網(wǎng)格交易法則（TB版）

網(wǎng)格法則（TB版）策略基于網(wǎng)格交易策略的算法，其核心邏輯圍繞著以下幾個關鍵參數(shù)和變量進行：1.初始倉位(`InitMP`):定義了策略開始時的倉位狀態(tài)，正數(shù)表示做多，負數(shù)表示做空。2.第一格間距(`FirstGrid`):網(wǎng)格交易的第一層距離，以點數(shù)為單位。3.總網(wǎng)格數(shù)(`TotalGrids`):最大允許的持倉層數(shù)或網(wǎng)格數(shù)。4.網(wǎng)格間距(`GridInterval`):除第一格外，每層網(wǎng)格之間的固定間距。5.盈利點數(shù)(`WinGrid`):達到此點數(shù)盈利后平倉的設定。6.每次開倉手數(shù)(`EveryLots`):每次交易的手數(shù)。7.委托價格偏移(`OffsetPoint`):訂單價格相對于市場價的偏移量。8.價差中樞類型(`MidLineType`):確定如何計算價差中樞，可選值包括昨天收盤價、價差均線、結(jié)算均價或手動設定。9.手動設置價差中樞(`MidLineSetValue`):當`MidLineType`為4時，手動設定的價差中樞值。代碼邏輯主要分為以下步驟：-初始化:確保初始倉位正確讀取或設置，并計算最小變動價位。-計算價差中樞(`MidLine`):根據(jù)選擇的類型計算，可能是昨收價差、均線價差、結(jié)算均價差或手動設定值。-實時監(jiān)控:在每天的特定時段內(nèi)(例如09:00至11:30，13:30至14:50)，監(jiān)控市場數(shù)據(jù)，避免在開盤初或收盤前的不穩(wěn)定時段操作。-開倉判斷:如果實際倉位小于等于0且當前叫買價低于中線加上第一格間距，則考慮開空單；若實際倉位大于等于0且叫賣價高于中線減去第一格間距，則考慮開多單。開倉時會根據(jù)當前網(wǎng)格層級和時間條件執(zhí)行。-平倉判斷:當有盈利時，根據(jù)盈利點數(shù)(`WinGrid`)計算平倉價格，并檢查是否需要調(diào)整倉位。-倉位調(diào)整:根據(jù)市場變化動態(tài)調(diào)整倉位，確保不超過設定的最大網(wǎng)格數(shù)。-訂單執(zhí)行:使用`Data0`和`Data1`代表兩個相關的市場數(shù)據(jù)流，分別發(fā)送買入和賣出訂單，考慮到委托價格的偏移。-結(jié)束處理:在每個bar結(jié)束時更新全局變量`MyRealMp`以保持最新倉位狀態(tài)，并在一天交易結(jié)束時（時間超過14:50），強制平掉所有倉位。整體而言，設計了一個自動化的網(wǎng)格交易系統(tǒng)，旨在通過在預定的價格間隔內(nèi)不斷開倉和平倉來從市場波動中獲利，同時控制風險。請注意，實際應用時需要根據(jù)具體市場規(guī)則和交易平臺接口進行調(diào)整和測試。策略代碼：ParamsNumericInitMP(0);//初始倉位,+-表示多空NumericFirstGrid(3);//第一格的間距，點數(shù)NumericTotalGrids(10);//總網(wǎng)格數(shù)，即最大持倉數(shù)NumericGridInterval(3);//網(wǎng)格間距，點數(shù)NumericWinGrid(3);//盈利點數(shù)NumericEveryLots(1);//每次開倉手數(shù)NumericOffsetPoint(0);//委托價格的偏移值(點數(shù))NumericMidLineType(1);//價差中樞類型選項，1代表昨天的收盤價為價差中樞，2代表價差均線為價差中樞，3代表昨天的結(jié)算均價為價差中樞，4手動設置價差中樞NumericMidLineSetValue(100);//價差中樞類型選項為4時，手動設置價差中樞位置的具體點位Numericlenth(20);VarsNumericMinPoint;NumericAvgOfClose;NumericAskLine;NumericBidLine;NumericMidLine;//中線值NumericMyRealMp(0);NumericTmpGridIndex;NumericTmpPrice;boolbtimecon;BeginbTimeCon=Time>0.0900And(Time<0.1130OrTime>0.1330)AndTime<0.1450;MinPoint=MinMove*PriceScale;MyRealMp=GetGlobalVar(0);If(BarStatus==0){If(MyRealMp==InvalidNumeric){MyRealMp=InitMP;SetGlobalVar(0,MyRealMp);}}ElseIf(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];}ElseIf(MidLineType==2){MidLine=intpart(AverageFC(data0.close-data1.close,lenth));}ElseIf(MidLineType==3){MidLine=Data0.Q_PreSettlePrice()-Data1.Q_PreSettlePrice();}ElseIf(MidLineType==4){MidLine=MidLineSetValue;}AskLine=Data0.Q_AskPrice-Data1.Q_BidPrice;BidLine=Data0.Q_BidPrice-Data1.Q_AskPrice;Commentary("中線="+Text(MidLine));Commentary("叫賣價="+Text(AskLine));Commentary("叫買價"+Text(BidLine));If(MyRealMp<=0&&BidLine>MidLine+FirstGrid*MinPoint){TmpPrice=MidLine+FirstGrid*MinPoint+Abs(MyRealMp)*(GridInterval*MinPoint);TmpPrice=Ceiling(TmpPrice,MinPoint);Commentary("開倉價="+Text(TmpPrice));TmpGridIndex=-1-IntPart((BidLine-MidLine-FirstGrid*MinPoint)/(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);}}ElseIf(MyRealMp>=0&&AskLine<MidLine-FirstGrid*MinPoint){TmpPrice=MidLine-FirstGrid*MinPoint-Abs(MyRealMp)*(GridInterval*MinPoint);TmpPrice=Floor(TmpPrice,MinPoint);Commentary("開倉價="+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("平倉價="+Text(TmpPrice));}ElseIf(MyRealMp<0){TmpPrice=MidLine+FirstGrid*MinPoint+(Abs(MyRealMp)-1)*(GridInterval*MinPoint)-WinGrid*MinPoint;TmpPrice=Floor(TmpPrice,MinPoint);Commentary("平倉價="+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+Offs