下面是一个套利合约的差值计算。请问怎样实现两个两个套利合约之间的差值计算?比如塑料-PP的1月合约的差值减去5月合约的差值。如何使用spread?谢谢!
Params
Numeric D0(1);
Numeric D1(1);
Numeric SW(0);
Numeric Length1(5);
Numeric Length2(10);
Numeric Length3(20);
Numeric Length4(30);
Numeric Length5(60);
Numeric Factor(100);
Vars
Numeric OpenPrice;
Numeric ClosePrice;
Begin
If(Data1.Close == InvalidNumeric) Return;
If(SW == 0)
{
OpenPrice = Data0.Open*D0 - Data1.Open*D1;
ClosePrice = Data0.Close*D0 - Data1.Close*D1;
}Else If(SW == 1)
{
OpenPrice = Data0.Open/Data1.Open*Factor;
ClosePrice = Data0.Close/Data1.Close*Factor;
}
PlotNumeric("Open",OpenPrice);
PlotNumeric("High",Max(ClosePrice,OpenPrice));
PlotNumeric("Low",Min(ClosePrice,OpenPrice));
PlotNumeric("Close",ClosePrice);
PlotNumeric("MA1",AverageFC(ClosePrice,Length1));
PlotNumeric("MA2",AverageFC(ClosePrice,Length2));
PlotNumeric("MA3",AverageFC(ClosePrice,Length3));
PlotNumeric("MA4",AverageFC(ClosePrice,Length4));
PlotNumeric("MA5",AverageFC(ClosePrice,Length5));
End
什么叫塑料-PP的1月合约的差值减去5月合约的差值?1月合约自己哪来差值?