用C++写一个期货交易策略

期货交易策略的实现需要结合市场行情和交易规则进行分析和计算，具体的实现方式也会因为不同的交易所和品种而有所不同。以下是一个简单的期货交易策略示例，仅供参考：

#include<iostream>
#include<fstream>
#include<cmath>
#include<vector>
#include<queue>

using namespace std;

//定义交易数据结构体
struct trade{
    int day; //交易日期
    double open; //开盘价
    double close; //收盘价
    double high; //最高价
    double low; //最低价
    double volume; //成交量
};

//读取交易数据函数
vector<trade> readData(string filename){
    vector<trade> data;
    ifstream fin(filename);
    if(!fin.is_open()){
        cout<<"Error opening file"<<endl;
        return data;
    }
    string line;
    getline(fin, line); //忽略第一行表头
    while(getline(fin, line)){
        trade t;
        sscanf(line.c_str(), "%d,%lf,%lf,%lf,%lf,%lf", &t.day, &t.open, &t.high, &t.low, &t.close, &t.volume);
        data.push_back(t);
    }
    fin.close();
    return data;
}

//计算移动平均线
vector<double> calMA(vector<double> prices, int window){
    vector<double> ma;
    queue<double> windowPrices;
    double sum = 0;
    for(int i=0; i<prices.size(); i++){
        if(windowPrices.size() < window){
            sum += prices[i];
            windowPrices.push(prices[i]);
        }else{
            sum -= windowPrices.front();
            windowPrices.pop();
            sum += prices[i];
            windowPrices.push(prices[i]);
        }
        ma.push_back(sum/windowPrices.size());
    }
    return ma;
}

//计算均线交叉信号
vector<int> calSignal(vector<double> ma5, vector<double> ma10){
    vector<int> signal;
    for(int i=0; i<ma5.size(); i++){
        if(ma5[i] > ma10[i]){
            signal.push_back(1); //金叉信号
        }else if(ma5[i] < ma10[i]){
            signal.push_back(-1); //死叉信号
        }else{
            signal.push_back(0); //无信号
        }
    }
    return signal;
}

//简单止损策略
int stopLoss(double buyPrice, double closePrice){
    if(closePrice < buyPrice*0.95){
        return -1; //止损信号
    }
    return 0;
}

//简单止盈策略
int takeProfit(double buyPrice, double closePrice){
    if(closePrice > buyPrice*1.05){
        return 1; //止盈信号
    }
    return 0;
}

//期货交易策略函数
vector<int> trading(vector<trade> data){
    vector<double> closePrices;
    for(int i=0; i<data.size(); i++){
        closePrices.push_back(data[i].close);
    }
    vector<double> ma5 = calMA(closePrices, 5);
    vector<double> ma10 = calMA(closePrices, 10);
    vector<int> signal = calSignal(ma5, ma10);
    vector<int> action(signal.size(), 0); //交易信号
    int position = 0; //持仓情况，0表示无持仓，1表示持有多头，-1表示持有空头
    double buyPrice = 0; //买入价格
    for(int i=1; i<signal.size(); i++){
        if(signal[i-1] == 0 && signal[i] == 1 && position == 0){
            action[i] = 1; //买入信号
            position = 1;
            buyPrice = data[i].close;
        }else if(signal[i-1] == 0 && signal[i] == -1 && position == 0){
            action[i] = -1; //卖空信号
            position = -1;
            buyPrice = data[i].close;
        }else if(signal[i-1] == 1 && signal[i] == -1 && position == 1){
            action[i] = -1; //卖出信号
            position = 0;
        }else if(signal[i-1] == -1 && signal[i] == 1 && position == -1){
            action[i] = 1; //买回信号
            position = 0;
        }
        //止损止盈策略
        if(position == 1){
            int stop = stopLoss(buyPrice, data[i].close);
            if(stop == -1){
                action[i] = -1;
                position = 0;
            }else{
                int profit = takeProfit(buyPrice, data[i].close);
                if(profit == 1){
                    action[i] = -1;
                    position = 0;
                }
            }
        }else if(position == -1){
            int stop = stopLoss(buyPrice, data[i].close);
            if(stop == -1){
                action[i] = 1;
                position = 0;
            }else{
                int profit = takeProfit(buyPrice, data[i].close);
                if(profit == 1){
                    action[i] = 1;
                    position = 0;
                }
            }
        }
    }
    return action;
}

int main(){
    string filename = "data.csv";
    vector<trade> data = readData(filename);
    vector<int> action = trading(data);
    for(int i=0; i<action.size(); i++){
        cout<<data[i].day<<" "<<action[i]<<endl;
    }
    return 0;
}

这个示例使用了移动平均线和简单的止损止盈策略。在实际交易中，还需要考虑更多的因素，比如市场风险、交易成本等等。因此，在进行实际交易之前，一定要对交易策略进行严格的测试和验证。