/// <summary>
/// 更新成交信息
/// </summary>
/// <param name="OrderRef">交易委托本地索引</param>
/// <param name="Volume">成交量</param>
/// <param name="Price">成交价格</param>
/// <param name="TradeId">成交编号</param>
public void UpdateTrade(int OrderRef, int Volume, decimal Price, String TradeId)
{
RecordItem _record = new RecordItem();
_record = this.GetOrAdd(OrderRef, _record);
if (_record.Trades == null)
{
_record.Trades = new List <TradeItem>();
}
_record.Trades.Add(new TradeItem()
{
TradeID = TradeId,
Price = Price,
Volume = Volume
});
decimal totalVolume = 0;
decimal totalCost = 0;
foreach (TradeItem item in _record.Trades)
{
totalVolume += item.Volume;
totalCost += (item.Volume * item.Price);
}
_record.AveragePrice = (totalCost / totalVolume);
String UserName = UserRequestMap.GetInstance()[OrderRef];
TradeViewItem trade = new TradeViewItem(OrderRef.ToString(), TradeId, _record.Code, _record.Orientation, _record.CombOffsetFlag.ToString(), Price.ToString(), Volume.ToString(), _record.OrderSysID);
String JsonString = JsonConvert.SerializeObject(trade);
//TradeMonitor.Instance.updateTradeList(UserName, JsonString); 不从这里收集成交信息，直接从数据库中同步
this.AddOrUpdate(OrderRef, _record, (key, oldValue) =>
oldValue = _record
);
if (_record.Status == TradeDealStatus.ORDERCOMPLETED || _record.VolumeTotalOriginal == totalVolume)
{
CompletedTradeRecord.GetInstance().Update(_record.OrderRef, _record);
CompletedTradeRecord.GetInstance().Delete(_record.OrderRef, _record);
managedBargainreturnstruct bargin = new managedBargainreturnstruct()
{
Security_code = _record.Code,
OrderType = Convert.ToSByte(_record.Type),
stock_amount = _record.VolumeTraded,
bargain_price = Convert.ToDouble(Price),
User = _record.User,
offsetflag = _record.CombOffsetFlag,
direction = (_record.Orientation == "0") ? 48 : 49
};
//更新持仓列表
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.UpdateCCRecords), (object)bargin);
//删除委托信息
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.DeleteERRecord), (object)OrderRef);
}
}
/// <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>
/// 更新委托信息
/// </summary>
/// <param name="volumeTraded"></param>
/// <param name="OrderRef"></param>
/// <param name="OrderSysID"></param>
/// <param name="StatusMsg"></param>
/// <param name="OrderStatus"></param>
/// <param name="VolumeTotal"></param>
/// <param name="ExchangeID">退货使用</param>
public void UpdateOrder(int volumeTraded, int OrderRef, String OrderSysID, String StatusMsg, int OrderStatus, int VolumeTotal, String ExchangeID)
{
RecordItem _record = new RecordItem();
_record = this.GetOrAdd(OrderRef, _record);
_record.VolumeTraded = volumeTraded;
_record.VolumeTotal = VolumeTotal;
_record.ErrMsg = StatusMsg;
_record.OrderStatus = OrderStatus;
_record.OrderSysID = OrderSysID;
_record.ExchangeID = ExchangeID;
_record.Status = TradeDealStatus.ORDERING;
if (_record.OrderSysID.Trim() == "0" && _record.OrderSysID != String.Empty)
{
QueryEntrustOrderStruct_M record = new QueryEntrustOrderStruct_M()
{
Code = _record.Code,
User = _record.User,
OrderRef = _record.OrderRef,
Direction = Convert.ToInt32(_record.Orientation),
ExchangeID = ExchangeID,
OrderPrice = Convert.ToDouble(_record.Price),
OrderSysID = _record.OrderSysID.Trim(),
SecurityType = Convert.ToSByte(_record.Type),
StrategyId = _record.StrategyId,
OffsetFlag = _record.CombOffsetFlag,
Amount = _record.VolumeTotalOriginal
};
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.CreateFutureERRecord), ((object)record));
}
//若交易已撤单 或者 全部成交则标记该委托完成
if (OrderStatus == 53 || _record.VolumeTotalOriginal == _record.VolumeTraded)
{
_record.OrderTime_Completed = DateTime.Now;
_record.Status = TradeDealStatus.ORDERCOMPLETED;
}
this.AddOrUpdate(OrderRef, _record, (key, oldValue) =>
oldValue = _record
);
if (UserRequestMap.GetInstance().Count == 0)
{
return;
}
String USERNAME = string.Empty;
try
{
USERNAME = UserRequestMap.GetInstance()[OrderRef];
}
catch (Exception ex)
{
DBAccessLayer.LogSysInfo("TradeAdditionalClass->UpdateOrder", ex.ToString());
}
OrderViewItem order = new OrderViewItem(_record.OrderRef.ToString(), _record.OrderSysID, _record.Code, _record.Orientation, _record.CombOffsetFlag.ToString(), _record.VolumeTotalOriginal.ToString(), _record.VolumeTotal.ToString(), _record.Price.ToString(), _record.ErrMsg, _record.OrderTime_Start.ToString());
TradeMonitor.Instance.updateOrderList(USERNAME, order);
if (_record.Status == TradeDealStatus.ORDERCOMPLETED)
{
CompletedTradeRecord.GetInstance().Update(_record.OrderRef, _record);
}
}