移仓护卫 Rolling Guardian

简便的一键移仓换月工具,支持不同账号之间,指定价差条件移仓。

位置:策略 > 移仓护卫

对于大商所、广期所、郑商所等 有交易所标准套利组合的合约( 位置:交易 > 实时行情 > 套利 ),无需使用『移仓护卫』,优先在普通下单板 使用『互换』指令移仓没有不利滑点,详见:标准套利

「移仓护卫」执行顺序是「先平再开」,如果开仓合约没流动性,有可能产生不利滑点,建议使用 自定义套利 指定顺序为「先开再平」来移仓。


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Convenient and efficient calendar rolling.

Choose Strategy > Rolling Guardian

DCE, GFEX and CZCZ's futures can be rolled using the spread trading function (navigate to Trade > Markets > Spread). In the Easy Trader or Infinite Trader interface, when performing a rollover using the spread function with the Swap option selected, negative slippage will not occur.

The execution sequence of Rolling Guardian is to close first and then open. If the opened contract has poor liquidity, it may result in negative slippage.The recommendation is to use the Custom Spread feature to specify the sequence of first opening a new position and then closing the existing one for rollover.


USERGUIDE


USERGUIDE


2024.10.25 日起,国内交易所(中金所只有国债期货从 07.01 开始沿用新规,其他合约保持旧规)统计异常报撤单次数时,不再豁免 FAK、FOK 指令,但收取申报费合约的 GFD 指令豁免。

无限易 2024.1021 之后的版本:

移仓新下单的默认指令会由原来的 FAK 变为 GFD,导入文件请自行修改。 中金所除国债期货外的合约(股指),请自行切换为 FAK 或 FOK。

Versions after v2024.1021:

The default value is GFD.

When trading CFFEX contracts other than T-bond futures (such as IC and IH), replacing GFD with FAK or FOK is recommended to avoid churning.

When trading contracts on CZCE, DCE, INE, and SHFE, using GFD does not constitute churning.

参数说明 Parameter Description

实时价差:近月合约价格 - 远月合约价格。

移仓合约:持仓的合约。

新仓合约:要开仓的合约,当上方勾选『新仓不展示期权合约』时,此处不会展示期权。

上期能源优先平今: 勾选后,上期所、能源中心合约在同时拥有昨仓和今仓的情况下,优先平今再平昨。

除上期所、能源中心外,其他交易所没有平今指令,该项无效。

单笔上限: 单次报单的数量上限。


Cur. basis: The price of the near-month contract minus the price of the far-month contract.

New Instrument: Check Ignore options, options will not be displayed here.

DayTrader First: Check this, and the order of closing SHFE and INE contracts is Close Today > Close Yesterday, otherwise Close Yesterday > Close Today.

Per Max: After splitting the order, each order will not exceed the specified quantity.

两种移仓方式 Two types of rolling mode

直接移仓 Easy

下单之后,依据设置的间隔和单笔上限,直接以对手价报单。

间隔(秒):每隔 X 秒,下一笔单。


Upon placement, an order is immediately quoted at the best price based on the configured interval and single limit.

Intervel(S): Report orders at the specified interval, measured in seconds.

基差移仓 Basis

下单之后,仅实时基差满足委托基差的时候,以对手价进行报单。

委托基差:基差移仓时,指定基差价格移仓。

当委托基差下出现提示:(近移远)需委托基差 < 实时基差。

  • 说明此时输入的委托基差 < 实时基差时,价格更加有利,且在 委托基差 ≤ 实时基差 时,移仓才会执行。

  • 如果此时输入的委托基差 > 实时基差,由于满足 委托基差 ≤ 实时基差 的条件,所以移仓会立即执行。

持仓合约方向 移仓方向 委托基差 触发原理
多头 近移远 委托基差 > 实时基差时,价格更加有利 当实时基差 ≥ 委托基差时,移仓才会执行
空头 近移远 委托基差 < 实时基差时,价格更加有利 当实时基差 ≤ 委托基差时,移仓才会执行
多头 远移近 委托基差 < 实时基差时,价格更加有利 当实时基差 ≤ 委托基差时,移仓才会执行
空头 远移近 委托基差 > 实时基差时,价格更加有利 当实时基差 ≥ 委托基差时,移仓才会执行

When the spread entered in the Basis field meets the condition in the Cur. basis field, place the order at the best price.

Basis: Enter the trigger condition for the Spread.

In Basis mode, the interface shows "(Near to Far)Order's basis < cur. basis. Or algo will be triggered immediately":

  • When Basis < Cur. basis, the price is more favorable, and the order will only work if the condition Basis ≤ Cur. basis is met.

  • If the input Basis is greater than Cur. basis, the order will immediately go into the working state.

追单 Chase the Trade

当平仓合约成交后,会以对手价委托开仓合约,若开仓合约未成交,将会根据 追单超价追单次数 进行追单。

追单超价:开仓合约每次追单时,在上一次委托价格基础上超价 x 个 Tick 追单,中间和对手价择优委托。

追单次数:最大的追单次数,超过则不追。


After the closed contract is executed, a new contract will be opened at the best price. If the new contract is not executed, it will be chased based on the parameters of Pay up and Chase.

Pay up: measured in ticks, refers to the process where, in the event of chasing an order, each subsequent order is placed based on the previous order's price adjusted by the Pay up amount. During this process, the algorithm compares the current ask and bid prices, and selects the more favorable price for execution to place the order.

Chase: Max Chase Orders.

算法列表 Algos

下单后可在 算法列表 窗口中查看并管理委托。

位置:交易 > 算法列表 > 移仓护卫


The Algos window shows the status of the algorithmic orders.

Choose Trade > Algos >Rolling Guardian


USERGUIDE


  • 网络断线,算法不会正常运行。

  • 算法单皆委托在 本地,软件关闭,算法不会运行和保存(下次打开时无记录)。

  • 同一台电脑设备保存算法

    可直接勾选窗口右上角 USERGUIDE 自动保存,自动储存 执行中、已暂停 的算法。

    只对剩余组合数量进行保存,进度(已成交 / 总数)6 / 10,那么会保存剩余 4 组,第 7 组里有部分成交不管。

  • 不同电脑设备保存算法

    点击 算法列表 > 移仓护卫 右上角 USERGUIDE 手动 储存 全部的算法(包括已完成、已终止算法),下次点击 USERGUIDE 导入文件。

    保存全部数量。

    通过『定时管家』窗口设置 自动 保存,储存 执行中、已暂停 的算法文件,下次点击 USERGUIDE 导入文件。

    同窗口右上角 USERGUIDE 自动保存 一样规则,只保存剩余数量。

  • 保存的算法下次打开或导入,算法列表会是 『已暂停』 状态,需要 手动点开始 才会执行。

  • 执行过程中遇到 错单 (资金不足、不在交易时间等)、 手动撤单,算法自动终止。


  • Algos will not function properly when the network is disconnected.

  • All Algos are locally (on your PC), Close the software, Algos will not be saved.

  • Save on the same PC.

    Check the USERGUIDE Auto Save in the top right corner of the window to save the Algo in "Executing" and "Paused" states.

    The Algo only saves the remaining sets; with a Progress of 6/10, it means it saves the last 4 sets. If a set (like the 7th) is partially completed, it will not be saved.

  • Saved on different PC.

    Click the USERGUIDE in the top right corner of the window to save all sets, including those marked as "Finished" and "Terminated" by the Algo. Next time you open the software, click USERGUIDE here to import the saved file.

    Save All Qty.

    In the Time Master window, you can set up automatic saving for Algos that are "Executing" and "Paused". Next time, in the Algo window, click USERGUIDE to import the saved files.

    Just like with USERGUIDE Auto Save, only save the Qty of the remaining sets.

  • The Algo will be in a "Paused" state upon the next opening when the file is auto-saved or imported. You will need to click "Start" to execute it manually.

  • If your order shows a "Fail" status or you cancel the order, the Algos will end.

Copyright © Infinitrader 2024 All Right Reserved,Powered by GitBook该文件修订时间: 2024-11-29 14:08:12

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