Params

Numeric InitMP(0);        // 初始仓位,+-表示多空

Numeric FirstGrid(3);        // 第一格的间距，点数

Numeric TotalGrids(10);        // 总网格数，即最大持仓数

Numeric GridInterval(3);        // 网格间距，点数

Numeric WinGrid(3);        // 盈利点数

Numeric EveryLots(1);        // 每次开仓手数

Numeric OffsetPoint(0);        // 委托价格的偏移值(点数)

Numeric MidLineType(1); //价差中枢类型选项，1代表昨天的收盘价为价差中枢，2代表价差均线为价差中枢，3代表昨天的结算均价为价差中枢，4手动设置价差中枢

Numeric MidLineSetValue(100); //价差中枢类型选项为4时，手动设置价差中枢位置的具体点位

Numeric lenth(20);

Vars

Numeric MinPoint;

Numeric AvgOfClose;

Numeric AskLine;

Numeric BidLine;

Numeric MidLine;        // 中线值

Numeric MyRealMp(0);

Numeric TmpGridIndex;

Numeric TmpPrice;

bool btimecon;

Begin

bTimeCon = Time>0.0900 And (Time<0.1130 Or Time>0.1330) And Time<0.1450;

MinPoint = MinMove*PriceScale;

MyRealMp = GetGlobalVar(0);

If(BarStatus == 0)

{

If(MyRealMp == InvalidNumeric)

{

MyRealMp = InitMP;

SetGlobalVar(0,MyRealMp);

}

}Else If(BarStatus == 2 && A_AccountID != "" )

{

If(Data0.Q_AskPrice <= 0 || Data0.Q_BidPrice <= 0 || Data1.Q_AskPrice <= 0 || Data1.Q_BidPrice <= 0) Return;

If(Data0.Q_BidPrice == Data0.Q_UpperLimit || Data0.Q_AskPrice == Data0.Q_LowerLimit) Return;

If(Data1.Q_BidPrice == Data1.Q_UpperLimit || Data1.Q_AskPrice == Data1.Q_LowerLimit) Return;

If(Time == 0.0900 && Data0.Q_LastTime<0.090005 || Time == 0.1030 && Data0.Q_LastTime<0.103005 || Time == 0.1330 && Data0.Q_LastTime<0.133005 ) Return;

If(Time == 0.0900 && Data1.Q_LastTime<0.090005 || Time == 0.1030 && Data1.Q_LastTime<0.103005 || Time == 0.1330 && Data1.Q_LastTime<0.133005 ) Return;

If(Time==0.1459 && Data0.Q_LastTime > 0.145930) Return;

If(Time==0.1459 && Data1.Q_LastTime > 0.145930) Return;

If(MidLineType == 3 && (Data0.Q_PreSettlePrice()<=0 || Data1.Q_PreSettlePrice()<=0)) Return;

If(MidLineType == 1)

{

MidLine = Data0.CloseD[1]-Data1.CloseD[1];

}Else

If(MidLineType == 2)

{

MidLine = intpart(AverageFC(data0.close-data1.close,lenth));

}Else

If(MidLineType == 3)

{

MidLine = Data0.Q_PreSettlePrice()-Data1.Q_PreSettlePrice();

}Else

If(MidLineType == 4)

{

MidLine = MidLineSetValue;

}

AskLine = Data0.Q_AskPrice-Data1.Q_BidPrice;

BidLine = Data0.Q_BidPrice-Data1.Q_AskPrice;

Commentary("中线="+Text(MidLine));

Commentary("叫卖价="+Text(AskLine));

Commentary("叫买价"+Text(BidLine));

If(MyRealMp<=0 && BidLine > MidLine + FirstGrid*MinPoint)

{

TmpPrice = MidLine + FirstGrid*MinPoint + Abs(MyRealMp)*(GridInterval*MinPoint);

TmpPrice = Ceiling(TmpPrice,MinPoint);

Commentary("开仓价="+Text(TmpPrice));

TmpGridIndex = -1 - IntPart((BidLine - MidLine - FirstGrid*M

inPoint)/(GridInterval*MinPoint));

If(TmpGridIndex < MyRealMp && TmpGridIndex >= -1*TotalGrids &&btimecon)

{

MyRealMp = MyRealMp - 1;

Data0.A_SendOrder(Enum_Sell,Enum_Entry,EveryLots,Data0.Q_BidPrice-OffsetPoint*MinPoint);

Data1.A_SendOrder(Enum_Buy,Enum_Entry,EveryLots,Data1.Q_AskPrice+OffsetPoint*MinPoint);

}

}Else If(MyRealMp>=0 && AskLine < MidLine - FirstGrid*MinPoint)

{

TmpPrice = MidLine - FirstGrid*MinPoint - Abs(MyRealMp)*(GridInterval*MinPoint);

TmpPrice = Floor(TmpPrice,MinPoint);

Commentary("开仓价="+Text(TmpPrice));

TmpGridIndex = 1 + IntPart((MidLine - FirstGrid*MinPoint - AskLine)/(GridInterval*MinPoint));

If(TmpGridIndex > MyRealMp && TmpGridIndex <= TotalGrids &&btimecon)

{

MyRealMp = MyRealMp + 1;

Data0.A_SendOrder(Enum_Buy,Enum_Entry,EveryLots,Data0.Q_AskPrice+OffsetPoint*MinPoint);

Data1.A_SendOrder(Enum_Sell,Enum_Entry,EveryLots,Data1.Q_BidPrice-OffsetPoint*MinPoint);

}

}

If(MyRealMp > 0)

{

TmpPrice = MidLine - FirstGrid*MinPoint - (Abs(MyRealMp)-1)*(GridInterval*MinPoint) + WinGrid*MinPoint;

TmpPrice = Ceiling(TmpPrice,MinPoint);

Commentary("平仓价="+Text(TmpPrice));

}Else If(MyRealMp < 0)

{

TmpPrice = MidLine + FirstGrid*MinPoint + (Abs(MyRealMp)-1)*(GridInterval*MinPoint) - WinGrid*MinPoint;

TmpPrice = Floor(TmpPrice,MinPoint);

Commentary("平仓价="+Text(TmpPrice));

}

TmpGridIndex = -1 - IntPart((AskLine-FirstGrid*MinPoint+WinGrid*MinPoint-MidLine)/(GridInterval*MinPoint));

TmpGridIndex = min(0,TmpGridIndex);

If(TmpGridIndex > MyRealMp)

{

MyRealMp = MyRealMp + 1;

Data0.A_SendOrder(Enum_Buy,Enum_Exit,EveryLots,Data0.Q_AskPrice+OffsetPoint*MinPoint);

Data1.A_SendOrder(Enum_Sell,Enum_Exit,EveryLots,Data1.Q_BidPrice-OffsetPoint*MinPoint);

}

TmpGridIndex = 1 + IntPart((MidLine-FirstGrid*MinPoint+WinGrid*MinPoint-BidLine)/(GridInterval*MinPoint));

TmpGridIndex = max(0,TmpGridIndex);

If(TmpGridIndex < MyRealMp)

{

MyRealMp = MyRealMp - 1;

Data0.A_SendOrder(Enum_Sell,Enum_Exit,EveryLots,Data0.Q_BidPrice-OffsetPoint*MinPoint);

Data1.A_SendOrder(Enum_Buy,Enum_Exit,EveryLots,Data1.Q_AskPrice+OffsetPoint*MinPoint);

}

SetGlobalVar(0,MyRealMp);

}

Commentary("实际仓位="+Text(MyRealMp));

if(MyRealMp<0&&time>0.1450)

{

MyRealMp = MyRealMp + 1;

Data0.A_SendOrder(Enum_Buy,Enum_Exit,EveryLots,Data0.Q_AskPrice+OffsetPoint*MinPoint);

Data1.A_SendOrder(Enum_Sell,Enum_Exit,EveryLots,Data1.Q_BidPrice-OffsetPoint*MinPoint);

SetGlobalVar(0,MyRealMp);

}Else

if(MyRealMp>0&&time>0.1450)

{

MyRealMp = MyRealMp - 1;

Data0.A_SendOrder(Enum_Sell,Enum_Exit,EveryLots,Data0.Q_BidPrice-OffsetPoint*MinPoint);

Data1.A_SendOrder(Enum_Buy,Enum_Exit,EveryLots,Data1.Q_AskPrice+OffsetPoint*MinPoint);

SetGlobalVar(0,MyRealMp);

}

End