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到期合约换月自动移仓代码　[金字塔]

作者：金字塔来源：cxh99.com 发布时间：2016年12月13日点击数：　【收藏到本网的会员中心】

咨询内容：
'代码中需要用到YcSet.ini文件，自己建立一个放到c:\,内容如下：

[gen]

AccountCount=1

Account1_Code=888888

Account1_Yc=1

有n个账户需要自动移仓，则AccountCode=n，注意：多账户时需要机构版，同时登陆这些账户

Account1中的1，是序号，有多个时，依次递增，_Code指定该账户的账号，_Yc为1表示要自动移仓，0则不要。

'''''以下为代码

public iMultipliter

public ZhuLiCode,AccountID   '主力合约,账户

Sub APPLICATION_VBAStart()
Call Application.SetTimer(2,1000*30)  '使用定时器30秒轮询
End Sub

Sub Application_Timer(ID)
'Application.MsgOut CDate(Time)
if weekday(cdate(date),vbMonday)>=6 then  '周六、周日不执行
  exit sub
end if
'''''''''''''''''
If CDate(Time)>=cdate("10:0000") then    '10:00-10:10判断是否需要移仓
  If CDate(Time)<=cdate("10:10:00") then
   TotalAccount=Cdbl(Document.GetPrivateProfileString("Gen","AccountCount",0,"C:\YcSet.Ini"))  '账户数
   For j=1 to TotalAccount
    CurrentAccount=Document.GetPrivateProfileString("Gen","Account" & Cstr(j) & "_Code",0,"C:\YcSet.Ini")  '本账户号码
    Yc=Document.GetPrivateProfileString("Gen","Account" & Cstr(j) & "_Yc",0,"C:\YcSet.Ini")  '是否移仓
    if Yc=1 then
     GetAllHolding CurrentAccount
    end if
   Next
  end if
end if
End Sub

'获取合约乘数
Sub GetContract(sCode,sMarket)
'Application.MsgOut sCode & "," & sMarket
Call Order.Contract(sCode,sMarket,Multipliter,MinTick,ShortPercent,LongPercent)
iMultipliter=Multipliter
'application.MsgOut iMultipliter
iMinTick=MinTick
iShortPercent=ShortPercent
iLongPercent=LongPercent
End Sub

Sub GetAllHolding(sAccount)
  dim i,k
  dim BuyHold
dim BuyCost
dim SellHold
dim SellCost
dim CurCode
dim CurMarket

  On Error resume Next
HoldingCount=Order.Holding2(sAccount)
  If HoldingCount>0 then
   For i=0 to HoldingCount-1
    Call Order.HoldingInfo2(i,BuyHolding,BuyCost,BuyTodayHolding,SellHolding,SellCost,SellTodayHolding,PNL,UseMargin,Code,Market,sAccount)
    CurCode=Code
    CurMarket=Market
    BuyHold=BuyHolding
    SellHold=SellHolding
    AutoYiCang CurCode,CurMarket,BuyHold,SellHold,sAccount  '自动移仓
   Next
  End If
End Sub

sub AutoYiCang(sCode,sMarket,iBuy,iSell,sAcc)
dim PreCode
dim i

for i=1 to len(sCode)
  if isnumeric(mid(sCode,i,1)) then
   PreCode=left(sCode,i-1)
   exit for
  end if
next
'application.MsgOut "i:" & i & ",PreCode:" & PreCode & ",sAcc:" & sAcc
GetContractCode sMarket,PreCode
if sCode<>ZhuLiCode And left(ZhuLiCode,i-1)=left(sCode,i-1) then  '不是持有主力合约
  if iBuy>0 then
   PingDuoDan 0,sCode,sMarket,iBuy,sAcc
   KaiDuoDan 0,ZhuLiCode,sMarket,iBuy,sAcc
  end if
  if iSell>0 then
   PingKongDan 0,sCode,sMarket,iSell,sAcc
   KaiKongDan 0,ZhuLiCode,sMarket,iSell,sAcc
  end if
end if
end sub

Sub GetContractCode(sMarketCode,sStockPre)    '根据市场编码取得主力合约编码
If sMarketCode="" then
  exit sub
End if

contractvolume = 0

n = marketdata.GetReportCount(sMarketCode)
For j = 0 To n - 1
  Set report1 = marketdata.GetReportDataByIndex(sMarketCode, j)
  suffixlabel = Right(report1.Label, 2)
  If sStockPre=left(report1.Label,len(sStockPre)) then
   If suffixlabel = "00" Then
    ZhuLiVol=report1.volume
   End If

   If cdbl(suffixlabel) >= 1 And cdbl(suffixlabel) <= 12 Then
    If report1.volume = ZhuLiVol Then
     ZhuLiCode = report1.Label
     'application.MsgOut ZhuLiCode
     exit for
    End If
   End If
  End if
Next
End Sub

'开多单
Sub KaiDuoDan(nPrice,sCode,sMarket,iOrdVol,sAccount)  '开多单，nPrice=0时为市价，否则就是传递过来的价
'application.MsgOut "iOrdVol:" & iOrdVol & "," & sCode & "," & sMarket & "," & sAccount & "," & nPrice
If iOrdVol>0 then
  If nPrice=0 then
   'application.MsgOut "sCode,sMarket,AccountID:" & sCode & "," & sMarket & "," & AccountID
   Call Order.Buy(1,iOrdVol,0,0,sCode,sMarket,sAccount,0)     '市价开多单
  Else
   Call Order.Buy(0,iOrdVol,nPrice,0,sCode,sMarket,sAccount,0)   '限价开多单
  End If
End If
End Sub

'开空单
Sub KaiKongDan(nPrice,sCode,sMarket,iOrdVol,sAccount)  '开空单，nPrice=0时为市价，否则就是传递过来的价
'application.MsgOut "iOrdVol:" & iOrdVol & "," & sCode & "," & sMarket & "," & sAccount & "," & nPrice
If iOrdVol>0 then
  If nPrice=0 then
   Call Order.BuyShort(1,iOrdVol,0,0,sCode,sMarket,sAccount,0)    '市价开空单
  Else
   Call Order.BuyShort(0,iOrdVol,nPrice,0,sCode,sMarket,sAccount,0)   '限价开空单
  End If
End If
End Sub

'平多单
Sub PingDuoDan(nPrice,sCode,sMarket,iOrdVol,sAccount)  '平多单，nPrice=0时为市价，否则就是传递过来的价
If iOrdVol>0 then
  If nPrice=0 then
   Call Order.Sell(1,iOrdVol,0,0,sCode,sMarket,sAccount,0)    '市价平多单
  Else
   Call Order.Sell(0,iOrdVol,nPrice,0,sCode,sMarket,sAccount,0)   '限价平多单
  End If
End If
End Sub
'平空单
Sub PingKongDan(nPrice,sCode,sMarket,iOrdVol,sAccount)  '平空单，nPrice=0时为市价，否则就是传递过来的价
If iOrdVol>0 then
  If nPrice=0 then
   Call Order.SellShort(1,iOrdVol,0,0,sCode,sMarket,sAccount,0)    '市价平空单
  Else
   Call Order.SellShort(0,iOrdVol,nPrice,0,sCode,sMarket,sAccount,0)   '限价平空单
  End If
End If
End Sub
金字塔客服：
'代码中需要用到YcSet.ini文件，自己建立一个放到c:\,内容如下：

[gen]

AccountCount=1

Account1_Code=888888

Account1_Yc=1

有n个账户需要自动移仓，则AccountCode=n，注意：多账户时需要机构版，同时登陆这些账户

Account1中的1，是序号，有多个时，依次递增，_Code指定该账户的账号，_Yc为1表示要自动移仓，0则不要。

'''''以下为代码

public iMultipliter

public ZhuLiCode,AccountID   '主力合约,账户

Sub APPLICATION_VBAStart()
Call Application.SetTimer(2,1000*30)  '使用定时器30秒轮询
End Sub

Sub Application_Timer(ID)
'Application.MsgOut CDate(Time)
if weekday(cdate(date),vbMonday)>=6 then  '周六、周日不执行
  exit sub
end if
'''''''''''''''''
If CDate(Time)>=cdate("10:0000") then    '10:00-10:10判断是否需要移仓
  If CDate(Time)<=cdate("10:10:00") then
   TotalAccount=Cdbl(Document.GetPrivateProfileString("Gen","AccountCount",0,"C:\YcSet.Ini"))  '账户数
   For j=1 to TotalAccount
    CurrentAccount=Document.GetPrivateProfileString("Gen","Account" & Cstr(j) & "_Code",0,"C:\YcSet.Ini")  '本账户号码
    Yc=Document.GetPrivateProfileString("Gen","Account" & Cstr(j) & "_Yc",0,"C:\YcSet.Ini")  '是否移仓
    if Yc=1 then
     GetAllHolding CurrentAccount
    end if
   Next
  end if
end if
End Sub

'获取合约乘数
Sub GetContract(sCode,sMarket)
'Application.MsgOut sCode & "," & sMarket
Call Order.Contract(sCode,sMarket,Multipliter,MinTick,ShortPercent,LongPercent)
iMultipliter=Multipliter
'application.MsgOut iMultipliter
iMinTick=MinTick
iShortPercent=ShortPercent
iLongPercent=LongPercent
End Sub

Sub GetAllHolding(sAccount)
  dim i,k
  dim BuyHold
dim BuyCost
dim SellHold
dim SellCost
dim CurCode
dim CurMarket

  On Error resume Next
HoldingCount=Order.Holding2(sAccount)
  If HoldingCount>0 then
   For i=0 to HoldingCount-1
    Call Order.HoldingInfo2(i,BuyHolding,BuyCost,BuyTodayHolding,SellHolding,SellCost,SellTodayHolding,PNL,UseMargin,Code,Market,sAccount)
    CurCode=Code
    CurMarket=Market
    BuyHold=BuyHolding
    SellHold=SellHolding
    AutoYiCang CurCode,CurMarket,BuyHold,SellHold,sAccount  '自动移仓
   Next
  End If
End Sub

sub AutoYiCang(sCode,sMarket,iBuy,iSell,sAcc)
dim PreCode
dim i

for i=1 to len(sCode)
  if isnumeric(mid(sCode,i,1)) then
   PreCode=left(sCode,i-1)
   exit for
  end if
next
'application.MsgOut "i:" & i & ",PreCode:" & PreCode & ",sAcc:" & sAcc
GetContractCode sMarket,PreCode
if sCode<>ZhuLiCode And left(ZhuLiCode,i-1)=left(sCode,i-1) then  '不是持有主力合约
  if iBuy>0 then
   PingDuoDan 0,sCode,sMarket,iBuy,sAcc
   KaiDuoDan 0,ZhuLiCode,sMarket,iBuy,sAcc
  end if
  if iSell>0 then
   PingKongDan 0,sCode,sMarket,iSell,sAcc
   KaiKongDan 0,ZhuLiCode,sMarket,iSell,sAcc
  end if
end if
end sub

Sub GetContractCode(sMarketCode,sStockPre)    '根据市场编码取得主力合约编码
If sMarketCode="" then
  exit sub
End if

contractvolume = 0

n = marketdata.GetReportCount(sMarketCode)
For j = 0 To n - 1
  Set report1 = marketdata.GetReportDataByIndex(sMarketCode, j)
  suffixlabel = Right(report1.Label, 2)
  If sStockPre=left(report1.Label,len(sStockPre)) then
   If suffixlabel = "00" Then
    ZhuLiVol=report1.volume
   End If

   If cdbl(suffixlabel) >= 1 And cdbl(suffixlabel) <= 12 Then
    If report1.volume = ZhuLiVol Then
     ZhuLiCode = report1.Label
     'application.MsgOut ZhuLiCode
     exit for
    End If
   End If
  End if
Next
End Sub

'开多单
Sub KaiDuoDan(nPrice,sCode,sMarket,iOrdVol,sAccount)  '开多单，nPrice=0时为市价，否则就是传递过来的价
'application.MsgOut "iOrdVol:" & iOrdVol & "," & sCode & "," & sMarket & "," & sAccount & "," & nPrice
If iOrdVol>0 then
  If nPrice=0 then
   'application.MsgOut "sCode,sMarket,AccountID:" & sCode & "," & sMarket & "," & AccountID
   Call Order.Buy(1,iOrdVol,0,0,sCode,sMarket,sAccount,0)     '市价开多单
  Else
   Call Order.Buy(0,iOrdVol,nPrice,0,sCode,sMarket,sAccount,0)   '限价开多单
  End If
End If
End Sub

'开空单
Sub KaiKongDan(nPrice,sCode,sMarket,iOrdVol,sAccount)  '开空单，nPrice=0时为市价，否则就是传递过来的价
'application.MsgOut "iOrdVol:" & iOrdVol & "," & sCode & "," & sMarket & "," & sAccount & "," & nPrice
If iOrdVol>0 then
  If nPrice=0 then
   Call Order.BuyShort(1,iOrdVol,0,0,sCode,sMarket,sAccount,0)    '市价开空单
  Else
   Call Order.BuyShort(0,iOrdVol,nPrice,0,sCode,sMarket,sAccount,0)   '限价开空单
  End If
End If
End Sub

'平多单
Sub PingDuoDan(nPrice,sCode,sMarket,iOrdVol,sAccount)  '平多单，nPrice=0时为市价，否则就是传递过来的价
If iOrdVol>0 then
  If nPrice=0 then
   Call Order.Sell(1,iOrdVol,0,0,sCode,sMarket,sAccount,0)    '市价平多单
  Else
   Call Order.Sell(0,iOrdVol,nPrice,0,sCode,sMarket,sAccount,0)   '限价平多单
  End If
End If
End Sub
'平空单
Sub PingKongDan(nPrice,sCode,sMarket,iOrdVol,sAccount)  '平空单，nPrice=0时为市价，否则就是传递过来的价
If iOrdVol>0 then
  If nPrice=0 then
   Call Order.SellShort(1,iOrdVol,0,0,sCode,sMarket,sAccount,0)    '市价平空单
  Else
   Call Order.SellShort(0,iOrdVol,nPrice,0,sCode,sMarket,sAccount,0)   '限价平空单
  End If
End If
End Sub
用户回复： 感觉有些复杂,建议是否将自动换月的功能加入到软件中. 比如可以在主连上跑策略,程序自动实现换月.
网友回复： 还有人关注此贴吗，好像不能映射大连市场的几组连续合约，J00和JD00,P00和PP00会搞混，不知什么原因，请老师解惑2016-09-23 21:00:00.119 【图表】TA00 运行完毕2016-09-23 21:00:00.119 【图表】MA00 运行完毕2016-09-23 21:00:00.119 【图表】RM00 运行完毕2016-09-23 21:00:00.119 【图表】CF00 运行完毕2016-09-23 21:00:01.133 【图表】FG00 运行完毕2016-09-23 21:00:01.133 【图表】ZC00 运行完毕2016-09-23 21:00:02.147 【图表】J01 运行完毕2016-09-23 21:00:02.147 【图表】M00 运行完毕2016-09-23 21:00:02.147 【图表】RU00 运行完毕2016-09-23 21:00:02.147 【图表】Y00 运行完毕2016-09-23 21:00:02.147 【图表】HC00 运行完毕2016-09-23 21:00:02.147 【图表】RB00 运行完毕2016-09-23 21:00:02.147 【图表】AL00 运行完毕2016-09-23 21:00:02.147 【图表】I00 运行完毕2016-09-23 21:25:12.401 【下单】J01 价0.000000 量1 买卖1 类型1 开平1 账户600802 Formula 12016-09-23 21:25:12.417 【下单】JD01 价0.000000 量1 买卖0 类型1 开平0 账户600802 Formula 12016-09-23 21:25:12.417 【指令】收到回报指令 ID = 3042061372016-09-23 21:25:12.433 【回报】600802 : j1701 - 已报单 1 价格:1249.5 平卖2016-09-23 21:25:12.511 【指令】收到回报指令 ID = 3042061382016-09-23 21:25:12.511 【回报】600802 : jd1701 - 已报单 1 价格:3378 开买2016-09-23 21:25:12.511 【指令】收到回报指令 ID = 3042061372016-09-23 21:25:12.587 【指令】收到回报指令 ID = 3042061382016-09-23 21:25:12.597 【回报】600802 : JD01 鸡蛋1701 - 已撤单量:12016-09-23 21:25:12.597 【指令】收到回报指令 ID = 3042061382016-09-23 21:25:12.597 【指令】收到回报指令 ID = 3042061372016-09-23 21:25:12.657 【指令】收到成交回报指令 ORDERID = 3042061372016-09-23 21:25:12.677 【回报】600802 : j1701 - 已成交 1 价格:1250.5 平卖2016-09-23 21:25:12.677 【回报】600802 : j1701 - 全部成交 12016-09-23 21:27:47.744 【同步】600802 : J01 理论持仓多1 空0 实际持仓多0 空02016-09-23 21:27:47.744 【图表】J01 理论持仓比实际持仓大，需要补仓2016-09-23 21:27:47.764 【下单】J01 价0.000000 量1 买卖0 类型1 开平0 账户600802 Formula 12016-09-23 21:27:47.774 【指令】收到回报指令 ID = 3042061392016-09-23 21:27:47.774 【回报】600802 : j1701 - 已报单 1 价格:1250.0 开买2016-09-23 21:27:47.774 【指令】收到回报指令 ID = 3042061392016-09-23 21:27:47.774 【指令】收到回报指令 ID = 3042061392016-09-23 21:27:47.784 【指令】收到成交回报指令 ORDERID = 3042061392016-09-23 21:27:47.794 【回报】600802 : j1701 - 已成交 1 价格:1249.0 开买2016-09-23 21:27:47.794 【回报】600802 : j1701 - 全部成交 12016-09-23 21:31:12.647 【下单】P01 价0.000000 量1 买卖1 类型1 开平1 账户600802 Formula 12016-09-23 21:31:12.647 【下单】PP01 价0.000000 量1 买卖0 类型1 开平0 账户600802 Formula 12016-09-23 21:31:12.663 【指令】收到回报指令 ID = 3042061402016-09-23 21:31:12.725 【回报】600802 : p1701 - 已报单 1 价格:5706 平卖2016-09-23 21:31:12.742 【指令】收到回报指令 ID = 3042061402016-09-23 21:31:12.742 【指令】收到回报指令 ID = 3042061402016-09-23 21:31:12.793 【指令】收到成交回报指令 ORDERID = 3042061402016-09-23 21:31:12.803 【回报】600802 : p1701 - 已成交 1 价格:5710 平卖2016-09-23 21:31:12.803 【回报】600802 : p1701 - 全部成交 12016-09-23 21:31:12.853 【指令】收到回报指令 ID = 3042061412016-09-23 21:31:12.863 【回报】600802 : pp1701 - 已报单 1 价格:7079 开买2016-09-23 21:31:12.903 【指令】收到回报指令 ID = 3042061412016-09-23 21:31:12.913 【回报】600802 : PP01 聚丙烯1701 - 已撤单量:12016-09-23 21:31:12.913 【指令】收到回报指令 ID = 304206141

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