对你说再见是什么歌:编制自动交易系统的基本知识

编制自动交易系统的基本知识一个交易系统大致包括以下几个方面:
1 开仓策略,即什么条件满足时开仓, 如某条线和某条线上交叉或下交叉,
2 平仓策略,即什么条件满足时平仓, 包括止赢设置,止损设置,和跟踪止赢设置三个方面.
3 资金管理, 其中一个方面就是下单的大小
4 时间管理, 如持仓时间,开平仓时间间隔等
5 账户状态分析,如交易历史,当前资金/仓位/各仓为盈亏状态等.
当然一个交易系统不必包括全部内容,本文做为入门知识也仅通过实例介绍交易系统程序的基本构成.

define MAGICMA 200610011231//+------------------------------------------------------------------+
/| 注意没有指标文件那些property                   |//+------------------------------------------------------------------+extern int whichmethod = 1;   //1~4 种下单方式  1 仅开仓, 2 有止损无止赢, 3 有止赢无止损, 4 有止赢也有止损extern double TakeProfit = 100;   //止赢点数extern   double StopLoss = 20;    //止损点数extern double MaximumRisk     = 0.3; //资金控制,控制下单量extern double TrailingStop =25;     //跟踪止赢点数设置extern   int maxOpen = 3;   //最多开仓次数限制 extern   int maxLots = 5;   //最多单仓持仓量限制 extern int bb = 0;       //非零就允许跟踪止赢extern double MATrendPeriod=26;//使用26均线 开仓条件参数  本例子 int i, p2, xxx,p1, res;double Lots; datetime lasttime;       //时间控制, 仅当一个时间周期完成才检查条件int init()   //初始化{ Lots = 1;lasttime = NULL;return(0); }int deinit() { return(0); } //反初始化//主程序int start(){CheckForOpen();    //开仓 平仓 条件检查 和操作if (bb>0)   CTP();   //跟踪止赢return(0);}//+------下面是各子程序--------------------------------------------+double LotsOptimized()   //确定下单量，开仓调用 资金控制{double lot=Lots;int   orders=HistoryTotal();   // history orders totalint   losses=0;             // number of losses orders without a break//MarketInfo(Symbol(),MODE_MINLOT);     相关信息//MarketInfo(Symbol(),MODE_MAXLOT);//MarketInfo(Symbol(),MODE_LOTSTEP);lot=NormalizeDouble(MaximumRisk * AccountBalance()/AccountLeverage(),1);     //开仓量计算if(lot<0.1) lot=0.1;if(lot>maxLots) lot=maxLots;return(lot);}  //平仓持有的买单void CloseBuy(){if (OrdersTotal( ) > 0 )   {  for(i=OrdersTotal()-1;i>=0;i--)  {  if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false)     break;  if(OrderType()==OP_BUY)   {    OrderClose(OrderTicket(),OrderLots(),Bid,3,White);    Sleep(5000);   }  }}}//平仓持有的卖单void CloseSell(){if (OrdersTotal( ) > 0 )   {  for(i=OrdersTotal()-1;i>=0;i--)  {  if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false)     break;  if(OrderType()==OP_SELL)     {    OrderClose(OrderTicket(),OrderLots(),Ask,3,White);    Sleep(5000);     }  }}}//判断是否买或卖或平仓int buyorsell()   //在这个函数计算设置你的交易信号  这里使用MACD 和MA 做例子{  double MacdCurrent, MacdPrevious, SignalCurrent;  double SignalPrevious, MaCurrent, MaPrevious;  MacdCurrent=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_MAIN,0);  MacdPrevious=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_MAIN,1);  SignalCurrent=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_SIGNAL,0);  SignalPrevious=iMACD(NULL,0,12,26,9,PRICE_CLOSE,MODE_SIGNAL,1);  MaCurrent=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,0);  MaPrevious=iMA(NULL,0,MATrendPeriod,0,MODE_EMA,PRICE_CLOSE,1);if(MacdCurrent<0 && MacdCurrent>SignalCurrent && MacdPreviousMaPrevious)  return (1); // 买 Ma在上升，Macd在0线上，并且两线上交叉if(MacdCurrent>0 && MacdCurrentSignalPrevious     && MaCurrent 19 ) return; //周五晚11点后不做  } if (OrdersTotal( ) >= maxOpen) return ;   //如果已持有开仓次数达到最大，不做if (nowbuyorsell==0) return;   //不交易TradeOK();   //去下单交易}void TradeOK()   //去下单交易{int error ;if (nowbuyorsell == 1) //买   {    switch (whichmethod)    {    case 1:   res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,0,0,"",MAGICMA,0,Blue);break;    case 2:   res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,Ask-StopLoss*Point,0,"",MAGICMA,0,Blue); break;    case 3:   res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,0,Ask+TakeProfit*Point,"",MAGICMA,0,Blue);break;    case 4:   res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,Ask-StopLoss*Point,Ask+TakeProfit*Point,"",MAGICMA,0,Blue);break;    default : res=OrderSend(Symbol(),OP_BUY,LotsOptimized(),Ask,3,0,0,"",MAGICMA,0,Blue);break;    }    if (res <=0)    {    error=GetLastError();    if(error==134)Print("Received 134 Error after OrderSend() !! ");         // not enough money    if(error==135) RefreshRates();   // prices have changed    }    Sleep(5000);     return ;     }if (nowbuyorsell == -1) //卖  {    switch (whichmethod)    {    case 1:   res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,0,0,"",MAGICMA,0,Red); break;    case 2:   res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,Bid+StopLoss*Point,0,"",MAGICMA,0,Red); break;    case 3:   res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,0,Bid-TakeProfit*Point,"",MAGICMA,0,Red); break;    case 4:   res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,Bid+StopLoss*Point,Bid-TakeProfit*Point,"",MAGICMA,0,Red); break;    default : res=OrderSend(Symbol(),OP_SELL,LotsOptimized(),Bid,3,0,0,"",MAGICMA,0,Red); break;    }    if (res <=0)    {    error=GetLastError();    if(error==134) Print("Received 134 Error after OrderSend() !! ");         // not enough money    if(error==135) RefreshRates();   // prices have changed    }    Sleep(5000);    return ;     }}void CTP()   //跟踪止赢{bool bs = false;for (int i = 0; i < OrdersTotal(); i++){  if(OrderSelect(i,SELECT_BY_POS,MODE_TRADES)==false)     break;  if (OrderType() == OP_BUY)   {    if ((Bid - OrderOpenPrice()) > (TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT)))    //开仓价格 当前止损和当前价格比较判断是否要修改跟踪止赢设置    {    if (OrderStopLoss() < Bid - TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT))     {      bs = OrderModify(OrderTicket(), OrderOpenPrice(), Bid - TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT), OrderTakeProfit(),0, Green);    }    }  }   else if (OrderType() == OP_SELL)   {    if ((OrderOpenPrice() - Ask) > (TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT)))  //开仓价格 当前止损和当前价格比较判断是否要修改跟踪止赢设置    {    if ((OrderStopLoss()) > (Ask + TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT)))    {           bs = OrderModify(OrderTicket(), OrderOpenPrice(),        Ask + TrailingStop * MarketInfo(OrderSymbol(), MODE_POINT), OrderTakeProfit(),0, Tan);}    }  }}}