什么是跨期对冲？ 所谓跨期套利就是在同一期货品种的不同月份合约上建立数量相等、方向相反的交易头寸，最后以对冲或交割方式结束交易、获得收益的方式。最简单的跨期套利就是买入近期的期货品种，卖出远期的期货品种。比如Okex的BTC次周和当周合约。交割期不同，最多相差3个月。当合约价差出现时，投资者可进行买入一个合约同时卖出另外一个合约，待到价差回归后再进行相应的反向平仓，进而利用价差的合理回归获得利润。
如何在Okex上进行跨期对冲？ okex上当周、次周和季度合约的价格经常会存在价差，如果价差达到或超过一定的阈值，则可以进行跨期对冲，然后在价差消失时进行反向平仓，进而利用价差的合理回归获得利润。比如，BTC当周和次周合约存在价差且当周合约低于次周合约价格，当价差达到设定阈值，投资者可以做多当周合约和做空次周合约（数量一致）进行对冲，等到当周合约和次周合约价差回归正常值时进行相应的反向平仓，获取利润。
跨期对冲的风险: 因为两种合约的交割时间不同，当近期合约强制交割时，价差未能回归则可能出现亏损。
策略实现的功能和特点: 支持Okex跨期对冲 支持Okex的当周、次周和季度合约 支持Okex的所有合约交易品种（BTC、BCH、EOS、BSV、ETH等等）
特别注意：此策略需要依赖Botvstools模板库才能运行！ 请到此处下载模板库： https://www.pcclean.io/45gd （下载zip文件后解压缩会有两个js文件，一个是策略，一个是模板库，请注意区分）
策略参数说明: https://www.pcclean.io/45gd
var strategy_version="1.2.0.7(adjust parameters)";
/*
使用说明：
1. 请先针对交易所和交易对设置策略参数后再运行此策略。
2. fmz中添加交易所： okex期货交易所
3. 参数里面contract_min表示单个合约价值，不要随意更改
4. 建议okex里面设置为全仓模式，以免出现保证金不足的情况
5. 尽量使用okex api v1
6. 此策略仅用于学习分享，实盘风险自担。
*/
/********************************************策略参数**********************************/
var price_n={Futures_OKCoin_BSV_USD:2};//价格精度设置
var num_n={Futures_OKCoin_BSV_USD:0};//数量精度设置
var minestbuy={Futures_OKCoin_BSV_USD:1};//最小买入量
var price_step={Futures_OKCoin_BSV_USD:0.05};//定价单调整量
var contract_min={Futures_OKCoin_BSV_USD:10};//最小合约金额
var wait_ms=3000;//重试等待时间(ms)
var max_wait_order=10000;//订单等待时间(ms)
var margin_lv=10;//杠杆倍数
var jiacha_monitor={tw_nw:0.02,tw_qt:0.02,nw_qt:0.02};//开仓差价
var hulie_monitor={tw_nw:0.003,tw_qt:0.003,nw_qt:0.003};//忽略的差价
var ok_future_target='bsv';//目标合约
var keep_risk_rate=10;//保证金率
var trade_unit=100;//每次交易多少张
var push_notification=true;//微信通知交易机会
/********************************************策略参数**********************************/
//全局变量
var total_loop=0;
//主函数
function main(){
Log("strategy_version="+strategy_version);
$.set_params(price_n,num_n,minestbuy,price_step,wait_ms,max_wait_order);
if (push_notification){
Log("策略开始运行！已开启推送。@");
}
while(true){
exchange.SetMarginLevel(margin_lv);
var exname=exchange.GetName();
var currency=exchange.GetCurrency();
var account=$.retry_get_account(exchange);
var f_orders=_C(exchange.GetOrders);
exchange.SetContractType("this_week");
var tw_depth=_C(exchange.GetDepth);
var tw_sell1=tw_depth.Asks[0].Price;
var tw_buy1=tw_depth.Bids[0].Price;
var tw_records=_C(exchange.GetRecords,PERIOD_H1);
if (tw_records.length<=50){
Log("tw_records.length无效,跳过此次执行...");
Sleep(wait_ms);
continue;
}
exchange.SetContractType("next_week");
var nw_depth=_C(exchange.GetDepth);
var nw_sell1=nw_depth.Asks[0].Price;
var nw_buy1=nw_depth.Bids[0].Price;
var nw_records=_C(exchange.GetRecords,PERIOD_H1);
if (nw_records.length<=50){
Log("nw_records.length无效,跳过此次执行...");
Sleep(wait_ms);
continue;
}
exchange.SetContractType("quarter");
var qt_depth=_C(exchange.GetDepth);
var qt_sell1=qt_depth.Asks[0].Price;
var qt_buy1=qt_depth.Bids[0].Price;
var qt_records=_C(exchange.GetRecords,PERIOD_H1);
if (qt_records.length<=50){
Log("qt_records.length无效,跳过此次执行...");
Sleep(wait_ms);
continue;
}
var tw_price_ma = TA.MA(tw_records, 30).slice(-1)[0];
var nw_price_ma = TA.MA(nw_records, 30).slice(-1)[0];
var qt_price_ma = TA.MA(qt_records, 30).slice(-1)[0];
var position=_C(exchange.GetPosition);
var tw_zuoduo_zhangshu=0;
var tw_zuoduo_avg_price=0;
var tw_zuoduo_amount=0;
var tw_zuokong_zhangshu=0;
var tw_zuokong_avg_price=0;
var tw_zuokong_amount=0;
var nw_zuoduo_zhangshu=0;
var nw_zuoduo_avg_price=0;
var nw_zuoduo_amount=0;
var nw_zuokong_zhangshu=0;
var nw_zuokong_avg_price=0;
var nw_zuokong_amount=0;
var qt_zuoduo_zhangshu=0;
var qt_zuoduo_avg_price=0;
var qt_zuoduo_amount=0;
var qt_zuokong_zhangshu=0;
var qt_zuokong_avg_price=0;
var qt_zuokong_amount=0;
for (var i=0; i < position.length; i++){
if (position[i].ContractType==="this_week"){
if (position[i].Type===PD_LONG){
tw_zuoduo_zhangshu=position[i].Amount;
tw_zuoduo_avg_price=position[i].Price;
tw_zuoduo_amount=tw_zuoduo_zhangshu*contract_min[$.get_exchange_id(exchange)]*(1/tw_zuoduo_avg_price-1/tw_buy1+1/tw_zuoduo_avg_price);
}
if (position[i].Type===PD_SHORT){
tw_zuokong_zhangshu=position[i].Amount;
tw_zuokong_avg_price=position[i].Price;
tw_zuokong_amount=tw_zuokong_zhangshu*contract_min[$.get_exchange_id(exchange)]*(1/tw_sell1-1/tw_zuokong_avg_price+1/tw_zuokong_avg_price);
}
}
if (position[i].ContractType==="next_week"){
if (position[i].Type===PD_LONG){
nw_zuoduo_zhangshu=position[i].Amount;
nw_zuoduo_avg_price=position[i].Price;
nw_zuoduo_amount=nw_zuoduo_zhangshu*contract_min[$.get_exchange_id(exchange)]*(1/nw_zuoduo_avg_price-1/nw_buy1+1/nw_zuoduo_avg_price);
}
if (position[i].Type===PD_SHORT){
nw_zuokong_zhangshu=position[i].Amount;
nw_zuokong_avg_price=position[i].Price;
nw_zuokong_amount=nw_zuokong_zhangshu*contract_min[$.get_exchange_id(exchange)]*(1/nw_sell1-1/nw_zuokong_avg_price+1/nw_zuokong_avg_price);
}
}
if (position[i].ContractType==="quarter"){
if (position[i].Type===PD_LONG){
qt_zuoduo_zhangshu=position[i].Amount;
qt_zuoduo_avg_price=position[i].Price;
qt_zuoduo_amount=qt_zuoduo_zhangshu*contract_min[$.get_exchange_id(exchange)]*(1/qt_zuoduo_avg_price-1/qt_buy1+1/qt_zuoduo_avg_price);
}
if (position[i].Type===PD_SHORT){
qt_zuokong_zhangshu=position[i].Amount;
qt_zuokong_avg_price=position[i].Price;
qt_zuokong_amount=qt_zuokong_zhangshu*contract_min[$.get_exchange_id(exchange)]*(1/qt_sell1-1/qt_zuokong_avg_price+1/qt_zuokong_avg_price);
}
}
}
var account_rights=account.Info.info[ok_future_target].account_rights;//账户权益
var keep_deposit=account.Info.info[ok_future_target].keep_deposit;//保证金
var profit_real=account.Info.info[ok_future_target].profit_real;//已实现盈亏
var profit_unreal=account.Info.info[ok_future_target].profit_unreal;//未实现盈亏
var risk_rate=account.Info.info[ok_future_target].risk_rate;//保证金率 10倍杠杆，当保证金率小于等于10%，才会触发爆仓线；20倍杠杆，当保证金率小于等于20%，才会触发爆仓线。 这意味着如果您开10倍LTC合约，当您的亏损达到开仓保证金的90%时，会触发爆仓线；若开20倍杠杆的合约，当您的亏损达到开仓保证金的80%时，才会触发爆仓线。
var tw_buy1_fixed=tw_buy1;
var tw_sell1_fixed=tw_sell1;
var nw_buy1_fixed=nw_buy1-(nw_price_ma-tw_price_ma);
var nw_sell1_fixed=nw_sell1-(nw_price_ma-tw_price_ma);
var qt_buy1_fixed=qt_buy1-(qt_price_ma-tw_price_ma);
var qt_sell1_fixed=qt_sell1-(qt_price_ma-tw_price_ma);
//this week - next week - kaichang
if (tw_sell1_fixed<nw_buy1_fixed && (nw_buy1_fixed-tw_sell1_fixed)/tw_sell1_fixed>jiacha_monitor['tw_nw']){
if (push_notification){
Log("次周_当周_套利机会:"+exname+" "+((nw_buy1_fixed-tw_sell1_fixed)/tw_sell1_fixed)+"@");
}
if (risk_rate>keep_risk_rate && account.Stocks>0){
exchange.SetContractType("this_week");
exchange.SetDirection("buy");
var dealamount=$.perform_limited_order("buy",exchange,tw_sell1,trade_unit,false,"futures","buy");
if (dealamount>0){
exchange.SetContractType("next_week");
exchange.SetDirection("sell");
$.perform_limited_order("buy",exchange,nw_buy1,dealamount,true,"futures","sell");
}
}
}
else if (nw_sell1_fixed<tw_buy1_fixed && (tw_buy1_fixed-nw_sell1_fixed)/nw_sell1_fixed>jiacha_monitor['tw_nw']){
if (push_notification){
Log("当周_次周_套利机会:"+exname+" "+((tw_buy1_fixed-nw_sell1_fixed)/nw_sell1_fixed)+"@");
}
if (risk_rate>keep_risk_rate && account.Stocks>0){
exchange.SetContractType("next_week");
exchange.SetDirection("buy");
var dealamount=$.perform_limited_order("buy",exchange,nw_sell1,trade_unit,false,"futures","buy");
if (dealamount>0){
exchange.SetContractType("this_week");
exchange.SetDirection("sell");
$.perform_limited_order("buy",exchange,tw_buy1,dealamount,true,"futures","sell");
}
}
}
//this week - quarter - kaichang
else if (tw_sell1_fixed<qt_buy1_fixed && (qt_buy1_fixed-tw_sell1_fixed)/tw_sell1_fixed>jiacha_monitor['tw_qt']){
if (push_notification){
Log("季度_当周_套利机会:"+exname+" "+((qt_buy1_fixed-tw_sell1_fixed)/tw_sell1_fixed)+"@");
}
if (risk_rate>keep_risk_rate && account.Stocks>0){
exchange.SetContractType("this_week");
exchange.SetDirection("buy");
var dealamount=$.perform_limited_order("buy",exchange,tw_sell1,trade_unit,false,"futures","buy");
if (dealamount>0){
exchange.SetContractType("quarter");
exchange.SetDirection("sell");
$.perform_limited_order("buy",exchange,qt_buy1,dealamount,true,"futures","sell");
}
}
}
else if (qt_sell1_fixed<tw_buy1_fixed && (tw_buy1_fixed-qt_sell1_fixed)/qt_sell1_fixed>jiacha_monitor['tw_qt']){
if (push_notification){
Log("当周_季度_套利机会:"+exname+" "+((tw_buy1_fixed-qt_sell1_fixed)/qt_sell1_fixed)+"@");
}
if (risk_rate>keep_risk_rate && account.Stocks>0){
exchange.SetContractType("quarter");
exchange.SetDirection("buy");
var dealamount=$.perform_limited_order("buy",exchange,qt_sell1,trade_unit,false,"futures","buy");
if (dealamount>0){
exchange.SetContractType("this_week");
exchange.SetDirection("sell");
$.perform_limited_order("buy",exchange,tw_buy1,dealamount,true,"futures","sell");
}
}
}
//next week - quarter - kaichang
else if (nw_sell1_fixed<qt_buy1_fixed && (qt_buy1_fixed-nw_sell1_fixed)/nw_sell1_fixed>jiacha_monitor['nw_qt']){
if (push_notification){
Log("季度_次周_套利机会:"+exname+" "+((qt_buy1_fixed-nw_sell1_fixed)/nw_sell1_fixed)+"@");
}
if (risk_rate>keep_risk_rate && account.Stocks>0){
exchange.SetContractType("next_week");
exchange.SetDirection("buy");
var dealamount=$.perform_limited_order("buy",exchange,nw_sell1,trade_unit,false,"futures","buy");
if (dealamount>0){
exchange.SetContractType("quarter");
exchange.SetDirection("sell");
$.perform_limited_order("buy",exchange,qt_buy1,dealamount,true,"futures","sell");
}
}
}
else if (qt_sell1_fixed<nw_buy1_fixed && (nw_buy1_fixed-qt_sell1_fixed)/qt_sell1_fixed>jiacha_monitor['nw_qt']){
if (push_notification){
Log("次周_季度_套利机会:"+exname+" "+((nw_buy1_fixed-qt_sell1_fixed)/qt_sell1_fixed)+"@");
}
if (risk_rate>keep_risk_rate && account.Stocks>0){
exchange.SetContractType("quarter");
exchange.SetDirection("buy");
var dealamount=$.perform_limited_order("buy",exchange,qt_sell1,trade_unit,false,"futures","buy");
if (dealamount>0){
exchange.SetContractType("next_week");
exchange.SetDirection("sell");
$.perform_limited_order("buy",exchange,nw_buy1,dealamount,true,"futures","sell");
}
}
}
//this week - next week - pingchang
else if (Math.abs((nw_sell1_fixed-tw_buy1_fixed)/tw_buy1_fixed)<hulie_monitor['tw_nw'] && tw_zuoduo_zhangshu>0 && nw_zuokong_zhangshu>0){
var pingchang_zhangshu=Math.min(tw_zuoduo_zhangshu,nw_zuokong_zhangshu);
exchange.SetContractType("this_week");
exchange.SetDirection("closebuy");
var dealamount=$.perform_limited_order("sell",exchange,tw_buy1,pingchang_zhangshu,false,"futures","closebuy");
if (dealamount>0){
exchange.SetContractType("next_week");
exchange.SetDirection("closesell");
$.perform_limited_order("sell",exchange,nw_sell1,dealamount,true,"futures","closesell");
}
}
else if (Math.abs((tw_sell1_fixed-nw_buy1_fixed)/nw_buy1_fixed)<hulie_monitor['tw_nw'] && tw_zuokong_zhangshu>0 && nw_zuoduo_zhangshu>0){
var pingchang_zhangshu=Math.min(tw_zuokong_zhangshu,nw_zuoduo_zhangshu);
exchange.SetContractType("next_week");
exchange.SetDirection("closebuy");
var dealamount=$.perform_limited_order("sell",exchange,nw_buy1,pingchang_zhangshu,false,"futures","closebuy");
if (dealamount>0){
exchange.SetContractType("this_week");
exchange.SetDirection("closesell");
$.perform_limited_order("sell",exchange,tw_sell1,dealamount,true,"futures","closesell");
}
}
//this week - quarter - pingchang
else if (Math.abs((qt_sell1_fixed-tw_buy1_fixed)/tw_buy1_fixed)<hulie_monitor['tw_qt'] && tw_zuoduo_zhangshu>0 && qt_zuokong_zhangshu>0){
var pingchang_zhangshu=Math.min(tw_zuoduo_zhangshu,qt_zuokong_zhangshu);
exchange.SetContractType("this_week");
exchange.SetDirection("closebuy");
var dealamount=$.perform_limited_order("sell",exchange,tw_buy1,pingchang_zhangshu,false,"futures","closebuy");
if (dealamount>0){
exchange.SetContractType("quarter");
exchange.SetDirection("closesell");
$.perform_limited_order("sell",exchange,qt_sell1,dealamount,true,"futures","closesell");
}
}
else if (Math.abs((tw_sell1_fixed-qt_buy1_fixed)/qt_buy1_fixed)<hulie_monitor['tw_qt'] && tw_zuokong_zhangshu>0 && qt_zuoduo_zhangshu>0){
var pingchang_zhangshu=Math.min(tw_zuokong_zhangshu,qt_zuoduo_zhangshu);
exchange.SetContractType("quarter");
exchange.SetDirection("closebuy");
var dealamount=$.perform_limited_order("sell",exchange,qt_buy1,pingchang_zhangshu,false,"futures","closebuy");
if (dealamount>0){
exchange.SetContractType("this_week");
exchange.SetDirection("closesell");
$.perform_limited_order("sell",exchange,tw_sell1,dealamount,true,"futures","closesell");
}
}
//next week - quarter - pingchang
else if (Math.abs((qt_sell1_fixed-nw_buy1_fixed)/nw_buy1_fixed)<hulie_monitor['nw_qt'] && nw_zuoduo_zhangshu>0 && qt_zuokong_zhangshu>0){
var pingchang_zhangshu=Math.min(nw_zuoduo_zhangshu,qt_zuokong_zhangshu);
exchange.SetContractType("next_week");
exchange.SetDirection("closebuy");
var dealamount=$.perform_limited_order("sell",exchange,nw_buy1,pingchang_zhangshu,false,"futures","closebuy");
if (dealamount>0){
exchange.SetContractType("quarter");
exchange.SetDirection("closesell");
$.perform_limited_order("sell",exchange,qt_sell1,dealamount,true,"futures","closesell");
}
}
else if (Math.abs((nw_sell1_fixed-qt_buy1_fixed)/qt_buy1_fixed)<hulie_monitor['nw_qt'] && nw_zuokong_zhangshu>0 && qt_zuoduo_zhangshu>0){
var pingchang_zhangshu=Math.min(nw_zuokong_zhangshu,qt_zuoduo_zhangshu);
exchange.SetContractType("quarter");
exchange.SetDirection("closebuy");
var dealamount=$.perform_limited_order("sell",exchange,qt_buy1,pingchang_zhangshu,false,"futures","closebuy");
if (dealamount>0){
exchange.SetContractType("next_week");
exchange.SetDirection("closesell");
$.perform_limited_order("sell",exchange,nw_sell1,dealamount,true,"futures","closesell");
}
}
else{
//处理交割
var total_zuoduo=tw_zuoduo_zhangshu+nw_zuoduo_zhangshu+qt_zuoduo_zhangshu;
var total_zuokong=tw_zuokong_zhangshu+nw_zuokong_zhangshu+qt_zuokong_zhangshu;
if (total_zuoduo!==total_zuokong){
if (total_zuoduo>total_zuokong){
var diff_num=total_zuoduo-total_zuokong;
//强制平多
Log("开始强制平多:"+diff_num+'@');
if (qt_zuoduo_zhangshu>=diff_num){
exchange.SetContractType("quarter");
exchange.SetDirection("closebuy");
$.perform_limited_order("sell",exchange,qt_buy1,diff_num,true,"futures","closebuy");
}else{
exchange.SetContractType("quarter");
exchange.SetDirection("closebuy");
$.perform_limited_order("sell",exchange,qt_buy1,qt_zuoduo_zhangshu,true,"futures","closebuy");
var diff2=diff_num-qt_zuoduo_zhangshu;
if (nw_zuoduo_zhangshu>=diff2){
exchange.SetContractType("next_week");
exchange.SetDirection("closebuy");
$.perform_limited_order("sell",exchange,nw_buy1,diff2,true,"futures","closebuy");
}else{
exchange.SetContractType("next_week");
exchange.SetDirection("closebuy");
$.perform_limited_order("sell",exchange,nw_buy1,nw_zuoduo_zhangshu,true,"futures","closebuy");
var diff3=diff2-nw_zuoduo_zhangshu;
if (tw_zuoduo_zhangshu>=diff3){
exchange.SetContractType("this_week");
exchange.SetDirection("closebuy");
$.perform_limited_order("sell",exchange,tw_buy1,diff3,true,"futures","closebuy");
}else{
exchange.SetContractType("this_week");
exchange.SetDirection("closebuy");
$.perform_limited_order("sell",exchange,tw_buy1,tw_zuoduo_zhangshu,true,"futures","closebuy");
}
}
}
}
else if (total_zuokong>total_zuoduo){
var diff_num=total_zuokong-total_zuoduo;
//强制平空
Log("开始强制平空:"+diff_num+'@');
if (qt_zuokong_zhangshu>=diff_num){
exchange.SetContractType("quarter");
exchange.SetDirection("closesell");
$.perform_limited_order("sell",exchange,qt_sell1,diff_num,true,"futures","closesell");
}else{
exchange.SetContractType("quarter");
exchange.SetDirection("closesell");
$.perform_limited_order("sell",exchange,qt_sell1,qt_zuokong_zhangshu,true,"futures","closesell");
var diff2=diff_num-qt_zuokong_zhangshu;
if (nw_zuokong_zhangshu>=diff2){
exchange.SetContractType("next_week");
exchange.SetDirection("closesell");
$.perform_limited_order("sell",exchange,nw_sell1,diff2,true,"futures","closesell");
}else{
exchange.SetContractType("next_week");
exchange.SetDirection("closesell");
$.perform_limited_order("sell",exchange,nw_sell1,nw_zuokong_zhangshu,true,"futures","closesell");
var diff3=diff2-nw_zuokong_zhangshu;
if (tw_zuokong_zhangshu>=diff3){
exchange.SetContractType("this_week");
exchange.SetDirection("closesell");
$.perform_limited_order("sell",exchange,tw_sell1,diff3,true,"futures","closesell");
}else{
exchange.SetContractType("this_week");
exchange.SetDirection("closesell");
$.perform_limited_order("sell",exchange,tw_sell1,tw_zuokong_zhangshu,true,"futures","closesell");
}
}
}
}
}
}
LogStatus(
"合约近期均价="+tw_price_ma+'/'+nw_price_ma+'/'+qt_price_ma+"\n"+
'-----------------------------------------------------------\n'+
'次周_当周_开仓差价='+(nw_buy1_fixed-tw_sell1_fixed)/tw_sell1_fixed+'/'+jiacha_monitor['tw_nw']+"\n"+
'当周_次周_开仓差价='+(tw_buy1_fixed-nw_sell1_fixed)/nw_sell1_fixed+'/'+jiacha_monitor['tw_nw']+"\n"+
'季度_当周_开仓差价='+(qt_buy1_fixed-tw_sell1_fixed)/tw_sell1_fixed+'/'+jiacha_monitor['tw_qt']+"\n"+
'当周_季度_开仓差价='+(tw_buy1_fixed-qt_sell1_fixed)/qt_sell1_fixed+'/'+jiacha_monitor['tw_qt']+"\n"+
'季度_次周_开仓差价='+(qt_buy1_fixed-nw_sell1_fixed)/nw_sell1_fixed+'/'+jiacha_monitor['nw_qt']+"\n"+
'次周_季度_开仓差价='+(nw_buy1_fixed-qt_sell1_fixed)/qt_sell1_fixed+'/'+jiacha_monitor['nw_qt']+"\n"+
'-----------------------------------------------------------\n'+
'次周_当周_平仓差价='+Math.abs((nw_sell1_fixed-tw_buy1_fixed)/tw_buy1_fixed)+'/'+hulie_monitor['tw_nw']+"\n"+
'当周_次周_平仓差价='+Math.abs((tw_sell1_fixed-nw_buy1_fixed)/nw_buy1_fixed)+'/'+hulie_monitor['tw_nw']+"\n"+
'季度_当周_平仓差价='+Math.abs((qt_sell1_fixed-tw_buy1_fixed)/tw_buy1_fixed)+'/'+hulie_monitor['tw_qt']+"\n"+
'当周_季度_平仓差价='+Math.abs((tw_sell1_fixed-qt_buy1_fixed)/qt_buy1_fixed)+'/'+hulie_monitor['tw_qt']+"\n"+
'季度_次周_平仓差价='+Math.abs((qt_sell1_fixed-nw_buy1_fixed)/nw_buy1_fixed)+'/'+hulie_monitor['nw_qt']+"\n"+
'次周_季度_平仓差价='+Math.abs((nw_sell1_fixed-qt_buy1_fixed)/qt_buy1_fixed)+'/'+hulie_monitor['nw_qt']+"\n"+
'-----------------------------------------------------------\n'+
'账户权益='+account_rights+'\n'+
'已用保证金='+keep_deposit+'\n'+
'可用保证金='+account.Stocks+'\n'+
'保证金率='+risk_rate+'\n'+
'当周做多/做空张数='+tw_zuoduo_zhangshu+'/'+tw_zuokong_zhangshu+'\n'+
'次周做多/做空张数='+nw_zuoduo_zhangshu+'/'+nw_zuokong_zhangshu+'\n'+
'季度做多/做空张数='+qt_zuoduo_zhangshu+'/'+qt_zuokong_zhangshu+'\n'+
'期货仓位='+position.length+'\n'+
'未完成订单='+f_orders.length+'\n'+
'当周做多/做空均价='+tw_zuoduo_avg_price+'/'+tw_zuokong_avg_price+'\n'+
'次周做多/做空均价='+nw_zuoduo_avg_price+'/'+nw_zuokong_avg_price+'\n'+
'季度做多/做空均价='+qt_zuoduo_avg_price+'/'+qt_zuokong_avg_price+'\n'+
'♜轮询次数: '+total_loop+'\n'+
'♜更新时间: '+$.get_ChinaTimeString()+'\n'+
'♜微信: alinwo(验证消息:botvs) #0000ff'+'\n'+
'♜霖霖量化-实盘策略: http://www.pcclean.io/quant #ff0000'+'\n'
);
if (total_loop%200===0){
LogProfit(account_rights);
}
total_loop++;
Sleep(wait_ms);
}//while end
}
GAOLIANG 这人是骗子
wufuhao100w 大佬你好，第50-53行获取的不是现货的深度和价格吗?是否先在前面定义了类型为合约获取的就是对应合约的价格和深度 exchange.SetContractType("this_week"); var tw_depth=_C(exchange.GetDepth); var tw_sell1=tw_depth.Asks[0].Price; var tw_buy1=tw_depth.Bids[0].Price;
604303746 这是怎么回事啊？能不能说一下