private static TradeOrderStruct CreateNewTrade(TradeOrderStruct tos)
{
TradeOrderStruct t = new TradeOrderStruct();
t.cExhcnageID = tos.cExhcnageID;
t.cOffsetFlag = tos.cOffsetFlag;
t.cOrderexecutedetail = tos.cOrderexecutedetail;
t.cOrderLevel = tos.cOrderLevel;
t.cOrderPriceType = tos.cOrderPriceType;
t.cSecurityCode = tos.cSecurityCode;
t.cSecurityType = tos.cSecurityType;
t.cTradeDirection = tos.cTradeDirection;
t.dOrderPrice = tos.dOrderPrice;
t.nSecurityAmount = tos.nSecurityAmount;
t.SecurityName = tos.SecurityName;
t.belongStrategy = tos.belongStrategy;
t.OrderRef = tos.OrderRef;
t.cUser = tos.cUser;
return(t);
}
private static TradeOrderStruct_M CreateTradeUnit(TradeOrderStruct unit)
{
TradeOrderStruct_M _sorder = new TradeOrderStruct_M();
_sorder.ExchangeID = (unit.cExhcnageID.Length != 0) ? unit.cExhcnageID : "0";
_sorder.OffsetFlag = (unit.cOffsetFlag.Length != 0) ? Convert.ToSByte(unit.cOffsetFlag) : Convert.ToSByte("0");
_sorder.OrderExecutedDetail = (sbyte)0;
_sorder.OrderLevel = (unit.cOrderLevel.Length != 0) ? Convert.ToSByte(unit.cOrderLevel) : Convert.ToSByte("0");
_sorder.OrderPrice = unit.dOrderPrice;
_sorder.OrderPriceType = (unit.cOrderPriceType.Length != 0) ? Convert.ToSByte(unit.cOrderPriceType) : Convert.ToSByte("0");
_sorder.SecurityAmount = (int)(unit.nSecurityAmount);
_sorder.SecurityCode = (unit.cSecurityCode.Length != 0) ? unit.cSecurityCode : "0";
_sorder.SecurityType = (unit.cSecurityType.Length != 0) ? (unit.cSecurityType == "115" ? (sbyte)115 : (sbyte)102) : (sbyte)115;
if ((unit.cTradeDirection == "1") || (unit.cTradeDirection == "49"))
{
_sorder.TradeDirection = 49;
}
else
{
_sorder.TradeDirection = 50;
}
//_sorder.TradeDirection = Convert.ToSByte(Convert.ToInt16(unit.cTradeDirection));
//if (unit.cTradeDirection == "0") { _sorder.TradeDirection = 49; }
//else if (unit.cTradeDirection == "1") { _sorder.TradeDirection = 50; }
//else { _sorder.TradeDirection = 49; }
return(_sorder);
}
/// <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;
}
}
}
/// <summary>
/// 执行交易线程处理逻辑
/// 包含功能：
/// 1. 连接股票交易所（上海，深圳）
/// 2. 心跳包发送/接收
/// 3. 发送交易，等待响应
/// </summary>
private static void StockTradeSubThreadProc(object para)
{
MCStockLib.managedStockClass _classTradeStock = new managedStockClass();
MCStockLib.managedLogin login = new managedLogin(CommConfig.Stock_ServerAddr, CommConfig.Stock_Port, CommConfig.Stock_Account, CommConfig.Stock_BrokerID, CommConfig.Stock_Password, CommConfig.Stock_InvestorID);
string ErrorMsg = string.Empty;
bool DebugMark = false; //测试交易标志
StockTradeTest test = new StockTradeTest(); //测试类
//令该线程为前台线程
Thread.CurrentThread.IsBackground = true;
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;
DateTime lastmessagetime = DateTime.Now;
//初始化通信
//功能1
_classTradeStock.Init(login, ErrorMsg);
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());
break;
}
//Thread.CurrentThread.stat
if (_markedTime.Minute != DateTime.Now.Minute)
{
//发送心跳包
//功能2
//_stockTradeAPI.heartBeat();
_classTradeStock.HeartBeat();
_markedTime = DateTime.Now;
}
if (lastmessagetime.Second != DateTime.Now.Second)
{
KeyValuePair <string, object> message1 = new KeyValuePair <string, object>("THREAD_STOCK_TRADE_WORKER", (object)_threadNo);
try
{
queue_system_status.GetQueue().Enqueue((object)message1);
lastmessagetime = DateTime.Now;
}
catch
{
//do nothing
}
}
//if (!_classTradeStock.getConnectStatus())
//{
// _classTradeStock.Init(login, ErrorMsg);
//}
if (queue_stock_excuteThread.GetQueue(_threadNo).Count < 2)
{
queue_stock_excuteThread.SetThreadFree(_threadNo);
}
if (queue_stock_excuteThread.GetQueue(_threadNo).Count > 0)
{
List <TradeOrderStruct> Queuetrades = (List <TradeOrderStruct>)queue_stock_excuteThread.StockExcuteQueues[_threadNo].Dequeue();
List <TradeOrderStruct> trades = new List <TradeOrderStruct>();
int eni = 0;
while (true)
{
try
{
TradeOrderStruct trade = Queuetrades[eni];
trades.Add(new TradeOrderStruct()
{
belongStrategy = trade.belongStrategy,
cExhcnageID = trade.cExhcnageID,
cOffsetFlag = trade.cOffsetFlag,
cOrderexecutedetail = trade.cOrderexecutedetail,
cOrderLevel = trade.cOrderLevel,
cOrderPriceType = trade.cOrderPriceType,
cSecurityCode = trade.cSecurityCode,
cSecurityType = trade.cSecurityType,
cTradeDirection = trade.cTradeDirection,
cUser = trade.cUser,
dOrderPrice = trade.dOrderPrice,
nSecurityAmount = trade.nSecurityAmount,
OrderRef = trade.OrderRef,
SecurityName = trade.SecurityName
});
eni++;
}
catch
{
break;
}
}
Guid tradeuuid = Guid.NewGuid();
if (trades == null || trades.Count == 0)
{
continue;
}
if (trades[0].cUser == DebugMode.TestUser)
{
DebugMark = true;
}
else
{
DebugMark = false;
}
if (trades.Count > 0)
{
sublog.LogEvent("线程 ：" + _threadNo.ToString() + " 执行交易数量 ： " + trades.Count);
}
if (!_classTradeStock.getConnectStatus())
{
_classTradeStock.Init(login, ErrorMsg);
}
//根据消息队列中发来的消息数量判断调用的接口
//当内容大于1 ，调用批量接口
//当内容等于1， 调用单笔接口
queue_stock_excuteThread.SetUpdateTime(_threadNo);
List <QueryEntrustOrderStruct_M> entrustorli = new List <QueryEntrustOrderStruct_M>();
if (trades.Count > 1)
{
//trades
Random seed = new Random();
sublog.LogEvent("线程 ：" + _threadNo.ToString() + "进入执行环节 ， 忙碌状态： " + queue_stock_excuteThread.GetThreadIsAvailiable(_threadNo));
TradeOrderStruct_M[] tradesUnit = new TradeOrderStruct_M[15];
int i = 0;
QueryEntrustOrderStruct_M[] entrustUnit = new QueryEntrustOrderStruct_M[15];
string s = string.Empty;
foreach (TradeOrderStruct unit in trades)
{
tradesUnit[i] = CreateTradeUnit(unit);
i++;
}
string user = trades[0].cUser;
//GlobalTestLog.LogInstance.LogEvent("线程 ：" + _threadNo.ToString() + " 发送交易： " + tradeuuid.ToString() + " 时间： " + DateTime.Now.ToString("yyyy-MM-dd hh-mm-ss") + " : " + DateTime.Now.Millisecond.ToString());
if (DebugMark == true)
{
test.BatchTradeTest(tradesUnit, trades.Count, out entrustUnit, out s);
}
else
{
entrustUnit = _classTradeStock.BatchTrade(tradesUnit, trades.Count, s);
}
//GlobalTestLog.LogInstance.LogEvent("线程 ：" + _threadNo.ToString() + " 收到交易回报： " + tradeuuid.ToString() + " 时间： " + DateTime.Now.ToString("yyyy-MM-dd hh-mm-ss") + " : " + DateTime.Now.Millisecond.ToString());
if (entrustUnit != null && entrustUnit.ToList().Count() > 0)
{
i = -1;
foreach (QueryEntrustOrderStruct_M unit in entrustUnit.ToList())
{
i++;
if (unit == null)
{
continue;
}
if (unit.OrderSysID != null && unit.OrderSysID != String.Empty && unit.OrderSysID != "0")
{
entrustorli.Add(unit);
}
else
{
//委托失败处理
GlobalErrorLog.LogInstance.LogEvent("获取委托号失败！用户: " + user + ",代码：" + unit.Code);
}
if (unit.Direction == 49)
{
//清除风控冷冻金额
//只有股票买入，才需要移除风控列表
accountMonitor.UpdateRiskFrozonAccount(user, unit.Code, tradesUnit[i].SecurityAmount * (-1), tradesUnit[i].SecurityAmount * tradesUnit[i].OrderPrice * (-1), "S", "0");
}
}
}
}
else if (trades.Count == 1)
{
//trades
Random seed = new Random();
TradeOrderStruct_M tradesUnit = CreateTradeUnit(trades[0]);
QueryEntrustOrderStruct_M entrustUnit = new QueryEntrustOrderStruct_M();
string s = string.Empty;
string user = trades[0].cUser;
//GlobalTestLog.LogInstance.LogEvent("发送交易： " + tradeuuid.ToString() + " 时间： " + DateTime.Now.ToString("yyyy-MM-dd hh-mm-ss") + " : " + DateTime.Now.Millisecond.ToString());
if (DebugMark == true)
{
test.SingleTradeTest(tradesUnit, out entrustUnit, out s);
}
else
{
_classTradeStock.SingleTrade(tradesUnit, entrustUnit, s);
}
//GlobalTestLog.LogInstance.LogEvent("收到交易回报： " + tradeuuid.ToString() + " 时间： " + DateTime.Now.ToString("yyyy-MM-dd hh-mm-ss") + " : " + DateTime.Now.Millisecond.ToString());
if (entrustUnit.OrderSysID != null && entrustUnit.OrderSysID != String.Empty && entrustUnit.OrderSysID != "0")
{
entrustorli.Add(entrustUnit);
}
else
{
//委托失败处理
GlobalErrorLog.LogInstance.LogEvent("获取委托号失败！用户: " + user + ",代码：" + tradesUnit.SecurityCode);
}
if (entrustUnit.Direction.ToString() == TradeOrientationAndFlag.StockTradeDirectionBuy)
{
//清除风控冷冻金额,只有买入需要清除风控列表
accountMonitor.UpdateRiskFrozonAccount(user, tradesUnit.SecurityCode, tradesUnit.SecurityAmount * (-1), tradesUnit.SecurityAmount * tradesUnit.OrderPrice * (-1), "S", tradesUnit.TradeDirection.ToString());
}
}
//*********************************
// 交易成功后执行的特殊处理
// 交易生成委托存入数据库，并将委托送往查询成交线程
//*********************************
if (trades.Count != 0)
{
//存入数据库
if (entrustorli.Count() == 0)
{
continue;
}
for (int i = 0; i < trades.Count; i++)
{
entrustorli[i].Code = trades[i].cSecurityCode;
entrustorli[i].StrategyId = trades[0].belongStrategy;
entrustorli[i].Direction = Convert.ToInt32(trades[i].cTradeDirection);
entrustorli[i].OrderRef = Convert.ToInt32(trades[i].OrderRef);
entrustorli[i].OrderPrice = trades[i].dOrderPrice;
entrustorli[i].SecurityType = (sbyte)115;
entrustorli[i].User = trades[i].cUser;
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.CreateERRecord), (object)(entrustorli[i]));
queue_query_entrust.GetQueue().Enqueue((object)entrustorli[i]);
ERecord record = new ERecord()
{
UserName = trades[i].cUser,
Amount = trades[i].nSecurityAmount,
Code = trades[i].cSecurityCode,
ExchangeId = trades[i].cExhcnageID,
OrderPrice = trades[i].dOrderPrice,
OrderRef = trades[i].OrderRef,
StrategyNo = trades[i].belongStrategy,
SysOrderRef = entrustorli[i].OrderSysID,
Direction = trades[i].cTradeDirection
};
EntrustRecord.AddEntrustRecord(record);
}
}
}
}
//线程结束
Thread.CurrentThread.Abort();
}
/// <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);
}
}
