编制自动交易系统的基本知识
编制自动交易系统的基本知识Introduction介绍
鉴于许多中国的交易者对交易系统了解不多,本文解释使用MQ4语言编制自动交易系统的基本知识.
Title 编制自动交易系统的基本知识
一个交易系统大致包括以下几个方面:
1 开仓策略,即什么条件满足时开仓, 如某条线和某条线上交叉或下交叉,
2 平仓策略,即什么条件满足时平仓, 包括止赢设置,止损设置,和跟踪止赢设置三个方面.
3 资金管理, 其中一个方面就是下单的大小
4 时间管理, 如持仓时间,开平仓时间间隔等
5 账户状态分析,如交易历史,当前资金/仓位/各仓为盈亏状态等.
当然一个交易系统不必包括全部内容,本文做为入门知识也仅通过实例介绍交易系统程序的基本构成.
//#property copyright "Copyright 2007 , Dxd, China."
#define MAGICMA 200610011231
//+------------------------------------------------------------------+
//| 注意没有指标文件那些property |
//+------------------------------------------------------------------+
extern int whichmethod = 1; //1~4 种下单方式 1 仅开仓, 2 有止损无止赢, 3 有止赢无止损, 4 有止赢也有止损
extern double TakeProfit = 100; //止赢点数
extern double StopLoss = 20; //止损点数
extern double MaximumRisk = 0.3; //资金控制,控制下单量
extern double TrailingStop =25; //跟踪止赢点数设置
extern int maxOpen = 3; //最多开仓次数限制
extern int maxLots = 5; //最多单仓持仓量限制
extern int bb = 0; //非零就允许跟踪止赢
extern double MATrendPeriod=26;//使用26均线 开仓条件参数 本例子
int i, p2, xxx,p1, res;
double Lots;
datetime lasttime; //时间控制, 仅当一个时间周期完成才检查条件
int init() //初始化
{
Lots = 1;
lasttime = NULL;
return(0);
}
int deinit() { return(0); } //反初始化
//主程序
int start()
{
CheckForOpen(); //开仓 平仓 条件检查 和操作
if (bb>0) CTP(); //跟踪止赢
return(0);
}
//+------下面是各子程序--------------------------------------------+
double LotsOptimized() //确定下单量，开仓调用 资金控制
{
double lot=Lots;
int orders=HistoryTotal(); // history orders total
int losses=0; // number of losses orders without a break
//MarketInfo(Symbol(),MODE_MINLOT); 相关信息
//MarketInfo(Symbol(),MODE_MAXLOT);
//MarketInfo(Symbol(),MODE_LOTSTEP);
lot=NormalizeDouble(MaximumRisk * AccountBalance()/AccountLeverage(),1); //开仓量计算
if(lot<0.1) lot=0.1;
if(lot>maxLots) lot=maxLots;
return(lot);
}
//平仓持有的买单
void CloseBuy()
{
if (OrdersTotal( ) > 0 )
{
for(i=OrdersTotal()-1;i>=0;i--)
{
if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) break;
if(OrderType()==OP_BUY)
{
OrderClose(OrderTicket(),OrderLots(),Bid,3,White);
Sleep(5000);
}
}
}
}
//平仓持有的卖单
void CloseSell()
{
if (OrdersTotal( ) > 0 )
{
for(i=OrdersTotal()-1;i>=0;i--)
{
if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) break;
if(OrderType()==OP_SELL)
{
OrderClose(OrderTicket(),OrderLots(),Ask,3,White);
Sleep(5000);
}
}
}
}
//判断是否买或卖或平仓
int buyorsell() //在这个函数计算设置你的交易信号 这里使用MACD 和MA 做例子
{
double MacdCurrent, MacdPrevious, SignalCurrent;
double SignalPrevious, MaCurrent, MaPrevious;
MacdCurrent=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_MAIN,0);
MacdPrevious=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_MAIN,1);
SignalCurrent=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_SIGNAL,0);
SignalPrevious=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_SIGNAL,1);
MaCurrent=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,0);
MaPrevious=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,1);
if(MacdCurrent<0 && MacdCurrent>SignalCurrent && MacdPrevious<SignalPrevious
&& MaCurrent>MaPrevious)
return (1); // 买 Ma在上升，Macd在0线上，并且两线上交叉
if(MacdCurrent>0 && MacdCurrent<SignalCurrent && MacdPrevious>SignalPrevious
&& MaCurrent<MaPrevious)
return (-1); // 卖
return (0); //不交易
}
int nowbuyorsell = 0;
void CheckForOpen()
{
if (Time[0] == lasttime ) return; //每时间周期检查一次 时间控制
lasttime = Time[0];
nowbuyorsell = buyorsell(); //获取买卖信号
if (nowbuyorsell == 1) //买 先结束已卖的
CloseSell();
if (nowbuyorsell == -1) //卖 先结束已买的
CloseBuy();
if (TimeDayOfWeek(CurTime()) == 1)
{
if (TimeHour(CurTime()) < 3 ) return; //周一早8点前不做 具体决定于你的时区和服务器的时区 时间控制
}
if (TimeDayOfWeek(CurTime()) == 5)
{
if (TimeHour(CurTime()) > 19 ) return; //周五晚11点后不做
}
if (OrdersTotal( ) >= maxOpen) return ;
//如果已持有开仓次数达到最大，不做
if (nowbuyorsell==0) return; //不交易
TradeOK(); //去下单交易
}
void TradeOK() //去下单交易
{
int error ;
if (nowbuyorsell == 1) //买
{
switch (whichmethod)
{
case 1: res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,0,0,"",MAGICMA,0,Blue);break;
case 2: res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,Ask-StopLoss*Point,0,"",MAGICMA,0,Blue); break;
case 3: res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,0,Ask+TakeProfit*Point,"",MAGICMA,0,Blue);break;
case 4: res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,Ask-StopLoss*Point,Ask+TakeProfit*Point,"",MAGICMA,0,Blue);break;
default : res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,0,0,"",MAGICMA,0,Blue);break;
}
if (res <=0)
{
error=GetLastError();
if(error==134)Print("Received 134 Error after OrderSend() !! "); // not enough money
if(error==135) RefreshRates(); // prices have changed
}
Sleep(5000);
return ;
}
if (nowbuyorsell == -1) //卖
{
switch (whichmethod)
{
case 1: res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,0,0,"",MAGICMA,0,Red); break;
case 2: res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,Bid+StopLoss*Point,0,"",MAGICMA,0,Red); break;
case 3: res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,0,Bid-TakeProfit*Point,"",MAGICMA,0,Red); break;
case 4: res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,Bid+StopLoss*Point,Bid-TakeProfit*Point,"",MAGICMA,0,Red); break;
default : res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,0,0,"",MAGICMA,0,Red); break;
}
if (res <=0)
{
error=GetLastError();
if(error==134) Print("Received 134 Error after OrderSend() !! "); // not enough money
if(error==135) RefreshRates(); // prices have changed
}
Sleep(5000);
return ;
}
}
void CTP() //跟踪止赢
{
bool bs = false;
for (int i = 0; i < OrdersTotal(); i++)
{
if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) break;
if (OrderType() == OP_BUY)
{
if ((Bid - OrderOpenPrice()) > (TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT))) //开仓价格 当前止损和当前价格比较判断是否要修改跟踪止赢设置
{
if (OrderStopLoss() < Bid - TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT))
{
bs = OrderModify(OrderTicket(), OrderOpenPrice(), Bid - TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT), OrderTakeProfit(),0, Green);
}
}
}
else if (OrderType() == OP_SELL)
{
if ((OrderOpenPrice() - Ask) > (TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT))) //开仓价格 当前止损和当前价格比较判断是否要修改跟踪止赢设置
{
if ((OrderStopLoss()) > (Ask + TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT)))
{
bs = OrderModify(OrderTicket(), OrderOpenPrice(),
Ask + TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT), OrderTakeProfit(),0, Tan);
}
}
}
}
}
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