private void ThreadProc() { //本地股市信息存入stockTable 中 StockInfoClient client = new StockInfoClient(); KeyValuePair <string, object> message1 = new KeyValuePair <string, object>("THREAD_MARKET", (object)true); queue_system_status.GetQueue().Enqueue((object)message1); DateTime lastmessage = DateTime.Now; MarketData info = new MarketData(); while (true) { if (DateTime.Now.Second != lastmessage.Second) { KeyValuePair <string, object> message3 = new KeyValuePair <string, object>("THREAD_MARKET", (object)false); queue_system_status.GetQueue().Enqueue((object)message3); lastmessage = DateTime.Now; Thread.Sleep(1); } if ((DateTime.Now - GlobalHeartBeat.GetGlobalTime()).TotalMinutes > 10) { log.LogEvent("本模块供血不足,线程即将死亡"); KeyValuePair <string, object> message = new KeyValuePair <string, object>("THREAD_MARKET", (object)false); queue_system_status.GetQueue().Enqueue((object)message); break; } int count = 0; while (count < 100) { try { info = client.DeQueueInfo(); } catch { break; } if (info == null) { break; } else { lock (Queue_Operation_Data.GetQueue()) { Queue_Operation_Data.GetQueue().Enqueue((object)info); } } count++; } } }
/// <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); } } } } }
/// <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(); }
/// <summary> /// 策略管理线程工作函数 /// 任务: /// 1. 获取用户请求队列中的指令 /// 2. 巡检工作组中订阅列表修改 /// </summary> private void ThreadProc() { while (true) { if ((DateTime.Now - GlobalHeartBeat.GetGlobalTime()).TotalMinutes > 15) { log.LogEvent("系统供血模块无响应,策略管理线程即将停止!"); KeyValuePair <string, object> message2 = new KeyValuePair <string, object>("THREAD_STRATEGY_MANAGEMENT", (object)false); queue_system_status.GetQueue().Enqueue((object)message2); //管理策略线程退出前,对正在运行的工作策略执行“绞杀”,并维护数据库记录,这个过程称为 grace broken break; } while (QCommands.Count > 0) { object obj = QCommands.Dequeue(); #region 指令类型判断 if (obj is OPENCREATE) { RecruitNewWorker(obj); } else if (obj is OPENMODIFY) { UpdateWorker(obj); } else if (obj is OPENALLOW) { OPENALLOW value = (OPENALLOW)obj; AllowOperater((object)obj); } else if (obj is OPENRUN) { OPENRUN value = (OPENRUN)obj; RunOperater((object)value); } else if (obj is OPENDELETE) { DeleteWorker(obj); } else if (obj is CLOSECREATE) { RecruitNewWorker(obj); } else if (obj is CLOSEMODIFY) { UpdateWorker(obj); } else if (obj is CLOSERUN) { CLOSERUN value = (CLOSERUN)obj; RunOperater((object)value); } else if (obj is CLOSEALLOW) { CLOSEALLOW value = (CLOSEALLOW)obj; AllowOperater((object)obj); } else if (obj is CLOSEDELETE) { DeleteWorker(obj); } else { continue; } #endregion } if (DateTime.Now.Second % 2 == 0) { if (_logUpdateTime.Second != DateTime.Now.Second) { _logUpdateTime = DateTime.Now; KeyValuePair <string, object> message1 = new KeyValuePair <string, object>("THREAD_STRATEGY_MANAGEMENT", (object)true); queue_system_status.GetQueue().Enqueue((object)message1); int count_0 = (from item in WorkersStratus where item.Value == 0 select item).Count(); int count_12 = (from item in WorkersStratus where item.Value == 1 || item.Value == 2 select item).Count(); if (DateTime.Now.Second % 31 == 0 || DateTime.Now.Second % 32 == 0) { log.LogEvent("运行策略: " + (count_0 + count_12).ToString() + "\n问题或结束策略: " + count_0.ToString()); } Dictionary <String, StrategyInfo> strategyInfo = new Dictionary <string, StrategyInfo>(); foreach (var item in Workers) { WorkersStratus[item.Key] = item.Value.Status; item.Value.Status = 0; StrategyInfo info = new StrategyInfo() { BelongUser = item.Value.User, StrType = item.Value.Type, Contract = item.Value.CT, Status = item.Value.Status, StrategyInstanceID = item.Value.StrategyInstanceID, HandNum = item.Value.HD, SubscribeList = new List <string>(item.Value.SubscribeList.Count) }; strategyInfo.Add(item.Value.StrategyInstanceID, info); foreach (string s in item.Value.SubscribeList) { info.SubscribeList.Add(s); } } int count = Workers.Count; KeyValuePair <string, object> message2 = new KeyValuePair <string, object>("STRATEGY_N", (object)count); queue_system_status.GetQueue().Enqueue((object)message2); Dictionary <string, StrategyInfo> value = new Dictionary <string, StrategyInfo>(); foreach (KeyValuePair <string, StrategyWorker> pair in Workers) { StrategyInfo info = new StrategyInfo() { BelongUser = pair.Value.User, Contract = pair.Value.CT, HandNum = pair.Value.HD, Status = pair.Value.Status, StrategyInstanceID = pair.Value.StrategyInstanceID, StrType = pair.Value.Type, SubscribeList = pair.Value.SubscribeList }; value.Add(pair.Value.StrategyInstanceID, info); } KeyValuePair <string, object> message3 = new KeyValuePair <string, object>("STRATEGY_P", (object)value); queue_system_status.GetQueue().Enqueue((object)message3); KeyValuePair <string, object> message4 = new KeyValuePair <string, object>("THREAD_STRATEGY_WORKER", (object)WorkersStratus); queue_system_status.GetQueue().Enqueue((object)message4); } } //巡检工作组订阅内容修改 try { CheckSubscribeUpdate(); } catch (Exception ex) { DBAccessLayer.LogSysInfo("StrategyMonitorClass-ThreadProc", ex.ToString()); ex.ToString(); } Thread.Sleep(10); } }