756114:编制自动交易系统的基本知识
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编制自动交易系统的基本知识一个交易系统大致包括以下几个方面:
1 开仓策略,即什么条件满足时开仓, 如某条线和某条线上交叉或下交叉,
2 平仓策略,即什么条件满足时平仓, 包括止赢设置,止损设置,和跟踪止赢设置三个方面.
3 资金管理, 其中一个方面就是下单的大小
4 时间管理, 如持仓时间,开平仓时间间隔等
5 账户状态分析,如交易历史,当前资金/仓位/各仓为盈亏状态等.
当然一个交易系统不必包括全部内容,本文做为入门知识也仅通过实例介绍交易系统程序的基本构成.
define MAGICMA 200610011231//+------------------------------------------------------------------+
/| 注意没有指标文件那些property |//+------------------------------------------------------------------+extern int whichmethod = 1; //1~4 种下单方式 1 仅开仓, 2 有止损无止赢, 3 有止赢无止损, 4 有止赢也有止损extern double TakeProfit = 100; //止赢点数extern double StopLoss = 20; //止损点数extern double MaximumRisk = 0.3; //资金控制,控制下单量extern double TrailingStop =25; //跟踪止赢点数设置extern int maxOpen = 3; //最多开仓次数限制 extern int maxLots = 5; //最多单仓持仓量限制 extern int bb = 0; //非零就允许跟踪止赢extern double MATrendPeriod=26;//使用26均线 开仓条件参数 本例子 int i, p2, xxx,p1, res;double Lots; datetime lasttime; //时间控制, 仅当一个时间周期完成才检查条件int init() //初始化{ Lots = 1;lasttime = NULL;return(0); }int deinit() { return(0); } //反初始化//主程序int start(){CheckForOpen(); //开仓 平仓 条件检查 和操作if (bb>0) CTP(); //跟踪止赢return(0);}//+------下面是各子程序--------------------------------------------+double LotsOptimized() //确定下单量,开仓调用 资金控制{double lot=Lots;int orders=HistoryTotal(); // history orders totalint losses=0; // number of losses orders without a break//MarketInfo(Symbol(),MODE_MINLOT); 相关信息//MarketInfo(Symbol(),MODE_MAXLOT);//MarketInfo(Symbol(),MODE_LOTSTEP);lot=NormalizeDouble(MaximumRisk * AccountBalance()/AccountLeverage(),1); //开仓量计算if(lot<0.1) lot=0.1;if(lot>maxLots) lot=maxLots;return(lot);} //平仓持有的买单void CloseBuy(){if (OrdersTotal( ) > 0 ) { for(i=OrdersTotal()-1;i>=0;i--) { if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) break; if(OrderType()==OP_BUY) { OrderClose(OrderTicket(),OrderLots(),Bid,3,White); Sleep(5000); } }}}//平仓持有的卖单void CloseSell(){if (OrdersTotal( ) > 0 ) { for(i=OrdersTotal()-1;i>=0;i--) { if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) break; if(OrderType()==OP_SELL) { OrderClose(OrderTicket(),OrderLots(),Ask,3,White); Sleep(5000); } }}}//判断是否买或卖或平仓int buyorsell() //在这个函数计算设置你的交易信号 这里使用MACD 和MA 做例子{ double MacdCurrent, MacdPrevious, SignalCurrent; double SignalPrevious, MaCurrent, MaPrevious; MacdCurrent=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_MAIN,0); MacdPrevious=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_MAIN,1); SignalCurrent=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_SIGNAL,0); SignalPrevious=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_SIGNAL,1); MaCurrent=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,0); MaPrevious=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,1);if(MacdCurrent<0 && MacdCurrent>SignalCurrent && MacdPreviousMaPrevious) return (1); // 买 Ma在上升,Macd在0线上,并且两线上交叉if(MacdCurrent>0 && MacdCurrentSignalPrevious && MaCurrent 19 ) return; //周五晚11点后不做 } if (OrdersTotal( ) >= maxOpen) return ; //如果已持有开仓次数达到最大,不做if (nowbuyorsell==0) return; //不交易TradeOK(); //去下单交易}void TradeOK() //去下单交易{int error ;if (nowbuyorsell == 1) //买 { switch (whichmethod) { case 1: res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,0,0,"",MAGICMA,0,Blue);break; case 2: res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,Ask-StopLoss*Point,0,"",MAGICMA,0,Blue); break; case 3: res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,0,Ask+TakeProfit*Point,"",MAGICMA,0,Blue);break; case 4: res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,Ask-StopLoss*Point,Ask+TakeProfit*Point,"",MAGICMA,0,Blue);break; default : res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,0,0,"",MAGICMA,0,Blue);break; } if (res <=0) { error=GetLastError(); if(error==134)Print("Received 134 Error after OrderSend() !! "); // not enough money if(error==135) RefreshRates(); // prices have changed } Sleep(5000); return ; }if (nowbuyorsell == -1) //卖 { switch (whichmethod) { case 1: res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,0,0,"",MAGICMA,0,Red); break; case 2: res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,Bid+StopLoss*Point,0,"",MAGICMA,0,Red); break; case 3: res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,0,Bid-TakeProfit*Point,"",MAGICMA,0,Red); break; case 4: res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,Bid+StopLoss*Point,Bid-TakeProfit*Point,"",MAGICMA,0,Red); break; default : res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,0,0,"",MAGICMA,0,Red); break; } if (res <=0) { error=GetLastError(); if(error==134) Print("Received 134 Error after OrderSend() !! "); // not enough money if(error==135) RefreshRates(); // prices have changed } Sleep(5000); return ; }}void CTP() //跟踪止赢{bool bs = false;for (int i = 0; i < OrdersTotal(); i++){ if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) break; if (OrderType() == OP_BUY) { if ((Bid - OrderOpenPrice()) > (TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT))) //开仓价格 当前止损和当前价格比较判断是否要修改跟踪止赢设置 { if (OrderStopLoss() < Bid - TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT)) { bs = OrderModify(OrderTicket(), OrderOpenPrice(), Bid - TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT), OrderTakeProfit(),0, Green); } } } else if (OrderType() == OP_SELL) { if ((OrderOpenPrice() - Ask) > (TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT))) //开仓价格 当前止损和当前价格比较判断是否要修改跟踪止赢设置 { if ((OrderStopLoss()) > (Ask + TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT))) { bs = OrderModify(OrderTicket(), OrderOpenPrice(), Ask + TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT), OrderTakeProfit(),0, Tan);} } }}}
1 开仓策略,即什么条件满足时开仓, 如某条线和某条线上交叉或下交叉,
2 平仓策略,即什么条件满足时平仓, 包括止赢设置,止损设置,和跟踪止赢设置三个方面.
3 资金管理, 其中一个方面就是下单的大小
4 时间管理, 如持仓时间,开平仓时间间隔等
5 账户状态分析,如交易历史,当前资金/仓位/各仓为盈亏状态等.
当然一个交易系统不必包括全部内容,本文做为入门知识也仅通过实例介绍交易系统程序的基本构成.
define MAGICMA 200610011231//+------------------------------------------------------------------+
/| 注意没有指标文件那些property |//+------------------------------------------------------------------+extern int whichmethod = 1; //1~4 种下单方式 1 仅开仓, 2 有止损无止赢, 3 有止赢无止损, 4 有止赢也有止损extern double TakeProfit = 100; //止赢点数extern double StopLoss = 20; //止损点数extern double MaximumRisk = 0.3; //资金控制,控制下单量extern double TrailingStop =25; //跟踪止赢点数设置extern int maxOpen = 3; //最多开仓次数限制 extern int maxLots = 5; //最多单仓持仓量限制 extern int bb = 0; //非零就允许跟踪止赢extern double MATrendPeriod=26;//使用26均线 开仓条件参数 本例子 int i, p2, xxx,p1, res;double Lots; datetime lasttime; //时间控制, 仅当一个时间周期完成才检查条件int init() //初始化{ Lots = 1;lasttime = NULL;return(0); }int deinit() { return(0); } //反初始化//主程序int start(){CheckForOpen(); //开仓 平仓 条件检查 和操作if (bb>0) CTP(); //跟踪止赢return(0);}//+------下面是各子程序--------------------------------------------+double LotsOptimized() //确定下单量,开仓调用 资金控制{double lot=Lots;int orders=HistoryTotal(); // history orders totalint losses=0; // number of losses orders without a break//MarketInfo(Symbol(),MODE_MINLOT); 相关信息//MarketInfo(Symbol(),MODE_MAXLOT);//MarketInfo(Symbol(),MODE_LOTSTEP);lot=NormalizeDouble(MaximumRisk * AccountBalance()/AccountLeverage(),1); //开仓量计算if(lot<0.1) lot=0.1;if(lot>maxLots) lot=maxLots;return(lot);} //平仓持有的买单void CloseBuy(){if (OrdersTotal( ) > 0 ) { for(i=OrdersTotal()-1;i>=0;i--) { if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) break; if(OrderType()==OP_BUY) { OrderClose(OrderTicket(),OrderLots(),Bid,3,White); Sleep(5000); } }}}//平仓持有的卖单void CloseSell(){if (OrdersTotal( ) > 0 ) { for(i=OrdersTotal()-1;i>=0;i--) { if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false) break; if(OrderType()==OP_SELL) { OrderClose(OrderTicket(),OrderLots(),Ask,3,White); Sleep(5000); } }}}//判断是否买或卖或平仓int buyorsell() //在这个函数计算设置你的交易信号 这里使用MACD 和MA 做例子{ double MacdCurrent, MacdPrevious, SignalCurrent; double SignalPrevious, MaCurrent, MaPrevious; MacdCurrent=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_MAIN,0); MacdPrevious=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_MAIN,1); SignalCurrent=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_SIGNAL,0); SignalPrevious=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_SIGNAL,1); MaCurrent=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,0); MaPrevious=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,1);if(MacdCurrent<0 && MacdCurrent>SignalCurrent && MacdPrevious