oc;
t->Volume = vol;
t->LimitPrice = price;
t->FakFok = forfok;
t->Ref1 = sName;
t->Ref2 = ref2;
if (hwnd)SendMessage(hwnd, WM_INSERT, (WPARAM)t, 12);
}
void test::OrderAction(CThostFtdcOrderField t)
{
TACTION* ta = new TACTION();
ta->Name = sName;
ta->InvestorID = t.InvestorID;
ta->OrderSysID = t.OrderSysID;
ta->BrokerID = t.BrokerID;
ta->ExchangeID = t.ExchangeID;
if (hwnd)SendMessage(hwnd, WM_ACTION, (WPARAM)ta, 13);
}
void test::RsqBar(string period, string inst)
{
TRSQBAR* t = new TRSQBAR();
t->Name = sName;
t->Type = "RsqBar";
t->Period = period;
t->Inst = inst;
if (hwnd)SendMessage(hwnd, WM_RSQBAR, (WPARAM)t, (LPARAM)36);
}
void test::InsertLog(string msg)
{
TMSG* t = new TMSG();
t->Name = sName;
t->Msg = msg;
if (hwnd)SendMessage(hwnd, WM_MSG, (WPARAM)t, 14);
}
void test::RsqInstrument(string inst)
{
TRSQ* t = new TRSQ();
t->Name = sName;
t->Type = "RsqInstrument";
t->Inst = inst;
if (hwnd)SendMessage(hwnd, WM_RSQ, (WPARAM)t, (LPARAM)33);
}
void test::RsqRspQryOrder()
{
TRSQ* t = new TRSQ();
t->Name = sName;
t->Type = "RspQryOrder";
if (hwnd)SendMessage(hwnd, WM_RSQ, (WPARAM)t, (LPARAM)33);
}
void test::RsqRspQryTrade()
{
TRSQ* t = new TRSQ();
t->Name = sName;
t->Type = "RspQryTrade";
if (hwnd)SendMessage(hwnd, WM_RSQ, (WPARAM)t, (LPARAM)33);
}
void test::RsqPosition()
{
TRSQ* t = new TRSQ();
t->Name = sName;
t->Type = "RsqPosition";
if (hwnd)SendMessage(hwnd, WM_RSQ, (WPARAM)t, (LPARAM)33);
}
void test::RsqPositionDetail(string acc)
{
TRSQ* t = new TRSQ();
t->Name = sName;
t->Type = "RsqPositionDetail";
t->Account = acc;
if (hwnd)SendMessage(hwnd, WM_RSQ, (WPARAM)t, (LPARAM)33);
}
void test::RsqCommissionRate()
{
TRSQ* t = new TRSQ();
t->Name = sName;
t->Type = "RsqCommissionRate";
if (hwnd)SendMessage(hwnd, WM_RSQ, (WPARAM)t, (LPARAM)33);
}
void test::RsqAccount()
{
TRSQ* t = new TRSQ();
t->Name = sName;
t->Type = "RsqAccount";
if (hwnd)SendMessage(hwnd, WM_RSQ, (WPARAM)t, (LPARAM)33);
}
void test::sound(string s)
{
size_t size = s.length();
wchar_t* buffer = new wchar_t[size + 1];
MultiByteToWideChar(CP_ACP, 0, s.c_str(), size, buffer, size * sizeof(wchar_t));
buffer[size] = 0;
PlaySound(buffer, NULL, SND_FILENAME | SND_ASYNC);
delete buffer;
buffer = NULL;
}[/code] 4、公式计算核心功能，类似mc中的function的功能。[code]//公式函数集合,类似MC中的function................................................................................................................................................
double test::avg(string period, string inst, int num)
{
double d = 0;
int n = 0;
map<string, TKVALUE>::reverse_iterator it;
// InsertLog(to_string(mapK[period][inst].size()));
for (it = mapK[period][inst].rbegin(); it != mapK[period][inst].rend(); ++it)
{
d += it->second.dClose;
n++;
if (n >= num)break;
}
return d / n;
}
double test::highest(string period, string inst, int num)
{
double d = 0;
int n = 0;
map<string, TKVALUE>::reverse_iterator it;
for (it = mapK[period][inst].rbegin(); it != mapK[period][inst].rend(); ++it)
{
if (d < it->second.dHigh)d = it->second.dHigh;
n++;
if (n >= num)break;
}
return d;
}
double test::lowerest(string period, string inst, int num)
{
double d = 0;
int n = 0;
map<string, TKVALUE>::reverse_iterator it;
for (it = mapK[period][inst].rbegin(); it != mapK[period][inst].rend(); ++it)
{
if (d == 0)d = it->second.dLow;
if (d > it->second.dLow)d = it->second.dLow;
n++;
if (n >= num)break;
}
return d;
}
double test::avg1(string period, string inst, int num, int ref)
{
double d = 0;
int n = 0;
int r = 0;
map<string, TKVALUE>::reverse_iterator it;
// InsertLog(to_string(mapK[period][inst].size()));
for (it = mapK[period][inst].rbegin(); it != mapK[period][inst].rend(); ++it)
{
r++;
if (r <= ref)continue;
d += it->second.dClose;
n++;
if (n >= num)break;
}
return d / n;
}
double test::highest1(string period, string inst, int num, int ref)
{
double d = 0;
int n = 0;
int r = 0;
map<string, TKVALUE>::reverse_iterator it;
for (it = mapK[period][inst].rbegin(); it != mapK[period][inst].rend(); ++it)
{
r++;
if (r <= ref)continue;
if (d < it->second.dHigh)d = it->second.dHigh;
n++;
if (n >= num)break;
}
return d;
}
double test::lowerest1(string period, string inst, int num, int ref)
{
double d = 0;
int n = 0;
int r = 0;
map<string, TKVALUE>::reverse_iterator it;
for (it = mapK[period][inst].rbegin(); it != mapK[period][inst].rend(); ++it)
{
r++;
if (r <= ref)continue;
if (d == 0)d = it->second.dLow;
if (d > it->second.dLow)d = it->second.dLow;
n++;
if (n >= num)break;
}
return d;
}
//公式函数计算集合结束...................................................................................................................................................[/code] 5、获取系统时间功能[code]string GetSystemTime()
{
SYSTEMTIME m_time;
GetLocalTime(&m_time);
char szDateTime[100] = { 0 };
sprintf_s(szDateTime, "%02d:%02d:%02d.:%03d", m_time.wHour, m_time.wMinute, m_time.wSecond, m_time.wMilliseconds);
string time(szDateTime);
return time;
}[/code] [color=Red][b]6、交易界面时间设置及面板中策略参数的获取功能[/b][/color]
示意图参考：[url]http://www.qhlt.cn/thread-158984-1-1.html[/url]；[code]/// <summary>
/// 以下开始
/// </summary>
string timeStart = "08:50:00";
string timePause = "15:32:00";
string timeResume = "20:50:00";
string timeStop = "02:32:00";
string state = "stop";
void test::InitParm()
{
TDLLPARM t;
//Name 参数名, Value 默认值, Explain 参数说明, tend 表示一个参数结束
t.Name = "第一腿合约"; t.Value = "hc2210"; t.Explain = "第一腿合约代码"; tend(t);
t.Name = "第二腿合约"; t.Value = "rb2210"; t.Explain = "第二腿合约代码"; tend(t);
t.Name = "第一腿买卖"; t.Value = "0"; t.Explain = "0位买入1位卖出"; tend(t);
t.Name = "第一腿开平"; t.Value = "0"; t.Explain = "0为开仓1位平仓3位平今仓4位平昨仓"; tend(t);
t.Name = "交易数量"; t.Value = "1"; t.Explain = "下单交易数量"; tend(t);
t.Name = "条件价差"; t.Value = "100"; t.Explain = "条件价差入场值"; tend(t);
t.Name = "条件价差方向"; t.Value = "1"; t.Explain = "1为大于，-1为小于"; tend(t);
t.Name = "交易滑点值"; t.Value = "0"; t.Explain = "交易滑点值"; tend(t);
t.Name = "是否重发"; t.Value = "1"; t.Explain = "0不重发，1重发"; tend(t);
t.Name = "时间间隔"; t.Value = "5"; t.Explain = "委托后不成交撤单时间间隔 s "; tend(t);
t.Name = "挂单量"; t.Value = "50"; t.Explain = "达到最小挂单量才下单"; tend(t);
end();
}[/code]这里面的参数要和头文件里面的设置对应起来（最底部的var声明那里），头文件链接：[url=http://www.qhlt.cn/thread-158981-1-1.html]http://www.qhlt.cn/thread-158981-1-1.html[/url]；
参数设置示意图：[img]http://p.algo2.net/2024/0926/a5fd5a3141ab9.png[/img]
一旦在交易面板中点了运行“按钮”[img]http://p.algo2.net/2024/0926/4a0bac7e110a1.png[/img]时加载的项目[code]void test::OnRun()
{
OnState("run");
mapPosDeta.clear();
mapPos.clear();
mapOrder.clear();
mapTrade.clear();
RsqRspQryOrder();
RsqPosition();
RsqRspQryTrade();
RsqAccount();
SubscribeMarketData(sInst);
RsqBar(sPeriod, sInst);
num = 0;
sound("sound\\run.wav");
OnState("run");
dyt = parm["第一腿合约"].Value;
det = parm["第二腿合约"].Value;
bsfx = parm["第一腿买卖"].Value;
ocfx = parm["第一腿开平"].Value;
tjjc = atof(parm["条件价差"].Value.c_str());
sl = atoi(parm["交易数量"].Value.c_str());
hd = atof(parm["交易滑点值"].Value.c_str());
gdl = atoi(parm["挂单量"].Value.c_str());
sfcd = parm["是否重发"].Value.c_str();
tjjcfx = parm["条件价差方向"].Value;
sjjg = atoi(parm["时间间隔"].Value.c_str());
SubscribeMarketData(dyt);
SubscribeMarketData(det);
RsqInstrument(dyt);
RsqInstrument(det);
yfd = false;
dytcj = false;
detcj = false;
tz = false;
InsertLog(" 第一腿 " + dyt + " 第二退 " + det + " 买卖 " + bsfx + " 开平 " + ocfx + " 数量 " + to_string(sl)
+ " 条件价差 " + to_string(tjjc) + " 条件价差方向 " + tjjcfx + " 滑点 " + to_string(hd) + " 是否重发 " + sfcd + " 挂单量 " + to_string(gdl));
InsertLog(" 期货套利策略开始运行 ");
}[/code]点击交易界面中点击“停止”[img]http://p.algo2.net/2024/0926/3768ba3817af1.png[/img]按钮后加载项目[code]void test::OnStop()
{
OnState("stop");
sound("sound\\stop.wav");
InsertLog(" 期货套利策略停止运行 ");
}[/code] [color=Blue]7、核心策略设计（如何进场，如何出场，如何止盈，如何止损）[/color]（因为程式码太长，另建贴存放，链接：[url]http://www.qhlt.cn/thread-158986-1-1.html[/url]；） 8、跟交易相关的发单，撤单，重发，优先平今或优先平昨等，跟策略相关不大，不建议改动（因为程式码太长，查看链接：[url]http://www.qhlt.cn/thread-158985-1-1.html[/url]；） 总结：
1、配置文件类程式码无须变动。
[color=Red]2、页头文件，公式计算（4），交易界面设置与变量参数设置（6），核心策略设计（7）是重点或者说经常变动部分，在平时的策略化交易过程中会不时的修改与设计。后面的策略教学中也以这三个部分为主。[/color]
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