/// <summary>
/// 预处理线程启动
/// </summary>
private static void ThreadProc()
{
log.LogEvent("交易预处理线程开始执行");
while (true)
{
Thread.Sleep(10);
/*****************************
* 生成交易List之前的例行工作
* **************************/
#region 策略生成交易队列
List <TradeOrderStruct> tos = PreTradeModule.instance.DeQueue();
if (tos != null)
{
log.LogEvent("来自策略的交易数：" + tos.Count.ToString());
if (tos.Count == 0)
{
continue;
}
string user = tos[0].cUser;
string strategyid = tos[0].belongStrategy;
//风控检测
string result = string.Empty;
bool brisk = riskmonitor.RiskDetection(user, tos, out result);
//DBAccessLayer.AddRiskRecord(user, result, strategyid, "00", 0, 0, "0");
//List<RISK_TABLE> risks = DBAccessLayer.GetRiskRecord(user);
//int count = 0;
//if (risks.Count > 0)
//{
// List<TMRiskInfo> riskinfos = new List<TMRiskInfo>();
// foreach (RISK_TABLE risk in risks)
// {
// count++;
// if (count > 10) break;
// riskinfos.Add(new TMRiskInfo() { code = risk.code, hand = risk.amount.ToString(), price = risk.price.ToString(), orientation = risk.orientation, time = risk.time.ToString(), strategy = "00", user = risk.alias, errinfo = risk.err });
// }
// TradeMonitor.Instance.updateRiskList(user, JsonConvert.SerializeObject(riskinfos), JsonConvert.SerializeObject(riskmonitor.riskPara));
//}
if (!brisk)
{
continue;
}
//获取到新的list
List <TradeOrderStruct> stocks_sh = (from item in tos where item.cExhcnageID == ExchangeID.SH select item).OrderBy(i => i.cOrderLevel).ToList();
List <TradeOrderStruct> stocks_sz = (from item in tos where item.cExhcnageID == ExchangeID.SZ select item).OrderBy(i => i.cOrderLevel).ToList();
List <TradeOrderStruct> future = (from item in tos where item.cExhcnageID == ExchangeID.CF select item).OrderBy(i => i.cOrderLevel).ToList();
//将新的list推送到对应的线程控制器
#region 交易送入队列
List <TradeOrderStruct> unit = new List <TradeOrderStruct>();
#region SH股票交易送入队列
if (stocks_sh.Count > 0)
{
log.LogEvent("上海交易所入队交易数量：" + stocks_sh.Count.ToString());
foreach (TradeOrderStruct stu in stocks_sh)
{
TradeOrderStruct _tos = CreateNewTrade(stu);
unit.Add(_tos);
if (unit.Count == 15)
{
List <TradeOrderStruct> _li = CreateList(unit);
unit.Clear();
lock (QUEUE_SH_TRADE.GetQueue().SyncRoot)
{
QUEUE_SH_TRADE.GetQueue().Enqueue((object)_li);
}
}
}
if (unit.Count != 0)
{
List <TradeOrderStruct> _li = CreateList(unit);
unit.Clear();
lock (QUEUE_SH_TRADE.GetQueue().SyncRoot)
{
QUEUE_SH_TRADE.GetQueue().Enqueue((object)_li);
}
}
}
#endregion
#region SZ股票交易送入队列
if (stocks_sz.Count > 0)
{
log.LogEvent("深圳交易所入队交易数量：" + stocks_sz.Count.ToString());
foreach (TradeOrderStruct stu in stocks_sz)
{
TradeOrderStruct _tos = CreateNewTrade(stu);
unit.Add(_tos);
if (unit.Count == 15)
{
List <TradeOrderStruct> _li = CreateList(unit);
unit.Clear();
lock (QUEUE_SZ_TRADE.GetQueue().SyncRoot)
{
QUEUE_SZ_TRADE.GetQueue().Enqueue((object)_li);
}
unit.Clear();
}
}
if (unit.Count != 0)
{
List <TradeOrderStruct> _li = CreateList(unit);
unit.Clear();
lock (QUEUE_SZ_TRADE.GetQueue().SyncRoot)
{
QUEUE_SZ_TRADE.GetQueue().Enqueue((object)_li);
}
//unit.Clear();
}
}
#endregion
#region 期货交易送入队列
if (future.Count > 0)
{
log.LogEvent("期货交易入队交易数量：" + future.Count.ToString());
foreach (TradeOrderStruct stu in future)
{
TradeOrderStruct _tos = stu;
unit.Add(_tos);
List <TradeOrderStruct> _li = CreateList(unit);
unit.Clear();
if (_li.Count == 15)
{
lock (QUEUE_FUTURE_TRADE.GetQueue().SyncRoot)
{
QUEUE_FUTURE_TRADE.GetQueue().Enqueue((object)_li);
}
}
if (_li.Count != 0)
{
lock (QUEUE_FUTURE_TRADE.GetQueue().SyncRoot)
{
QUEUE_FUTURE_TRADE.GetQueue().Enqueue((object)_li);
}
}
}
}
#endregion
#endregion
}
#endregion
#region 交易管理界面直接发起交易
List <MakeOrder> mos = PreTradeModule.instance.DeQueueMonitorOrder();
if (mos != null)
{
if (mos.Count == 0)
{
continue;
}
if (mos.Count > 1)
{
GlobalTestLog.LogInstance.LogEvent("批量交易已到交易预处理模块，数量：" + mos.Count + "时间:" + DateTime.Now.ToString("yyyy-MM-dd hh-mm-ss") + " : " + DateTime.Now.Millisecond.ToString());
}
else if (mos.Count == 1)
{
GlobalTestLog.LogInstance.LogEvent("单笔交易已到交易预处理模块，数量：" + mos.Count + "时间:" + DateTime.Now.ToString("yyyy-MM-dd hh-mm-ss") + " : " + DateTime.Now.Millisecond.ToString());
}
List <TradeOrderStruct> _TradeList = new List <TradeOrderStruct>();
string User = String.Empty;
foreach (MakeOrder mo in mos)
{
User = mo.User;
TradeOrderStruct _tradeUnit = new TradeOrderStruct()
{
cExhcnageID = mo.exchangeId,
cSecurityCode = mo.cSecurityCode,
nSecurityAmount = mo.nSecurityAmount,
dOrderPrice = mo.dOrderPrice,
cTradeDirection = mo.cTradeDirection,
cOffsetFlag = mo.offsetflag,
SecurityName = String.Empty,
cOrderPriceType = "0",
cUser = mo.User,
cSecurityType = mo.cSecurityType,
cOrderLevel = "1",
cOrderexecutedetail = "0",
belongStrategy = mo.belongStrategy,
OrderRef = REQUEST_ID.ApplyNewID()
};
if (mo.cSecurityType.ToUpper() == "F")
{
_tradeUnit.cTradeDirection = ((_tradeUnit.cTradeDirection == "0") ? "48" : "49");
_tradeUnit.cOffsetFlag = (_tradeUnit.cOffsetFlag == "0" ? "48" : "49");
}
if (mo.cSecurityType.ToUpper() == "S")
{
_tradeUnit.cTradeDirection = ((_tradeUnit.cTradeDirection == "0") ? "1" : "2");
}
UserRequestMap.GetInstance().AddOrUpdate(_tradeUnit.OrderRef, mo.User, (key, oldValue) => oldValue = mo.User);
_TradeList.Add(_tradeUnit);
}
//风控检测
string result = string.Empty;
//bool brisk = riskmonitor.RiskDetection(User, _TradeList, out result);
bool brisk = true;
if (_TradeList.Count > 10)
{
GlobalTestLog.LogInstance.LogEvent("交易经过风控，时间:" + DateTime.Now.ToString("yyyy-MM-dd hh-mm-ss") + " : " + DateTime.Now.Millisecond.ToString() + "数量：" + _TradeList.Count.ToString());
}
if (!brisk)
{
continue;
}
log.LogEvent("来自交易管理页面的交易");
List <TradeOrderStruct> shTradeList = new List <TradeOrderStruct>();
List <TradeOrderStruct> szTradeList = new List <TradeOrderStruct>();
List <TradeOrderStruct> futureTradeList = new List <TradeOrderStruct>();
foreach (TradeOrderStruct tradeUnit in _TradeList)
{
if (tradeUnit.cSecurityType.ToUpper() == "S")
{
if (tradeUnit.cExhcnageID.ToUpper() == ExchangeID.SH)
{
shTradeList.Add(tradeUnit);
continue;
}
else if (tradeUnit.cExhcnageID.ToUpper() == ExchangeID.SZ)
{
szTradeList.Add(tradeUnit);
continue;
}
}
else if (tradeUnit.cSecurityType.ToUpper() == "F")
{
futureTradeList.Add(tradeUnit);
}
}
if (shTradeList.Count > 0)
{
lock (QUEUE_SH_TRADE.GetQueue().SyncRoot)
{
QUEUE_SH_TRADE.GetQueue().Enqueue((object)shTradeList);
}
}
if (szTradeList.Count > 0)
{
lock (QUEUE_SZ_TRADE.GetQueue().SyncRoot)
{
QUEUE_SZ_TRADE.GetQueue().Enqueue((object)szTradeList);
}
}
if (futureTradeList.Count > 0)
{
lock (QUEUE_FUTURE_TRADE.GetQueue().SyncRoot)
{
QUEUE_FUTURE_TRADE.GetQueue().Enqueue((object)futureTradeList);
}
}
List <RISK_TABLE> risks = DBAccessLayer.GetRiskRecord(User);
int count = 0;
if (risks.Count > 0)
{
List <TMRiskInfo> riskinfos = new List <TMRiskInfo>();
foreach (RISK_TABLE risk in risks)
{
count++;
if (count > 10)
{
break;
}
riskinfos.Add(new TMRiskInfo()
{
code = risk.code, hand = risk.amount.ToString(), price = risk.price.ToString(), orientation = risk.orientation, time = risk.time.ToString(), strategy = "00", user = risk.alias, errinfo = risk.err
});
}
TradeMonitor.Instance.updateRiskList(User, JsonConvert.SerializeObject(riskinfos), JsonConvert.SerializeObject(riskmonitor.riskPara));
}
}
#endregion
if (DateTime.Now.Second != PreTradeModule.isRunning.Second)
{
KeyValuePair <string, object> message1 = new KeyValuePair <string, object>("THREAD_PRE_TRADE", (object)true);
queue_system_status.GetQueue().Enqueue((object)message1);
PreTradeModule.isRunning = DateTime.Now;
}
}
}
private void ThreadProc()
{
//初始化子线程
int futureNum = CONFIG.FUTURE_TRADE_THREAD_NUM;
DateTime lastmessage = DateTime.Now;
List <Task> TradeThreads = new List <Task>();
log.LogEvent("期货交易控制子线程启动： 初始化交易线程数 :" + futureNum.ToString());
//启动心跳和交易线程
Task.Factory.StartNew(() => HeartBeatThreadProc((object)futureNum));
for (int i = 0; i < futureNum; i++)
{
TradeParaPackage tpp = new TradeParaPackage();
tpp._threadNo = (i);
object para = (object)tpp;
FutureTrade trade = new FutureTrade();
trade.SetLog(sublog);
TradeThreads.Add(Task.Factory.StartNew(() => trade.FutureTradeSubThreadProc(para)));
}
//此时按照配置，共初始化CONFIG.FUTURE_TRADE_THREAD_NUM 数量交易线程
// 交易线程按照方法 FutureTradeSubThreadProc 执行
//Loop 完成对于子线程的监控
//每一秒钟执行一次自检
//自检包含任务：
// 1. 对每个线程，判断当前交易执行时间，超过 CONFIG.FUTURE_TRADE_OVERTIME 仍未收到返回将会按照 该参数备注执行
// 2. 判断当前线程空闲状态，整理可用线程列表
// 3. 若当前存在可用线程，同时消息队列（queue_prdTrade_FutureTradeMonitor)
// 也包含新的消息送达，则安排线程处理交易
// 4. 记录每个交易线程目前处理的交易内容，并写入数据库
while (true)
{
Thread.Sleep(10);
if ((DateTime.Now - GlobalHeartBeat.GetGlobalTime()).TotalMinutes > 10)
{
log.LogEvent("本模块供血不足，线程即将死亡");
break;
}
//获取下一笔交易
List <TradeOrderStruct> next_trade = new List <TradeOrderStruct>();
if (lastmessage.Second != DateTime.Now.Second)
{
KeyValuePair <string, object> message1 = new KeyValuePair <string, object>("THREAD_FUTURE_TRADE_MONITOR", (object)true);
queue_system_status.GetQueue().Enqueue((object)message1);
lastmessage = DateTime.Now;
}
if (QUEUE_FUTURE_TRADE.GetQueueNumber() > 0)
{
lock (QUEUE_FUTURE_TRADE.GetQueue().SyncRoot)
{
if (QUEUE_FUTURE_TRADE.GetQueue().Count > 0)
{
next_trade = (List <TradeOrderStruct>)QUEUE_FUTURE_TRADE.GetQueue().Dequeue();
}
if (next_trade.Count > 0)
{
log.LogEvent("期货交易所出队交易数量：" + next_trade.Count.ToString());
}
}
}
if (next_trade.Count == 0)
{
continue;
}
//此时next_trade中包含了交易参数
//判断空闲的线程
//利用随机选择，保证线程的平均使用
Random ran = new Random();
bool _bSearch = true;
int _tNo = 0;
//默认测试用户下，直接使用0号测试线程
if (next_trade[0].cUser != DebugMode.TestUser)
{
while (_bSearch)
{
_tNo = ran.Next(0, futureNum);
if (queue_future_excuteThread.GetThreadIsAvailiable(_tNo))
{
_bSearch = false;
}
}
}
log.LogEvent("安排线程 ： " + _tNo + " 执行交易 数量： " + next_trade.Count);
//选择第 _tNo 个线程执行交易
queue_future_excuteThread.GetQueue(_tNo).Enqueue((object)next_trade);
queue_future_excuteThread.SetThreadBusy(_tNo);
//************************************
//将交易发送到相应执行线程后需要做的事情
//************************************
}
Thread.CurrentThread.Abort();
}