public static void RtnTradeProc(object trade)
{
CThostFtdcTradeField_M pTrade = (CThostFtdcTradeField_M)trade;
lock (syncRtnTradeObject)
{
TradeRecord.GetInstance().UpdateTrade(Convert.ToInt16(pTrade.OrderRef), pTrade.Volume, Convert.ToDecimal(pTrade.Price), pTrade.TradeID);
}
}
/// <summary>
/// 交易提交出现问题回掉函数
/// </summary>
/// <param name="pInputOrder"></param>
/// <param name="pRspInfo"></param>
/// <param name="nRequestID"></param>
/// <param name="bIsLast"></param>
public static void _client_RspOrderInsert(CTP_CLI.CThostFtdcInputOrderField_M pInputOrder, CTP_CLI.CThostFtdcRspInfoField_M pRspInfo, int nRequestID, bool bIsLast)
{
TradeRecord.GetInstance().MarkFailure(Convert.ToInt16(pInputOrder.OrderRef), pRspInfo.ErrorMsg);
if (pInputOrder.CombOffsetFlag_0 == (byte)(FutureTradeOffSet.Open))
{
//只有开仓涉及冻结资金
//交易失败，需要释放冻结掉的期货交易资金
accountMonitor.UpdateRiskFrozonAccount(pInputOrder.UserID, pInputOrder.InstrumentID, pInputOrder.VolumeTotalOriginal * (-1), pInputOrder.VolumeTotalOriginal * pInputOrder.LimitPrice * (-1), "F", pInputOrder.Direction.ToString());
}
}
public void Delete(int OrderRef, RecordItem Record)
{
//交易完成或者失败情况下才会记录数据库，清除正在交易列表
if (Record.Status == TradeDealStatus.ORDERCOMPLETED || Record.Status == TradeDealStatus.ORDERFAILURE)
{
int _k = 0; //尝试删除次数
while (_k < 5)
{
if (TradeRecord.GetInstance().TryRemove(OrderRef, out Record))
{
_k = 6;
}
_k++;
}
if (DBAccessLayer.DBEnable == true)
{
//TODO : 更新数据库
}
}
}
public static void RtnOrderProc(object order)
{
CThostFtdcOrderField_M pOrder = (CThostFtdcOrderField_M)order;
lock (syncRtnOrderObject)
{
switch (pOrder.OrderStatus)
{
case 48:
{
//全部成交
TradeRecord.GetInstance().UpdateOrder(pOrder.VolumeTraded, Convert.ToInt16(pOrder.OrderRef), pOrder.OrderSysID, pOrder.StatusMsg, pOrder.OrderStatus, pOrder.VolumeTotal, pOrder.ExchangeID);
if (pOrder.CombOffsetFlag_0 == (byte)(FutureTradeOffSet.Open))
{
//只有开仓涉及冻结资金
//交易失败，需要释放冻结掉的期货交易资金
accountMonitor.UpdateRiskFrozonAccount(pOrder.UserID, pOrder.InstrumentID, pOrder.VolumeTotalOriginal * (-1), pOrder.VolumeTotalOriginal * pOrder.LimitPrice * (-1), "F", pOrder.Direction.ToString());
}
}
break;
case 49:
{
//部分成交
TradeRecord.GetInstance().UpdateOrder(pOrder.VolumeTraded, Convert.ToInt16(pOrder.OrderRef), pOrder.OrderSysID, pOrder.StatusMsg, pOrder.OrderStatus, pOrder.VolumeTotal, pOrder.ExchangeID);
}
break;
case 51:
{
//未成交状态
TradeRecord.GetInstance().UpdateOrder(pOrder.VolumeTraded, Convert.ToInt16(pOrder.OrderRef), pOrder.OrderSysID, pOrder.StatusMsg, pOrder.OrderStatus, pOrder.VolumeTotal, pOrder.ExchangeID);
}
break;
case 53:
{
//已撤单状态
TradeRecord.GetInstance().UpdateOrder(pOrder.VolumeTraded, Convert.ToInt16(pOrder.OrderRef), pOrder.OrderSysID, pOrder.StatusMsg, pOrder.OrderStatus, pOrder.VolumeTotal, pOrder.ExchangeID);
}
break;
case 97:
{
//报单已经提交，创建委托记录
if (CONFIG.CheckOrderRefAvailiable(Convert.ToInt16(pOrder.OrderRef)))
{
// 重复返回不需要记库
TradeRecord.GetInstance().SubscribeOrder("1", pOrder.InstrumentID, Convert.ToChar(pOrder.Direction).ToString(), pOrder.VolumeTotalOriginal, Convert.ToDecimal(pOrder.LimitPrice), Convert.ToInt16(pOrder.OrderRef), pOrder.OrderStatus, pOrder.CombOffsetFlag_0);
}
}
break;
default:
{
//如果是没有见过的状态，则默认更新委托信息
TradeRecord.GetInstance().UpdateOrder(pOrder.VolumeTraded, Convert.ToInt16(pOrder.OrderRef), pOrder.OrderSysID, pOrder.StatusMsg, pOrder.OrderStatus, pOrder.VolumeTotal, pOrder.ExchangeID);
}
break;
}
}
}
/// <summary>
/// 期货交易工作线程
/// </summary>
/// <param name="para"></param>
public void FutureTradeSubThreadProc(object para)
{
string ErrorMsg = string.Empty;
//令该线程为前台线程
Thread.CurrentThread.IsBackground = true;
DateTime lastmessagetime = DateTime.Now;
TradeParaPackage _tpp = (TradeParaPackage)para;
//当前线程编号
int _threadNo = _tpp._threadNo;
sublog.LogEvent("线程 ：" + _threadNo.ToString() + " 开始执行");
//用作发送心跳包的时间标记
DateTime _markedTime = DateTime.Now;
//控制期货交易线程执行
bool _threadRunControl = true;
//获取未成交期货委托
List <ER_TAOLI_TABLE> ERs = DBAccessLayer.GetInCompletedERRecord("F");
if (ERs != null)
{
foreach (ER_TAOLI_TABLE ER in ERs)
{
decimal price = (ER.ER_VOLUME_TOTAL_ORIGINAL == 0 ? 0 : Convert.ToDecimal(ER.ER_FROZEN_MONEY / ER.ER_VOLUME_TOTAL_ORIGINAL));
string code = ER.ER_CODE;
TradeRecord.GetInstance().SubscribeIncompleteOrder("F", ER.ER_CODE, ER.ER_ID, ER.ER_DIRECTION.ToString(), Convert.ToInt16(ER.ER_VOLUME_TOTAL_ORIGINAL), price, Convert.ToInt16(ER.ER_ORDER_REF), Convert.ToInt16("0"), Convert.ToInt16(ER.ER_OFFSETFLAG.Trim()), ER.ER_USER);
}
}
while (_threadRunControl)
{
//初始化完成前，不接收实际交易
queue_future_excuteThread.SetThreadBusy(_threadNo);
_client.Connect();
//状态 DISCONNECTED -> CONNECTED
while (status != FutureTradeThreadStatus.CONNECTED)
{
Thread.Sleep(10);
}
_client.ReqUserLogin();
//状态 CONNECTED -> LOGIN
while (status != FutureTradeThreadStatus.LOGIN)
{
Thread.Sleep(10);
}
if (ERs != null)
{
foreach (ER_TAOLI_TABLE ER in ERs)
{
_client.QryOrder(ER.ER_ORDER_EXCHANGE_ID, "", "", "", ER.ER_ID.PadLeft(12));
}
}
while (true)
{
Thread.Sleep(10);
if ((DateTime.Now - GlobalHeartBeat.GetGlobalTime()).TotalMinutes > 10)
{
sublog.LogEvent("线程 ：" + _threadNo.ToString() + "心跳停止 ， 最后心跳 ： " + GlobalHeartBeat.GetGlobalTime().ToString());
_threadRunControl = false;
break;
}
if (lastmessagetime.Second != DateTime.Now.Second)
{
KeyValuePair <string, object> message1 = new KeyValuePair <string, object>("THREAD_FUTURE_TRADE_WORKER", (object)_threadNo);
queue_system_status.GetQueue().Enqueue((object)message1);
}
if (queue_future_excuteThread.GetQueue(_threadNo).Count < 2)
{
queue_future_excuteThread.SetThreadFree(_threadNo);
status = FutureTradeThreadStatus.FREE;
}
else
{
status = FutureTradeThreadStatus.BUSY;
}
if (queue_future_excuteThread.GetQueue(_threadNo).Count > 0)
{
List <TradeOrderStruct> trades = (List <TradeOrderStruct>)queue_future_excuteThread.FutureExcuteQueue[_threadNo].Dequeue();
if (trades == null)
{
continue;
}
if (trades.Count > 0)
{
sublog.LogEvent("线程 ：" + _threadNo.ToString() + " 执行交易数量 ： " + trades.Count);
}
if (trades.Count == 0)
{
continue;
}
foreach (TradeOrderStruct order in trades)
{
CTP_CLI.CThostFtdcInputOrderField_M args = new CThostFtdcInputOrderField_M();
//填写委托参数
args.BrokerID = CommConfig.BROKER;
args.InvestorID = CommConfig.INVESTOR;
args.InstrumentID = order.cSecurityCode;
args.Direction = Convert.ToByte(order.cTradeDirection);
args.CombOffsetFlag_0 = Convert.ToByte(order.cOffsetFlag);
args.VolumeTotalOriginal = Convert.ToInt16(order.nSecurityAmount);
args.LimitPrice = Convert.ToDouble(order.dOrderPrice);
args.OrderRef = order.OrderRef.ToString();
args.OrderPriceType = Convert.ToByte("50");
args.CombHedgeFlag_0 = Convert.ToByte('1');
args.MinVolume = 1;
args.ContingentCondition = Convert.ToByte('1');
args.TimeCondition = Convert.ToByte('3');
args.VolumeCondition = Convert.ToByte('1');
args.UserID = order.cUser;
args.ForceCloseReason = Convert.ToByte('0');
args.IsAutoSuspend = 0;
args.UserForceClose = 0;
//提交报单委托
//步骤完成后线程任务结束
//返回工作交由回调函数处理
_client.OrderInsert(args);
//创建记录
RecordItem item = new RecordItem();
item.AveragePrice = 0;
item.Code = order.cSecurityCode;
item.CombOffsetFlag = Convert.ToInt16(order.cOffsetFlag);
item.OrderRef = order.OrderRef;
item.OrderStatus = 0;
item.OrderSysID = "0";
item.Orientation = order.cTradeDirection;
item.Price = Convert.ToDecimal(order.dOrderPrice);
item.Status = TradeDealStatus.ORDERING;
item.StrategyId = order.belongStrategy;
item.Type = "1";
item.VolumeTotalOriginal = item.VolumeTotal = Convert.ToInt32(order.nSecurityAmount);
item.VolumeTraded = 0;
item.User = order.cUser;
TradeRecord.GetInstance().CreateOrder(order.OrderRef, item);
}
}
}
}
}