/// <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);
}
}
}
}
}
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();
}