策略框架

为了降低耦合度，策略以如下模板生成动态库，供交易平台动态调用。

#ifndef MA_STRATEGY_DLL_EXPORTS
#define MA_STRATEGY_DLL_EXPORTS
#endif

#ifdef MA_STRATEGY_DLL_EXPORTS
#define MA_STRATEGY_DLL_API  __declspec(dllexport)
#else
#define MA_STRATEGY_DLL_API  __declspec(dllimport)
#endif

#include "StdAfx.h"

extern "C"{

    MA_STRATEGY_DLL_API void global_Init();

    MA_STRATEGY_DLL_API void* createStraregy(string strCode);

    MA_STRATEGY_DLL_API void setPosition(void* pObj, string szKey, PositionDetail* plstPos,list<TradeListSig>* plstTrade);

    MA_STRATEGY_DLL_API map<string, parasStruct>* Init(void* pObj);

    MA_STRATEGY_DLL_API void getPara(void* pObj, vector<string> &vecPara);

    MA_STRATEGY_DLL_API void setTick(void* pObj, CThostFtdcDepthMarketDataField* pTick);

    MA_STRATEGY_DLL_API void setKline(void* pObj, vector<list<STRUCT_KLINE>*>& vecKLine);

    MA_STRATEGY_DLL_API map<string,list<double>>* getOtherIndex(void* pObj);

    MA_STRATEGY_DLL_API RSP_SIGNAL execStrategy(void* pObj, string szCode,string szCodeTd,vector<STRUCT_RSP_SIGNAL> &vecSigSet);
};

底层已经有大量的指标函数了，实时写策略只需要实现该函数即可。

bool Strategy::doSinger(string szCode,string szCodeTd){            //指标计算

    RSP_SIGNAL ret = none;
    int size1=MiniKline->size();
    int size2=DayKline->size();
    if (size1<=1500||size2<=10) return false;

    list<STRUCT_KLINE>::reverse_iterator iterDay,iterMin;
    iterDay=DayKline->rbegin();
    iterMin=MiniKline->rbegin();
    bool isFirstKline=isFirstK(iterMin);
    if (isFirstKline)
    {
        iterDay++;
    }
    double todayOpen=iterDay->dOpen; //开盘价
    iterDay++;
    mStruck.lastClose=iterDay->dClose;
    mStruck.last2=(iterDay->dLow+iterDay->dHigh)/2;
    int index=0;
    double avg10=0.f;
    double d3High=0.f,d3Low=9999999.f,d3HighClose=0.f,d3LowClose=9999999.f;
    for (;iterDay!=DayKline->rend();iterDay++)
    {        
        if (index<3)
        {
            d3High=iterDay->dHigh>d3High?iterDay->dHigh:d3High;
            d3HighClose=iterDay->dClose>d3HighClose?iterDay->dClose:d3HighClose;

            d3Low=iterDay->dLow<d3Low?iterDay->dLow:d3Low;
            d3LowClose=iterDay->dClose<d3LowClose?iterDay->dClose:d3LowClose;
        }
        if (index==4)
        {
            mStruck.lastClose5=iterDay->dClose;
        }
        if (index<10)
        {
            avg10+=iterDay->dClose;
        }
        if (index>=10) break;
        index++;
    }
    mStruck.up=todayOpen+max(d3High-d3LowClose,d3HighClose-d3Low)*0.4;
    mStruck.down=todayOpen-max(d3High-d3LowClose,d3HighClose-d3Low)*0.4;

    mStruck.c_ref300=util.REFCLOSE(MiniKline,300);
    mStruck.boll20_ref1=mStruck.boll20;
    util.BOLL(MiniKline,20,2,mStruck.boll20);
    mStruck.ma60=util.MA(MiniKline,60);
    mStruck.ma120=util2.MA(MiniKline,120);
    mStruck.count15=util.RSCOUNT2(MiniKline,15);
    mStruck.count50=util2.RSCOUNT2(MiniKline,50);
    mStruck.c15=util3.RSCOUNT(MiniKline,15);
    mStruck.boll200_ref1=mStruck.boll200;
    util.BOLL(MiniKline,200,2,mStruck.boll200);
    mStruck.ar26=util.AR(MiniKline,26);
    util.DMI(MiniKline,280,6,mStruck.dmi280);
    util2.DMI(MiniKline,70,6,mStruck.dmi70);

    return true;
}    

该策略模板只适用于cta策略，一些高频或者特别思路的还需要写代码实现。

以后也可以考虑用python实现，不过主要重心还在交易上面，暂时先放着吧。