# 快速开始

# 指引

# 快速新建策略

打开终端后，登陆掘金账号点击研究策略，新建策略或者点击右上角新建策略
新建一个典型默认账号交易策略新建 C++的默认账号交易策略

# 编译策略

打开新建策略文件目录策略文件目录内容可以拷贝到本地其他盘符也可以进行编译生成
策略文件说明： gmskd： sdk 目录 Stretegy：策略源码目录 readme.txt 说明文件
打开工程文件 sln 文件需要用 visual studio 打开工程文件
编写策略打开 main.c 文件，可进行策略编辑编译并运行策略
查看运行结果掘金客户端中关闭新建策略窗口并打开回测结果列表查看回测结果回测相关数据指标

# 策略框架应该是这样的

继承策略基类
重改关注事件
在 on_init 里订阅行情，初始化
在 main 里实例化一个派生类对像
设置 token,策略 id,和 mode
开始运行

# 继承策略基类

class MyStrategy :public Strategy
{
public:
	MyStrategy() {}
	~MyStrategy(){}
private:
};

# 重改关注事件

class MyStrategy :public Strategy
{
public:
	MyStrategy() {}
	~MyStrategy(){}

	//重写on_init事件，进行策略开发
	void on_init()
	{
		cout << "on_init" << endl;

		return;
	}
private:
};

# 在 on_init 里订阅行情，初始化

class MyStrategy :public Strategy
{
public:
	MyStrategy() {}
	~MyStrategy(){}

	//重写on_init事件，进行策略开发
	void on_init()
	{
		cout << "on_init" << endl;
		subscribe("SHSE.600000", "tick");
		return;
	}
private:
};

# 在 main 里实例化一个派生类对像

MyStrategy s;

# 设置 token,策略 id和mode

获取 token：打开客户端->点击右上角用户头像 -> 系统设置 -> 复制 token
获取策略 id：打开客户端->策略研究->右上角新建策略->新建 C/C++策略->复制策略 ID
策略模式： MODE_LIVE(实时)=1 MODE_BACKTEST(回测)=2

//设置策略id
s.set_strategy_id("strategy_id");
//设置token
s.set_token("token");
//设置回测模式
s.set_mode(MODE_BACKTEST);
//回测模式相关设置
s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00", 1000000, 1, 0, 0, 0, 1);

# 开始运行

s.run();

# 订阅行情策略示例

# 源文件

#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
	MyStrategy() {}
	~MyStrategy(){}

	//重写on_init事件，进行策略开发
	void on_init()
	{
		cout << "on_init" << endl;
		//订阅行情数据
		subscribe("SHSE.600000", "tick");

		return;
	}

   //接收tick行情事件
   void on_tick(Tick *tick)
   {
      cout<< "代码                            " << tick->symbol << endl
         << "utc时间,精确到毫秒                " << tick->created_at << endl
         << "最新价                           " << tick->price << endl
         << "开盘价                           " << tick->open << endl
         << "最高价                           " << tick->high << endl
         << "最低价                           " << tick->low << endl
         << "成交总量                         " << tick->cum_volume << endl
         << "成交总金额 / 最新成交额, 累计值     " << tick->cum_amount << endl
         << "合约持仓量(期), 累计值             " << tick->cum_position << endl
         << "瞬时成交额                        " << tick->last_amount << endl
         << "瞬时成交量                        " << tick->last_volume << endl
         << "保留)交易类型, 对应多开, 多平等类型 " << tick->trade_type << endl
         << "报价                             " << tick->quotes << endl;
   }

private:
};

int main(int argc, char *argv[])
{
	MyStrategy s;
	s.set_strategy_id("07ea5d21-59ab-11e8-83bf-94c69161828a");
	s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
	s.set_mode(MODE_BACKTEST);
	s.set_backtest_config("2017-07-11 14:20:00", "2017-07-11 15:30:00",
		1000000, 1, 0, 0, 0, 1);
	s.run();
	cout << "回测完成！" << endl;
	getchar();
	return 0;
}

# 典型场景

# 空策略

//////////////////////////////////////////////////////////////////////////
//空策略

#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
	MyStrategy() {}
	~MyStrategy(){}

	//重写on_init事件，进行策略开发
	void on_init()
	{
		cout << "on_init" << endl;
		//订阅行情数据
		subscribe("SHSE.600000", "tick");

		return;
	}

	//接收tick行情事件
   void on_tick(Tick *tick)
   {
      cout << "代码                            " << tick->symbol << endl
         << "utc时间，精确到毫秒                " << tick->created_at << endl
         << "最新价                            " << tick->price << endl
         << "开盘价                            " << tick->open << endl
         << "最高价                            " << tick->high << endl
         << "最低价                            " << tick->low << endl
         << "成交总量                          " << tick->cum_volume << endl
         << "成交总金额 / 最新成交额, 累计值      " << tick->cum_amount << endl
         << "合约持仓量(期), 累计值              " << tick->cum_position << endl
         << "瞬时成交额                         " << tick->last_amount << endl
         << "瞬时成交量                         " << tick->last_volume << endl
         << "保留)交易类型, 对应多开, 多平等类型  " << tick->trade_type << endl
         << "报价                              " << tick->quotes << endl;
   }

private:
};

int main(int argc, char *argv[])
{
	MyStrategy s;
	s.set_strategy_id("07ea5d21-59ab-11e8-83bf-94c69161828a");
	s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
	s.set_mode(MODE_BACKTEST);
	s.set_backtest_config("2017-07-11 14:20:00", "2017-07-11 15:30:00",1000000, 1, 0, 0, 0, 1);
	s.run();
	cout << "回测完成！" << endl;
	getchar();
	return 0;
}

# 定时任务

//////////////////////////////////////////////////////////////////////////
//定时任务
//策略描述：
//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。

#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
	MyStrategy() {}
	~MyStrategy(){}

	//重写on_init事件，进行策略开发
	void on_init()
	{
		cout << "on_init" << endl;

		//设置定时任务
		schedule("1d","13:24:00");
		return;
	}

	//定时任务触发事件
	void on_schedule(const char *data_rule, const char *time_rule)
	{
		//购买200股浦发银行股票
		Order o = order_volume("SHSE.600000", 200, 1, 2, 1, 0);
	}

	//回测完成事件
	void on_backtest_finished()
	{
		cout << "on_backtest_finished" << endl;
	}

	//回测完成后收到绩效报告
	void on_indicator(Indicator *indicator)
	{
		cout << "on_indicator" << endl
			<< "账号ID:       "  << indicator->account_id        << endl
			<< "累计收益率:    "  << indicator->pnl_ratio         << endl
			<< "年化收益率:    "  << indicator->pnl_ratio_annual  << endl
			<< "夏普比率:      "  << indicator->sharp_ratio       << endl
			<< "最大回撤:      "  << indicator->max_drawdown      << endl
			<< "风险比率:      "  << indicator->risk_ratio        << endl
			<< "开仓次数:      "  << indicator->open_count        << endl
			<< "平仓次数:      "  << indicator->close_count       << endl
			<< "盈利次数:      "  << indicator->win_count         << endl
			<< "亏损次数:      "  << indicator->lose_count        << endl
			<< "胜率:         "  << indicator->win_ratio         << endl
			<< "指标创建时间:  "  << indicator->created_at        << endl
			<< "指标变更时间:  "  << indicator->updated_at        << endl;
	}

private:
};

int main(int argc, char *argv[])
{
	MyStrategy s;
	s.set_strategy_id("4727c864-84da-11e8-81b2-7085c223669d");
	s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
	s.set_mode(MODE_BACKTEST);
	s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);
	s.run();

	return 0;
}

# 数据事件驱动

//////////////////////////////////////////////////////////////////////////
//数据事件驱动
//策略描述：
//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


#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
	MyStrategy() {}
	~MyStrategy(){}

	//重写on_init事件，进行策略开发
	void on_init()
	{
		cout << "on_init" << endl;

		//订阅浦发银行, bar频率为一天
		subscribe("SHSE.600000", "1d");

		return;
	}

	void on_bar(Bar *bar)
	{
		cout << "代码:           "   <<   bar->symbol       << endl
			<< "bar的开始时间:    "   <<   bar->bob          << endl
			<< "bar的结束时间:    "   <<   bar->eob          << endl
			<< "开盘价:          "   <<   bar->open         << endl
			<< "收盘价:          "   <<   bar->close        << endl
			<< "最高价:          "   <<   bar->high         << endl
			<< "最低价:          "   <<   bar->low          << endl
			<< "成交量:          "   <<   bar->volume       << endl
			<< "成交金额:        "   <<   bar->amount       << endl
			<< "前收盘价:        "   <<   bar->pre_close    << endl
			<< "持仓量:          "   <<   bar->position     << endl
			<< "bar频度:         "   <<   bar->frequency    << endl;
	}
private:
};

int main(int argc, char *argv[])
{
	MyStrategy s;
	s.set_strategy_id("07ea5d21-59ab-11e8-83bf-94c69161828a");
	s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
	s.set_mode(MODE_BACKTEST);
	s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);
	s.run();
	return 0;
}

# 默认交易账号

//////////////////////////////////////////////////////////////////////////
//默认账号交易
//策略描述：
//默认账号进行交易，下单时不指定account

#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
	MyStrategy() {}
	~MyStrategy(){}

	//重写on_init事件，进行策略开发
	void on_init()
	{
		cout << "on_init" << endl;
		subscribe("SHSE.600000,SZSE.000001", "1d");

		return;
	}

	void on_bar(Bar *bar)
	{
		//不指定account 使用默认账户下单
		order_volume(bar->symbol, 200, 1, 2, 1, 0);
	}

	//回测完成事件
	void on_backtest_finished()
	{
		cout << "on_backtest_finished" << endl;
	}

	//回测完成后收到绩效报告
	void on_indicator(Indicator *indicator)
	{
		cout << "on_indicator" << endl
			<< "账号ID:       " << indicator->account_id << endl
			<< "累计收益率:   " << indicator->pnl_ratio << endl
			<< "年化收益率:   " << indicator->pnl_ratio_annual << endl
			<< "夏普比率:     " << indicator->sharp_ratio << endl
			<< "最大回撤:     " << indicator->max_drawdown << endl
			<< "风险比率:     " << indicator->risk_ratio << endl
			<< "开仓次数:     " << indicator->open_count << endl
			<< "平仓次数:     " << indicator->close_count << endl
			<< "盈利次数:     " << indicator->win_count << endl
			<< "亏损次数:     " << indicator->lose_count << endl
			<< "胜率:         " << indicator->win_ratio << endl
			<< "指标创建时间:  " << indicator->created_at << endl
			<< "指标变更时间:  " << indicator->updated_at << endl;
	}

private:
};

int main(int argc, char *argv[])
{
	MyStrategy s;
	s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d");
	s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
	s.set_mode(MODE_BACKTEST);
	s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);
	s.run();
	return 0;
}

# 显示指定交易账号

//////////////////////////////////////////////////////////////////////////
//显示指定交易账号
//策略描述：
//下单时指定交易账号，account参数传账号id或者账号标题

#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
	MyStrategy() {}
	~MyStrategy(){}

	//重写on_init事件，进行策略开发
	void on_init()
	{
		cout << "on_init" << endl;
		subscribe("SHSE.600000,SZSE.000001", "1d");

		return;
	}

	void on_bar(Bar *bar)
	{
		//不指定account 使用默认账户下单
		order_volume(bar->symbol, 200, 1, 2, 1, 0, "ba8785aa-8641-11e8-98cb-7085c223669d");
	}

	//回测完成事件
	void on_backtest_finished()
	{
		cout << "on_backtest_finished" << endl;
	}

	//回测完成后收到绩效报告
	void on_indicator(Indicator *indicator)
	{
		cout << "on_indicator" << endl
			<< "账号ID:       " << indicator->account_id << endl
			<< "累计收益率:   " << indicator->pnl_ratio << endl
			<< "年化收益率:   " << indicator->pnl_ratio_annual << endl
			<< "夏普比率:     " << indicator->sharp_ratio << endl
			<< "最大回撤:     " << indicator->max_drawdown << endl
			<< "风险比率:     " << indicator->risk_ratio << endl
			<< "开仓次数:     " << indicator->open_count << endl
			<< "平仓次数:     " << indicator->close_count << endl
			<< "盈利次数:     " << indicator->win_count << endl
			<< "亏损次数:     " << indicator->lose_count << endl
			<< "胜率:         " << indicator->win_ratio << endl
			<< "指标创建时间: " << indicator->created_at << endl
			<< "指标变更时间: " << indicator->updated_at << endl;
	}

private:
};

int main(int argc, char *argv[])
{
	MyStrategy s;
	s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d");
	s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
	s.set_mode(MODE_BACKTEST);
	s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);
	s.run();
	return 0;
}

# 模式选择

//////////////////////////////////////////////////////////////////////////
//模式选择
//策略描述：
//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

#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
	MyStrategy() {}
	~MyStrategy(){}

	//重写on_init事件，进行策略开发
	void on_init()
	{
		cout << "on_init" << endl;
		subscribe("SHSE.600000", "tick");

		return;
	}

	void on_tick(Tick *tick)
	{
		cout << "代码:                       " << tick->symbol << endl
			<< "utc时间，精确到毫秒:           " << tick->created_at << endl
			<< "最新价:                      " << tick->price << endl
			<< "开盘价:                      " << tick->open << endl
			<< "最高价:                      " << tick->high << endl
			<< "最低价:                      " << tick->low << endl
			<< "成交总量                      " << tick->cum_volume << endl
			<< "成交总金额/最新成交额,累计值:   " << tick->cum_amount << endl
			<< "合约持仓量(期),累计值:         " << tick->cum_position << endl
			<< "瞬时成交额:                   " << tick->last_amount << endl
			<< "瞬时成交量:                   " << tick->last_volume << endl
			<< "交易类型,对应多开,多平等类型:   " << tick->trade_type << endl;
	}

private:
};

int main(int argc, char *argv[])
{
	MyStrategy s;
	s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d");
	s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
	// mode = MODE_LIVE 实时模式
	// 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
	//s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1);

	s.set_mode(MODE_LIVE);

	s.run();
	return 0;
}

# 数据研究

//////////////////////////////////////////////////////////////////////////
//数据研究
//策略描述：
//无需实时数据驱动策略，无需交易下单，只是取数据的场景

#include <iostream>
#include "strategy.h"

using namespace std;

class MyStrategy :public Strategy
{
public:
	MyStrategy() {}
	~MyStrategy(){}

	//重写on_init事件，进行策略开发
	void on_init()
	{
		cout << "on_init" << endl;

		DataArray<Tick>* ht = history_ticks("SZSE.000002", "2017-07-11 10:20:00", "2017-07-11 10:30:00");
		if (ht->status() == 0)
		{
			for (int i = 0; i < ht->count(); i++)
			{
				cout << "代码:                              " << ht->at(i).symbol << endl
					<< "utc时间，精确到毫秒:                  " << ht->at(i).created_at << endl
					<< "最新价:                              " << ht->at(i).price << endl
					<< "开盘价:                              " << ht->at(i).open << endl
					<< "最高价:                              " << ht->at(i).high << endl
					<< "最低价:                              " << ht->at(i).low << endl
					<< "成交总量:                            " << ht->at(i).cum_volume << endl
					<< "成交总金额 / 最新成交额, 累计值:        " << ht->at(i).cum_amount << endl
					<< "合约持仓量(期), 累计值:                " << ht->at(i).cum_position << endl
					<< "瞬时成交额:                           " << ht->at(i).last_amount << endl
					<< "瞬时成交量:                           " << ht->at(i).last_volume << endl
					<< "保留)交易类型, 对应多开, 多平等类型:    " << ht->at(i).trade_type << endl
					<< "报价:                                " << ht->at(i).quotes << endl;
			}
		}

		return;
	}

private:
};

int main(int argc, char *argv[])
{
	MyStrategy s;
	s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d");
	s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576");
	s.set_mode(MODE_BACKTEST);
	s.set_backtest_config("2017-07-11 10:20:00", "2017-07-11 10:30:00",1000000, 1, 0, 0, 0, 1);

	s.run();
	return 0;
}

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