大豆-豆粕a1901-a1905-m1901-m1905碟式套利

由于豆粕是大豆加工后的主要产品之一,因此,其价格和大豆价格间有着紧密的联系,同涨同跌的趋势非常明显。然而另一方面,豆粕价格除了受到大豆原材料价格的影响外,还受到饲料养殖状况、替代品(如其它油籽粕、鱼粉和肉骨粉)的价格、以及大豆加工的另一主要产品——豆油的价格水平等多种因素的影响,并且在国内目前的期货合约设计上,黄大豆一号合约只能用国产大豆通过设置在大连的交割仓库进行交割,而豆粕合约主要用进口大豆压榨后的豆粕通过集中在华南和华东的交割厂库或厂库进行交割,这些因素又常常会造成豆粕与大豆价格间价差的波动,为我们进行大豆与豆粕间的跨品种套利提供机会。

a1901&a1905&m1901&m1905网格交易信息(最新差价:-516)

套利组合 交易方向 数量 价格 配比 成交差价 预期差价 交易时间
a1901&a1905&m1901&m1905卖出平仓13261.0,3482.0,2913.0,2714.01:1-420-4202018-12-05 14:28:04
a1901&a1905&m1901&m1905卖出平仓13268.0,3496.0,2908.0,2695.01:1-441-4402018-12-04 21:21:24
a1901&a1905&m1901&m1905卖出平仓13272.0,3493.0,2920.0,2681.01:1-460-4602018-12-04 14:59:29
a1901&a1905&m1901&m1905卖出平仓13285.0,3504.0,2921.0,2660.01:1-480-4802018-12-04 10:43:41
a1901&a1905&m1901&m1905卖出平仓23340.0,3544.0,2958.0,2682.01:1-480-5202018-12-03 09:00:10
a1901&a1905&m1901&m1905卖出平仓13347.0,3560.0,3039.0,2711.01:1-541-5402018-11-30 21:07:28
a1901&a1905&m1901&m1905买入开仓13417.0,3644.0,3152.0,2799.01:1-580-5802018-11-22 10:44:28
a1901&a1905&m1901&m1905买入开仓13436.0,3664.0,3150.0,2817.01:1-561-5602018-11-21 09:21:13
a1901&a1905&m1901&m1905买入开仓13471.0,3691.0,3149.0,2829.01:1-540-5402018-11-16 09:06:57
a1901&a1905&m1901&m1905买入开仓13455.0,3675.0,3116.0,2818.01:1-518-5202018-11-16 09:00:22
a1901&a1905&m1901&m1905卖出平仓13453.0,3669.0,3075.0,2811.01:1-480-4802018-11-15 22:41:12
a1901&a1905&m1901&m1905卖出平仓13444.0,3666.0,3056.0,2780.01:1-498-5002018-11-15 10:50:24
a1901&a1905&m1901&m1905卖出平仓13452.0,3667.0,3081.0,2775.01:1-521-5202018-11-14 09:02:41
a1901&a1905&m1901&m1905卖出平仓13478.0,3699.0,3100.0,2781.01:1-540-5402018-11-13 21:22:09
a1901&a1905&m1901&m1905卖出平仓13457.0,3664.0,3130.0,2777.01:1-560-5602018-11-09 09:01:36
a1901&a1905&m1901&m1905买入开仓13498.0,3697.0,3199.0,2819.01:1-579-5802018-11-07 10:42:44
a1901&a1905&m1901&m1905买入开仓13479.0,3682.0,3156.0,2809.01:1-550-5502018-11-05 21:00:12
a1901&a1905&m1901&m1905买入开仓13478.0,3678.0,3136.0,2807.01:1-529-5302018-11-02 23:28:05
a1901&a1905&m1901&m1905卖出平仓13450.0,3648.0,3070.0,2779.01:1-489-4902018-11-02 21:00:18
a1901&a1905&m1901&m1905卖出平仓13443.0,3646.0,3066.0,2776.01:1-493-5102018-11-02 21:00:07
a1901&a1905&m1901&m1905卖出平仓13530.0,3697.0,3163.0,2800.01:1-530-5302018-11-01 22:23:19
a1901&a1905&m1901&m1905买入开仓23618,3692,3119,27711:1-420-4202018-09-07 09:04:42

标签: