冰山委托指的是投资者在进行大额交易时,为避免对市场造成过大冲击,将大单委托自动拆为多笔委托,根据当前的最新买一/卖一价格和客户设定的价格策略自动进行小单委托,在上一笔委托被全部成交或最新价格明显偏离当前委托价时,自动重新进行委托。 例子: 如果单次均值浮动点数设置为10那么: 每一笔委托的数量为其单次委托平均值的90%~110%,委托价格为最新买1价*(1-委托深度),在上一笔委托全部成交后再进行新的一笔委托,在最新成交价格距离该笔委托超过委托深度*2时自动撤单并重新进行委托。在策略总成交量等于其总委托数量时停止委托。当市场的最新成交价格高于其最高买入价格时停止委托,在最新成交价格重新低于最高买入价后恢复委托。
function CancelPendingOrders() { while (true) { var orders = _C(exchange.GetOrders); if (orders.length == 0) { return; } for (var j = 0; j < orders.length; j++) { exchange.CancelOrder(orders[j].Id); if (j < (orders.length-1)) { Sleep(Interval); } } } } var LastBuyPrice = 0; var InitAccount = null; function dispatch() { var account = null; var ticker = _C(exchange.GetTicker); // 在最新成交价格距离该笔委托超过委托深度*2时自动撤单并重新进行委托 if (LastBuyPrice > 0) { // 订单没有完成 if (_C(exchange.GetOrders).length > 0) { if (ticker.Last > LastBuyPrice && ((ticker.Last - LastBuyPrice) / LastBuyPrice) > (2*(EntrustDepth/100))) { Log('偏离过多, 最新成交价:', ticker.Last, '委托价', LastBuyPrice); CancelPendingOrders(); } else { return true; } } else { account = _C(exchange.GetAccount); Log("买单完成, 累计花费:", _N(InitAccount.Balance - account.Balance), "平均买入价:", _N((InitAccount.Balance - account.Balance) / (account.Stocks - InitAccount.Stocks))); } LastBuyPrice = 0; } // 委托价格为最新买1价*(1-委托深度) var BuyPrice = _N(ticker.Buy * (1 - EntrustDepth/100)); if (BuyPrice > MaxBuyPrice) { return true; } if (!account) { account = _C(exchange.GetAccount); } if ((InitAccount.Balance - account.Balance) >= TotalBuyNet) { return false; } var RandomAvgBuyOnce = (AvgBuyOnce * ((100 - FloatPoint) / 100)) + (((FloatPoint * 2) / 100) * AvgBuyOnce * Math.random()); var UsedMoney = Math.min(account.Balance, RandomAvgBuyOnce, TotalBuyNet - (InitAccount.Balance - account.Balance)); var BuyAmount = _N(UsedMoney / BuyPrice); if (BuyAmount < MinStock) { return false; } LastBuyPrice = BuyPrice; exchange.Buy(BuyPrice, BuyAmount, '花费: ', _N(UsedMoney), '上次成交价', ticker.Last); return true; } function main() { if (exchange.GetName().indexOf('Futures_') != -1) { throw "只支持现货"; } CancelPendingOrders(); InitAccount = _C(exchange.GetAccount); Log(InitAccount); if (InitAccount.Balance < TotalBuyNet) { throw "账户余额不足"; } LoopInterval = Math.max(LoopInterval, 1); while (dispatch()) { Sleep(LoopInterval * 1000); } Log("委托全部完成", _C(exchange.GetAccount)); }template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6