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Dim ID1

Sub TLStart()

\'注册CF09和CF11品种

call marketdata.RegReportNotify("CU05","SQ")

call marketdata.RegReportNotify("AL05","SQ")

End Sub

\'响应注册的品种行情变化通知

Sub MARKETDATA_ReportNotify(ReportData)

\'得到这两个品种的行情报价

Set Report1 = marketdata.GetReportData("CU05","SQ")

Set Report2 = marketdata.GetReportData("AL05","SQ")

\'得到品种的持仓量等信息

dim BuyHoding1

dim BuyHlding2

dim BuyTodayHoding1

dim BuyTodayHoding2

dim SellHoding1

dim SellHoding2

dim SellTodayHoding1

dim SellTodayHoding2

dim BuyCost

dim SellCost

dim PNL

Dim UseMargin

Dim cs1

\'取指定持仓品种信息

call Order.HoldingInfoByCode2("CU05","SQ",BuyHoding1,BuyCost,BuyTodayHoding1,SellHoding1,SellCost,SellTodayHoding1,PNL,UseMargin)

call Order.HoldingInfoByCode2("AL05","SQ",BuyHoding2,BuyCost,BuyTodayHoding2,SellHoding2,SellCost,SellTodayHoding2,PNL,UseMargin)

num = ORDER.ORDERNUM2

\'当差价出现大于1800时进行套利开仓

Diff = Report1.SellPrice1 - Report2.BuyPrice1 \'分别取卖价和买价计算差价

application.MsgOut TIME&", "&Report1.SellPrice1&", "&Report2.BuyPrice1&", "&Diff

if Diff < 33315 then

CS1= CS1+1

End if

if CS1=1 then

ID1 = Order.Buy(0,1,46100,0,"CU05","SQ","",0)

ID2 = Order.BuyShort(1,1,Report2.BuyPrice1,0,"AL05","SQ","",0)

application.MsgOut TIME&", "&ID1&","&ID2

end if

application.MsgOut CS1

End Sub