我想拟合出当天巨单和大单主动买卖金额的近似成本,思路如下,先用每分钟的巨大单金额除以当根K线的结算价算出成交手数,然后用当天的巨大单总额除以当天的累计手数得出成交均价,程序如下:
//标注品种代码;
M_DAY := BARSLAST(DATE <> REF(DATE,1)) + 1,LINETHICK0;
IF STKLABEL = 'P00' THEN PP := 990010;
IF STKLABEL = 'RM00' THEN PP := 990011;
IF STKLABEL = 'NI00' THEN PP := 990012;
IF STKLABEL = 'TA00' THEN PP := 990013;
IF STKLABEL = 'JM00' THEN PP := 990014;
P_N := PP,LINETHICK0;
P_N_C := NUMTOSTR(P_N,0);
//计算巨单大单主动上跳金额;
LARGE_AC_IN := ALLTICKUA(P_N_C, 4) ,LINETHICK0;
HUGE_AC_IN := ALLTICKUA(P_N_C, 5) ,LINETHICK0;
LH500_IN := LARGE_AC_IN + HUGE_AC_IN,LINETHICK0,COLORRED;
//计算巨单大单主动下跳金额;
LARGE_AC_OUT := ALLTICKDA(P_N_C, 4) ,LINETHICK0;
HUGE_AC_OUT := ALLTICKDA(P_N_C, 5) ,LINETHICK0;
LH500_OUT := LARGE_AC_OUT + HUGE_AC_OUT,LINETHICK0,COLORRED;
//计算巨单大单当天总上下跳金额与当根K线金额;
LH500_IN_OUT := LH500_IN - LH500_OUT,COLORSTICK,COLORRED;
LH500_INST := IF(TODAYBAR = 1, LH500_IN_OUT, LH500_IN_OUT - REF(LH500_IN_OUT,1)),COLORRED;
//计算巨单大单近似成本
CAL_PRICE_INST := AMOUNT / (VOL * MULTIPLIER),LINETHICK0;
OPI_LH500 := ROUND(LH500_INST / (CAL_PRICE_INST * MULTIPLIER)),LINETHICK0;
OPI_LH500_ALL : SUM(OPI_LH500,M_DAY),LINETHICK0,COLORRED;
OPI_LH500_INST := OPI_LH500_ALL - REF(OPI_LH500_ALL,1);
CAL_LH500 : LH500_IN_OUT / (OPI_LH500_ALL * MULTIPLIER),LINETHICK0,COLORRED;
问题来了,最后的CAL_LH500计算出来的近似成本总是有点问题,有些k线好像对,但有些k线却出现当天没有的或者超出涨跌停的价格,请问问题出在哪里?