编制自动交易系统的基本知识

okwh | 23 十月, 2007

Introduction介绍

鉴于许多中国的交易者对交易系统了解不多,本文解释使用MQ4语言编制自动交易系统的基本知识.

Title 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.

//+------------------------------------------------------------------+
//|                           Designed by OKwh, China                |
//|                   Copyright 2007, OKwh Dxdcn                     |
//|                                 |<//+----------------------------+
#property  copyright "Copyright 2007 , Dxd, China."
#property  link      "http://blog.sina.com.cn/FXTrade ,  https://www.mql4.com/ users/DxdCn"
#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 total
int   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 && MacdPrevious<SignalPrevious 
    && MaCurrent>MaPrevious)
  return (1); // 买 Ma在上升，Macd在0线上，并且两线上交叉
if(MacdCurrent>0 && MacdCurrent<SignalCurrent && MacdPrevious>SignalPrevious 
    && MaCurrent<MaPrevious)
  return (-1); // 卖
return (0); //不交易
}
int nowbuyorsell = 0;
void CheckForOpen()
{
if (Time[0] == lasttime ) return; //每时间周期检查一次  时间控制
lasttime = Time[0];
nowbuyorsell = buyorsell(); //获取买卖信号
 
if (nowbuyorsell == 1) //买　先结束已卖的
  CloseSell();
if (nowbuyorsell == -1) //卖　先结束已买的
    CloseBuy();
if (TimeDayOfWeek(CurTime()) == 1)
  {
  if (TimeHour(CurTime()) < 3 ) return; //周一早8点前不做 具体决定于你的时区和服务器的时区  时间控制
  }
if (TimeDayOfWeek(CurTime()) == 5)
  {
  if (TimeHour(CurTime()) > 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);
}
    }
  }
}
}

Conclusion 结论

本例 介绍了自动交易系统程序文件的基本构成, 略加修改就可以用于建立你自己系统.
比如根据你的下单策略修改buyorSell()函数.

注: 本人2006比赛的系统就是这样的框架, 2007 比赛当然也将是这样的框架