/// <summary>
/// 初始化平仓参数列表
/// </summary>
/// <param name="WeightList">权重列表</param>
/// <param name="LiStockOrder">持仓列表</param>
/// <param name="CT">期货</param>
/// <param name="OP">开仓点位</param>
/// <param name="INDEX">开仓指数</param>
/// <param name="HD">手数</param>
/// <returns>开仓参数实例</returns>
/// <param name="dStockBonus">分红</param>
/// <param name="dGiftValue">送股</param>
/// <param name="dStockOpenCost">开仓成本</param>
/// <param name="dFutureSellPoint">期货开仓点</param>
/// <param name="dOpenedPoint">开仓基差点位</param>
/// <param name="dExpectedGain">预期收益</param>
/// <param name="dShortCharge">预估费率</param>
/// <returns></returns>
close_args InitArgs(Dictionary <String, double> WeightList, Dictionary <string, int> LiStockOrder,
String CT, string INDEX, int HD, double dStockBonus, double dGiftValue, double dStockOpenCost, double dFutureSellPoint, double dOpenedPoint, double dExpectedGain, double dShortCharge)
{
close_args args = new close_args();
//List<managedstockposition> position = new List<managedstockposition>();
String POSITIONLIST = string.Empty;
int positionNum = 0;
foreach (var item in LiStockOrder)
{
managedstockposition s = new managedstockposition();
managedsecurityindex si = new managedsecurityindex();
string code = item.Key.Substring(1);
string type = item.Key.Substring(0, 1);
string count = item.Value.ToString();
s.tradevolume = item.Value;
POSITIONLIST += (code + ";" + type + ";" + count + "|");
positionNum++;
}
POSITIONLIST += "*";
args.bTradingAllowed = false;
args.contractCode = CT;
args.indexCode = (INDEX == null) ? "300" : INDEX;
args.nHands = HD;
args.dStockBonus = dStockBonus;
args.dGiftValue = dGiftValue;
args.dStockOpenCost = dStockOpenCost;
args.dFutureSellPoint = dFutureSellPoint;
args.dOpenedPoint = dOpenedPoint;
args.dExpectedGain = dExpectedGain;
args.dShortCharge = dShortCharge;
args.positionNum = positionNum;
args.bTradingAllowed = false;
args.POSITION = POSITIONLIST;
return(args);
}
/// <summary>
/// 初始化平仓参数列表
/// </summary>
/// <param name="WeightList">权重列表</param>
/// <param name="LiStockOrder">持仓列表</param>
/// <param name="CT">期货</param>
/// <param name="OP">开仓点位</param>
/// <param name="INDEX">开仓指数</param>
/// <param name="HD">手数</param>
/// <returns>开仓参数实例</returns>
/// <param name="dStockBonus">分红</param>
/// <param name="dGiftValue">送股</param>
/// <param name="dStockOpenCost">开仓成本</param>
/// <param name="dFutureSellPoint">期货开仓点</param>
/// <param name="dOpenedPoint">开仓基差点位</param>
/// <param name="dExpectedGain">预期收益</param>
/// <param name="dShortCharge">预估费率</param>
/// <returns></returns>
close_args InitArgs(Dictionary<String, double> WeightList, Dictionary<string, int> LiStockOrder,
String CT, string INDEX, int HD, double dStockBonus, double dGiftValue, double dStockOpenCost, double dFutureSellPoint, double dOpenedPoint, double dExpectedGain, double dShortCharge)
{
close_args args = new close_args();
//List<managedstockposition> position = new List<managedstockposition>();
String POSITIONLIST = string.Empty;
int positionNum = 0;
foreach (var item in LiStockOrder)
{
managedstockposition s = new managedstockposition();
managedsecurityindex si = new managedsecurityindex();
string code = item.Key.Substring(1);
string type = item.Key.Substring(0, 1);
string count = item.Value.ToString();
s.tradevolume = item.Value;
POSITIONLIST += (code + ";" + type + ";" + count + "|");
positionNum++;
}
POSITIONLIST += "*";
args.bTradingAllowed = false;
args.contractCode = CT;
args.indexCode = (INDEX == null) ? "300" : INDEX;
args.nHands = HD;
args.dStockBonus = dStockBonus;
args.dGiftValue = dGiftValue;
args.dStockOpenCost = dStockOpenCost;
args.dFutureSellPoint = dFutureSellPoint;
args.dOpenedPoint = dOpenedPoint;
args.dExpectedGain = dExpectedGain;
args.dShortCharge = dShortCharge;
args.positionNum = positionNum;
args.bTradingAllowed = false;
args.POSITION = POSITIONLIST;
return args;
}
/// <summary>
/// 线程工作函数
/// </summary>
private void _threadProc()
{
while (!bRun) {
//标记最后扫描时间，交付上级判断
RunningMark = DateTime.Now;
//尚未运行的策略，直接丢弃队列中新的行情
while (_marketQueue.Count > 0)
{
DeQueueInfo();
}
//标记线程状态为正在空转
Status = 1;
Thread.Sleep(10);
}
if (DBAccessLayer.DBEnable)
{
DBAccessLayer.UpdateStrategyStatusRecord(StrategyInstanceID, 1);
}
while (!breaklabel)
{
/****
* 循环工作：
* 1. 更新行情信息
* 2. 计算中间参数
* 3. 判断运行条件
* 4. 生成交易列表
* ****/
//标记最后扫描时间，交付上级判断
RunningMark = DateTime.Now;
if (Status == 1)
{
if (DBAccessLayer.DBEnable)
{
DBAccessLayer.UpdateStrategyStatusRecord(StrategyInstanceID, 2);
}
}
if(bRun)
{
//标记线程状态为正在运行
Status = 2;
Thread.Sleep(1);
//策略实例运算
List<managedMarketInforStruct> infos = new List<managedMarketInforStruct>();
List<MarketData> dataList = new List<MarketData>();
while (_marketQueue.Count > 0)
{
MarketData d = (MarketData)DeQueueInfo();
if (d == null)
{
Thread.Sleep(10);
continue;
}
dataList.Add(d);
}
foreach(MarketData data in dataList)
{
managedMarketInforStruct info = new managedMarketInforStruct();
info.dAskPrice = new double[10];
info.dAskVol = new double[10];
info.dBidPrice = new double[10];
info.dBidVol = new double[10];
if (data.AskPrice != null)
{
for (int i = 0; i < data.AskPrice.Count(); i++)
{
info.dAskPrice[i] = Convert.ToDouble(data.AskPrice[i]) / 10000;
info.dAskVol[i] = Convert.ToDouble(data.AskVol[i]) ;
info.dBidPrice[i] = Convert.ToDouble(data.BidPrice[i]) / 10000;
info.dBidVol[i] = Convert.ToDouble(data.BidVol[i]) ;
}
}
managedsecurityindex index = new managedsecurityindex();
index.cSecurity_code = data.Code;
info.msecurity = index;
info.security_name = data.Code;
info.nTime = data.Time / 1000;
info.nStatus = data.Status;
info.nPreClose = Convert.ToDouble(data.PreClose) / 10000;
info.dLastPrice = Convert.ToDouble(data.Match) / 10000;
info.dHighLimited = Convert.ToDouble(data.HighLimited) / 10000;
info.dLowLimited = Convert.ToDouble(data.LowLimited) /10000;
info.exchangeID = data.WindCode.Split('.')[1];
if (data.Status == 68)
{
info.bstoped = true;
}
switch(data.IOPV)
{
case 0:
{
index.cSecuritytype = 115;
break;
}
case 1:
{
index.cSecuritytype = 102;
break;
}
case 2:
{
index.cSecuritytype = 105;
break;
}
}
info.LastUpdateTime = Int32.Parse(DateTime.Now.Hour.ToString().PadLeft(2, '0') + DateTime.Now.Minute.ToString().PadLeft(2, '0') + DateTime.Now.Second.ToString().PadLeft(2, '0'));
//MarketDelayCalculation.cal(data.Time, 3);
if (data.Status == 68 || data.Status == 66)
{
info.bstoped = true;
}
else
{
info.bstoped = false;
}
info.nInfotLag = info.LastUpdateTime - info.nTime ;
infos.Add(info);
}
if(infos.Count > 0)
{
if (Type == "OPEN")
{
DateTime d1 = DateTime.Now;
m_strategy_open.updateSecurityInfo(infos.ToArray(), infos.Count);
d1 = DateTime.Now;
m_strategy_open.calculateSimTradeStrikeAndDelta();
}
else
{
m_strategy_close.updateSecurityInfo(infos.ToArray(), infos.Count);
m_strategy_close.calculateSimTradeStrikeAndDelta();
}
}
else { continue; }
}
if(bRun && bAllow)
{
bool _reached = false;
if (Type == "OPEN")
{
_reached = m_strategy_open.isOpenPointReached();
}
else
{
_reached = m_strategy_close.isOpenPointReached();
}
_reached = true; //测试使用，注意删除
// 生成交易列表
if (_reached)
{
List<managedTraderorderstruct> ol = (Type == "OPEN") ? m_strategy_open.getTradeList().ToList() : m_strategy_close.getTradeList().ToList();
//交易列表送往交易线程下单（下单的线程，股票和期货是分开的）
List<TradeOrderStruct> orderli = new List<TradeOrderStruct>();
foreach (managedTraderorderstruct item in ol)
{
TradeOrderStruct order = new TradeOrderStruct();
order.cExhcnageID = item.cExchangeID;
order.cSecurityCode = item.cSecurity_code;
order.SecurityName = item.cSecurity_code;
order.nSecurityAmount = item.nSecurity_amount;
order.dOrderPrice = item.dOrderprice;
order.cTradeDirection = item.cTraderdirection.ToString();
order.cOffsetFlag = item.cOffsetFlag.ToString();
order.cOrderPriceType = item.cOrderPriceType.ToString();
order.cSecurityType = item.cSecuritytype.ToString();
order.cOrderLevel = item.cOrderlevel.ToString();
order.cOrderexecutedetail = item.cOrderexecutedetail.ToString();
order.belongStrategy = StrategyInstanceID;
order.OrderRef = REQUEST_ID.ApplyNewID();
order.cUser = User;
orderli.Add(order);
UserRequestMap.GetInstance().AddOrUpdate(order.OrderRef, User, (key, oldvalue) => oldvalue = User);
}
if (DBAccessLayer.DBEnable == true)
{
string json = Json.Encode(orderli);
DBAccessLayer.InsertORDERLIST(StrategyInstanceID, json);
}
//下单到交易预处理模块
queue_prd_trade.GetQueue().Enqueue((object)orderli);
if (DBAccessLayer.DBEnable)
{
DBAccessLayer.UpdateStrategyStatusRecord(StrategyInstanceID, 3);
DBAccessLayer.UpdateSGOPENStatus(StrategyInstanceID, 3);
}
// 列表只会生成一次
breaklabel = true;
}
}
//获取中间显示参数
//gettaderargs getshowstatus
if (Type == "OPEN")
{
string status = m_strategy_open.getshowstatus();
List<String> statusLi = status.Split(' ').ToList();
status = string.Empty;
foreach (string i in statusLi)
{
if (i.Trim() != string.Empty)
{
status += (i + "&");
}
}
PushStrategyInfo.Instance.UpdateStrategyInfo(StrategyInstanceID, status);
}
else
{
string status = m_strategy_close.getshowstatus();
List<string> statusLi = status.Split(' ').ToList();
status = string.Empty;
foreach (string i in statusLi)
{
if (i.Trim() != string.Empty)
{
status += (i + "&");
}
}
PushStrategyInfo.Instance.UpdateStrategyInfo(StrategyInstanceID, status);
}
Thread.Sleep(1);
}
}
/// <summary>
/// 线程工作函数
/// </summary>
private void _threadProc()
{
while (!bRun)
{
//标记最后扫描时间，交付上级判断
RunningMark = DateTime.Now;
//尚未运行的策略，直接丢弃队列中新的行情
while (_marketQueue.Count > 0)
{
DeQueueInfo();
}
//标记线程状态为正在空转
Status = 1;
Thread.Sleep(10);
}
if (DBAccessLayer.DBEnable)
{
DBAccessLayer.UpdateStrategyStatusRecord(StrategyInstanceID, 1);
}
while (!breaklabel)
{
/****
* 循环工作：
* 1. 更新行情信息
* 2. 计算中间参数
* 3. 判断运行条件
* 4. 生成交易列表
* ****/
//标记最后扫描时间，交付上级判断
RunningMark = DateTime.Now;
if (Status == 1)
{
if (DBAccessLayer.DBEnable)
{
DBAccessLayer.UpdateStrategyStatusRecord(StrategyInstanceID, 2);
}
}
if (bRun)
{
//标记线程状态为正在运行
Status = 2;
Thread.Sleep(1);
//策略实例运算
List <managedMarketInforStruct> infos = new List <managedMarketInforStruct>();
List <MarketData> dataList = new List <MarketData>();
while (_marketQueue.Count > 0)
{
MarketData d = (MarketData)DeQueueInfo();
if (d == null)
{
Thread.Sleep(10);
continue;
}
dataList.Add(d);
}
foreach (MarketData data in dataList)
{
managedMarketInforStruct info = new managedMarketInforStruct();
info.dAskPrice = new double[10];
info.dAskVol = new double[10];
info.dBidPrice = new double[10];
info.dBidVol = new double[10];
if (data.AskPrice != null)
{
for (int i = 0; i < data.AskPrice.Count(); i++)
{
info.dAskPrice[i] = Convert.ToDouble(data.AskPrice[i]) / 10000;
info.dAskVol[i] = Convert.ToDouble(data.AskVol[i]);
info.dBidPrice[i] = Convert.ToDouble(data.BidPrice[i]) / 10000;
info.dBidVol[i] = Convert.ToDouble(data.BidVol[i]);
}
}
managedsecurityindex index = new managedsecurityindex();
index.cSecurity_code = data.Code;
info.msecurity = index;
info.security_name = data.Code;
info.nTime = data.Time / 1000;
info.nStatus = data.Status;
info.nPreClose = Convert.ToDouble(data.PreClose) / 10000;
info.dLastPrice = Convert.ToDouble(data.Match) / 10000;
info.dHighLimited = Convert.ToDouble(data.HighLimited) / 10000;
info.dLowLimited = Convert.ToDouble(data.LowLimited) / 10000;
info.exchangeID = data.WindCode.Split('.')[1];
if (data.Status == 68)
{
info.bstoped = true;
}
switch (data.IOPV)
{
case 0:
{
index.cSecuritytype = 115;
break;
}
case 1:
{
index.cSecuritytype = 102;
break;
}
case 2:
{
index.cSecuritytype = 105;
break;
}
}
info.LastUpdateTime = Int32.Parse(DateTime.Now.Hour.ToString().PadLeft(2, '0') + DateTime.Now.Minute.ToString().PadLeft(2, '0') + DateTime.Now.Second.ToString().PadLeft(2, '0'));
//MarketDelayCalculation.cal(data.Time, 3);
if (data.Status == 68 || data.Status == 66)
{
info.bstoped = true;
}
else
{
info.bstoped = false;
}
info.nInfotLag = info.LastUpdateTime - info.nTime;
infos.Add(info);
}
if (infos.Count > 0)
{
if (Type == "OPEN")
{
DateTime d1 = DateTime.Now;
m_strategy_open.updateSecurityInfo(infos.ToArray(), infos.Count);
d1 = DateTime.Now;
m_strategy_open.calculateSimTradeStrikeAndDelta();
}
else
{
m_strategy_close.updateSecurityInfo(infos.ToArray(), infos.Count);
m_strategy_close.calculateSimTradeStrikeAndDelta();
}
}
else
{
continue;
}
}
if (bRun && bAllow)
{
bool _reached = false;
if (Type == "OPEN")
{
_reached = m_strategy_open.isOpenPointReached();
}
else
{
_reached = m_strategy_close.isOpenPointReached();
}
// _reached = true; //测试使用，注意删除
// 生成交易列表
if (_reached)
{
List <managedTraderorderstruct> ol = (Type == "OPEN") ? m_strategy_open.getTradeList().ToList() : m_strategy_close.getTradeList().ToList();
//交易列表送往交易线程下单（下单的线程，股票和期货是分开的）
List <TradeOrderStruct> orderli = new List <TradeOrderStruct>();
foreach (managedTraderorderstruct item in ol)
{
TradeOrderStruct order = new TradeOrderStruct();
order.cExhcnageID = item.cExchangeID;
order.cSecurityCode = item.cSecurity_code;
order.SecurityName = item.cSecurity_code;
order.nSecurityAmount = item.nSecurity_amount;
order.dOrderPrice = item.dOrderprice;
order.cTradeDirection = item.cTraderdirection.ToString();
order.cOffsetFlag = item.cOffsetFlag.ToString();
order.cOrderPriceType = item.cOrderPriceType.ToString();
order.cSecurityType = item.cSecuritytype.ToString();
order.cOrderLevel = item.cOrderlevel.ToString();
order.cOrderexecutedetail = item.cOrderexecutedetail.ToString();
order.belongStrategy = StrategyInstanceID;
order.OrderRef = REQUEST_ID.ApplyNewID();
order.cUser = User;
orderli.Add(order);
UserRequestMap.GetInstance().AddOrUpdate(order.OrderRef, User, (key, oldvalue) => oldvalue = User);
}
if (DBAccessLayer.DBEnable == true)
{
string json = Json.Encode(orderli);
DBAccessLayer.InsertORDERLIST(StrategyInstanceID, json);
}
//提交风控模块
//下单到交易预处理模块
queue_prd_trade.GetQueue().Enqueue((object)orderli);
if (DBAccessLayer.DBEnable)
{
//写入数据库，策略状态为已下单
DBAccessLayer.UpdateStrategyStatusRecord(StrategyInstanceID, 3);
DBAccessLayer.UpdateSGOPENStatus(StrategyInstanceID, 3);
}
// 列表只会生成一次
breaklabel = true;
}
}
//获取中间显示参数
//gettaderargs getshowstatus
if (Type == "OPEN")
{
string status = m_strategy_open.getshowstatus();
List <String> statusLi = status.Split(' ').ToList();
status = string.Empty;
foreach (string i in statusLi)
{
if (i.Trim() != string.Empty)
{
status += (i + "&");
}
}
PushStrategyInfo.Instance.UpdateStrategyInfo(StrategyInstanceID, status);
}
else
{
string status = m_strategy_close.getshowstatus();
List <string> statusLi = status.Split(' ').ToList();
status = string.Empty;
foreach (string i in statusLi)
{
if (i.Trim() != string.Empty)
{
status += (i + "&");
}
}
PushStrategyInfo.Instance.UpdateStrategyInfo(StrategyInstanceID, status);
}
Thread.Sleep(1);
}
}
