1. C++ SDK文档
  2. 典型场景
PDF下载 下载
“”关键字 0 个。
2/10

典型场景

阅读 18564

空策略

  1. //////////////////////////////////////////////////////////////////////////
  2. //空策略
  4. #include <iostream>
  5. #include "strategy.h"
  7. using namespace std;
  9. class MyStrategy :public Strategy
  10. {
  11. public:
  12.     MyStrategy() {}
  13.     ~MyStrategy(){}
  15.     //重写on_init事件，进行策略开发
  16.     void on_init()
  17.     {
  18.         cout << "on_init" << endl;
  19.         //订阅行情数据
  20.         subscribe("SHSE.600000", "tick");
  22.         return;
  23.     }
  25.     //接收tick行情事件
  26.    void on_tick(Tick *tick)
  27.    {
  28.       cout << "代码                            " << tick->symbol << endl
  29.          << "utc时间，精确到毫秒                " << tick->created_at << endl
  30.          << "最新价                            " << tick->price << endl
  31.          << "开盘价                            " << tick->open << endl
  32.          << "最高价                            " << tick->high << endl
  33.          << "最低价                            " << tick->low << endl
  34.          << "成交总量                          " << tick->cum_volume << endl
  35.          << "成交总金额 / 最新成交额, 累计值      " << tick->cum_amount << endl
  36.          << "合约持仓量(期), 累计值              " << tick->cum_position << endl
  37.          << "瞬时成交额                         " << tick->last_amount << endl
  38.          << "瞬时成交量                         " << tick->last_volume << endl
  39.          << "保留)交易类型, 对应多开, 多平等类型  " << tick->trade_type << endl
  40.          << "报价                              " << tick->quotes << endl;
  41.    }
  43. private:
  44. };
  46. int main(int argc, char *argv[])
  47. {
  48.     MyStrategy s;
  49.     s.set_strategy_id("07ea5d21-59ab-11e8-83bf-94c69161828a");
  50.     s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
  51.     s.set_mode(MODE_BACKTEST);
  52.     s.set_backtest_config("2017-07-11 14:20:00", "2017-07-11 15:30:00",1000000, 1, 0, 0, 0, 1);
  53.     s.run();
  54.     cout << "回测完成！" << endl;
  55.     getchar();
  56.     return 0;
  57. }

定时任务

  1. //////////////////////////////////////////////////////////////////////////
  2. //定时任务
  3. //策略描述：
  4. //典型如选股交易。比如，策略每日收盘前10分钟执行：选股->决策逻辑->交易->退出。可能无需订阅实时数据。
  6. #include <iostream>
  7. #include "strategy.h"
  9. using namespace std;
  11. class MyStrategy :public Strategy
  12. {
  13. public:
  14.     MyStrategy() {}
  15.     ~MyStrategy(){}
  17.     //重写on_init事件，进行策略开发
  18.     void on_init()
  19.     {
  20.         cout << "on_init" << endl;
  22.         //设置定时任务
  23.         schedule("1d","13:24:00");
  24.         return;
  25.     }
  27.     //定时任务触发事件
  28.     void on_schedule(const char *data_rule, const char *time_rule)
  29.     {
  30.         //购买200股浦发银行股票
  31.         Order o = order_volume("SHSE.600000", 200, 1, 2, 1, 0);
  32.     }
  34.     //回测完成事件
  35.     void on_backtest_finished()
  36.     {
  37.         cout << "on_backtest_finished" << endl;
  38.     }
  40.     //回测完成后收到绩效报告
  41.     void on_indicator(Indicator *indicator)
  42.     {
  43.         cout << "on_indicator" << endl
  44.             << "账号ID:       "  << indicator->account_id        << endl     
  45.             << "累计收益率:    "  << indicator->pnl_ratio         << endl              
  46.             << "年化收益率:    "  << indicator->pnl_ratio_annual  << endl              
  47.             << "夏普比率:      "  << indicator->sharp_ratio       << endl              
  48.             << "最大回撤:      "  << indicator->max_drawdown      << endl              
  49.             << "风险比率:      "  << indicator->risk_ratio        << endl              
  50.             << "开仓次数:      "  << indicator->open_count        << endl              
  51.             << "平仓次数:      "  << indicator->close_count       << endl              
  52.             << "盈利次数:      "  << indicator->win_count         << endl              
  53.             << "亏损次数:      "  << indicator->lose_count        << endl              
  54.             << "胜率:         "  << indicator->win_ratio         << endl              
  55.             << "指标创建时间:  "  << indicator->created_at        << endl                
  56.             << "指标变更时间:  "  << indicator->updated_at        << endl;
  57.     }
  59. private:
  60. };
  62. int main(int argc, char *argv[])
  63. {
  64.     MyStrategy s;
  65.     s.set_strategy_id("4727c864-84da-11e8-81b2-7085c223669d");
  66.     s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
  67.     s.set_mode(MODE_BACKTEST);
  68.     s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);
  69.     s.run();
  71.     return 0;
  72. }

数据事件驱动

  1. //////////////////////////////////////////////////////////////////////////
  2. //数据事件驱动
  3. //策略描述：
  4. //典型如选股交易策略。比如，策略每日收盘前10分钟执行：选股->决策逻辑->交易->退出。可能无需订阅实时数据
  7. #include <iostream>
  8. #include "strategy.h"
  10. using namespace std;
  12. class MyStrategy :public Strategy
  13. {
  14. public:
  15.     MyStrategy() {}
  16.     ~MyStrategy(){}
  18.     //重写on_init事件，进行策略开发
  19.     void on_init()
  20.     {
  21.         cout << "on_init" << endl;
  23.         //订阅浦发银行, bar频率为一天
  24.         subscribe("SHSE.600000", "1d");
  26.         return;
  27.     }
  29.     void on_bar(Bar *bar)
  30.     {
  31.         cout << "代码:           "   <<   bar->symbol       << endl
  32.             << "bar的开始时间:    "   <<   bar->bob          << endl
  33.             << "bar的结束时间:    "   <<   bar->eob          << endl
  34.             << "开盘价:          "   <<   bar->open         << endl
  35.             << "收盘价:          "   <<   bar->close        << endl
  36.             << "最高价:          "   <<   bar->high         << endl
  37.             << "最低价:          "   <<   bar->low          << endl
  38.             << "成交量:          "   <<   bar->volume       << endl
  39.             << "成交金额:        "   <<   bar->amount       << endl
  40.             << "前收盘价:        "   <<   bar->pre_close    << endl
  41.             << "持仓量:          "   <<   bar->position     << endl
  42.             << "bar频度:         "   <<   bar->frequency    << endl;
  43.     }
  44. private:
  45. };
  47. int main(int argc, char *argv[])
  48. {
  49.     MyStrategy s;
  50.     s.set_strategy_id("07ea5d21-59ab-11e8-83bf-94c69161828a");
  51.     s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
  52.     s.set_mode(MODE_BACKTEST);
  53.     s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);
  54.     s.run();
  55.     return 0;
  56. }

默认交易账号

  1. //////////////////////////////////////////////////////////////////////////
  2. //默认账号交易
  3. //策略描述：
  4. //默认账号进行交易，下单时不指定account
  6. #include <iostream>
  7. #include "strategy.h"
  9. using namespace std;
  11. class MyStrategy :public Strategy
  12. {
  13. public:
  14.     MyStrategy() {}
  15.     ~MyStrategy(){}
  17.     //重写on_init事件，进行策略开发
  18.     void on_init()
  19.     {
  20.         cout << "on_init" << endl;
  21.         subscribe("SHSE.600000,SZSE.000001", "1d");
  23.         return;
  24.     }
  26.     void on_bar(Bar *bar)
  27.     {
  28.         //不指定account 使用默认账户下单
  29.         order_volume(bar->symbol, 200, 1, 2, 1, 0);
  30.     }
  32.     //回测完成事件
  33.     void on_backtest_finished()
  34.     {
  35.         cout << "on_backtest_finished" << endl;
  36.     }
  38.     //回测完成后收到绩效报告
  39.     void on_indicator(Indicator *indicator)
  40.     {
  41.         cout << "on_indicator" << endl
  42.             << "账号ID:       " << indicator->account_id << endl
  43.             << "累计收益率:   " << indicator->pnl_ratio << endl
  44.             << "年化收益率:   " << indicator->pnl_ratio_annual << endl
  45.             << "夏普比率:     " << indicator->sharp_ratio << endl
  46.             << "最大回撤:     " << indicator->max_drawdown << endl
  47.             << "风险比率:     " << indicator->risk_ratio << endl
  48.             << "开仓次数:     " << indicator->open_count << endl
  49.             << "平仓次数:     " << indicator->close_count << endl
  50.             << "盈利次数:     " << indicator->win_count << endl
  51.             << "亏损次数:     " << indicator->lose_count << endl
  52.             << "胜率:         " << indicator->win_ratio << endl
  53.             << "指标创建时间:  " << indicator->created_at << endl
  54.             << "指标变更时间:  " << indicator->updated_at << endl;
  55.     }
  57. private:
  58. };
  60. int main(int argc, char *argv[])
  61. {
  62.     MyStrategy s;
  63.     s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d");
  64.     s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
  65.     s.set_mode(MODE_BACKTEST);
  66.     s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);
  67.     s.run();
  68.     return 0;
  69. }

显示指定交易账号

  1. //////////////////////////////////////////////////////////////////////////
  2. //显示指定交易账号
  3. //策略描述：
  4. //下单时指定交易账号，account参数传账号id或者账号标题
  6. #include <iostream>
  7. #include "strategy.h"
  9. using namespace std;
  11. class MyStrategy :public Strategy
  12. {
  13. public:
  14.     MyStrategy() {}
  15.     ~MyStrategy(){}
  17.     //重写on_init事件，进行策略开发
  18.     void on_init()
  19.     {
  20.         cout << "on_init" << endl;
  21.         subscribe("SHSE.600000,SZSE.000001", "1d");
  23.         return;
  24.     }
  26.     void on_bar(Bar *bar)
  27.     {
  28.         //不指定account 使用默认账户下单
  29.         order_volume(bar->symbol, 200, 1, 2, 1, 0, "ba8785aa-8641-11e8-98cb-7085c223669d");
  30.     }
  32.     //回测完成事件
  33.     void on_backtest_finished()
  34.     {
  35.         cout << "on_backtest_finished" << endl;
  36.     }
  38.     //回测完成后收到绩效报告
  39.     void on_indicator(Indicator *indicator)
  40.     {
  41.         cout << "on_indicator" << endl
  42.             << "账号ID:       " << indicator->account_id << endl
  43.             << "累计收益率:   " << indicator->pnl_ratio << endl
  44.             << "年化收益率:   " << indicator->pnl_ratio_annual << endl
  45.             << "夏普比率:     " << indicator->sharp_ratio << endl
  46.             << "最大回撤:     " << indicator->max_drawdown << endl
  47.             << "风险比率:     " << indicator->risk_ratio << endl
  48.             << "开仓次数:     " << indicator->open_count << endl
  49.             << "平仓次数:     " << indicator->close_count << endl
  50.             << "盈利次数:     " << indicator->win_count << endl
  51.             << "亏损次数:     " << indicator->lose_count << endl
  52.             << "胜率:         " << indicator->win_ratio << endl
  53.             << "指标创建时间: " << indicator->created_at << endl
  54.             << "指标变更时间: " << indicator->updated_at << endl;
  55.     }
  57. private:
  58. };
  60. int main(int argc, char *argv[])
  61. {
  62.     MyStrategy s;
  63.     s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d");
  64.     s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
  65.     s.set_mode(MODE_BACKTEST);
  66.     s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);
  67.     s.run();
  68.     return 0;
  69. }

模式选择

  1. //////////////////////////////////////////////////////////////////////////
  2. //模式选择
  3. //策略描述：
  4. //策略支持两种运行模式，实时模式和回测模式，用户需要在运行策略时选择模式，执行run函数时mode=1 表示回测模式，mode=0表示实时模式
  6. #include <iostream>
  7. #include "strategy.h"
  9. using namespace std;
  11. class MyStrategy :public Strategy
  12. {
  13. public:
  14.     MyStrategy() {}
  15.     ~MyStrategy(){}
  17.     //重写on_init事件，进行策略开发
  18.     void on_init()
  19.     {
  20.         cout << "on_init" << endl;
  21.         subscribe("SHSE.600000", "tick");
  23.         return;
  24.     }
  26.     void on_tick(Tick *tick)
  27.     {
  28.         cout << "代码:                       " << tick->symbol << endl
  29.             << "utc时间，精确到毫秒:           " << tick->created_at << endl
  30.             << "最新价:                      " << tick->price << endl
  31.             << "开盘价:                      " << tick->open << endl
  32.             << "最高价:                      " << tick->high << endl
  33.             << "最低价:                      " << tick->low << endl
  34.             << "成交总量                      " << tick->cum_volume << endl
  35.             << "成交总金额/最新成交额,累计值:   " << tick->cum_amount << endl
  36.             << "合约持仓量(期),累计值:         " << tick->cum_position << endl
  37.             << "瞬时成交额:                   " << tick->last_amount << endl
  38.             << "瞬时成交量:                   " << tick->last_volume << endl
  39.             << "交易类型,对应多开,多平等类型:   " << tick->trade_type << endl;
  40.     }
  42. private:
  43. };
  45. int main(int argc, char *argv[])
  46. {
  47.     MyStrategy s;
  48.     s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d");
  49.     s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
  50.     // mode = MODE_LIVE 实时模式
  51.     // mode = MODE_BACKTEST  回测模式, 指定回测开始时间backtest_start_time和结束时间backtest_end_time
  52.     //s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);
  54.     s.set_mode(MODE_LIVE);
  56.     s.run();
  57.     return 0;
  58. }

数据研究

  1. //////////////////////////////////////////////////////////////////////////
  2. //数据研究
  3. //策略描述：
  4. //无需实时数据驱动策略，无需交易下单，只是取数据的场景
  6. #include <iostream>
  7. #include "strategy.h"
  9. using namespace std;
  11. class MyStrategy :public Strategy
  12. {
  13. public:
  14.     MyStrategy() {}
  15.     ~MyStrategy(){}
  17.     //重写on_init事件，进行策略开发
  18.     void on_init()
  19.     {
  20.         cout << "on_init" << endl;
  22.         DataArray<Tick>* ht = history_ticks("SZSE.000002", "2017-07-11 10:20:00", "2017-07-11 10:30:00");
  23.         if (ht->status() == 0)
  24.         {
  25.             for (int i = 0; i < ht->count(); i++)
  26.             {
  27.                 cout << "代码:                              " << ht->at(i).symbol << endl
  28.                     << "utc时间，精确到毫秒:                  " << ht->at(i).created_at << endl
  29.                     << "最新价:                              " << ht->at(i).price << endl
  30.                     << "开盘价:                              " << ht->at(i).open << endl
  31.                     << "最高价:                              " << ht->at(i).high << endl
  32.                     << "最低价:                              " << ht->at(i).low << endl
  33.                     << "成交总量:                            " << ht->at(i).cum_volume << endl
  34.                     << "成交总金额 / 最新成交额, 累计值:        " << ht->at(i).cum_amount << endl
  35.                     << "合约持仓量(期), 累计值:                " << ht->at(i).cum_position << endl
  36.                     << "瞬时成交额:                           " << ht->at(i).last_amount << endl
  37.                     << "瞬时成交量:                           " << ht->at(i).last_volume << endl
  38.                     << "保留)交易类型, 对应多开, 多平等类型:    " << ht->at(i).trade_type << endl
  39.                     << "报价:                                " << ht->at(i).quotes << endl;
  40.             }
  41.         }
  43.         return;
  44.     }
  46. private:
  47. };
  49. int main(int argc, char *argv[])
  50. {
  51.     MyStrategy s;
  52.     s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d");
  53.     s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
  54.     s.set_mode(MODE_BACKTEST);
  55.     s.set_backtest_config("2017-07-11 10:20:00", "2017-07-11 10:30:00",1000000, 1, 0, 0, 0, 1);
  57.     s.run();
  58.     return 0;
  59. }
0 篇笔记
分享笔记
联系我们
掘金交流群
掘金交流群
更多群组
微信公众号
微信公众号