/// <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;
}
