自定义组合下单
策略说明
合约系数为正数，表示与下单方向相同；合约系数为负数，表示与下单方向相反。
下单时用对手价下单，超时未成交继续追平。
挂单后若不成交且对手价已变动，则立即撤单，重新下单。
先在软件中，在自编组合页面新建自定义组合，设置一组合约及其对应的权重。
在页面选择买卖、方向和手数后，点击开始即会开始下单。
源码
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 | <!DOCTYPE html>
<html lang="en">
<head>
<meta charset="utf-8">
<meta http-equiv="X-UA-Compatible" content="IE=edge">
<meta name="viewport" content="width=device-width, initial-scale=1, maximum-scale=1, user-scalable=no">
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<title>天勤-交易</title>
<!-- base ui && js -->
<link href="assets/bootstrap/css/bootstrap.min.css" rel="stylesheet">
<link rel="stylesheet" href="assets/highlight/styles/atom-one-light.css">
<link rel="stylesheet" href="tq.css">
</head>
<body>
<div class="container-fluid main-container">
<div class="panel panel-default">
<div class="panel-heading">
<h3 class="panel-title">
自定义组合下单
<span class="pull-right STATE">
<span class="label label-danger">停止</span>
</span>
</h3>
</div>
<ul class="list-group inputs" style="font-size:12px;">
<li class="list-group-item">
<div class="row">
<div class="col col-xs-3">
<span class="pull-right">
自定义组合代码
</span>
</div>
<div class="col col-xs-9">
<input type="text" class="form-control input-sm" id="combine_id" placeholder="组合代码" value='rr'>
</div>
</div>
<div class="row">
<div class="col col-xs-3">
<span class="pull-right">
方向
</span>
</div>
<div class="col col-xs-9">
<label class="radio-inline">
<input type="radio" name="direction" value="BUY" checked> 买
</label>
<label class="radio-inline">
<input type="radio" name="direction" value="SELL"> 卖
</label>
</div>
</div>
<div class="row">
<div class="col col-xs-3">
<span class="pull-right">
开平
</span>
</div>
<div class="col col-xs-9">
<label class="radio-inline">
<input type="radio" name="offset" value="OPEN" checked> 开
</label>
<label class="radio-inline">
<input type="radio" name="offset" value="CLOSE"> 平
</label>
<label class="radio-inline">
<input type="radio" name="offset" value="CLOSETODAY"> 平今
</label>
</div>
</div>
<div class="row">
<div class="col col-xs-3">
<span class="pull-right">
下单手数
</span>
</div>
<div class="col col-xs-9">
<input type="number" id='volume' class="form-control input-sm" value="1">
</div>
</div>
</li>
<li class="list-group-item">
<div class="row">
<div class="col col-xs-12">
<div class="btn-toolbar" role="toolbar">
<div class="btn-group btn-group-xs">
<button type="button" class="btn btn-default START" id="START" data-state="START">
<span class="glyphicon glyphicon-play"></span> 执行
</button>
<button type="button" class="btn btn-default STOP" id="STOP">
<span class="glyphicon glyphicon-stop"></span> 停止
</button>
</div>
</div>
</div>
</div>
</li>
</ul>
</div>
<div class="panel panel-default">
<div class="panel-heading" role="tab" id="headingOne">
<h4 class="panel-title">
<a role="button" data-toggle="collapse" href="#collapse" aria-expanded="true" aria-controls="collapse">
说明：本策略针对自定义组合执行组合下单.
<span id='collapse_arrow' class="glyphicon glyphicon-menu-down pull-right"></span>
</a>
</h4>
</div>
<div id="collapse" class="panel-collapse collapse" role="tabpanel" aria-labelledby="headingOne">
<ul class="list-group" style="font-size:12px;">
<li class="list-group-item">
<div class="row">
<div class="col col-xs-12">
<b>详细说明：</b>
</div>
</div>
<div class="row">
<div class="col col-xs-3">
<p class="pull-right">
下单
</p>
</div>
<div class="col col-xs-9">
<p>合约系数为正数，表示与下单方向相同；</p>
<p>合约系数为负数，表示与下单方向相反。</p>
<p>用对手价下单，超时未成交继续追平。</p>
</div>
</div>
<div class="row">
<div class="col col-xs-3">
<span class="pull-right">
挂单
</span>
</div>
<div class="col col-xs-9">
<p>挂单后若不成交且对手价已变动，则立即撤单，重新下单</p>
</div>
</div>
</li>
<li class="list-group-item">
<div class="row">
<div class="col col-xs-12">
<b>源代码：</b>
</div>
</div>
<div class="row">
<div class="col col-xs-12" id="code_container">
<pre><code class="javascript"></code></pre>
</div>
</div>
</li>
</ul>
</div>
</div>
</div>
<script type="text/javascript" src="assets/jquery.min.js"></script>
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<script type="text/javascript" src="libs/modules/tamanager.js"></script>
<script type="text/javascript" src="libs/modules/taskmanager.js"></script>
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<script type="text/javascript" src="libs/func/basefuncs.js"></script>
<script type="text/javascript" src="libs/tqsdk.js"></script>
<script type="text/javascript" id='TRADE-CODE'>
const TQ = new TQSDK();
function* TaskCombine() {
TQ.SET_STATE('START');
var weights = TQ.GET_COMBINE(TQ.UI.combine_id);
var TaskList = [];
for (var symbol in weights) {
var volume = Math.abs(Math.round(TQ.UI.volume * weights[symbol])); // 手数(四舍五入至整数)
if (volume > 0) {
var direction = weights[symbol] > 0 ? TQ.UI.direction : (TQ.UI.direction === 'SELL' ? 'BUY' : 'SELL'); // 交易方向
var offset = TQ.UI.offset;
var price_field = direction === 'SELL' ? 'bid_price1' : 'ask_price1'; // 对手价
TaskList.push(TQ.START_TASK(TaskOrder, {
symbol, offset, direction, volume, price_field,prefix: 'combine'
}));
}
}
var result = yield {
USER_CLICK_STOP: TQ.ON_CLICK('STOP'),
ALL_FINISHED: function(){
return TaskList.reduce((a, b) => a.stopped && b.stopped);
},
};
if(result.USER_CLICK_STOP){
for (var task of TaskList)
TQ.STOP_TASK(task);
TQ.CANCEL_ORDER('combine');
}
TQ.SET_STATE('STOP');
}
function* TaskOrder(order_params) {
var quote = TQ.GET_QUOTE(order_params.symbol);
order_params.limit_price = quote[order_params.price_field];
var order = TQ.INSERT_ORDER(order_params);
while (true) {
let result = yield {
ORDER_TRADE: function () { return order.volume_orign > order.volume_left; },
PRICE_CHANGED: function () {
var new_price = order_params.direction === 'SELL' ? quote.bid_price1 : quote.ask_price1;
return new_price !== order_params.limit_price;
},
};
// 错单
if (order.status == 'FINISHED' && order.exchange_order_id == '')
return 'error';
if (order.volume_left == 0)
break;
if (result.PRICE_CHANGED && order.status == "ALIVE")
TQ.CANCEL_ORDER(order);
let wait_cancel = yield {
ORDER_CANCELED: function () { return order.status == 'FINISHED'; },
};
if (order.volume_left > 0) {
order_params.limit_price = order_params.direction === 'SELL' ? quote.bid_price1 : quote.ask_price1;
order_params.volume = order.volume_left;
order = TQ.INSERT_ORDER(order_params);
}
}
}
$(function () {
$('#START').on('click', function () {
TQ.START_TASK(TaskCombine);
});
});
</script>
</body>
</html>
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