# 快速开始
# 指引
# 快速新建策略
打开终端后，登陆掘金账号点击研究策略，新建策略 或者点击右上角新建策略
新建一个典型默认账号交易策略 新建 C++的默认账号交易策略
# 编译策略
- 打开新建策略文件目录
策略文件目录内容可以拷贝到本地其他盘符也可以进行编译生成
- 策略文件说明：
gmskd： sdk 目录
Stretegy：策略源码目录
readme.txt 说明文件
- 打开工程文件 sln 文件
需要用 visual studio 打开工程文件
- 编写策略
打开 main.c 文件，可进行策略编辑
编译并运行策略
- 查看运行结果
掘金客户端中关闭新建策略窗口并打开回测结果列表
查看回测结果
回测相关数据指标
# 策略框架应该是这样的
- 继承策略基类
- 重改关注事件
- 在 on_init 里订阅行情，初始化
- 在 main 里实例化一个派生类对像
- 设置 token,策略 id,和 mode
- 开始运行
# 继承策略基类
class MyStrategy :public Strategy { public: MyStrategy() {} ~MyStrategy(){} private: };复制成功
# 重改关注事件
class MyStrategy :public Strategy { public: MyStrategy() {} ~MyStrategy(){} //重写on_init事件，进行策略开发 void on_init() { cout << "on_init" << endl; return; } private: };复制成功
# 在 on_init 里订阅行情，初始化
class MyStrategy :public Strategy { public: MyStrategy() {} ~MyStrategy(){} //重写on_init事件，进行策略开发 void on_init() { cout << "on_init" << endl; subscribe("SHSE.600000", "tick"); return; } private: };复制成功
# 在 main 里实例化一个派生类对像
MyStrategy s;复制成功
# 设置 token,策略 id和mode
- 获取 token：打开客户端->点击右上角用户头像 -> 系统设置 -> 复制 token
- 获取策略 id：打开客户端->策略研究->右上角新建策略->新建 C/C++策略->复制策略 ID
- 策略模式： MODE_LIVE(实时)=1 MODE_BACKTEST(回测)=2
//设置策略id s.set_strategy_id("strategy_id"); //设置token s.set_token("token"); //设置回测模式 s.set_mode(MODE_BACKTEST); //回测模式相关设置 s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00", 1000000, 1, 0, 0, 0, 1);复制成功
# 开始运行
s.run();复制成功
# 订阅行情策略示例
# 源文件
#include <iostream> #include "strategy.h" using namespace std; class MyStrategy :public Strategy { public: MyStrategy() {} ~MyStrategy(){} //重写on_init事件，进行策略开发 void on_init() { cout << "on_init" << endl; //订阅行情数据 subscribe("SHSE.600000", "tick"); return; } //接收tick行情事件 void on_tick(Tick *tick) { cout<< "代码 " << tick->symbol << endl << "utc时间,精确到毫秒 " << tick->created_at << endl << "最新价 " << tick->price << endl << "开盘价 " << tick->open << endl << "最高价 " << tick->high << endl << "最低价 " << tick->low << endl << "成交总量 " << tick->cum_volume << endl << "成交总金额 / 最新成交额, 累计值 " << tick->cum_amount << endl << "合约持仓量(期), 累计值 " << tick->cum_position << endl << "瞬时成交额 " << tick->last_amount << endl << "瞬时成交量 " << tick->last_volume << endl << "保留)交易类型, 对应多开, 多平等类型 " << tick->trade_type << endl << "报价 " << tick->quotes << endl; } private: }; int main(int argc, char *argv[]) { MyStrategy s; s.set_strategy_id("07ea5d21-59ab-11e8-83bf-94c69161828a"); s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576"); s.set_mode(MODE_BACKTEST); s.set_backtest_config("2017-07-11 14:20:00", "2017-07-11 15:30:00", 1000000, 1, 0, 0, 0, 1); s.run(); cout << "回测完成！" << endl; getchar(); return 0; }复制成功
# 典型场景
# 空策略
////////////////////////////////////////////////////////////////////////// //空策略 #include <iostream> #include "strategy.h" using namespace std; class MyStrategy :public Strategy { public: MyStrategy() {} ~MyStrategy(){} //重写on_init事件，进行策略开发 void on_init() { cout << "on_init" << endl; //订阅行情数据 subscribe("SHSE.600000", "tick"); return; } //接收tick行情事件 void on_tick(Tick *tick) { cout << "代码 " << tick->symbol << endl << "utc时间，精确到毫秒 " << tick->created_at << endl << "最新价 " << tick->price << endl << "开盘价 " << tick->open << endl << "最高价 " << tick->high << endl << "最低价 " << tick->low << endl << "成交总量 " << tick->cum_volume << endl << "成交总金额 / 最新成交额, 累计值 " << tick->cum_amount << endl << "合约持仓量(期), 累计值 " << tick->cum_position << endl << "瞬时成交额 " << tick->last_amount << endl << "瞬时成交量 " << tick->last_volume << endl << "保留)交易类型, 对应多开, 多平等类型 " << tick->trade_type << endl << "报价 " << tick->quotes << endl; } private: }; int main(int argc, char *argv[]) { MyStrategy s; s.set_strategy_id("07ea5d21-59ab-11e8-83bf-94c69161828a"); s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576"); s.set_mode(MODE_BACKTEST); s.set_backtest_config("2017-07-11 14:20:00", "2017-07-11 15:30:00",1000000, 1, 0, 0, 0, 1); s.run(); cout << "回测完成！" << endl; getchar(); return 0; }复制成功
# 定时任务
////////////////////////////////////////////////////////////////////////// //定时任务 //策略描述： //典型如选股交易。比如，策略每日收盘前10分钟执行：选股->决策逻辑->交易->退出。可能无需订阅实时数据。 #include <iostream> #include "strategy.h" using namespace std; class MyStrategy :public Strategy { public: MyStrategy() {} ~MyStrategy(){} //重写on_init事件，进行策略开发 void on_init() { cout << "on_init" << endl; //设置定时任务 schedule("1d","13:24:00"); return; } //定时任务触发事件 void on_schedule(const char *data_rule, const char *time_rule) { //购买200股浦发银行股票 Order o = order_volume("SHSE.600000", 200, 1, 2, 1, 0); } //回测完成事件 void on_backtest_finished() { cout << "on_backtest_finished" << endl; } //回测完成后收到绩效报告 void on_indicator(Indicator *indicator) { cout << "on_indicator" << endl << "账号ID: " << indicator->account_id << endl << "累计收益率: " << indicator->pnl_ratio << endl << "年化收益率: " << indicator->pnl_ratio_annual << endl << "夏普比率: " << indicator->sharp_ratio << endl << "最大回撤: " << indicator->max_drawdown << endl << "风险比率: " << indicator->risk_ratio << endl << "开仓次数: " << indicator->open_count << endl << "平仓次数: " << indicator->close_count << endl << "盈利次数: " << indicator->win_count << endl << "亏损次数: " << indicator->lose_count << endl << "胜率: " << indicator->win_ratio << endl << "指标创建时间: " << indicator->created_at << endl << "指标变更时间: " << indicator->updated_at << endl; } private: }; int main(int argc, char *argv[]) { MyStrategy s; s.set_strategy_id("4727c864-84da-11e8-81b2-7085c223669d"); s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576"); s.set_mode(MODE_BACKTEST); s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1); s.run(); return 0; }复制成功
# 数据事件驱动
////////////////////////////////////////////////////////////////////////// //数据事件驱动 //策略描述： //典型如选股交易策略。比如，策略每日收盘前10分钟执行：选股->决策逻辑->交易->退出。可能无需订阅实时数据 #include <iostream> #include "strategy.h" using namespace std; class MyStrategy :public Strategy { public: MyStrategy() {} ~MyStrategy(){} //重写on_init事件，进行策略开发 void on_init() { cout << "on_init" << endl; //订阅浦发银行, bar频率为一天 subscribe("SHSE.600000", "1d"); return; } void on_bar(Bar *bar) { cout << "代码: " << bar->symbol << endl << "bar的开始时间: " << bar->bob << endl << "bar的结束时间: " << bar->eob << endl << "开盘价: " << bar->open << endl << "收盘价: " << bar->close << endl << "最高价: " << bar->high << endl << "最低价: " << bar->low << endl << "成交量: " << bar->volume << endl << "成交金额: " << bar->amount << endl << "前收盘价: " << bar->pre_close << endl << "持仓量: " << bar->position << endl << "bar频度: " << bar->frequency << endl; } private: }; int main(int argc, char *argv[]) { MyStrategy s; s.set_strategy_id("07ea5d21-59ab-11e8-83bf-94c69161828a"); s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576"); s.set_mode(MODE_BACKTEST); s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1); s.run(); return 0; }复制成功
# 默认交易账号
////////////////////////////////////////////////////////////////////////// //默认账号交易 //策略描述： //默认账号进行交易，下单时不指定account #include <iostream> #include "strategy.h" using namespace std; class MyStrategy :public Strategy { public: MyStrategy() {} ~MyStrategy(){} //重写on_init事件，进行策略开发 void on_init() { cout << "on_init" << endl; subscribe("SHSE.600000,SZSE.000001", "1d"); return; } void on_bar(Bar *bar) { //不指定account 使用默认账户下单 order_volume(bar->symbol, 200, 1, 2, 1, 0); } //回测完成事件 void on_backtest_finished() { cout << "on_backtest_finished" << endl; } //回测完成后收到绩效报告 void on_indicator(Indicator *indicator) { cout << "on_indicator" << endl << "账号ID: " << indicator->account_id << endl << "累计收益率: " << indicator->pnl_ratio << endl << "年化收益率: " << indicator->pnl_ratio_annual << endl << "夏普比率: " << indicator->sharp_ratio << endl << "最大回撤: " << indicator->max_drawdown << endl << "风险比率: " << indicator->risk_ratio << endl << "开仓次数: " << indicator->open_count << endl << "平仓次数: " << indicator->close_count << endl << "盈利次数: " << indicator->win_count << endl << "亏损次数: " << indicator->lose_count << endl << "胜率: " << indicator->win_ratio << endl << "指标创建时间: " << indicator->created_at << endl << "指标变更时间: " << indicator->updated_at << endl; } private: }; int main(int argc, char *argv[]) { MyStrategy s; s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d"); s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576"); s.set_mode(MODE_BACKTEST); s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1); s.run(); return 0; }复制成功
# 显示指定交易账号
////////////////////////////////////////////////////////////////////////// //显示指定交易账号 //策略描述： //下单时指定交易账号，account参数传账号id或者账号标题 #include <iostream> #include "strategy.h" using namespace std; class MyStrategy :public Strategy { public: MyStrategy() {} ~MyStrategy(){} //重写on_init事件，进行策略开发 void on_init() { cout << "on_init" << endl; subscribe("SHSE.600000,SZSE.000001", "1d"); return; } void on_bar(Bar *bar) { //不指定account 使用默认账户下单 order_volume(bar->symbol, 200, 1, 2, 1, 0, "ba8785aa-8641-11e8-98cb-7085c223669d"); } //回测完成事件 void on_backtest_finished() { cout << "on_backtest_finished" << endl; } //回测完成后收到绩效报告 void on_indicator(Indicator *indicator) { cout << "on_indicator" << endl << "账号ID: " << indicator->account_id << endl << "累计收益率: " << indicator->pnl_ratio << endl << "年化收益率: " << indicator->pnl_ratio_annual << endl << "夏普比率: " << indicator->sharp_ratio << endl << "最大回撤: " << indicator->max_drawdown << endl << "风险比率: " << indicator->risk_ratio << endl << "开仓次数: " << indicator->open_count << endl << "平仓次数: " << indicator->close_count << endl << "盈利次数: " << indicator->win_count << endl << "亏损次数: " << indicator->lose_count << endl << "胜率: " << indicator->win_ratio << endl << "指标创建时间: " << indicator->created_at << endl << "指标变更时间: " << indicator->updated_at << endl; } private: }; int main(int argc, char *argv[]) { MyStrategy s; s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d"); s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576"); s.set_mode(MODE_BACKTEST); s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1); s.run(); return 0; }复制成功
# 模式选择
////////////////////////////////////////////////////////////////////////// //模式选择 //策略描述： //策略支持两种运行模式，实时模式和回测模式，用户需要在运行策略时选择模式，执行run函数时mode=1 表示回测模式，mode=0表示实时模式 #include <iostream> #include "strategy.h" using namespace std; class MyStrategy :public Strategy { public: MyStrategy() {} ~MyStrategy(){} //重写on_init事件，进行策略开发 void on_init() { cout << "on_init" << endl; subscribe("SHSE.600000", "tick"); return; } void on_tick(Tick *tick) { cout << "代码: " << tick->symbol << endl << "utc时间，精确到毫秒: " << tick->created_at << endl << "最新价: " << tick->price << endl << "开盘价: " << tick->open << endl << "最高价: " << tick->high << endl << "最低价: " << tick->low << endl << "成交总量 " << tick->cum_volume << endl << "成交总金额/最新成交额,累计值: " << tick->cum_amount << endl << "合约持仓量(期),累计值: " << tick->cum_position << endl << "瞬时成交额: " << tick->last_amount << endl << "瞬时成交量: " << tick->last_volume << endl << "交易类型,对应多开,多平等类型: " << tick->trade_type << endl; } private: }; int main(int argc, char *argv[]) { MyStrategy s; s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d"); s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576"); // mode = MODE_LIVE 实时模式 // mode = MODE_BACKTEST 回测模式, 指定回测开始时间backtest_start_time和结束时间backtest_end_time //s.set_backtest_config("2016-07-11 17:20:00", "2017-07-11 17:30:00",1000000, 1, 0, 0, 0, 1); s.set_mode(MODE_LIVE); s.run(); return 0; }复制成功
# 数据研究
////////////////////////////////////////////////////////////////////////// //数据研究 //策略描述： //无需实时数据驱动策略，无需交易下单，只是取数据的场景 #include <iostream> #include "strategy.h" using namespace std; class MyStrategy :public Strategy { public: MyStrategy() {} ~MyStrategy(){} //重写on_init事件，进行策略开发 void on_init() { cout << "on_init" << endl; DataArray<Tick>* ht = history_ticks("SZSE.000002", "2017-07-11 10:20:00", "2017-07-11 10:30:00"); if (ht->status() == 0) { for (int i = 0; i < ht->count(); i++) { cout << "代码: " << ht->at(i).symbol << endl << "utc时间，精确到毫秒: " << ht->at(i).created_at << endl << "最新价: " << ht->at(i).price << endl << "开盘价: " << ht->at(i).open << endl << "最高价: " << ht->at(i).high << endl << "最低价: " << ht->at(i).low << endl << "成交总量: " << ht->at(i).cum_volume << endl << "成交总金额 / 最新成交额, 累计值: " << ht->at(i).cum_amount << endl << "合约持仓量(期), 累计值: " << ht->at(i).cum_position << endl << "瞬时成交额: " << ht->at(i).last_amount << endl << "瞬时成交量: " << ht->at(i).last_volume << endl << "保留)交易类型, 对应多开, 多平等类型: " << ht->at(i).trade_type << endl << "报价: " << ht->at(i).quotes << endl; } } return; } private: }; int main(int argc, char *argv[]) { MyStrategy s; s.set_strategy_id("ba8785aa-8641-11e8-98cb-7085c223669d"); s.set_token("39624b0f1916ae0b2a4cb1f2d13704368badf576"); s.set_mode(MODE_BACKTEST); s.set_backtest_config("2017-07-11 10:20:00", "2017-07-11 10:30:00",1000000, 1, 0, 0, 0, 1); s.run(); return 0; }复制成功