策略类简介
策略类集成了行情、交易和事件的接口，用户的策略都从此类继承实现自己的业务逻辑。每个进程只能实例化一个策略类对象。
策略类定义
public class Strategy{//策略基类构造函数//token：//strategy_id：策略ID//mode：运行模式public Strategy(string token, string strategyId, int mode);//=====================================策略参数类函数=====================================//添加参数public int AddParameters(Parameter param);//删除参数public int DelParameters(string keys);//获取标的public GMDataList<string> GetSymbols();//设置标的public int SetSymbols(string symbols);//设置回测参数public int SetBacktestConfig(string startTime, string endTime, double initialCash = 1000000, double transactionRatio = 1, double commissionRatio = 0, double slippageRatio = 0, int adjust = 0, int checkCache = 1);//设置参数public int SetParameters(List<Parameter> parameters);//=======================================交易函数================================================//查询交易账号public GMDataList<Account> GetAccounts();//查询资金public GMDataList<Cash> GetCash(string account = null);//查询成交public GMDataList<ExecRpt> GetExecutionReports(string account = null);//查询委托public GMDataList<Order> GetOrders(string account = null);//查询持仓public GMDataList<Position> GetPosition(string account = null);//查询未结委托public GMDataList<Order> GetUnfinishedOrders(string account = null);//委托撤单，public int OrderCancel(string clOrdIds);//撤销所有委托public void OrderCancelAll();//平当前所有可平持仓public GMDataList<Order> OrderCloseAll();//按总资产指定比例委托public GMData<Order> OrderPercent(string symbol, double percent, int side, int orderType, int positionEffect, double price = 0, string account = null);//调仓到目标持仓比例（总资产的比例）public GMData<Order> OrderTargetPercent(string symbol, double percent, int positionSide, int orderType, double price = 0, string account = null);//调仓到目标持仓额public GMData<Order> OrderTargetValue(string symbol, double value, int positionSide, int orderType, double price = 0, string account = null);//调仓到目标持仓量public GMData<Order> OrderTargetVolume(string symbol, int volume, int positionSide, int orderType, double price = 0, string account = null);//按指定价值委托public GMData<Order> OrderValue(string symbol, double value, int side, int orderType, int positionEffect, double price = 0, string account = null);//按指定量委托public GMData<Order> OrderVolume(string symbol, int volume, OrderSide side, OrderType orderType, PositionEffect positionEffect, double price = 0, string account = null);//=====================================基础函数=================================//运行策略public int Run();//定时任务public int Schedule(string dataRule, string timeRule);//停止策略public int Stop();//当前事件public long Now();//设置tokenpublic int SetToken(string token);//设置运行模式public int SetMode(StrategyMode mode);//设置策略IDpublic int SetStrategyId(string strategyId);//查询指定账户状态public AccountStatus GetAccountStatus(string accountId);//查询所有账户状态public List<AccountStatus> GetAccountStatus()//====================================数据函数=============================================//订阅行情public int Subscribe(string symbols, string frequency, bool unsubscribePrevious = false);//退订行情public int Unsubscribe(string symbols, string frequency);//========================================事件函数==============================================//初始化完成public virtual void OnInit();//实盘账号状态变化public virtual void OnAccountStatus(AccountStatus accountStatus);//收到bar行情public virtual void OnBar(Bar bar);//cash发生变化public virtual void OnCashStatus(Cash order);//错误事件public virtual void OnError(int errorCode, string errorMsg);//执行回报public virtual void OnExecutionReport(ExecRpt rpt);//回测结束public virtual void OnBacktestFinished(Indicator indicator);//数据库已连接public virtual void OnMarketDataConnected();//数据库断开public virtual void OnMarketDataDisconnected();//委托发生变化public virtual void OnOrderStatus(Order order);//运行时参数发生变化public virtual void OnParameter(List<Parameter> param);//position发生变化public virtual void OnPosition(Position position);//定时任务触发public virtual void OnSchedule(string dataRule, string timeRule);//策略结束public virtual void OnStop();//收到tick行情public virtual void OnTick(Tick tick);//交易已连接public virtual void OnTradeDataConnected();//交易断开public virtual void OnTradeDataDisconnected();}
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