鼎元C++程序化交易系统教程【套利模板核心策略程式码部分】
核心策略程式码部分：[code]//核心策略设计开始............................................................................................................................void test::OnMarketData(CThostFtdcDepthMarketDataField* t)
{
if (state != "run")return;
mapMd[t->InstrumentID] = *t;
string sss = t->UpdateTime;
if (sss == "20:59:00" || sss == "08:59:00")return;
if (t->InstrumentID != sInst)return;
//if (t->InstrumentID != dyt && t->InstrumentID != det)return;
if (mapMd[dyt].BidPrice1 == 0 || mapMd[dyt].AskPrice1 == 0 || mapMd[det].BidPrice1 == 0 || mapMd[det].AskPrice1 == 0)return;
if (yfd)return;
sss = t->UpdateTime;
if (sss == "20:59:00" || sss == "08:59:00")return;
if (bsfx == "0")
{
jc = mapMd[dyt].AskPrice1 - mapMd[det].BidPrice1;
}
else if (bsfx == "1")
{
jc = mapMd[dyt].BidPrice1 - mapMd[det].AskPrice1;
}
if ((tjjcfx == "1" && jc >= tjjc && mapMd[dyt].AskVolume1 > gdl && mapMd[det].BidVolume1 > gdl) || (tjjcfx == "-1" && jc <= tjjc && mapMd[dyt].BidVolume1 > gdl && mapMd[det].AskVolume1 > gdl))
{
if (bsfx == "0")
{
if (ocfx == "0")
{
dytcj = false; detcj = false;
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int ss = (int)floor(it->second * sl);
OrderInsert(it->first, dyt, '0', '0', ss, mapMd[dyt].AskPrice1 + hd * mapInstrument[det].PriceTick, "", "");
OrderInsert(it->first, det, '1', '0', ss, mapMd[det].BidPrice1 - hd * mapInstrument[det].PriceTick, "", "");
yfd = true;
string s = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + it->first + " 达到套利价差交易条件买入开仓，第一腿价格 " + to_string(mapMd[dyt].AskPrice1 + hd * mapInstrument[det].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].BidPrice1 - hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc);
maps[num] = s;
num++;
InsertLog(it->first + " 达到套利价差交易条件买入开仓，第一腿价格 " + to_string(mapMd[dyt].AskPrice1 + hd * mapInstrument[det].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].BidPrice1 - hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc));
}
}
else if (ocfx == "1")
{
dytcj = false; detcj = false;
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int ss = (int)floor(it->second * sl);
OrderInsert(it->first, dyt, '0', '1', ss, mapMd[dyt].AskPrice1 + hd * mapInstrument[det].PriceTick, "", "");
OrderInsert(it->first, det, '1', '1', ss, mapMd[det].BidPrice1 - hd * mapInstrument[det].PriceTick, "", "");
yfd = true;
string s = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + it->first + " 达到套利价差交易条件买入平仓，第一腿价格 " + to_string(mapMd[dyt].AskPrice1 + hd * mapInstrument[dyt].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].BidPrice1 - hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc);
maps[num] = s;
num++;
InsertLog(it->first + " 达到套利价差交易条件买入平仓，第一腿价格 " + to_string(mapMd[dyt].AskPrice1 + hd * mapInstrument[dyt].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].BidPrice1 - hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc));
}
}
else if (ocfx == "3")
{
dytcj = false; detcj = false;
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int ss = (int)floor(it->second * sl);
OrderInsert(it->first, dyt, '0', '3', ss, mapMd[dyt].AskPrice1 + hd * mapInstrument[dyt].PriceTick, "", "");
OrderInsert(it->first, det, '1', '3', ss, mapMd[det].BidPrice1 - hd * mapInstrument[det].PriceTick, "", "");
yfd = true;
string s = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + it->first + " 达到套利价差交易条件买入平今，第一腿价格 " + to_string(mapMd[dyt].AskPrice1 + hd * mapInstrument[dyt].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].BidPrice1 - hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc);
maps[num] = s;
num++;
InsertLog(it->first + " 达到套利价差交易条件买入平今，第一腿价格 " + to_string(mapMd[dyt].AskPrice1 + hd * mapInstrument[dyt].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].BidPrice1 - hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc));
}
}
else if (ocfx == "4")
{
dytcj = false; detcj = false;
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int ss = (int)floor(it->second * sl);
OrderInsert(it->first, dyt, '0', '4', ss, mapMd[dyt].AskPrice1 + hd * mapInstrument[dyt].PriceTick, "", "");
OrderInsert(it->first, det, '1', '4', ss, mapMd[det].BidPrice1 - hd * mapInstrument[det].PriceTick, "", "");
yfd = true;
string s = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + it->first + " 达到套利价差交易条件买入平昨，第一腿价格 " + to_string(mapMd[dyt].AskPrice1 + hd * mapInstrument[dyt].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].BidPrice1 - hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc);
maps[num] = s;
num++;
InsertLog(it->first + " 达到套利价差交易条件买入平昨，第一腿价格 " + to_string(mapMd[dyt].AskPrice1 + hd * mapInstrument[dyt].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].BidPrice1 - hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc));
}
}
}
else if (bsfx == "1")
{
if (ocfx == "0")
{
dytcj = false; detcj = false;
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int ss = (int)floor(it->second * sl);
OrderInsert(it->first, dyt, '1', '0', ss, mapMd[dyt].BidPrice1 - hd * mapInstrument[dyt].PriceTick, "", "");
OrderInsert(it->first, det, '0', '0', ss, mapMd[det].AskPrice1 + hd * mapInstrument[det].PriceTick, "", "");
yfd = true;
string s = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + it->first + " 达到套利价差交易条件卖出开仓，第一腿价格 " + to_string(mapMd[dyt].BidPrice1 - hd * mapInstrument[dyt].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].AskPrice1 + hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc);
maps[num] = s;
num++;
InsertLog(it->first + " 达到套利价差交易条件卖出开仓，第一腿价格 " + to_string(mapMd[dyt].BidPrice1 - hd * mapInstrument[dyt].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].AskPrice1 + hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc));
}
}
else if (ocfx == "1")
{
dytcj = false; detcj = false;
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int ss = (int)floor(it->second * sl);
OrderInsert(it->first, dyt, '1', '1', ss, mapMd[dyt].BidPrice1 - hd * mapInstrument[dyt].PriceTick, "", "");
OrderInsert(it->first, det, '0', '1', ss, mapMd[det].AskPrice1 + hd * mapInstrument[det].PriceTick, "", "");
yfd = true;
string s = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + it->first + " 达到套利价差交易条件卖出平仓，第一腿价格 " + to_string(mapMd[dyt].BidPrice1 - hd * mapInstrument[dyt].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].AskPrice1 + hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc);
maps[num] = s;
num++;
InsertLog(it->first + " 达到套利价差交易条件卖出平仓，第一腿价格 " + to_string(mapMd[dyt].BidPrice1 - hd * mapInstrument[dyt].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].AskPrice1 + hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc));
}
}
else if (ocfx == "3")
{
dytcj = false; detcj = false;
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int ss = (int)floor(it->second * sl);
OrderInsert(it->first, dyt, '1', '3', ss, mapMd[dyt].BidPrice1 - hd * mapInstrument[dyt].PriceTick, "", "");
OrderInsert(it->first, det, '0', '3', ss, mapMd[det].AskPrice1 + hd * mapInstrument[det].PriceTick, "", "");
yfd = true;
string s = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + it->first + " 达到套利价差交易条件，第一腿价格卖出平今 " + to_string(mapMd[dyt].BidPrice1 - hd * mapInstrument[dyt].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].AskPrice1 + hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc);
maps[num] = s;
num++;
InsertLog(it->first + " 达到套利价差交易条件，第一腿价格卖出平今 " + to_string(mapMd[dyt].BidPrice1 - hd * mapInstrument[dyt].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].AskPrice1 + hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc));
}
}
else if (ocfx == "4")
{
dytcj = false; detcj = false;
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int ss = (int)floor(it->second * sl);
OrderInsert(it->first, dyt, '1', '4', ss, mapMd[dyt].BidPrice1 - hd * mapInstrument[dyt].PriceTick, "", "");
OrderInsert(it->first, det, '0', '4', ss, mapMd[det].AskPrice1 + hd * mapInstrument[det].PriceTick, "", "");
yfd = true;
string s = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + it->first + " 达到套利价差交易条件，第一腿价格卖出平昨 " + to_string(mapMd[dyt].BidPrice1 - hd * mapInstrument[dyt].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].AskPrice1 + hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc);
maps[num] = s;
num++;
InsertLog(it->first + " 达到套利价差交易条件，第一腿价格卖出平昨 " + to_string(mapMd[dyt].BidPrice1 - hd * mapInstrument[dyt].PriceTick) + " 第二蹆价格 " + to_string(mapMd[det].AskPrice1 + hd * mapInstrument[det].PriceTick) + " 对手价差 " + to_string(jc));
}
}
}
if (num != 0)shuchurizhi();
tm = 0;
}
}
//核心策略设计结束............................................................................................................................[/code]
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