大单拆分策略¶
策略说明¶
买入的报单价总是在买 1 价，卖出的报单价总是在卖 1 价。
下单手数为最大单笔手数，最后剩余手数小于最大单笔手数时，下单手数为最后剩余的手数。
挂单后若不成交且挂盘价已变动，则立即撤单。
挂单若成交，则补平挂单手数至最大单笔手数，最后剩余手数小于最大单笔手数时，下单手数为最后剩余的手数。
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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 | <!DOCTYPE html>
<html lang="en">
<head>
<meta charset="utf-8">
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<title>天勤-交易-大单拆分</title>
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<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-flTQ.UId main-container">
<div class="panel panel-default">
<div class="panel-heading">
<h3 class="panel-title">
大单拆分入场策略
<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">
合约代码
</span>
</div>
<div class="col col-xs-9">
<input type="text" class="form-control input-sm" id="symbol" placeholder="合约代码" value='DCE.c1901'>
</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>
</div>
</div>
<div class="row">
<div class="col col-xs-3">
<span class="pull-right">
总下单手数
</span>
</div>
<div class="col col-xs-9">
<input type="number" id='all_volume' class="form-control input-sm" value="60">
</div>
</div>
<div class="row">
<div class="col col-xs-3">
<span class="pull-right">
最大单笔手数
</span>
</div>
<div class="col col-xs-9">
<input type="number" id='max_one_volume' class="form-control input-sm" value="20">
</div>
</div>
<div class="row">
<div class="col col-xs-3">
<span class="pull-right">
价格区间
</span>
</div>
<div class="col col-xs-4">
<input type="number" id='price_from' class="form-control input-sm" value="1000">
</div>
<div class="col col-xs-1">
<span class="pull-right">
至
</span>
</div>
<div class="col col-xs-4">
<input type="number" id='price_to' class="form-control input-sm" value="6000">
</div>
</div>
<div class="row">
<div class="col col-xs-3">
<span class="pull-right">
当前价格
</span>
</div>
<div class="col col-xs-9">
<span id='instrument_id'></span> 买价:
<span id='bid_price1'></span>
最新价:
<span id='last_price'></span>
卖价:
<span id='ask_price1'></span>
</div>
</div>
</li>
<li class="list-group-item">
<div class="row">
<div class="col col-xs-4">
<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> 开始
</button>
<button type="button" class="btn btn-default STOP" id='STOP'>
<span class="glyphicon glyphicon-stop"></span> 停止
</button>
</div>
</div>
</div>
<div class="col col-xs-8">
已成交
<span id='traded_volume'></span> 手，均价
<span id='traded_avgprice'></span> 。
</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：本策略将一个较大的下单手数分解为多笔下单, 每笔挂单都按照当前挂单价格报出, 一旦有部分手数成交, 会继续挂出新的委托单, 直至达到预期手数为止.
<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>买入的报单价总是在买 1 价。</p>
<p>卖出的报单价总是在卖 1 价。</p>
<p>下单手数为最大单笔手数，最后剩余手数小于最大单笔手数时，下单手数为最后剩余的手数。</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>挂单后若不成交且挂盘价已变动，则立即撤单。</p>
<p>挂单若成交，则补平挂单手数至最大单笔手数，最后剩余手数小于最大单笔手数时，下单手数为最后剩余的手数。</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>
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<script type="text/javascript" src="libs/tqsdk.js"></script>
<script type="text/javascript" id='TRADE-CODE'>
const TQ = new TQSDK();
function* TaskQuote() {
while (true) {
let quote = TQ.GET_QUOTE(TQ.UI.symbol);
TQ.UI(quote);
let result = yield {
UPDATED_QUOTE: function () { return TQ.IS_CHANGING(quote) },
CHANGED: TQ.ON_CHANGE('symbol')
};
}
}
function* TaskSplit() {
TQ.SET_STATE('START');
let quote = TQ.GET_QUOTE(TQ.UI.symbol);
let max_price = Math.max(TQ.UI.price_from, TQ.UI.price_to);
let min_price = Math.min(TQ.UI.price_from, TQ.UI.price_to);
// 价格设定为跟盘价格
let price_field = (TQ.UI.direction === 'SELL') ? 'ask_price1' : 'bid_price1';
let order_params = Object.assign(TQ.UI());
let order = null;
let total_volume = TQ.UI.all_volume; //总共要成交的手数, 一直不变
let traded_volume = 0; //确定已成交的手数
let traded_cost = 0;
while(true){
TQ.UI({ traded_volume, traded_avgprice: traded_cost/traded_volume}); // 更新显示已成交手数、已成交均价
if (traded_volume >= total_volume)
break;
//符合下单条件时下单
if (order == null && quote[price_field] <= max_price && quote[price_field] >= min_price) {
order_params.volume = Math.min(total_volume - traded_volume, TQ.UI.max_one_volume);
if (order_params.volume > 0) {
order_params.limit_price = quote[price_field]; // 设置价格
order = TQ.INSERT_ORDER(order_params);
}
}
let result = yield {
PRICE_CHANGED: function () { return quote[price_field] !== order_params.limit_price },
ORDER_CHANGED: function () {return TQ.IS_CHANGING(order)},
USER_CLICK_STOP: TQ.ON_CLICK('STOP')
};
if (order && order.status == "FINISHED"){
traded_cost += order.limit_price * (order.volume_orign - order.volume_left);
traded_volume += (order.volume_orign - order.volume_left) ;
order = null;
}
if (result.PRICE_CHANGED && order && order.status == "ALIVE"){
TQ.CANCEL_ORDER(order);
}
if (result.USER_CLICK_STOP){
TQ.CANCEL_ORDER(order);
break;
}
}
// 任务结束
TQ.SET_STATE('STOP');
}
$(function () {
TQ.START_TASK(TaskQuote);
// 开始交易按钮
$('button.START').on('click', function () {
TQ.START_TASK(TaskSplit);
});
});
</script>
</body>
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