/*
*********************************************************
* PROCESS THE DATA AND SHARE THEM WITH OTHER SOFTWARE.
*********************************************************
*/
void CDataProcess::DataProcess(){
if(COMM_SHAREDMEM == g_CommunicationSel){
//USING SHARED MEMERY.
BOOL bTimeout = gEventRecv.Lock(INFINITE);
UploadData();
gEventRecv.Unlock();
gEventSend.SetEvent();//SEND DATA.
}
else if(COMM_NETWORK == g_CommunicationSel){
//USING TCP
//UploadData();
//gEventSend.SetEvent();
//TELL THE SERVER TO SEND THE DATA
SetEvent(h_eSingleSpectraSending);
}
else if(COMM_NONE == g_CommunicationSel){
//SetEvent(h_eSingleSpectraSending);
global.series_fifo.append(rq);
}
}
UINT IfEntry(LPVOID pParam){
IfInData * data = (IfInData*)pParam;
CThostFtdcInputOrderField req;
memset(&req, 0, sizeof(req));
///经纪公司代码
strcpy(req.BrokerID, BROKER_ID);
///投资者代码
strcpy(req.InvestorID, INVESTOR_ID);
///合约代码
strcpy(req.InstrumentID, INSTRUMENT_ID);
///报单引用
//strcpy(req.OrderRef, ORDER_REF);
sprintf(req.OrderRef,"%d",data->orf);
///用户代码
// TThostFtdcUserIDType UserID;
///报单价格条件: 限价
req.OrderPriceType = THOST_FTDC_OPT_LimitPrice;
///买卖方向:
if(data->isbuy){
req.Direction = THOST_FTDC_D_Buy;
}
else{
req.Direction = THOST_FTDC_D_Sell;
}
///组合开平标志: 开仓
if(!data->isflat){
req.CombOffsetFlag[0] = THOST_FTDC_OF_Open;
}
else{
req.CombOffsetFlag[0] = THOST_FTDC_OF_Close;
}
///组合投机套保标志
req.CombHedgeFlag[0] = THOST_FTDC_HF_Speculation;
///价格
::EnterCriticalSection(&g_IfPrice);
if(!data->isbuy){
req.LimitPrice = ifBid1 - 150.0;
#ifdef _debug
req.LimitPrice = ifAsk1 + 3;
#endif
}
else{
req.LimitPrice = ifAsk1 + 150.0;
#ifdef _debug
req.LimitPrice = ifBid1 - 3;
#endif
}
::LeaveCriticalSection(&g_IfPrice);
///数量: 1
req.VolumeTotalOriginal = data->numif;
///有效期类型: 当日有效
req.TimeCondition = THOST_FTDC_TC_GFD;
///GTD日期
// TThostFtdcDateType GTDDate;
///成交量类型: 任何数量
req.VolumeCondition = THOST_FTDC_VC_AV;
///最小成交量: 1
req.MinVolume = 1;
///触发条件: 立即
req.ContingentCondition = THOST_FTDC_CC_Immediately;
///止损价
// TThostFtdcPriceType StopPrice;
///强平原因: 非强平
req.ForceCloseReason = THOST_FTDC_FCC_NotForceClose;
///自动挂起标志: 否
req.IsAutoSuspend = 0;
///业务单元
// TThostFtdcBusinessUnitType BusinessUnit;
///请求编号
// TThostFtdcRequestIDType RequestID;
///用户强评标志: 否
req.UserForceClose = 0;
std::vector<CThostFtdcOrderField> orderRes;
std::map<CString,std::vector<CThostFtdcOrderField>>::iterator iOrderRtn;
std::map<CString,std::vector<CThostFtdcTradeField>>::iterator iTradeRtn;
std::vector<CThostFtdcOrderField>::iterator iOrderRtnVec;
std::vector<CThostFtdcTradeField>::iterator iTradeRtnVec;
CThostFtdcInputOrderActionField reqNew = {'0','0',0,'0',0,0,0,'0','0','0','0',0,0,'0','0'};//命令动作新的修改
CThostFtdcOrderField orderOld;
CString thisSysId;//系统编号，作为已成交合约的识别码
CString thisRef(req.OrderRef);
double valueTraded = 0;//成交总价值
bool isBreakIn = false;//是否因为cancel命令提前终止消息循环
int volumeTraded = 0;
int endVolumeThisTrade = 0;
SYSTEMTIME sys;
while(true){
GetLocalTime(&sys);
if(sys.wHour == 9 && sys.wMinute <= 14){
//9:15前不下单，等待
continue;
}
else{
break;
}
}
::EnterCriticalSection(&REQUEST_ID_IF);
int iResult = pUserApi->ReqOrderInsert(&req, ++iRequestID);
endVolumeThisTrade = req.VolumeTotalOriginal;
::LeaveCriticalSection(&REQUEST_ID_IF);
int lastpos = -1;//命令返回消息队列已经处理的位置
while(true){
//消息返回处理
int size = 0;
SwitchToThread();
::EnterCriticalSection(&ifDealRtn);
iOrderRtn = ifOrderRtn.find(thisRef);
if(iOrderRtn != ifOrderRtn.end() && iOrderRtn->second.size() != 0){//证明里边已经有了消息
//if(iOrderRtn->second.size() != 0){
size = iOrderRtn->second.size();
for(int k = 0/*lastpos + 1*/;k < size;k++){
iOrderRtnVec = iOrderRtn->second.begin() + k;
orderOld = *iOrderRtnVec;//获取返回的报单命令,状态会不停变化，取到队列末尾，取最新的命令
thisSysId = iOrderRtnVec->OrderSysID;//获取报单编号
TRACE("报单引用=%s,报单编号=%s\r\n",iOrderRtnVec->OrderRef,thisSysId);
/*
//不管什么原因，均表示已经traded
if(iOrderRtnVec->VolumeTraded == iOrderRtnVec->VolumeTotalOriginal){
TRACE("%s\r\n","已经成交，但是从OrderRtn返回");
::EnterCriticalSection(&avgPriceOfIf);
valueTraded = valueTraded + iOrderRtnVec->VolumeTraded * iOrderRtnVec->LimitPrice;
avgpIf avg(data->numif,valueTraded / data->numif);
avgPriceIf.push_back(avg);
::LeaveCriticalSection(&avgPriceOfIf);
//删除键值
ifOrderRtn.erase(iOrderRtn);
TRACE("准备脱离ifDealRtn临界区\r\n");
::LeaveCriticalSection(&ifDealRtn);
delete (IfInData*)pParam;
return 0;
}
*/
//如果取消,重新下单
if(iOrderRtnVec->OrderStatus == THOST_FTDC_OST_Canceled){
endVolumeThisTrade = endVolumeThisTrade - (iOrderRtnVec->VolumeTotalOriginal - iOrderRtnVec->VolumeTraded);
//删除键值
//ifOrderRtn.erase(iOrderRtn);
/*
isBreakIn = true;
break;//终止内循环
*/
}
}
/*
if(isBreakIn){
isBreakIn = false;
lastpos = -1;//重新设置
::LeaveCriticalSection(&ifDealRtn);
continue;
}
*/
//lastpos = size - 1;
//iOrderRtn->second.clear();//清空就可以从0头开始检索
::LeaveCriticalSection(&ifDealRtn);
//}
}
else{
//还没生成消息队列，表示指令还未生效，返回继续搜索队列
::LeaveCriticalSection(&ifDealRtn);
TRACE("%s\r\n","还没生成消息队列,返回");
continue;
}
//成交返回处理
::EnterCriticalSection(&ifDealRtn);
if(endVolumeThisTrade == 0){
return 0;
}
else{
iTradeRtn = ifTradeRtn.find(thisSysId);
//证明已经有成交信息返回
if(iTradeRtn != ifTradeRtn.end()){
for(iTradeRtnVec = iTradeRtn->second.begin();iTradeRtnVec != iTradeRtn->second.end();iTradeRtnVec++){
TRACE("%s报单编号是%s\r\n","成交,从TradeRtn返回,",iTradeRtn->second.begin()->OrderSysID);
::EnterCriticalSection(&avgPriceOfIf);
valueTraded = valueTraded + iTradeRtnVec->Price * iTradeRtnVec->Volume;
volumeTraded = volumeTraded + iTradeRtnVec->Volume;
if(volumeTraded == data->numif){//全部成交
avgpIf avg(volumeTraded,valueTraded / volumeTraded);
avgPriceIf.push_back(avg);
::LeaveCriticalSection(&avgPriceOfIf);
//删除键值
ifTradeRtn.erase(iTradeRtn);
ifOrderRtn.erase(iOrderRtn);
::LeaveCriticalSection(&ifDealRtn);
return 0;
}
::LeaveCriticalSection(&avgPriceOfIf);
}
iTradeRtn->second.clear();//将成交数组清空
}
}
::LeaveCriticalSection(&ifDealRtn);
if(volumeTraded == endVolumeThisTrade && endVolumeThisTrade < data->numif){//本次成交结束,但是还没有全部成交,需要重新下单
TRACE("%s\r\n","重新下单");
::EnterCriticalSection(&g_IfPrice);
if(req.Direction == THOST_FTDC_D_Buy){//BUY
req.LimitPrice = ifBid1;
#ifdef _debug
req.LimitPrice = ifBid1;
#endif
}
else{//SELL
req.LimitPrice = ifAsk1;
#ifdef _debug
req.LimitPrice = ifAsk1;
#endif
}
::LeaveCriticalSection(&g_IfPrice);
req.VolumeTotalOriginal = data->numif - endVolumeThisTrade;
endVolumeThisTrade = data->numif;//重新设置
::EnterCriticalSection(&ODREF);
iNextOrderRef++;
TThostFtdcOrderRefType orderRefNew;
sprintf(orderRefNew,"%d", iNextOrderRef);
::LeaveCriticalSection(&ODREF);
strcpy(req.OrderRef,orderRefNew);
thisRef = CString(orderRefNew);
::EnterCriticalSection(&REQUEST_ID_IF);
int iResult = pUserApi->ReqOrderInsert(&req, ++iRequestID);
::LeaveCriticalSection(&REQUEST_ID_IF);
}
//如果价格发生不利变化，取消订单
UpdateTrade.Lock(INFINITE);//等待同步事件击发
::EnterCriticalSection(&g_IfPrice);
if((req.Direction == THOST_FTDC_D_Buy && req.LimitPrice < ifBid1) ||//买
(req.Direction == THOST_FTDC_D_Sell && req.LimitPrice > ifAsk1)){//卖
if (IsTradingOrder(&orderOld)){
TRACE("%s\r\n","改单动作，删除");
ReqOrderAction(&orderOld,reqNew);
}
}
::LeaveCriticalSection(&g_IfPrice);
}
delete (IfInData*)pParam;
return iResult;
}
int flatOrOpen(int num,bool isbuy,bool isflat){
if(num <= 0){
return -1;
}
::EnterCriticalSection(&avgPriceOfIf);
avgPriceIf.clear();//清空统计平均价格的数组
::LeaveCriticalSection(&avgPriceOfIf);
int numAvail = 0;//容许开仓数量
if(!isflat){//表示开仓
/*
ReqAccount.ResetEvent();//事件同步,设置为未发信状态
ReqQryIFTradingAccount();//查询if帐户可用资金
ReqAccount.Lock(INFINITE);//等待
if(rtnAvailIfID == rqIfID){
//留有10和100人民币的余地
marginIf = ifAsk1 * 300.0 * 0.12;//12%的保证金率
if(multiply != 0){
numAvail = min((int)((availA50 - 10.0) / (marginA50 * multiply)),(int)((availIf - 100.0) / marginIf));
}
else{
numAvail = num;
}
}
if(numAvail <= 0){
return -1;
}
num = min(num,numAvail);
*/
}
if(isflat){
if(isbuy){
TRACE("买平%d手\r\n",num);
}
else{
TRACE("卖平%d手\r\n",num);
}
}
else{
if(isbuy){
TRACE("买开%d手\r\n",num);
}
else{
TRACE("卖开%d手\r\n",num);
}
}
int numofA50 = num * multiply;
int numofIf = num;
std::vector<HANDLE> handleThread;//存放线程句柄的数组
IfInData *data;
if(isbuy && isflat){
data = new IfInData(1,false,true,0);
}
else if(isbuy && !isflat)
{
data = new IfInData(1,false,false,0);
}
else if(!isbuy && isflat){
data = new IfInData(1,true,true,0);
}
else{
data = new IfInData(1,true,false,0);
}
if(numofA50 != 0){
#define PUT(prop,value) orderA50.get()->##prop## = (##value##);
#define GET(prop) orderA50.get()->##prop
std::auto_ptr<Order> orderA50(new Order());
double valueTradeA50 = 0;
::EnterCriticalSection(&g_A50Price);
if(isbuy){
PUT(action,"BUY");
PUT(totalQuantity,numofA50);
#ifdef _case1
PUT(lmtPrice,a50Ask1 + 100.0);
#else
PUT(lmtPrice,a50Bid1);
#endif
PUT(orderType,"LMT");
}
else{
PUT(action,"SELL");
PUT(totalQuantity,numofA50);
#ifdef _case1
PUT(lmtPrice,a50Bid1 - 100.0);
#else
PUT(lmtPrice,a50Ask1);
#endif
PUT(orderType,"LMT");
}
::LeaveCriticalSection(&g_A50Price);
bool isA50Validate = false;
int iftraded = 0;//已经发出的if指令,A50每次交易满一手对冲,瞬间发出if指令
int filledLast = 0;//最近一次的成交数量
long idThisTrade;//交易id
std::vector<rtn> rtnres;//交易结果返回
int lastpos = -1;//上次检查返回新的vector的数据位置,从-1开始,考虑到0位置前用-1表示
::EnterCriticalSection(&tdi_a50);
idThisTrade = clientDlg->PlaceOrder_hedge(false,orderA50);
clientDlg->m_idrtn.insert(std::pair<long,std::vector<rtn>>(idThisTrade,rtnres));
::LeaveCriticalSection(&tdi_a50);
while(true){
std::map<long,std::vector<rtn>>::iterator iter;
std::vector<rtn>::iterator ivec;
int seconds = 0;//计时
while(!isA50Validate){
//设置临界区,防止处理期间的m_idrtn变动
//每次都要重新获取开始位置,因为map中元素次序会变
::EnterCriticalSection(&tdi_a50);
iter = clientDlg->m_idrtn.find(idThisTrade);
if(iter != clientDlg->m_idrtn.end()){
ivec = iter->second.begin();
int size = iter->second.size();
if(size > 0){
isA50Validate = true;//有返回消息了
TRACE("A50 HAS VALIDATED\r\n");
::LeaveCriticalSection(&tdi_a50);
break;
}
}
TRACE("A50 NOT VALIDATED\r\n");
::LeaveCriticalSection(&tdi_a50);
::Sleep(50);//50毫秒检测一次
seconds = seconds + 50;
if(seconds > 100000){//100秒没反应,认为指令送达失败
//重新发送指令
::EnterCriticalSection(&tdi_a50);
idThisTrade = clientDlg->PlaceOrder_hedge(false,orderA50);
clientDlg->m_idrtn.insert(std::pair<long,std::vector<rtn>>(idThisTrade,rtnres));
::LeaveCriticalSection(&tdi_a50);
seconds = 0;//重新计时
}
}
::EnterCriticalSection(&tdi_a50);
iter = clientDlg->m_idrtn.find(idThisTrade);
if(iter != clientDlg->m_idrtn.end()){
ivec = iter->second.begin();
int size = iter->second.size();
if(size - 1 > lastpos){
for(int k = lastpos + 1;k < size;k++){
if((ivec + k)->status == "Submitted" ||
(ivec + k)->status == "Filled" ||
(ivec + k)->status == "ApiCancelled" ||
(ivec + k)->status == "Cancelled"){
if((ivec + k)->filled > filledLast){
int needTradeIf = ((ivec + k)->filled - iftraded * multiply) / multiply;//计算需要新交易的if合约数
if(needTradeIf >= 1){
//交易if,生成新的线程
TRACE("begin%d\r\n",needTradeIf);
data->numif = needTradeIf;
::EnterCriticalSection(&ODREF);
iNextOrderRef++;
data->orf = iNextOrderRef;
::LeaveCriticalSection(&ODREF);
IfInData *indata = new IfInData;
*indata = *data;
CWinThread *tradeThread = AfxBeginThread(IfEntry,indata,THREAD_PRIORITY_NORMAL,0,0,NULL);
handleThread.push_back(tradeThread->m_hThread);
//更新数据
iftraded = iftraded + needTradeIf;
}
//更新上一次已经成交的数目
filledLast = (ivec + k)->filled;
}
if((ivec + k)->status == "Filled" ||
(ivec + k)->status == "ApiCancelled" ||
(ivec + k)->status == "Cancelled"){
//等待if交易线程结束,进行交易平均成本统计
//等待所有的IF线程交易完毕,返回
int nCount = handleThread.size();
if(nCount >= 1){
HANDLE * handle = new HANDLE[nCount];
for(int i = 0 ; i < nCount;i++){
handle[i] = handleThread[i];
}
int nIndex = 0;
DWORD dwRet = 0;
dwRet = WaitForMultipleObjects(nCount,handle,true,INFINITE);
switch(dwRet){
case WAIT_TIMEOUT:
TRACE("等待超时,退出检测,因为没有被触发的对象了\r\n");
break;
case WAIT_FAILED:
TRACE("等待失败\r\n");
break;
default:
TRACE("已经全部返回\r\n");
break;
}
delete []handle;
}
//统计交易成本,开仓则增加交易成本记录,并返回
::EnterCriticalSection(&avgPriceOfIf);
double avgIf = 0;
std::vector<avgpIf>::iterator iavg;
double totalvalue = 0;
int totalnum = 0;
for(iavg = avgPriceIf.begin();iavg != avgPriceIf.end();iavg++){
totalvalue = totalvalue + iavg->num * iavg->avgprice;
totalnum = totalnum + iavg->num;
}
::LeaveCriticalSection(&avgPriceOfIf);
if(totalnum>=1){
avgIf = totalvalue / totalnum;
::EnterCriticalSection(&g_index);
double premium_temp = (ivec + k)->avgFillPrice - avgIf * A50Index / HS300Index
- A50Index * (lifeOfA50 - clientDlg->lifeOfIf) / 365.0 * 0.0631;//6.31%的无风险套利;
::LeaveCriticalSection(&g_index);
double deviation_temp = premium_temp - datumDiff;
#ifdef _weixin
CString Price_temp("");
if(!isflat && isbuy){
Price_temp.Format("BK:%d,CB:%f,HS300:%f,IF:%f,A50:%f,XINA50:%f\r\n",totalnum,deviation_temp,HS300Index,avgIf,A50Index,(ivec + k)->avgFillPrice);
}
else if(!isflat && !isbuy){
Price_temp.Format("SK:%d,CB:%f,HS300:%f,IF:%f,A50:%f,XINA50:%f\r\n",totalnum,deviation_temp,HS300Index,avgIf,A50Index,(ivec + k)->avgFillPrice);
}
else if(isflat && isbuy){
Price_temp.Format("BP:%d,CB:%f,HS300:%f,IF:%f,A50:%f,XINA50:%f\r\n",totalnum,deviation_temp,HS300Index,avgIf,A50Index,(ivec + k)->avgFillPrice);
}
else{
Price_temp.Format("SP:%d,CB:%f,HS300:%f,IF:%f,A50:%f,XINA50:%f\r\n",totalnum,deviation_temp,HS300Index,avgIf,A50Index,(ivec + k)->avgFillPrice);
}
clientDlg->SendMsg(Price_temp);
#endif
if(!isflat){
HoldAndDirec hd;
hd.price = deviation_temp;
if(!isbuy){
netHold = netHold - totalnum;
hd.numDirec = -totalnum;
}
else{
netHold = netHold + totalnum;
hd.numDirec = totalnum;
}
holdHedge.push_back(hd);
}
}
//删除这次交易ID对应的键值
clientDlg->m_idrtn.erase(iter);
TRACE("对冲结束,准备脱离临界区\r\n");
::LeaveCriticalSection(&tdi_a50);
delete data;
TRACE("对冲结束,返回0值\r\n");
return 0;
}
}
else{
//NOTHING TO DO
}
}
lastpos = size -1;
}
}
::LeaveCriticalSection(&tdi_a50);
UpdateTrade.Lock(INFINITE);//等待同步事件击发
//判断价格是否合理,否则修改A50合约
calDeviation();//重新计算偏差
::EnterCriticalSection(&g_A50Price);
if(isbuy){
if(deviationHigh <= deviationHigh_save - 5.0){
PUT(lmtPrice,a50Ask1);
clientDlg->ModifyOrder_hedge(idThisTrade,orderA50);
}
else if(GET(lmtPrice) < a50Bid1){
PUT(lmtPrice,a50Bid1);
clientDlg->ModifyOrder_hedge(idThisTrade,orderA50);
}
}
else{
if(deviationLow >= deviationLow_save + 5.0){
PUT(lmtPrice,a50Bid1);
clientDlg->ModifyOrder_hedge(idThisTrade,orderA50);
}
else if(GET(lmtPrice) > a50Ask1){
PUT(lmtPrice,a50Ask1);
clientDlg->ModifyOrder_hedge(idThisTrade,orderA50);
}
}
::LeaveCriticalSection(&g_A50Price);
}
delete data;
return 0;
#undef PUT
#undef GET
}
else{
int needTradeIf = numofIf;
if(needTradeIf >= 1){
//交易if,生成新的线程
TRACE("begin%d\r\n",needTradeIf);
data->numif = needTradeIf;
::EnterCriticalSection(&ODREF);
iNextOrderRef++;
data->orf = iNextOrderRef;
::LeaveCriticalSection(&ODREF);
IfInData *indata = new IfInData;
*indata = *data;
CWinThread *tradeThread = AfxBeginThread(IfEntry,indata,THREAD_PRIORITY_NORMAL,0,0,NULL);
handleThread.push_back(tradeThread->m_hThread);
}
int nCount = handleThread.size();
if(nCount >= 1){
HANDLE * handle = new HANDLE[nCount];
for(int i = 0 ; i < nCount;i++){
handle[i] = handleThread[i];
}
int nIndex = 0;
DWORD dwRet = 0;
dwRet = WaitForMultipleObjects(nCount,handle,true,INFINITE);
switch(dwRet){
case WAIT_TIMEOUT:
TRACE("等待超时,退出检测,因为没有被触发的对象了\r\n");
break;
case WAIT_FAILED:
TRACE("等待失败\r\n");
break;
default:
TRACE("已经全部返回\r\n");
break;
}
delete []handle;
}
//统计交易成本,开仓则增加交易成本记录,并返回
::EnterCriticalSection(&avgPriceOfIf);
double avgIf = 0;
std::vector<avgpIf>::iterator iavg;
double totalvalue = 0;
int totalnum = 0;
double avgFillPriceA50 = 0;
if(isbuy){
avgFillPriceA50 = a50Ask1;
}
else{
avgFillPriceA50 = a50Bid1;
}
for(iavg = avgPriceIf.begin();iavg != avgPriceIf.end();iavg++){
totalvalue = totalvalue + iavg->num * iavg->avgprice;
totalnum = totalnum + iavg->num;
}
::LeaveCriticalSection(&avgPriceOfIf);
if(totalnum>=1){
avgIf = totalvalue / totalnum;
::EnterCriticalSection(&g_index);
double premium_temp = avgFillPriceA50 - avgIf * A50Index / HS300Index
- A50Index * (lifeOfA50 - clientDlg->lifeOfIf) / 365.0 * 0.0631;//6.31%的无风险套利;
::LeaveCriticalSection(&g_index);
double deviation_temp = premium_temp - datumDiff;
#ifdef _weixin
CString Price_temp("");
if(!isflat && isbuy){
Price_temp.Format("BK:%d,CB:%f,HS300:%f,IF:%f,A50:%f,XINA50:%f\r\n",totalnum,deviation_temp,HS300Index,avgIf,A50Index,avgFillPriceA50);
}
else if(!isflat && !isbuy){
Price_temp.Format("SK:%d,CB:%f,HS300:%f,IF:%f,A50:%f,XINA50:%f\r\n",totalnum,deviation_temp,HS300Index,avgIf,A50Index,avgFillPriceA50);
}
else if(isflat && isbuy){
Price_temp.Format("BP:%d,CB:%f,HS300:%f,IF:%f,A50:%f,XINA50:%f\r\n",totalnum,deviation_temp,HS300Index,avgIf,A50Index,avgFillPriceA50);
}
else{
Price_temp.Format("SP:%d,CB:%f,HS300:%f,IF:%f,A50:%f,XINA50:%f\r\n",totalnum,deviation_temp,HS300Index,avgIf,A50Index,avgFillPriceA50);
}
clientDlg->SendMsg(Price_temp);
#endif
if(!isflat){
HoldAndDirec hd;
hd.price = deviation_temp;
if(!isbuy){
netHold = netHold - totalnum;
hd.numDirec = -totalnum;
}
else{
netHold = netHold + totalnum;
hd.numDirec = totalnum;
}
holdHedge.push_back(hd);
}
}
TRACE("对冲结束,准备脱离临界区\r\n");
::LeaveCriticalSection(&tdi_a50);
delete data;
TRACE("对冲结束,返回0值\r\n");
return 0;
}
}
UINT TradeEntry_01(LPVOID pParam)//交易线程1改版
{
#define NUMLADDER 11
double ladder_01[NUMLADDER] = {-100,-80,-60,-40,-20,0,20,40,60,80,100};//暂时设11档,一定要正负对称且呈阶梯状，否则逻辑混乱
int needAmount_01[NUMLADDER] = {5,4,3,2,1,0,-1,-2,-3,-4,-5};//每档对应的持仓数量
int holdA50_01 = 0;//A50持有数量
int holdIf_01 = 0;//IF持有数量
int needHoldA50_01 = 0;//A50应该持有数量
int needHoldIf_01 = 0;//IF应该持有数量
int nowLadder_01 = 0;//当前梯级
bool isFirst = true;//第一次操作
bool isFilledSectionLeft = false;//本区间左侧目标位的买卖操作是否完成
bool isFilledSectionRight = false;//本区间右侧目标位的买卖操作是否完成
int nowSection = 4444;//当前所在的区间,由左端点决定,取4444的初值表示还未找到区间
if(clientDlg == NULL){
return -1;
}
if(pUserApi == NULL){
return -1;
}
//从对话框初始化
datumDiff = clientDlg->m_DeltaDatumDiff + clientDlg->m_datumDiff;
#ifdef _debug
holdA50_01 = 50;
#endif
while(true){
UpdateTrade.Lock(INFINITE);//事件触发
//获取系统时间
SYSTEMTIME sys;
GetLocalTime(&sys);
CString PREMIUM;
calDeviation();
deviationHigh_save = deviationHigh;
deviationLow_save = deviationLow;
PREMIUM.Format(_T("%.4f"),premiumLow);
clientDlg->SetDlgItemTextA(IDC_EDIT18,PREMIUM);
PREMIUM.Format(_T("%.4f"),premiumHigh);
clientDlg->SetDlgItemTextA(IDC_EDIT16,PREMIUM);
//非交易日返回
if(!isTradeDay(sys.wYear,sys.wMonth,sys.wDay))
{
continue;
}
//非常规交易时间
if((sys.wHour == 9 && sys.wMinute < 10) ||
(sys.wHour == 15 && sys.wMinute > 15) ||
(sys.wHour == 11 && sys.wMinute > 30) ||
(sys.wHour == 12)||
(sys.wHour < 9) || (sys.wHour > 15)){
continue;
}
if(clientDlg->tradeEnd){//终止
//做清空处理,重新启动时会初始化
return -1;
}
if(clientDlg->stop){//暂停
continue;
}
if(_isnan(datumDiff) != 0 || _isnan(premium)!=0 ||_isnan(deviation)!=0){
continue;//判断非零值错误
}
if(deviationHigh >= 100 || deviationLow <= -100){
continue;//超过范围，返回
}
for(int i = 0;i <= NUMLADDER - 1;i++){//计算当前的区间位置
if(deviationLow >= ladder_01[i] && deviationHigh <= ladder_01[i + 1]){
if(isFirst){
nowSection = i;
isFirst = false;
break;
}
else{
if(nowSection != i){
nowSection = i;
break;
}
}
}
}
if(nowSection == 4444){
continue;//还未找到区间,返回重新寻找
}
bool isFilledL = false,isFilledR = false;
int needA50L = 0,needA50R = 0;
int needIfL = 0,needIfR = 0;
needIfL = -needAmount_01[nowSection];
needIfR = -needAmount_01[nowSection + 1];
needA50L = needAmount_01[nowSection] * multiply;
needA50R = needAmount_01[nowSection + 1] * multiply;
//强平
if(holdA50_01 > needA50L){
//FTA50(holdA50_01 - needA50L,false);
holdA50_01 = needA50L;
}
if(holdIf_01 < needIfL){
//FTIF(needIfL - holdIf_01,true);
holdIf_01 = needIfL;
}
if(holdA50_01 < needA50R){
//FTA50(needA50R - holdA50_01,true);
holdA50_01 = needA50R;
}
if(holdIf_01 > needIfR){
//FTIF(holdIf_01 - needIfR,false);
holdIf_01 = needIfR;
}
//查询a50账户可用资金
//
if(nowSection < (NUMLADDER - 1) / 2){
if(holdA50_01 < needA50L || holdIf_01 < needIfL){
isFilledL = false;
}
if(holdA50_01 < needA50R || holdIf_01 < needIfR){
isFilledR = false;
}
}
/*
if(deviation <= (ladder_01[nowSection] + ladder_01[nowSection + 1]) / 2.0){
double A50Price = ladder_01[nowSection] + datumDiff + ifBid1 * A50Index / HS300Index + A50Index * dltInterest;
buyOrSell_01(holdA50_01,holdIf_01,needAmount_01[nowSection] * multiply,true);
}
else{
double A50Price = ladder_01[nowSection + 1] + datumDiff + ifAsk1 * A50Index / HS300Index + A50Index * dltInterest;
buyOrSell_01(holdA50_01,holdIf_01,needAmount_01[nowSection + 1] * multiply,false);
}
*/
}
return 0;
}
//只能开启一个交易线程,否则同步可能出现问题
UINT TradeEntry_00(LPVOID pParam)//启动入口，作为一个独立的线程
{
CThostFtdcQryInstrumentField req;
memset(&req, 0, sizeof(req));
strcpy(req.InstrumentID, INSTRUMENT_ID);
::EnterCriticalSection(&REQUEST_ID_IF);
int iResult = pUserApi->ReqQryInstrument(&req, ++iRequestID);
::LeaveCriticalSection(&REQUEST_ID_IF);
CThostFtdcQryInvestorPositionField req00;
memset(&req00, 0, sizeof(req00));
strcpy(req00.BrokerID, BROKER_ID);
strcpy(req00.InvestorID, INVESTOR_ID);
strcpy(req00.InstrumentID, INSTRUMENT_ID);
::EnterCriticalSection(&REQUEST_ID_IF);
iResult = pUserApi->ReqQryInvestorPosition(&req00, ++iRequestID);
::LeaveCriticalSection(&REQUEST_ID_IF);
#ifdef _debug
iNextOrderRef++;//测试
ifAsk1 = 2180;//
IfInData *data;//测试
data = new IfInData(1,false,true,iNextOrderRef); //测试
AfxBeginThread(IfEntry,data,THREAD_PRIORITY_NORMAL,0,0,NULL);//测试
return 0;//测试
#endif
if(clientDlg == NULL){
return -1;
}
if(pUserApi == NULL){
return -1;
}
//从对话框初始化
step = clientDlg->m_step;
multiply = clientDlg->m_multiply;
aimOfLadder = clientDlg->m_aimOfLadder;
datumDiff = clientDlg->m_DeltaDatumDiff + clientDlg->m_datumDiff;
HoldAndDirec tempIni;
tempIni.price = clientDlg->m_costINI - datumDiff;//持仓相对价格
tempIni.numDirec = clientDlg->m_numINI;//带有方向的持仓
holdHedge.push_back(tempIni);
netHold = tempIni.numDirec;
//溢价和基差计算
while(true){
UpdateTrade.Lock(INFINITE);//事件触发
//获取系统时间
//SYSTEMTIME sys;
//GetLocalTime(&sys);
CString PREMIUM;
calDeviation();
deviationHigh_save = deviationHigh;
deviationLow_save = deviationLow;
PREMIUM.Format(_T("%.4f"),premiumLow);
clientDlg->SetDlgItemTextA(IDC_EDIT18,PREMIUM);
PREMIUM.Format(_T("%.4f"),premiumHigh);
clientDlg->SetDlgItemTextA(IDC_EDIT16,PREMIUM);
/*
//非交易日返回
if(!isTradeDay(sys.wYear,sys.wMonth,sys.wDay))
{
continue;
}
//非常规交易时间
if((sys.wHour == 9 && sys.wMinute < 10) ||
(sys.wHour == 15 && sys.wMinute > 15) ||
(sys.wHour == 11 && sys.wMinute > 30) ||
(sys.wHour == 12)||
(sys.wHour < 9) || (sys.wHour > 15)){
continue;
}
*/
if(clientDlg->tradeEnd){//终止
//做清空处理,重新启动时会初始化
holdHedge.clear();
netHold = 0;
return -1;
}
if(clientDlg->stop){//暂停
continue;
}
if(_isnan(datumDiff) != 0 || _isnan(premium)!=0 ||_isnan(deviation)!=0){
continue;//判断非零值错误
}
::EnterCriticalSection(&g_A50Price);
::EnterCriticalSection(&g_IfPrice);
::EnterCriticalSection(&g_index);
if(a50Bid1 < 1 || a50Ask1 < 1 || ifAsk1 < 1 || ifBid1 < 1 || A50Index < 1 || HS300Index < 1){
::LeaveCriticalSection(&g_IfPrice);
::LeaveCriticalSection(&g_A50Price);
::LeaveCriticalSection(&g_index);;
continue;
}
else{
::LeaveCriticalSection(&g_IfPrice);
::LeaveCriticalSection(&g_A50Price);
::LeaveCriticalSection(&g_index);
}
if(fabs(premium) > 300 || fabs(premium) < 0.01){
continue;//排除开盘时有可能报价不全导致的错误溢价计算
}
if(deviation >= 0){
#ifdef _case1
//临时用multiply代替需要的合约数目，因为现在只有一手，保证成交
if(a50Bid1Size >= multiply * 1){
ladder = (int)(deviationLow / step);
}
else{
continue;
}
#else
ladder = (int)((deviationLow + 2.5) / step);
#endif
}
else{
#ifdef _case1
//临时用multiply代替需要的合约数目，因为现在只有一手，保证成交
if(a50Ask1Size >= multiply * 1){
ladder = -(int)(-deviationHigh / step);
}
else{
continue;
}
#else
ladder = -(int)((-deviationHigh + 2.5) / step);
#endif
}
if(ladder > 1){
ladder = 1;
}
else if(ladder < -1){
ladder = -1;
}
needHold = aimOfLadder * ladder;//需要的合约与偏差的关系,可以根据资金量进行修改
#ifdef _case1
profitTarget = step;
#else
profitTarget = step - 2.5;
#endif
double profitUnit = 0;
int needBuyFlat = 0,needSellFlat = 0;//始终大于0的，无正负
double totalTradingValue = 0;//准备交易的总价值
for(unsigned int j = 0;j < holdHedge.size();j++){
itHedge = holdHedge.begin() + j;
//if(itHedge->numDirec < 0){//其实只要nethold为负，就保证了所有的numDirec为负，不存在既有numDirec为正，又有为负的情况
if(netHold < 0){
profitUnit = itHedge->price - deviationHigh;
if(profitUnit >= profitTarget){
needBuyFlat = needBuyFlat - itHedge->numDirec;
totalTradingValue = totalTradingValue + itHedge->price * (-itHedge->numDirec);
//更新记录
netHold = netHold - itHedge->numDirec;
holdHedge.erase(itHedge);
j--;//出现删除操作时,需要将指针向前倒退
}
}
//else if(itHedge->numDirec > 0)
else if(netHold > 0){
profitUnit = -(itHedge->price - deviationLow);
if(profitUnit >= profitTarget){
needSellFlat = needSellFlat + itHedge->numDirec;
totalTradingValue = totalTradingValue + itHedge->price * itHedge->numDirec;
//更新记录
netHold = netHold - itHedge->numDirec;
holdHedge.erase(itHedge);
j--;
}
}
else{
//等于0时什么也不做
}
}
//平仓操作,,其实买平和卖平一定只有一个得到执行的，否则便出现了问题
flatOrOpen(needBuyFlat,true,true);
flatOrOpen(needSellFlat,false,true);
//开仓操作
BS(needHold,netHold);
}
return 0;//根本走不到这儿
}