商品期货交易类库

CTA库

• 实盘会自动把指数映射到主力连续
• 会自动处理移仓
• 回测可以指定映射比如 rb000/rb888 就是把rb指数交易映射到主力连续
• 也可以映射到别的合约, 比如rb000/MA888 就是看rb指数的K线来交易MA主力连续

            javascript
            
            
function main() {
    $.CTA("rb000,MA000", function(r) {
        if (r.records.length < 20) {
            return
        }
        var emaSlow = TA.EMA(r.records, 20)
        var emaFast = TA.EMA(r.records, 5)
        var cross = $.Cross(emaFast, emaSlow);
        if (r.position.amount <= 0 && cross > 2) {
            Log("金叉周期", cross, "当前持仓", r.position);
            return 1
        } else if (r.position.amount >= 0 && cross < -2) {
            Log("死叉周期", cross, "当前持仓", r.position);
            return -1
        }
    });
}

类库调用举例

            javascript
            
            
function main() {
    var p = $.NewPositionManager();
    p.OpenShort("MA609", 1);
    p.OpenShort("MA701", 1);
    Log(p.GetPosition("MA609", PD_SHORT));
    Log(p.GetAccount());
    Log(p.Account());
    Sleep(60000 * 10);
    p.CoverAll("MA609");
    LogProfit(p.Profit());
    Log($.IsTrading("MA609"));
    // 多品种时使用交易队列来完成非阻塞的交易任务
    var q = $.NewTaskQueue();
    q.pushTask(exchange, "MA701", "buy", 3, function(task, ret) {
        Log(task.desc, ret)
    })
    while (true) {
        // 在空闲时调用poll来完成未完成的任务
        q.poll()
        Sleep(1000)
    }
}