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
rb1901&rb1905122038036noneSHFE,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
m1901&m190516-26052018SPDCE,DCE1diff231:1

甲醇跨期套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
MA901&MA90520-36052018SPDCZCE,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
hc1901&rb190112-28022036noneSHFE,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
l1901&v1901402300420024SPCDCE,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
SF901&SM90150-202020024IPSCZCE,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
j1901&jm19010.051.322.283SPCDCE,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
m1905&c190520-1200-6024noneDCE,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
pp1901&MA90150-600126024noneDCE,CZCE03xdf252:3

PTA碟式套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
TA901&TA903&TA90520-30036024SPDCZCE,CZCE,CZCE1butt21.51:1

豆A-豆粕碟式套利

iids grid_offset bottom top amount cmd exchange night_trading type grid_unit times order_ratio
a1901&a1905&m1901&m190530-38062024SP,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
pp1901&pp1905&MA901&MA90550-78076024SP,SPDDCE,DCE,CZCE,CZCE0butt222:3