/// <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()); //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 MakeOrder mo = PreTradeModule.instance.DeQueueMonitorOrder(); if (mo != null) { List<TradeOrderStruct> _TradeList = new List<TradeOrderStruct>(); TradeOrderStruct _tradeUnit = new TradeOrderStruct() { cExhcnageID = mo.exchangeId, cSecurityCode = mo.cSecurityCode, nSecurityAmount = mo.nSecurityAmount, dOrderPrice = mo.dOrderPrice, cTradeDirection = mo.cTradeDirection, cOffsetFlag = mo.cOffsetFlag, SecurityName = String.Empty, cOrderPriceType = "0", cUser = mo.User, cSecurityType = mo.cSecurityType, cOrderLevel = "1", cOrderexecutedetail = "0", belongStrategy = mo.belongStrategy, OrderRef = REQUEST_ID.ApplyNewID() }; UserRequestMap.GetInstance().AddOrUpdate(_tradeUnit.OrderRef, mo.User,(key,oldValue) => oldValue = mo.User); _TradeList.Add(_tradeUnit); log.LogEvent("来自交易管理页面的交易"); if (mo.cSecurityType == "s" || mo.cSecurityType == "S") { if (mo.exchangeId == ExchangeID.SH) { lock (QUEUE_SH_TRADE.GetQueue().SyncRoot) { QUEUE_SH_TRADE.GetQueue().Enqueue((object)_TradeList); } } else if (mo.exchangeId == ExchangeID.SZ) { lock (QUEUE_SZ_TRADE.GetQueue().SyncRoot) { QUEUE_SZ_TRADE.GetQueue().Enqueue((object)_TradeList); } } } else if (mo.cSecurityType == "f" || mo.cSecurityType == "F") { lock (QUEUE_FUTURE_TRADE.GetQueue().SyncRoot) { QUEUE_FUTURE_TRADE.GetQueue().Enqueue((object)_TradeList); } } } #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> /// 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); } }
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; _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; }