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典型场景

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空策略

  1. //////////////////////////////////////////////////////////////////////////
  2. //空策略
  3. using GMSDK;
  5. namespace example
  6. {
  7.     public class MyStrategy : Strategy
  8.     {
  9.         public MyStrategy(string token, string strategyId, StrategyMode mode) : base(token, strategyId, mode) { }
  11.         //重写OnInit事件，进行策略开发
  12.         public override void OnInit()
  13.         {
  14.             System.Console.WriteLine("OnInit");
  15.             //订阅行情数据
  16.             Subscribe("SHSE.600000", "tick");
  17.             return;
  18.         }
  20.         public override void OnTick(Tick tick)
  21.         {
  22.             System.Console.WriteLine("{0,-50}{1}", "代码", tick.symbol);
  23.             System.Console.WriteLine("{0,-50}{1}", "时间", tick.createdAt);
  24.             System.Console.WriteLine("{0,-50}{1}", "最新价", tick.price);
  25.             System.Console.WriteLine("{0,-50}{1}", "开盘价", tick.open);
  26.             System.Console.WriteLine("{0,-50}{1}", "最高价", tick.high);
  27.             System.Console.WriteLine("{0,-50}{1}", "最低价", tick.low);
  28.             System.Console.WriteLine("{0,-50}{1}", "成交总量", tick.cumVolume);
  29.             System.Console.WriteLine("{0,-50}{1}", "成交总额/最新成交额,累计值", tick.cumAmount);
  30.             System.Console.WriteLine("{0,-50}{1}", "合约持仓量(期), 累计值", tick.cumPosition);
  31.             System.Console.WriteLine("{0,-50}{1}", "瞬时成交额", tick.lastAmount);
  32.             System.Console.WriteLine("{0,-50}{1}", "瞬时成交量", tick.lastVolume);
  33.             System.Console.WriteLine("{0,-50}{1}", "(保留)交易类型, 对应多开, 多平等类型", tick.tradeType);
  34.             System.Console.WriteLine("{0,-50}{1}", "一档委买价", tick.quotes[0].bidPrice);
  35.             System.Console.WriteLine("{0,-50}{1}", "一档委买量", tick.quotes[0].bidVolume);
  36.             System.Console.WriteLine("{0,-50}{1}", "一档委卖价", tick.quotes[0].askPrice);
  37.             System.Console.WriteLine("{0,-50}{1}", "一档委卖量", tick.quotes[0].askVolume);
  38.         }
  39.     }
  40.     class Program
  41.     {
  42.         static void Main(string[] args)
  43.         {
  44.             MyStrategy s = new MyStrategy("27cbdfd8cd9b86dea554a5612baa4a8eee51af79", "536f1097-8b27-11e8-b6af-94c69161828a", StrategyMode.MODE_BACKTEST);
  45.             s.SetBacktestConfig("2017-07-25 8:20:00", "2018-07-25 17:30:00");
  46.             s.Run();
  47.             System.Console.WriteLine("回测完成！");
  48.             System.Console.Read();
  49.         }
  50.     }
  51. }

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. using GMSDK;
  8. namespace example_schedule
  9. {
  10.     public class MyStrategy : Strategy
  11.     {
  12.         public MyStrategy(string token, string strategyId, StrategyMode mode) : base(token, strategyId, mode) { }
  14.         //重写OnInit事件，进行策略开发
  15.         public override void OnInit()
  16.         {
  17.             System.Console.WriteLine("OnInit");
  19.             //设置定时任务
  20.             Schedule("1d", "13:24:00");
  21.             return;
  22.         }
  24.         //定时任务触发事件
  25.         public override void OnSchedule(string data_rule, string timeRule)
  26.         {
  27.             //购买200股浦发银行股票
  28.             GMData<Order> o = OrderValue("SHSE.600000", 200, OrderSide.OrderSide_Buy, OrderType.OrderType_Market, PositionEffect.PositionEffect_Open, 0);
  29.             if (o.status == 0)   //该判断仅表示函数调用无异常
  30.             {
  31.                 //
  32.             }
  33.         }
  35.         //回测完成后收到绩效报告
  36.         public override void OnBacktestFinished(Indicator indicator)
  37.         {
  38.             System.Console.WriteLine("OnBacktestFinished：");
  39.             System.Console.WriteLine("{0,-50}{1}", "账号ID：", indicator.accountId);
  40.             System.Console.WriteLine("{0,-50}{1}", "累计收益率：", indicator.pnlRatio);
  41.             System.Console.WriteLine("{0,-50}{1}", "年化收益率：", indicator.pnlRatioAnnual);
  42.             System.Console.WriteLine("{0,-50}{1}", "夏普比率：", indicator.sharpRatio);
  43.             System.Console.WriteLine("{0,-50}{1}", "最大回撤：", indicator.maxDrawdown);
  44.             System.Console.WriteLine("{0,-50}{1}", "风险比率：", indicator.riskRatio);
  45.             System.Console.WriteLine("{0,-50}{1}", "开仓次数：", indicator.openCount);
  46.             System.Console.WriteLine("{0,-50}{1}", "平仓次数：", indicator.closeCount);
  47.             System.Console.WriteLine("{0,-50}{1}", "盈利次数：", indicator.winCount);
  48.             System.Console.WriteLine("{0,-50}{1}", "亏损次数：", indicator.loseCount);
  49.             System.Console.WriteLine("{0,-50}{1}", "胜率：", indicator.winRatio);
  50.             System.Console.WriteLine("{0,-50}{1}", "指标创建时间：", indicator.createdAt);
  51.             System.Console.WriteLine("{0,-50}{1}", "指标变更时间：", indicator.updatedAt);
  52.         }
  53.     }
  54.     class Program
  55.     {
  56.         static void Main(string[] args)
  57.         {
  58.             MyStrategy s = new MyStrategy("27cbdfd8cd9b86dea554a5612baa4a8eee51af79", "536f1097 - 8b27 - 11e8 - b6af - 94c69161828a", StrategyMode.MODE_BACKTEST);
  59.             s.SetBacktestConfig("2016-07-11 17:20:00", "2017-07-11 17:30:00");
  60.             s.Run();
  61.             System.Console.WriteLine("回测完成！");
  62.             System.Console.Read();
  63.         }
  64.     }
  65. }

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
  6. using GMSDK;
  8. namespace example_dataevent
  9. {
  10.     public class MyStrategy : Strategy
  11.     {
  12.         public MyStrategy(string token, string strategyId, StrategyMode mode) : base(token, strategyId, mode) { }
  14.         //重写OnInit事件， 进行策略开发
  15.         public override void OnInit()
  16.         {
  17.             System.Console.WriteLine("OnInit");
  19.             //订阅浦发银行，bar频率为一天
  20.             Subscribe("SHSE.600000", "1d");
  21.             return;
  22.         }
  24.         //重写OnBar事件
  25.         public override void OnBar(Bar bar)
  26.         {
  27.             System.Console.WriteLine("OnBar：");
  28.             System.Console.WriteLine("{0, -50}{1}", "代码：", bar.symbol);
  29.             System.Console.WriteLine("{0, -50}{1}", "bar的开始时间：", bar.bob);
  30.             System.Console.WriteLine("{0, -50}{1}", "bar的结束时间：", bar.eob);
  31.             System.Console.WriteLine("{0, -50}{1}", "开盘价：", bar.open);
  32.             System.Console.WriteLine("{0, -50}{1}", "收盘价：", bar.close);
  33.             System.Console.WriteLine("{0, -50}{1}", "最高价：", bar.high);
  34.             System.Console.WriteLine("{0, -50}{1}", "最低价：", bar.low);
  35.             System.Console.WriteLine("{0, -50}{1}", "成交量：", bar.volume);
  36.             System.Console.WriteLine("{0, -50}{1}", "成交金额：", bar.amount);
  37.             System.Console.WriteLine("{0, -50}{1}", "前收盘价：", bar.preClose);
  38.             System.Console.WriteLine("{0, -50}{1}", "持仓量：", bar.position);
  39.             System.Console.WriteLine("{0, -50}{1}", "bar频度：", bar.frequency);
  40.         }
  41.     }
  42.     class Program
  43.     { 
  44.         static void Main(string[] args)
  45.         {
  46.             MyStrategy s = new MyStrategy("27cbdfd8cd9b86dea554a5612baa4a8eee51af79", "536f1097 - 8b27 - 11e8 - b6af - 94c69161828a", StrategyMode.MODE_BACKTEST);
  47.             s.SetBacktestConfig("2016-07-11 17:20:00", "2017-07-11 17:30:00");
  48.             s.Run();
  49.             System.Console.WriteLine("回测完成！");
  50.             System.Console.Read();
  51.         }
  52.     }
  53. }

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. using GMSDK;
  8. namespace example_defaccount
  9. {
  10.     public class MyStrategy : Strategy
  11.     {
  12.         public MyStrategy(string token, string strategyId, StrategyMode mode) : base(token, strategyId, mode) { }
  14.         //重写OnInit事件，进行策略开发
  15.         public override void OnInit()
  16.         {
  17.             System.Console.WriteLine("OnInit");
  18.             Subscribe("SHSE.600000,SZSE.000001", "1d");
  20.             return;
  21.         }
  23.         //重写OnBar事件
  24.         public override void OnBar(Bar bar)
  25.         {
  26.             //不指定account 使用默认账户下单
  27.             OrderVolume(bar.symbol, 200, OrderSide.OrderSide_Buy, OrderType.OrderType_Market, PositionEffect.PositionEffect_Open, 0);
  28.         }
  30.         //回测完成后收到绩效报告
  31.         public override void OnBacktestFinished(Indicator indicator)
  32.         {
  33.             System.Console.WriteLine("OnBacktestFinished：");
  34.             System.Console.WriteLine("{0,-50}{1}", "账号ID：", indicator.accountId);
  35.             System.Console.WriteLine("{0,-50}{1}", "累计收益率：", indicator.pnlRatio);
  36.             System.Console.WriteLine("{0,-50}{1}", "年化收益率：", indicator.pnlRatioAnnual);
  37.             System.Console.WriteLine("{0,-50}{1}", "夏普比率：", indicator.sharpRatio);
  38.             System.Console.WriteLine("{0,-50}{1}", "最大回撤：", indicator.maxDrawdown);
  39.             System.Console.WriteLine("{0,-50}{1}", "风险比率：", indicator.riskRatio);
  40.             System.Console.WriteLine("{0,-50}{1}", "开仓次数：", indicator.openCount);
  41.             System.Console.WriteLine("{0,-50}{1}", "平仓次数：", indicator.closeCount);
  42.             System.Console.WriteLine("{0,-50}{1}", "盈利次数：", indicator.winCount);
  43.             System.Console.WriteLine("{0,-50}{1}", "亏损次数：", indicator.loseCount);
  44.             System.Console.WriteLine("{0,-50}{1}", "胜率：", indicator.winRatio);
  45.             System.Console.WriteLine("{0,-50}{1}", "指标创建时间：", indicator.createdAt);
  46.             System.Console.WriteLine("{0,-50}{1}", "指标变更时间：", indicator.updatedAt);
  47.         }
  48.     }
  49.     class Program
  50.     {
  51.         static void Main(string[] args)
  52.         {
  53.             MyStrategy s = new MyStrategy("27cbdfd8cd9b86dea554a5612baa4a8eee51af79", "536f1097 - 8b27 - 11e8 - b6af - 94c69161828a", StrategyMode.MODE_BACKTEST);
  54.             s.SetBacktestConfig("2016-07-11 17:20:00", "2017-07-11 17:30:00");
  55.             s.Run();
  56.             System.Console.WriteLine("回测完成！");
  57.             System.Console.Read();
  58.         }
  59.     }
  60. }

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
  7. using GMSDK;
  9. namespace example_defaccount
  10. {
  11.     public class MyStrategy : Strategy
  12.     {
  13.         public MyStrategy(string token, string strategyId, StrategyMode mode) : base(token, strategyId, mode) { }
  15.         //重写OnInit事件，进行策略开发
  16.         public override void OnInit()
  17.         {
  18.             System.Console.WriteLine("OnInit");
  19.             Subscribe("SHSE.600000,SZSE.000001", "1d");
  21.             return;
  22.         }
  24.         //重写OnBar事件
  25.         public override void OnBar(Bar bar)
  26.         {
  27.             //不指定account 使用默认账户下单
  28.             OrderVolume(bar.symbol, 200, OrderSide.OrderSide_Buy, OrderType.OrderType_Market, PositionEffect.PositionEffect_Open, 0, ba8785aa-8641-11e8-98cb-7085c223669d);
  29.         }
  31.         //回测完成后收到绩效报告
  32.         public override void OnBacktestFinished(Indicator indicator)
  33.         {
  34.             System.Console.WriteLine("OnIndicator：");
  35.             System.Console.WriteLine("{0,-50}{1}", "账号ID：", indicator.accountId);
  36.             System.Console.WriteLine("{0,-50}{1}", "累计收益率：", indicator.pnlRatio);
  37.             System.Console.WriteLine("{0,-50}{1}", "年化收益率：", indicator.pnlRatioAnnual);
  38.             System.Console.WriteLine("{0,-50}{1}", "夏普比率：", indicator.sharpRatio);
  39.             System.Console.WriteLine("{0,-50}{1}", "最大回撤：", indicator.maxDrawdown);
  40.             System.Console.WriteLine("{0,-50}{1}", "风险比率：", indicator.riskRatio);
  41.             System.Console.WriteLine("{0,-50}{1}", "开仓次数：", indicator.openCount);
  42.             System.Console.WriteLine("{0,-50}{1}", "平仓次数：", indicator.closeCount);
  43.             System.Console.WriteLine("{0,-50}{1}", "盈利次数：", indicator.winCount);
  44.             System.Console.WriteLine("{0,-50}{1}", "亏损次数：", indicator.loseCount);
  45.             System.Console.WriteLine("{0,-50}{1}", "胜率：", indicator.winRatio);
  46.             System.Console.WriteLine("{0,-50}{1}", "指标创建时间：", indicator.createdAt);
  47.             System.Console.WriteLine("{0,-50}{1}", "指标变更时间：", indicator.updatedAt);
  48.         }
  49.     }
  50.     class Program
  51.     {
  52.         static void Main(string[] args)
  53.         {
  54.             MyStrategy s = new MyStrategy("27cbdfd8cd9b86dea554a5612baa4a8eee51af79", "536f1097 - 8b27 - 11e8 - b6af - 94c69161828a", StrategyMode.MODE_BACKTEST);
  55.             s.SetBacktestConfig("2016-07-11 17:20:00", "2017-07-11 17:30:00");
  56.             s.Run();
  57.             System.Console.WriteLine("回测完成！");
  58.             System.Console.Read();
  59.         }
  60.     }
  61. }

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，实例化策略参数mode=MODE_BACKTEST 表示回测模式，mode=MODE_LIVE表示实时模式
  6. using GMSDK;
  8. namespace example
  9. {
  10.     public class MyStrategy : Strategy
  11.     {
  12.         public MyStrategy(string token, string strategyId, StrategyMode mode) : base(token, strategyId, mode) { }
  14.         //重写OnInit事件，进行策略开发
  15.         public override void OnInit()
  16.         {
  17.             System.Console.WriteLine("OnInit");
  18.             //订阅行情数据
  19.             Subscribe("SHSE.600000", "tick");
  20.             return;
  21.         }
  23.         public override void OnTick(Tick tick)
  24.         {
  25.             System.Console.WriteLine("{0,-50}{1}", "代码", tick.symbol);
  26.             System.Console.WriteLine("{0,-50}{1}", "时间", tick.createdAt);
  27.             System.Console.WriteLine("{0,-50}{1}", "最新价", tick.price);
  28.             System.Console.WriteLine("{0,-50}{1}", "开盘价", tick.open);
  29.             System.Console.WriteLine("{0,-50}{1}", "最高价", tick.high);
  30.             System.Console.WriteLine("{0,-50}{1}", "最低价", tick.low);
  31.             System.Console.WriteLine("{0,-50}{1}", "成交总量", tick.cumVolume);
  32.             System.Console.WriteLine("{0,-50}{1}", "成交总额/最新成交额,累计值", tick.cumAmount);
  33.             System.Console.WriteLine("{0,-50}{1}", "合约持仓量(期), 累计值", tick.cumPosition);
  34.             System.Console.WriteLine("{0,-50}{1}", "瞬时成交额", tick.lastAmount);
  35.             System.Console.WriteLine("{0,-50}{1}", "瞬时成交量", tick.lastVolume);
  36.             System.Console.WriteLine("{0,-50}{1}", "(保留)交易类型, 对应多开, 多平等类型", tick.tradeType);
  37.             System.Console.WriteLine("{0,-50}{1}", "一档委买价", tick.quotes[0].bidPrice);
  38.             System.Console.WriteLine("{0,-50}{1}", "一档委买量", tick.quotes[0].bidVolume);
  39.             System.Console.WriteLine("{0,-50}{1}", "一档委卖价", tick.quotes[0].askPrice);
  40.             System.Console.WriteLine("{0,-50}{1}", "一档委卖量", tick.quotes[0].askVolume);
  41.         }
  42.     }
  43.     class Program
  44.     {
  45.         static void Main(string[] args)
  46.         {
  47.             MyStrategy s = new MyStrategy("27cbdfd8cd9b86dea554a5612baa4a8eee51af79", "536f1097-8b27-11e8-b6af-94c69161828a", StrategyMode.MODE_LIVE);
  48.             s.Run();
  49.             System.Console.Read();
  50.         }
  51.     }
  52. }

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. using GMSDK;
  8. namespace example_datares
  9. {
  10.     public class MyStrategy : Strategy
  11.     {
  12.         public MyStrategy(string token, string strategyId, StrategyMode mode) : base(token, strategyId, mode) { }
  14.         //重写OnInit事件，进行策略开发
  15.         public override void OnInit()
  16.         {
  17.             System.Console.WriteLine("OnInit");
  19.             GMDataList<Tick> ht = GMApi.HistoryTicks("SZSE.000002", "2017-07-11 10:20:00", "2017-07-11 10:30:00");
  20.             if (ht.status == 0)
  21.             {
  22.                 foreach (var tick in ht.data)
  23.                 {
  24.                     System.Console.WriteLine("{0,-50}{1}", "代码", tick.symbol);
  25.                     System.Console.WriteLine("{0,-50}{1}", "时间", tick.createdAt);
  26.                     System.Console.WriteLine("{0,-50}{1}", "最新价", tick.price);
  27.                     System.Console.WriteLine("{0,-50}{1}", "开盘价", tick.open);
  28.                     System.Console.WriteLine("{0,-50}{1}", "最高价", tick.high);
  29.                     System.Console.WriteLine("{0,-50}{1}", "最低价", tick.low);
  30.                     System.Console.WriteLine("{0,-50}{1}", "成交总量", tick.cumVolume);
  31.                     System.Console.WriteLine("{0,-50}{1}", "成交总额/最新成交额,累计值", tick.cumAmount);
  32.                     System.Console.WriteLine("{0,-50}{1}", "合约持仓量(期), 累计值", tick.cumPosition);
  33.                     System.Console.WriteLine("{0,-50}{1}", "瞬时成交额", tick.lastAmount);
  34.                     System.Console.WriteLine("{0,-50}{1}", "瞬时成交量", tick.lastVolume);
  35.                     System.Console.WriteLine("{0,-50}{1}", "(保留)交易类型, 对应多开, 多平等类型", tick.tradeType);
  36.                     System.Console.WriteLine("{0,-50}{1}", "一档委买价", tick.quotes[0].bidPrice);
  37.                     System.Console.WriteLine("{0,-50}{1}", "一档委买量", tick.quotes[0].bidVolume);
  38.                     System.Console.WriteLine("{0,-50}{1}", "一档委卖价", tick.quotes[0].askPrice);
  39.                     System.Console.WriteLine("{0,-50}{1}", "一档委卖量", tick.quotes[0].askVolume);
  40.                 }
  41.             }
  42.             return;
  43.         }
  44.     }
  45.     class Program
  46.     {
  47.         static void Main(string[] args)
  48.         {
  49.             MyStrategy s = new MyStrategy("27cbdfd8cd9b86dea554a5612baa4a8eee51af79", "536f1097-8b27-11e8-b6af-94c69161828a", StrategyMode.MODE_BACKTEST);
  50.             s.SetBacktestConfig("2017-07-25 8:20:00", "2018-07-25 17:30:00");
  51.             s.Run();
  52.             System.Console.Read();
  53.         }
  54.     }
  55. }
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