private void threadproc()
{
while (true)
{
Thread.Sleep(1);
if ((DateTime.Now - GlobalHeartBeat.GetGlobalTime()).TotalMinutes > 5)
{
log.LogEvent("由于供血不足，委托查询线程即将退出。");
break;
}
//单次循环最多查询100个交易的委托情况
int maxCount = 100;
if (!_classTradeStock.getConnectStatus())
{
_classTradeStock.Init(login, ErrorMsg);
}
if (lastmessagetime.Second != DateTime.Now.Second)
{
KeyValuePair <string, object> message1 = new KeyValuePair <string, object>("THREAD_ENTRUST_WORKER", (object)(DateTime.Now));
queue_system_status.GetQueue().Enqueue((object)message1);
lastmessagetime = DateTime.Now;
}
while (maxCount > 0 && queue_query_entrust.GetQueueNumber() > 0)
{
maxCount--;
//获取新委托
QueryEntrustOrderStruct_M item = (QueryEntrustOrderStruct_M)queue_query_entrust.GetQueue().Dequeue();
string err = string.Empty;
//查询委托及获取实例
managedEntrustreturnstruct ret = new managedEntrustreturnstruct();
//ordersysid 首字母 为 'T' 是测试交易
if (item.OrderSysID.Length > 0 && item.OrderSysID[0] == 'T')
{
var temps = test.QueryEntrust(item);
ret = temps;
}
else
{
var temps = _classTradeStock.QueryEntrust(item, err);
if (temps.Length == 0)
{
continue;
}
ret = temps.ToList()[0];
}
if (ret == null)
{
continue;
}
OrderViewItem order = new OrderViewItem(
item.OrderRef.ToString(),
ret.cOrderSysID,
ret.cSecurity_code,
item.Direction.ToString(),
"NA",
ret.nVolumeTotalOriginal.ToString(),
ret.nVolumeTotal.ToString(),
item.OrderPrice.ToString(),
GetStatusWord(ret.cOrderStatus),
ret.cInsertTime);
if (!UserRequestMap.GetInstance().Keys.Contains(item.OrderRef))
{
UserRequestMap.GetInstance().AddOrUpdate(item.OrderRef, item.User, (key, oldValue) => oldValue = item.User);
}
String USERNAME = UserRequestMap.GetInstance()[item.OrderRef];
TradeMonitor.Instance.updateOrderList(USERNAME, order);
//目前仅考虑 1对1 返回的情况，不考虑出现1对多 ，类似基金交易的情况
//将委托变动返回更新数据库
if (DBAccessLayer.DBEnable == true)
{
//更新数据，记录入数据库
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.UpdateERRecord), (object)(ret));
//修改委托缓存数据
EntrustRecord.ModifyEntrustPosition(item.OrderRef, Convert.ToInt32(ret.frozen_amount), Convert.ToDouble(ret.frozen_money));
//此处判断，相应代码的委托是否完成
//此处逻辑需要待返回报文内容确认后修改
//测试使用
if ((ret.cOrderStatus.ToString() != ((int)(EntrustStatus.Dealed)).ToString()) && (!(ret.cOrderStatus.ToString() == ((int)EntrustStatus.Canceled).ToString() && ret.nVolumeTotal == 0)))
{
queue_query_entrust.GetQueue().Enqueue((object)item);
continue;
}
//委托已经完成，进入成交状态查询
managedBargainreturnstruct bargin = new managedBargainreturnstruct();
if (item.OrderSysID.Length > 0 && item.OrderSysID[0] == 'T')
{
bargin = test.QueryTrader(item);
}
else
{
var retbargin = _classTradeStock.QueryTrader(item, err).ToList();
//将查询信息记录成交表
if (retbargin.Count > 0)
{
bargin = retbargin.ToList()[0];
}
}
bargin.strategyId = item.StrategyId;
bargin.direction = item.Direction;
bargin.User = USERNAME;
bargin.OrderType = Convert.ToSByte("49");
if (ret.cOrderStatus.ToString() == ((int)(EntrustStatus.Dealed)).ToString())
{
bargin.OrderMark = Deal_Status.DEAL;
}
else if (ret.cOrderStatus.ToString() == ((int)EntrustStatus.Canceled).ToString())
{
bargin.OrderMark = Deal_Status.CANCELED;
}
else if (ret.nVolumeTotal == 0)
{
bargin.OrderMark = Deal_Status.PARTIALDEAL;
}
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.CreateDLRecord), (object)bargin);
EntrustRecord.DeleteEntrustRecord(item.OrderRef);
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.DeleteERRecord), (object)(item.OrderRef));
//更新持仓列表
if (ret.nVolumeTraded != 0)
{
//需要修改数据
//仅存在成交记录时才更改持仓
ThreadPool.QueueUserWorkItem(new WaitCallback(DBAccessLayer.UpdateCCRecords), (object)bargin);
}
}
}
}
}
/// <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);
}
}
