void main() {
Sleep(10000);
Log(exchange.GetAccount());
huan:
while (1) {
int chi = 0;
auto wei = 0;
exchange.IO("mode", 1);
exchange.SetContractType(Symbol);
auto ticker11 = exchange.GetTicker();
if (exchange.IO("status") == 1 && ticker11.Sell > 500) {
auto orders = exchange.GetOrders(); //撤挂单
if (orders.size() > 0) {
for (int u = 0; u <= (int)orders.size(); u++)
exchange.CancelOrder(orders[u].Id);
}
int nv=1;
auto ticker1 = exchange.GetTicker();
auto position = exchange.GetPosition();
while (nv) {
auto error = GetLastError();
if (error == "Futures_OP 3") {
Sleep(1000);
position = exchange.GetPosition();
continue;
}
nv = 0;
}
if (position.size() > 0) {//判断持仓
for (int u1 = 0; u1 <= (int) position.size(); u1++) {
if (position[position.size() - u1].ContractType == Symbol) {
if (position[position.size() - u1].Type == 0) {
chi = chi + 1;
wei = position.size() - u1;
}
if (position[position.size() - u1].Type == 1) {
chi = chi + 1;
wei = position.size() - u1;
}
}
}
}
if (chi == 1) {//平余仓
if (position[wei].Type == 0) {
exchange.SetContractType(Symbol);
exchange.SetDirection("closebuy_today");
exchange.Sell((int)(ticker1.Last * 0.995), 1);
}
if (position[wei].Type == 1) {
exchange.SetContractType(Symbol);
exchange.SetDirection("closesell_today");
exchange.Buy((int)(ticker1.Last * 1.005), 1);
}
}
exchange.SetContractType(Symbol); //获取盘口
auto depth = exchange.GetDepth();
auto s1_m = depth.Asks[0].Amount;
auto b1_m = depth.Bids[0].Amount;
auto s1_p = depth.Asks[0].Price;
auto b1_p = depth.Bids[0].Price;
if (s1_p > b1_p) {
if (chi == 0) {
Sleep(1000);
while (1) {
exchange.SetContractType(Symbol);
auto depth = exchange.GetDepth();
auto s1_m = depth.Asks[0].Amount;
auto b1_m = depth.Bids[0].Amount;
auto s1_p = depth.Asks[0].Price;
auto b1_p = depth.Bids[0].Price;
auto mz1=0;
auto bz1=0;
for(int h=0; h < 5; h++)
{
mz1=mz1 + depth.Asks[h].Amount;
bz1=bz1 + depth.Bids[h].Amount;
}
if (s1_m < b1_m * 0.7 && mz1 > 0.8*bz1){
exchange.SetContractType(Symbol);
exchange.SetDirection("sell");
auto id = exchange.Sell(s1_p + 1, 1);
Sleep(1000);
while (1) {
auto order = exchange.GetOrder(id);
if (order.Status == 0) {
auto ticker = exchange.GetTicker();
if (ticker.Last < s1_p - 4) {
exchange.CancelOrder(id);
break;
}}
if (order.Status == 1) {
exchange.SetContractType(Symbol);
exchange.SetDirection("closesell_today");
auto id1 = exchange.Buy(s1_p - 2, 1);
while(1){
auto ticker = exchange.GetTicker();
auto order = exchange.GetOrder(id1);
if (order.Status == 1){ goto huan;}
if(order.Status == 0) {
if( ticker.Sell > s1_p + 2 ){
exchange.SetContractType(Symbol);
exchange.SetDirection("buy");
exchange.Buy(s1_p + 15, 1);
goto huan;
}
}
}
}
}
}//卖完成
if(s1_m * 0.7 > b1_m && mz1*0.8 < bz1 ) {
exchange.SetContractType(Symbol);
exchange.SetDirection("buy");
auto id = exchange.Buy(b1_p - 1, 1);
Sleep(1000);
while (1) {
auto order = exchange.GetOrder(id);
if (order.Status == 0) {
auto ticker = exchange.GetTicker();
if (ticker.Last > b1_p + 4) {
exchange.CancelOrder(id);
break;
}}
if (order.Status == 1) {
exchange.SetContractType(Symbol);
exchange.SetDirection("closebuy_today");
auto id1 = exchange.Sell(b1_p + 2, 1);
while(1){
auto ticker = exchange.GetTicker();
auto order = exchange.GetOrder(id1);
if (order.Status == 1){ goto huan;}
if(order.Status == 0) {
if( ticker.Buy < b1_p-2 ){
exchange.SetContractType(Symbol);
exchange.SetDirection("sell");
exchange.Sell(b1_p - 15, 1);
goto huan;
} }
}
}
}
}//完成买
}
}
if (chi == 2) {
Sleep(1000);
while (1) {
exchange.SetContractType(Symbol);
auto depth = exchange.GetDepth();
auto s1_m = depth.Asks[0].Amount;
auto b1_m = depth.Bids[0].Amount;
auto s1_p = depth.Asks[0].Price;
auto b1_p = depth.Bids[0].Price;
auto mz1=0;
auto bz1=0;
for(int h=0; h < 5; h++)
{
mz1=mz1 + depth.Asks[h].Amount;
bz1=bz1 + depth.Bids[h].Amount;
}
if (s1_m < b1_m * 0.7 && mz1 > bz1*0.8 ){
exchange.SetContractType(Symbol);
exchange.SetDirection("closebuy_today");
auto id = exchange.Sell(s1_p + 1, 1);
Sleep(1000);
while (1) {
auto order = exchange.GetOrder(id);
if (order.Status == 0) {
auto ticker = exchange.GetTicker();
if (ticker.Last < s1_p - 4) {
exchange.CancelOrder(id);
break;
}}
if (order.Status == 1) {
exchange.SetContractType(Symbol);
exchange.SetDirection("closesell_today");
auto id1 = exchange.Buy(s1_p - 2, 1);
while(1){
auto ticker = exchange.GetTicker();
auto order = exchange.GetOrder(id1);
if (order.Status == 1){ goto huan;}
if(order.Status == 0) {
if( ticker.Sell > s1_p + 2 ){
exchange.SetContractType(Symbol);
exchange.SetDirection("buy");
exchange.Buy(s1_p + 15, 1);
goto huan;
}
}
}
}
}
}//卖完成
if(s1_m * 0.7 > b1_m && mz1*0.8 < bz1) {
exchange.SetContractType(Symbol);
exchange.SetDirection("closesell_today");
auto id = exchange.Buy(b1_p - 1, 1);
Sleep(1000);
while (1) {
auto order = exchange.GetOrder(id);
if (order.Status == 0) {
auto ticker = exchange.GetTicker();
if (ticker.Last > b1_p + 4) {
exchange.CancelOrder(id);
break;
}}
if (order.Status == 1) {
exchange.SetContractType(Symbol);
exchange.SetDirection("closebuy_today");
auto id1 = exchange.Sell(b1_p + 2, 1);
while(1){
auto ticker = exchange.GetTicker();
auto order = exchange.GetOrder(id1);
if (order.Status == 1){ goto huan;}
if(order.Status == 0) {
if( ticker.Buy < b1_p-2 ){
exchange.SetContractType(Symbol);
exchange.SetDirection("sell");
exchange.Sell(b1_p - 15, 1);
goto huan;
} }
}
}
}
}//完成买
}
}
}
} else {
LogStatus(_D(), "未连接CTP ！");
Sleep(1000);
}
}
}