商品期货程序化网格套利系统套利策略案例

下面是一些可以在商品期货程序化网格套利系统中使用的套利组合的例子,使用时需要根据基本面及实际情况调整开仓平仓点位以及交易数量等数据。

螺纹跨期套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
rb1905&rb1910122038036noneSHFE,SHFE1diff21.61:1

豆粕跨期套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
m1905&m190916-26052018SPDCE,DCE1diff231:1

甲醇跨期套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
MA905&MA90920-36052018SPDCZCE,CZCE1diff221:1

热卷-螺纹跨品种套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
hc1910&rb191012-8022036noneSHFE,SHFE1diff21.61:1

L-V跨品种套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
l1909&v1909302020420024SPCDCE,DCE0diff221:1

硅铁-硅锰跨品种套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
SF905&SM90550-202020024IPSCZCE,CZCE0diff251:1

焦炭-焦煤跨品种套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
j1905&jm19050.051.321.983SPCDCE,DCE1ratio11.21:3

豆粕-玉米跨品种套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
m1909&c190920-1320-6024noneDCE,DCE02xdf221:2

PP-甲醇跨品种套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
pp1905&MA90550-600186024noneDCE,CZCE03xdf252:3

PTA碟式套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
TA905&TA907&TA90920-18026024SPDCZCE,CZCE,CZCE1butt21.51:1

热卷-螺纹碟式套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
hc1905&hc1910&rb1905&rb191012-60-2024noneSHFE,SHFE1butt21.21:1

豆A-豆粕碟式套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
a1905&a1909&m1905&m190930-38062024SP,SPDCE,DCE,DCE,DCE1butt21.21:1

PP-甲醇碟式套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
pp1905&pp1909&MA905&MA90950-78076024SP,SPDDCE,DCE,CZCE,CZCE0butt222:3