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鼎元C++程序化交易系统教程【一个完整的程序化交易策略程式码模块架构】
第一部分：头文件（test.h）（1）模块1：策略界面与配置部分，不用动。[code]#pragma once
#include <iostream>
#include "Interface.h"
#include <map>
#include <iostream>
#include <string>
#include <list>
#include <sstream>
#include <vector>
#include "cStruct.h"
using namespace std;
#pragma warining(disable:4996)
class test :public Interface
{
public:
test(HWND hw, string sName, string sPeriod, string sInst);
virtual ~test();
public:
virtual void InitParm();
virtual void UpdateParm(string s);
virtual void UpdateSub(string sub, double ratio);
virtual void OnRun();
virtual void OnStop();
virtual void OnTimer(string s);
virtual void OnMarketData(CThostFtdcDepthMarketDataField* t);
virtual void OnRsqBar(string sPeriod, string sInst, map<string, TKVALUE> mapK);
virtual void OnBarOpen(TKVALUE t);
virtual void OnRtnOrder(CThostFtdcOrderField t);
virtual void OnRtnTrade(CThostFtdcTradeField t);
virtual void OnInstrumentStatus(CThostFtdcInstrumentStatusField* t);
virtual void OnInstrumentAll(map<string,CThostFtdcInstrumentField>*m);
virtual void OnInstrument(CThostFtdcInstrumentField t);
virtual void OnRspQryOrder(map <string, CThostFtdcOrderField>* m);
virtual void OnRspQryTrade(map <string, CThostFtdcTradeField>* m);
virtual void OnPosition(map<string, map <string, TPOSITION>>* m);
virtual void OnPositionDetail(map<string, TDETAIL>* m);
virtual void OnCommissionRate(map<string, map<string, TCOMMISSION>>* m);
virtual void OnAccount(map<string, CThostFtdcTradingAccountField>* m);
private:
int numod = 0;
HWND hwnd;
string sName; //策略设置窗口三个重要变量，1 策略名
string sPeriod;//2 运行周期
string sInst; //3 交易合约
string t1, t2, t3, t4, t0; // 时间变量，t1：小时,t2:分钟,t3:秒,t4：毫秒，t0：传递变量用
map<string, CThostFtdcDepthMarketDataField>mapMd;
map<string, CThostFtdcInstrumentField>mapInstrument;
map<string, CThostFtdcOrderField>mapOrder;
map<string, CThostFtdcTradeField>mapTrade;
map<string, map<string, TPOSITION>>mapPos;
map<string, CThostFtdcTradingAccountField>mapAcc;
map<string, map<string, TKVALUE>>mapReal;
map<string, double>mapSub;
map <string, map<string, map<string, TKVALUE>>>mapK;
map<string, TDETAIL> mapPosDeta;
map<string, map<string, TCOMMISSION>>mapCom;
map<int, string>maps; // 日志信息
private:
int n = 0;
map<string, TDLLPARM>parm;
list<string>lst;
list<string>lstActionOrdrSysID;
list<string>lstbeigenOrdrSysID;
bool IsActionOrdrSysID(string orderid);
bool IsbeigenOrdrSysID(string orderid);
string state = "stop";
string path = "D:\\data\\log";
void OnState(string s);
void end();
void tend(TDLLPARM t);
void SubscribeMarketData(string s);
void OrderInsert(string acc, string inst, char bs, char oc, int volume, double price, string forfok, string ref2);
void OrderAction(CThostFtdcOrderField t);
void RsqBar(string period, string inst);
void InsertLog(string msg);
void RsqInstrument(string inst);
void RsqRspQryOrder();
void RsqRspQryTrade();
void RsqPosition();
void RsqPositionDetail(string acc);
void RsqCommissionRate();
void RsqAccount();
void sound(string s);
void chedan();
void shuchurizhi();
void xieruzhuangtai();
void chongfa(CThostFtdcOrderField t);
void closesell1(string sInvestorID, string sName, int sl, double jg);
void closebuy1(string sInvestorID, string sName, int sl, double jg);
void closesell2(string sInvestorID, string sName, int sl, double jg);
void closebuy2(string sInvestorID, string sName, int sl, double jg);[/code]（2）、模块2：变量参数声明部分（input、var）[code]private:
/*策略窗口左下参数部分变量设置
jxzq:均线周期，jyfx:交易方向,num:均线周期,hd:滑点,yxpc:优先平仓,jg:撤单间隔,fx:持仓方向,ss:手数,rcjg:入场价格,ccjg:出场价格,dbfx:单笔风险;
下方一些计算的变量
ma:均线
*/
int jxzq, jyfx, num, hd, yxpc, jg, fx, ss, tm;
double jx, zg, zd, ma, rcjg, dbfx, ccjg;
double avg(string period, string inst, int num);
double avg1(string period, string inst, int num, int ref);
double highest(string period, string inst, int num);
double highest1(string period, string inst, int num, int ref);
double lowerest(string period, string inst, int num);
double lowerest1(string period, string inst, int num, int ref);
};[/code]这里面的参数与变量主要包括三部分：
1、策略参数设置模块：
[img]http://p.algo2.net/2024/1001/d05b03440898c.png[/img]在程序化交易界面调用策略时会出现上面的参数设置界面，这里的一些变量就是对应于这个参数设置的。
2、在cpp策略主体中计算公式部分的变量名也要在这里声明。(function的变量名声明)。
3、以及其它一些需要用到的变量的声明。 [b]第二部分：主体文件（test.cpp）[/b]
[b]1、配置模块部分，勿动[/b][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;
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;
}
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;
}
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;
}
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);
}
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][b]2、指标公式计算模块：勿动[/b][code]//公式函数计算部分...........................................................................................................................................
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::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::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::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::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::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;
}
//公式函数计算结束........................................................................................................................................[/code][b]3、主策略模块：[/b]
[b]（1）、定义策略开始结束时间模块：[/b][code]/// <summary>
/// 以下开始
/// </summary>
//strategy begin and end time set
string timeStart = "08:50:00";
string timePause = "15:32:00";
string timeResume = "20:50:00";
string timeStop = "02:32:00";
string state = "stop";
[/code][b]（2）、设计策略参数模块：[/b][code]//strategy parameter set
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 = "入场价格"; t.Value = "5000"; t.Explain = "入场价格"; tend(t);
t.Name = "交易方向"; t.Value = "1"; t.Explain = "交易方向，1大于入场价做多，-1小于入场价做空"; tend(t);
t.Name = "出场价格"; t.Value = "4000"; t.Explain = "1),盘中止损价，2,方向1下穿止损，方向-1上穿止损"; tend(t);
t.Name = "均线周期"; t.Value = "120"; t.Explain = "均线周期参数"; tend(t);
t.Name = "单笔风险"; t.Value = "1000"; t.Explain = "单笔风险值根据出场和均线的差值计算手数，小于200位固定手数"; tend(t);
t.Name = "滑点值"; t.Value = "1"; t.Explain = "每次交易滑点值"; tend(t);
t.Name = "优先平仓"; t.Value = "0"; t.Explain = "优先平仓，1优先平今，0优先平昨"; tend(t);
t.Name = "撤单时间"; t.Value = "3"; t.Explain = "委托后多少秒检查一下是否有未成交，小于0 不撤单"; tend(t);
t.Name = "策略说明"; t.Value = "0"; t.Explain = "策略思路：1、开始按入场价格入场开仓 2、按出场价格盘中出场 3、如果不能触发出场价格后穿越均线周期均线出场，"; tend(t);
end();
}[/code]对应于界面的这部分：[img]http://p.algo2.net/2024/1001/d05b03440898c.png[/img]，需要设置哪些参数就在上面的程式码中增减，会在策略加载后显示出来。
[b]（3）、点击运行按钮后的动作模块：[/b][code]//点击运行按钮动作
void test::OnRun()
{
OnState("run");
if (state != "run")return;
mapPosDeta.clear();
mapPos.clear();
mapOrder.clear();
mapTrade.clear();
sound("sound\\run.wav");
RsqInstrument(sInst);
RsqRspQryOrder();
RsqPosition();
// RsqRspQryTrade();
//RsqPositionDetail();
//RsqAccount();
SubscribeMarketData(sInst);//订阅在界面选择特定周期，特定品种行情数据
// 调用参数对策略变量进行配置
num = 0;
jxzq = atoi(parm["均线周期"].Value.c_str());
rcjg = atof(parm["入场价格"].Value.c_str());
ccjg = atof(parm["出场价格"].Value.c_str());
jyfx = atoi(parm["交易方向"].Value.c_str());
dbfx = atof(parm["单笔风险"].Value.c_str());
hd = atoi(parm["滑点值"].Value.c_str());
yxpc = atoi(parm["优先平仓"].Value.c_str());
jg = atoi(parm["撤单时间"].Value.c_str());
RsqBar(sPeriod, sInst); //调用界面特定品种、特定周期K线数据
ma = avg(sPeriod, sInst, jxzq); //均线调用
string s2 = " 均线 " + to_string(ma);
InsertLog(s2);
string wj[2];
string s = "c:/" + sName + sInst + "均线出场.txt";
fstream ofs;
ofs.open(s, ios::in);
if (!ofs.is_open())
{
fx = 0;
ss = 0;
}
else
{
for (int i = 0; i < 2; i++)
{
getline(ofs, wj[i]);
// InsertLog(wj[i]);
}
}
ofs.close();
fx = atoi(wj[0].c_str());
ss = atoi(wj[1].c_str());
string s1 = " 均线出场策略启动，均线周期 " + to_string(jxzq) + " 入场价格 " + to_string(rcjg) + " 交易方向 " + to_string(jyfx) + " 出场价格 " + to_string(ccjg) + " 单笔风险 "
+ to_string(dbfx) + " 滑点 " + to_string(hd) + " 优先开平 " + to_string(yxpc) + " 撤单时间 " + to_string(jg) + " 方向 " + to_string(fx) + " 数量 " + to_string(ss);
InsertLog(s1);
}[/code]按钮如图：[img]http://p.algo2.net/2024/1001/3cf9c4505b36f.png[/img]
说明：点击运行按钮后动作主要包括三部分，1，将上面策略界面的参数设定传到在head头文件里面设置的变量里面。2、在工作界面的LOG里面输出策略的一些加载信息及策略的大体介绍。3、点运行按钮后获得最新时间。[code]
void test::OnTimer(string ts)
{
if (state != "run")return;
SYSTEMTIME m_time;
GetLocalTime(&m_time);
t1 = to_string(m_time.wHour);
t2 = to_string(m_time.wMinute);
t3 = to_string(m_time.wSecond);
t4 = to_string(m_time.wMilliseconds);
if (t3 != t0 && jg > 0)
{
if ((tm == jg || tm == jg + 1)) chedan();
tm++;
}
t0 = t3;
}
[/code][b]（4）、点击停止按钮后动作模块：[/b][code]void test::OnStop()
{
OnState("stop");
sound("sound\\stop.wav");
xieruzhuangtai();
InsertLog(" 均线出场策略停止运行，方向 " + to_string(fx) + " 手数 " + to_string(ss));
}[/code]说明：1、运行状态变为“stop” ，2，发出声音。3、输出停止LOG。
如图：[img]http://p.algo2.net/2024/1001/87c4bb0229c64.png[/img]
[b]（5）、有最新数据传入后的进出主策略部分，即最新价进出场模块，策略核心模块一[/b][code]//有数据传入后开始策略
void test::OnMarketData(CThostFtdcDepthMarketDataField* t)
{
if (state != "run")return;
if (t->InstrumentID != sInst)return;
mapMd[t->InstrumentID] = *t;
//最新价大于设定入场价开仓做多操作（开仓条件：1,最新价大于设定价 2,交易方向做多 3,当前没有持仓,fx==0）
if (t->LastPrice >= rcjg && jyfx == 1 && fx == 0)
{
fx = 1;
if (dbfx < 200)ss = dbfx;
if (dbfx >= 200)ss = (int)floor(dbfx / (rcjg - ma) / mapInstrument[sInst].VolumeMultiple);
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int sl = (int)(ss * it->second);
OrderInsert(it->first, sInst, '0', '0', sl, t->AskPrice1 + hd * mapInstrument[sInst].PriceTick, "", "");
string s = it->first + " 突破入场价格多单达到入场条件买入开仓 " + to_string(sl) + " 手，价格 " + to_string(t->AskPrice1 + hd * mapInstrument[sInst].PriceTick) + " 基础手数 " + to_string(ss) + " 均线 " + to_string(ma);
maps[num] = s;
num++;
}
if (num != 0)shuchurizhi();
tm = 0;
xieruzhuangtai();
}
//最新价小于设定入场价开仓做空操作（开仓条件：1 最新价小于设定价 2 交易方向做空 3 当前没有持仓,fx==0）
if (t->LastPrice <= rcjg && jyfx == -1 && fx == 0)
{
fx = -1;
if (dbfx < 200)ss = dbfx;
if (dbfx >= 200)ss = (int)floor(dbfx / (ma - rcjg) / mapInstrument[sInst].VolumeMultiple);
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int sl = (int)(ss * it->second);
OrderInsert(it->first, sInst, '1', '0', sl, t->BidPrice1 - hd * mapInstrument[sInst].PriceTick, "", "");
string s = it->first + " 突破入场价格空单达到入场条件卖出开仓 " + to_string(sl) + " 手，价格 " + to_string(t->BidPrice1 - hd * mapInstrument[sInst].PriceTick) + " 基础手数 " + to_string(ss) + " 均线 " + to_string(ma);
maps[num] = s;
num++;
}
if (num != 0)shuchurizhi();
tm = 0;
xieruzhuangtai();
}
//多单出场：1, 多仓 2, 交易方向fx==1 3, 最新价小于出场价
if (jyfx == 1 && fx == 1 && t->LastPrice <= ccjg)
{
fx = 2;
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int sl = (int)(ss * it->second);
if (yxpc == 0)
{
closesell1(it->first, sInst, sl, t->BidPrice1 - hd * mapInstrument[sInst].PriceTick);
}
else if (yxpc == 1)
{
closesell2(it->first, sInst, sl, t->BidPrice1 - hd * mapInstrument[sInst].PriceTick);
}
string s = it->first + " 多单达到出场条件卖出平仓 " + to_string(sl) + " 手，价格 " + to_string(t->BidPrice1 - hd * mapInstrument[sInst].PriceTick) + " 基础手数 " + to_string(ss) + " 均线 " + to_string(ma);
maps[num] = s;
num++;
}
if (num != 0)shuchurizhi();
tm = 0;
xieruzhuangtai();
}
//空单出场：1,空单 2,交易方向fx==-1 3,最新价大于等于出场价
if (jyfx == -1 && fx == -1 && t->LastPrice >= ccjg)
{
fx = -2;
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int sl = (int)(ss * it->second);
if (yxpc == 0)
{
closebuy1(it->first, sInst, sl, t->AskPrice1 + hd * mapInstrument[sInst].PriceTick);
}
else if (yxpc == 1)
{
closebuy2(it->first, sInst, sl, t->AskPrice1 + hd * mapInstrument[sInst].PriceTick);
}
string s = it->first + " 空单达到出场条件买入平仓 " + to_string(ss) + " 手，价格 " + to_string(t->AskPrice1 + hd * mapInstrument[sInst].PriceTick) + " 基础手数 " + to_string(ss) + " 均线 " + to_string(ma);
maps[num] = s;
num++;
}
if (num != 0)shuchurizhi();
tm = 0;
xieruzhuangtai();
}
}[/code][b]（6）、、有新K线（BAR）生成后的主策略部分，即按K线进出场设计模块，策略的核心模块二[/b][code]//有数据传入后开始策略
void test::OnMarketData(CThostFtdcDepthMarketDataField* t)
{
if (state != "run")return;
if (t->InstrumentID != sInst)return;
mapMd[t->InstrumentID] = *t;
//最新价大于设定入场价开仓做多操作（开仓条件：1,最新价大于设定价 2,交易方向做多 3,当前没有持仓,fx==0）
if (t->LastPrice >= rcjg && jyfx == 1 && fx == 0)
{
fx = 1;
if (dbfx < 200)ss = dbfx;
if (dbfx >= 200)ss = (int)floor(dbfx / (rcjg - ma) / mapInstrument[sInst].VolumeMultiple);
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int sl = (int)(ss * it->second);
OrderInsert(it->first, sInst, '0', '0', sl, t->AskPrice1 + hd * mapInstrument[sInst].PriceTick, "", "");
string s = it->first + " 突破入场价格多单达到入场条件买入开仓 " + to_string(sl) + " 手，价格 " + to_string(t->AskPrice1 + hd * mapInstrument[sInst].PriceTick) + " 基础手数 " + to_string(ss) + " 均线 " + to_string(ma);
maps[num] = s;
num++;
}
if (num != 0)shuchurizhi();
tm = 0;
xieruzhuangtai();
}
//最新价小于设定入场价开仓做空操作（开仓条件：1 最新价小于设定价 2 交易方向做空 3 当前没有持仓,fx==0）
if (t->LastPrice <= rcjg && jyfx == -1 && fx == 0)
{
fx = -1;
if (dbfx < 200)ss = dbfx;
if (dbfx >= 200)ss = (int)floor(dbfx / (ma - rcjg) / mapInstrument[sInst].VolumeMultiple);
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int sl = (int)(ss * it->second);
OrderInsert(it->first, sInst, '1', '0', sl, t->BidPrice1 - hd * mapInstrument[sInst].PriceTick, "", "");
string s = it->first + " 突破入场价格空单达到入场条件卖出开仓 " + to_string(sl) + " 手，价格 " + to_string(t->BidPrice1 - hd * mapInstrument[sInst].PriceTick) + " 基础手数 " + to_string(ss) + " 均线 " + to_string(ma);
maps[num] = s;
num++;
}
if (num != 0)shuchurizhi();
tm = 0;
xieruzhuangtai();
}
//多单出场：1, 多仓 2, 交易方向fx==1 3, 最新价小于出场价
if (jyfx == 1 && fx == 1 && t->LastPrice <= ccjg)
{
fx = 2;
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int sl = (int)(ss * it->second);
if (yxpc == 0)
{
closesell1(it->first, sInst, sl, t->BidPrice1 - hd * mapInstrument[sInst].PriceTick);
}
else if (yxpc == 1)
{
closesell2(it->first, sInst, sl, t->BidPrice1 - hd * mapInstrument[sInst].PriceTick);
}
string s = it->first + " 多单达到出场条件卖出平仓 " + to_string(sl) + " 手，价格 " + to_string(t->BidPrice1 - hd * mapInstrument[sInst].PriceTick) + " 基础手数 " + to_string(ss) + " 均线 " + to_string(ma);
maps[num] = s;
num++;
}
if (num != 0)shuchurizhi();
tm = 0;
xieruzhuangtai();
}
//空单出场：1,空单 2,交易方向fx==-1 3,最新价大于等于出场价
if (jyfx == -1 && fx == -1 && t->LastPrice >= ccjg)
{
fx = -2;
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int sl = (int)(ss * it->second);
if (yxpc == 0)
{
closebuy1(it->first, sInst, sl, t->AskPrice1 + hd * mapInstrument[sInst].PriceTick);
}
else if (yxpc == 1)
{
closebuy2(it->first, sInst, sl, t->AskPrice1 + hd * mapInstrument[sInst].PriceTick);
}
string s = it->first + " 空单达到出场条件买入平仓 " + to_string(ss) + " 手，价格 " + to_string(t->AskPrice1 + hd * mapInstrument[sInst].PriceTick) + " 基础手数 " + to_string(ss) + " 均线 " + to_string(ma);
maps[num] = s;
num++;
}
if (num != 0)shuchurizhi();
tm = 0;
xieruzhuangtai();
}
}
void test::OnBarOpen(TKVALUE t)
{
if (state != "run")return;
if (t.InstrumentID != sInst)return;
mapK[sPeriod][sInst][t.sDate + t.sDayNight + t.sTime] = t;
ma = avg(sPeriod, sInst, jxzq);
string s2 = " 合约 " + sInst + " 均线 " + to_string(ma);
InsertLog(s2);
//多单均线出场：1 最新价小于等与均线价格 2 持仓方向为多
if (mapMd[sInst].LastPrice <= ma && fx == 1)
{
fx = 2;
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int sl = (int)(ss * it->second);
if (yxpc == 0)
{
closesell1(it->first, sInst, sl, mapMd[sInst].BidPrice1 - hd * mapInstrument[sInst].PriceTick);
}
else if (yxpc == 1)
{
closesell2(it->first, sInst, sl, mapMd[sInst].BidPrice1 - hd * mapInstrument[sInst].PriceTick);
}
string s = it->first + " 多单跌破均线达到出场条件卖出平仓 " + to_string(sl) + " 手，价格 " + to_string(mapMd[sInst].BidPrice1 - hd * mapInstrument[sInst].PriceTick) + " 基础手数 " + to_string(ss) + " 均线 " + to_string(ma);
maps[num] = s;
num++;
}
if (num != 0)shuchurizhi();
tm = 0;
xieruzhuangtai();
}
if (mapMd[sInst].LastPrice >= ma && fx == -1)
{
fx = -2;
map<string, double>::iterator it;
for (it = mapSub.begin(); it != mapSub.end(); it++)
{
int sl = (int)(ss * it->second);
if (yxpc == 0)
{
closebuy1(it->first, sInst, sl, mapMd[sInst].AskPrice1 + hd * mapInstrument[sInst].PriceTick);
}
else if (yxpc == 1)
{
closebuy2(it->first, sInst, sl, mapMd[sInst].AskPrice1 + hd * mapInstrument[sInst].PriceTick);
}
string s = it->first + " 空单涨破均线达到出场条件买入平仓 " + to_string(ss) + " 手，价格 " + to_string(mapMd[sInst].AskPrice1 + hd * mapInstrument[sInst].PriceTick) + " 基础手数 " + to_string(ss) + " 均线 " + to_string(ma);
maps[num] = s;
num++;
}
if (num != 0)shuchurizhi();
tm = 0;
xieruzhuangtai();
}
}[/code][b]（7）、有关委托、撤单、重发等交易相关模块，一般勿动[/b][code]void test::OnRsqBar(string sPeriod, string sInst, map<string, TKVALUE> mp)
{
if (state != "run")return;
mapK[sPeriod][sInst] = mp;
int n = mp.size();
if (n < jxzq)InsertLog(sInst + " bar 数量不够 ");
}
void test::OnRtnOrder(CThostFtdcOrderField t)
{
mapOrder[t.OrderLocalID] = t;
if (!mapMd.count(t.InstrumentID))SubscribeMarketData(t.InstrumentID);
if (state != "run")return;
if (t.OrderStatus == '5' && t.MacAddress == sName &&IsActionOrdrSysID(t.OrderLocalID)) chongfa(t);
string s = t.CombOffsetFlag;
// if (t.OrderStatus == '0' && s != "0" && t.MacAddress == sName) OnStop();
}
void test::OnRtnTrade(CThostFtdcTradeField t)
{
mapTrade[t.OrderSysID] = t;
if (state != "run")return;
RsqPosition();
RsqPositionDetail(t.InvestorID);
}
void test::OnInstrument(CThostFtdcInstrumentField t)
{
mapInstrument[t.InstrumentID] = t;
}
void test::OnRspQryOrder(map<string, CThostFtdcOrderField>* m)
{
mapOrder = *m;
}
void test::OnRspQryTrade(map<string, CThostFtdcTradeField>* m)
{
mapTrade = *m;
}
void test::OnPosition(map<string, map<string, TPOSITION>>* m)
{
mapPos = *m;
}
void test::OnPositionDetail(map<string, TDETAIL>* m)
{
mapPosDeta = *m;
/*map<string, TDETAIL>::iterator it;
for (it = mapPosDeta.begin(); it != mapPosDeta.end(); it++)
{
string s1 = " 编号 " + it->first + " 账户 " + it->second.sAcc + " 合约 " + it->second.sInst + " 方向 " + it->second.sBuySell + " 数量 " + to_string(it->second.nVol) + " 平仓数量 " + to_string(it->second.nCloseVol) + " 价格 " + to_string(it->second.dOpenPrice) + " 时间 " + it->second.sOpenDate;
if (it->second.nVol - it->second.nCloseVol != 0)InsertLog(s1);
}*/
}
void test::OnCommissionRate(map<string, map<string, TCOMMISSION>>* m)
{
mapCom = *m;
}
void test::OnAccount(map<string, CThostFtdcTradingAccountField>* m)
{
mapAcc = *m;
}
void test::OnInstrumentStatus(CThostFtdcInstrumentStatusField* t)
{
}
void test::OnInstrumentAll(map<string, CThostFtdcInstrumentField>* m)
{
mapInstrument = *m;
}
void test::chedan()
{
map<string, CThostFtdcOrderField>::iterator it;
for (it = mapOrder.begin(); it != mapOrder.end(); it++)
{
if (it->second.MacAddress == sName)
{
if (it->second.OrderStatus == '3' || it->second.OrderStatus == '1')
{
string bs;
string soc;
if (it->second.Direction == '0')bs = "买入";
if (it->second.Direction == '1')bs = "卖出";
if (it->second.CombOffsetFlag == "0")soc = "开仓";
if (it->second.CombOffsetFlag == "1")soc = "平仓";
if (it->second.CombOffsetFlag == "3")soc = "平今仓";
if (it->second.CombOffsetFlag == "4")soc = "平昨仓";
OrderAction(it->second);
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + it->second.InvestorID + " 有未成交委托，委托买卖方向 " + bs + soc + " 未成交数量委托数量 " + to_string((it->second.VolumeTotal - it->second.VolumeTraded)) + " 委托价格 " + to_string(it->second.LimitPrice) + " " + it->second.InstrumentID;
maps[num] = s1;
num++;
lstActionOrdrSysID.push_back(it->second.OrderSysID);
}
}
}
if (num != 0)shuchurizhi();
}
void test::shuchurizhi()
{
map<int, string>::iterator it;
for (it = maps.begin(); it != maps.end(); it++)
{
InsertLog(it->second);
}
maps.clear();
num = 0;
}
void test::xieruzhuangtai()
{
string s = "c:/" + sName + sInst + "均线出场.txt";
fstream ofs;
ofs.open(s, ios::out, ios::_Noreplace);
if (ofs.is_open())
{
ofs << to_string(fx) << endl;
ofs << to_string(ss) << endl;
}
ofs.close();
}
void test::chongfa(CThostFtdcOrderField t)
{
string bs;
string soc;
if (t.Direction == '0')bs = "买入";
if (t.Direction == '1')bs = "卖出";
if (t.CombOffsetFlag == "0")soc = "开仓";
if (t.CombOffsetFlag == "1")soc = "平仓";
if (t.CombOffsetFlag == "3")soc = "平今仓";
if (t.CombOffsetFlag == "4")soc = "平昨仓";
char oc = t.CombOffsetFlag[0];
double dsj;
if (t.Direction == '0')
{
dsj = mapMd[t.InstrumentID].AskPrice1;
}
else if (t.Direction == '1')
{
dsj = mapMd[t.InstrumentID].BidPrice1;
}
OrderInsert(t.InvestorID, t.InstrumentID, t.Direction, oc, (t.VolumeTotal - t.VolumeTraded), dsj, "", "");
string s = t.InvestorID;
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + s + " 有撤单成功重发，重发委托买卖方向 " + bs + soc + " 未成交数量委托数量 " + to_string((t.VolumeTotal - t.VolumeTraded)) + " 重发价格 " + to_string(dsj) + " " + t.InstrumentID;
InsertLog(s1);
}
// 卖出平仓 优先平昨仓
void test::closesell1(string sInvestorID, string sName, int sl, double jg)
{
//if (mapInstrument[sName].ExchangeID != "SHFE")
//{
// OrderInsert(sInvestorID, sName, '1', '1', sl, jg, "", "");
//}
//else
//{
if (mapPos[sInvestorID][sName].nLongPosYd >= sl)
{
OrderInsert(sInvestorID, sName, '1', '4', sl, jg, "", "");
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 卖出平昨 " + to_string(sl) + " 手，账户持仓有多单今仓数量 " + to_string(mapPos[sInvestorID][sName].nLongPosTd) + " 手持有昨仓多单数量 " + to_string(mapPos[sInvestorID][sName].nLongPosYd);
InsertLog(s1);
}
else if (mapPos[sInvestorID][sName].nLongPosYd > 0)
{
OrderInsert(sInvestorID, sName, '1', '4', mapPos[sInvestorID][sName].nLongPosYd, jg, "", "");
int jys2 = min(mapPos[sInvestorID][sName].nLongPosTd, sl - mapPos[sInvestorID][sName].nLongPosYd);
if (mapPos[sInvestorID][sName].nLongPosTd > 0)
{
OrderInsert(sInvestorID, sName, '1', '3', jys2, jg, "", "");
}
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 卖出平昨 " + to_string(mapPos[sInvestorID][sName].nLongPosYd) + " 卖出平今仓 " + to_string(jys2) + " 手，账户持仓有多单今仓数量 " + to_string(mapPos[sInvestorID][sName].nLongPosTd) + " 手持有昨仓多单数量 " + to_string(mapPos[sInvestorID][sName].nLongPosYd);
InsertLog(s1);
}
else if (mapPos[sInvestorID][sName].nLongPosTd > 0)
{
int jys3 = min(sl, mapPos[sInvestorID][sName].nLongPosTd);
OrderInsert(sInvestorID, sName, '1', '3', jys3, jg, "", "");
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 卖出平今仓 " + to_string(jys3) + " 手，账户持仓有多单今仓数量 " + to_string(mapPos[sInvestorID][sName].nLongPosTd) + " 手持有昨仓多单数量 " + to_string(mapPos[sInvestorID][sName].nLongPosYd);
InsertLog(s1);
}
else
{
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 账户持仓有多单今仓数量 " + to_string(mapPos[sInvestorID][sName].nLongPosTd) + " 手持有昨仓多单数量 " + to_string(mapPos[sInvestorID][sName].nLongPosYd) + " 账户持仓有空单今仓数量 " + to_string(mapPos[sInvestorID][sName].nShortPosTd) + " 手持有昨仓空单数量 " + to_string(mapPos[sInvestorID][sName].nShortPosYd);;
InsertLog(s1);
}
// }
}
// 买入平仓 优先平昨仓
void test::closebuy1(string sInvestorID, string sName, int sl, double jg)
{
//if (mapInstrument[sName].ExchangeID != "SHFE")
//{
// OrderInsert(sInvestorID, sName, '0', '1', sl, jg, "", "");
//}
//else
//{
if (mapPos[sInvestorID][sName].nShortPosYd >= sl)
{
OrderInsert(sInvestorID, sName, '0', '4', sl, jg, "", "");
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 买入平昨 " + to_string(sl) + " 手，账户持仓有空单今仓数量 " + to_string(mapPos[sInvestorID][sName].nShortPosTd) + " 手持有昨仓空单数量 " + to_string(mapPos[sInvestorID][sName].nShortPosYd);
InsertLog(s1);
}
else if (mapPos[sInvestorID][sName].nShortPosYd > 0)
{
OrderInsert(sInvestorID, sName, '0', '4', mapPos[sInvestorID][sName].nShortPosYd, jg, "", "");
int jys2 = min(mapPos[sInvestorID][sName].nShortPosTd, sl - mapPos[sInvestorID][sName].nShortPosYd);
if (mapPos[sInvestorID][sName].nShortPosTd > 0)
{
OrderInsert(sInvestorID, sName, '0', '3', jys2, jg, "", "");
}
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 买入平昨 " + to_string(mapPos[sInvestorID][sName].nShortPosYd) + " 买入平今仓 " + to_string(jys2) + " 手，账户持仓有空单今仓数量 " + to_string(mapPos[sInvestorID][sName].nShortPosTd) + " 手持有昨仓空单数量 " + to_string(mapPos[sInvestorID][sName].nShortPosYd);
InsertLog(s1);
}
else if (mapPos[sInvestorID][sName].nShortPosTd > 0)
{
int jys3 = min(mapPos[sInvestorID][sName].nShortPosTd, sl);
OrderInsert(sInvestorID, sName, '0', '3', jys3, jg, "", "");
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 买入平昨仓 " + to_string(jys3) + " 手，账户持仓有空单今仓数量 " + to_string(mapPos[sInvestorID][sName].nShortPosTd) + " 手持有昨仓空单数量 " + to_string(mapPos[sInvestorID][sName].nShortPosYd);
InsertLog(s1);
}
else
{
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 账户持仓有多单今仓数量 " + to_string(mapPos[sInvestorID][sName].nLongPosTd) + " 手持有昨仓多单数量 " + to_string(mapPos[sInvestorID][sName].nLongPosYd) + " 账户持仓有空单今仓数量 " + to_string(mapPos[sInvestorID][sName].nShortPosTd) + " 手持有昨仓空单数量 " + to_string(mapPos[sInvestorID][sName].nShortPosYd);;
InsertLog(s1);
}
// }
}
// 卖出平仓 优先平今仓
void test::closesell2(string sInvestorID, string sName, int sl, double jg)
{
//if (mapInstrument[sName].ExchangeID != "SHFE")
//{
// OrderInsert(sInvestorID, sName, '1', '1', sl, jg, "", "");
//}
//else
//{
if (mapPos[sInvestorID][sName].nLongPosTd >= sl)
{
OrderInsert(sInvestorID, sName, '1', '3', sl, jg, "", "");
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 卖出平今 " + to_string(sl) + " 手，账户持仓有多单今仓数量 " + to_string(mapPos[sInvestorID][sName].nLongPosTd) + " 手持有昨仓多单数量 " + to_string(mapPos[sInvestorID][sName].nLongPosYd);
InsertLog(s1);
}
else if (mapPos[sInvestorID][sName].nLongPosTd > 0)
{
OrderInsert(sInvestorID, sName, '1', '3', mapPos[sInvestorID][sName].nLongPosTd, jg, "", "");
int jys2 = min(mapPos[sInvestorID][sName].nLongPosYd, sl - mapPos[sInvestorID][sName].nLongPosTd);
if (mapPos[sInvestorID][sName].nLongPosYd > 0)
{
OrderInsert(sInvestorID, sName, '1', '4', jys2, jg, "", "");
}
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 卖出平今 " + to_string(mapPos[sInvestorID][sName].nLongPosTd) + " 卖出平昨仓 " + to_string(jys2) + " 手，账户持仓有多单今仓数量 " + to_string(mapPos[sInvestorID][sName].nLongPosTd) + " 手持有昨仓多单数量 " + to_string(mapPos[sInvestorID][sName].nLongPosYd);
InsertLog(s1);
}
else if (mapPos[sInvestorID][sName].nLongPosYd > 0)
{
int jys3 = min(mapPos[sInvestorID][sName].nLongPosYd, sl);
OrderInsert(sInvestorID, sName, '1', '4', jys3, jg, "", "");
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 卖出平昨仓 " + to_string(jys3) + " 手，账户持仓有多单今仓数量 " + to_string(mapPos[sInvestorID][sName].nLongPosTd) + " 手持有昨仓多单数量 " + to_string(mapPos[sInvestorID][sName].nLongPosYd);
InsertLog(s1);
}
else
{
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 账户持仓有多单今仓数量 " + to_string(mapPos[sInvestorID][sName].nLongPosTd) + " 手持有昨仓多单数量 " + to_string(mapPos[sInvestorID][sName].nLongPosYd) + " 账户持仓有空单今仓数量 " + to_string(mapPos[sInvestorID][sName].nShortPosTd) + " 手持有昨仓空单数量 " + to_string(mapPos[sInvestorID][sName].nShortPosYd);;
InsertLog(s1);
}
}
//
//}
// 买入平仓 优先平今仓
void test::closebuy2(string sInvestorID, string sName, int sl, double jg)
{
//if (mapInstrument[sName].ExchangeID != "SHFE")
//{
// OrderInsert(sInvestorID, sName, '0', '1', sl, jg, "", "");
//}
//else
//{
if (mapPos[sInvestorID][sName].nShortPosTd >= sl)
{
OrderInsert(sInvestorID, sName, '0', '3', sl, jg, "", "");
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 买入平今 " + to_string(sl) + " 手，账户持仓有空单今仓数量 " + to_string(mapPos[sInvestorID][sName].nShortPosTd) + " 手持有昨仓空单数量 " + to_string(mapPos[sInvestorID][sName].nShortPosYd);
InsertLog(s1);
}
else if (mapPos[sInvestorID][sName].nShortPosTd > 0)
{
OrderInsert(sInvestorID, sName, '0', '3', mapPos[sInvestorID][sName].nShortPosTd, jg, "", "");
int jys2 = min(mapPos[sInvestorID][sName].nShortPosYd, sl - mapPos[sInvestorID][sName].nShortPosTd);
if (mapPos[sInvestorID][sName].nShortPosYd > 0)
{
OrderInsert(sInvestorID, sName, '0', '4', jys2, jg, "", "");
}
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 买入平今 " + to_string(mapPos[sInvestorID][sName].nShortPosTd) + " 买入平昨仓 " + to_string(jys2) + " 手，账户持仓有空单今仓数量 " + to_string(mapPos[sInvestorID][sName].nShortPosTd) + " 手持有昨仓空单数量 " + to_string(mapPos[sInvestorID][sName].nShortPosYd);
InsertLog(s1);
}
else if (mapPos[sInvestorID][sName].nShortPosYd > 0)
{
int jys2 = min(mapPos[sInvestorID][sName].nShortPosYd, sl);
OrderInsert(sInvestorID, sName, '0', '4', jys2, jg, "", "");
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 买入平昨仓 " + to_string(jys2) + " 手，账户持仓有空单今仓数量 " + to_string(mapPos[sInvestorID][sName].nShortPosTd) + " 手持有昨仓空单数量 " + to_string(mapPos[sInvestorID][sName].nShortPosYd);
InsertLog(s1);
}
else
{
string s1 = t1 + ":" + t2 + ":" + t3 + ":" + t4 + " " + " 账户 " + sInvestorID + " 合约 " + sName + " 账户持仓有多单今仓数量 " + to_string(mapPos[sInvestorID][sName].nLongPosTd) + " 手持有昨仓多单数量 " + to_string(mapPos[sInvestorID][sName].nLongPosYd) + " 账户持仓有空单今仓数量 " + to_string(mapPos[sInvestorID][sName].nShortPosTd) + " 手持有昨仓空单数量 " + to_string(mapPos[sInvestorID][sName].nShortPosYd);;
InsertLog(s1);
}
}[/code]
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