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278 lines
10 KiB
278 lines
10 KiB
10 months ago
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/*****************************************************************************
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* Copyright [2019]
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at
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* http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*****************************************************************************/
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#include <Services/tradingengine.h>
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#include <Common/datastruct.h>
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#include <Common/config.h>
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#include <Common/util.h>
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#include <Common/logger.h>
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#include <Data/datamanager.h>
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#include <Engine/IEngine.h>
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#include <Engine/CtpMDEngine.h>
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#include <Engine/CtpTDEngine.h>
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// #include <Engine/TapMDEngine.h>
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// #include <Engine/TapTDEngine.h>
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#include <Engine/PaperTDEngine.h>
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#include <Trade/ordermanager.h>
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#include <Trade/portfoliomanager.h>
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#include <Trade/riskmanager.h>
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//#include <Services/Strategy/strategyservice.h>
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#include <Services/dataservice.h>
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#include <pthread.h>
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#include <signal.h>
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#include <future>
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#include <atomic>
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#include <fstream>
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#include <iostream>
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#include <string>
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#include <functional>
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namespace StarQuant {
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extern std::atomic<bool> gShutdown;
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extern Except_frame g_except_stack;
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extern atomic<uint64_t> MICRO_SERVICE_NUMBER;
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void startengine(shared_ptr<IEngine> pe) {
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pe->start();
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}
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tradingengine::tradingengine() {
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CConfig::instance();
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DataManager::instance();
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OrderManager::instance();
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PortfolioManager::instance();
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RiskManager::instance();
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_broker = CConfig::instance()._broker;
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mode = CConfig::instance()._mode;
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if (logger == nullptr) {
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logger = SQLogger::getLogger("SYS");
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}
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// if (IEngine::msgq_send_ == nullptr){
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// IEngine::msgq_send_ = std::make_unique<CMsgqNanomsg>(MSGQ_PROTOCOL::PUB, CConfig::instance().SERVERPUB_URL);
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// }
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if (CMsgqEMessenger::msgq_send_ == nullptr) {
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CMsgqEMessenger::msgq_send_ = std::make_unique<CMsgqNanomsg>(MSGQ_PROTOCOL::PUB, CConfig::instance().SERVERPUB_URL);
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msleep(100);
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}
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if (CMsgqRMessenger::msgq_send_ == nullptr) {
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CMsgqRMessenger::msgq_send_ = std::make_unique<CMsgqNanomsg>(MSGQ_PROTOCOL::PUB, CConfig::instance().SERVERSUB_URL);
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msleep(100);
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}
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msg_relay_ = std::make_unique<CMsgqRMessenger>(CConfig::instance().SERVERPULL_URL);
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msleep(100);
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}
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tradingengine::~tradingengine() {
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for (auto& e : pengines_) {
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while ( (e != nullptr) && (e->estate_ != STOP) ) {
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e->stop();
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msleep(100);
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}
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}
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while (MICRO_SERVICE_NUMBER > 0) {
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msleep(100);
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}
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if (CConfig::instance()._msgq == MSGQ::NANOMSG)
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nn_term();
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for (thread* t : threads_) {
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if (t->joinable()) {
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t->join();
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delete t;
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} else {
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// pthread_cancel(t->native_handle());
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// delete t;
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}
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}
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LOG_DEBUG(logger, "Exit trading engine");
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}
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int32_t tradingengine::cronjobs(bool force) {
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// set console handler
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signal(SIGINT, ConsoleControlHandler);
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signal(SIGPWR, ConsoleControlHandler);
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time_t timer;
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struct tm tm_info;
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// cronjobs:
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// check gshutdown
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while (!gShutdown) {
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msleep(1 * 1000);
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time(&timer);
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localtime_r(&timer, &tm_info);
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// at weekend do nothing 0=sunday 6=saturday
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if (tm_info.tm_wday == 0) {
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continue;
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}
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// send timer msg to all engine
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std::shared_ptr<MsgHeader> pmsg = make_shared<MsgHeader>(DESTINATION_ALL,"0", MSG_TYPE_TIMER);
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msg_relay_->send(pmsg);
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// flow count reset
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RiskManager::instance().resetflow();
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// auto reset at 2:35
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if (tm_info.tm_hour == 2 && tm_info.tm_min == 35 && tm_info.tm_sec == 0) {
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std::shared_ptr<MsgHeader> pmsg = make_shared<MsgHeader>(DESTINATION_ALL,"0", MSG_TYPE_ENGINE_RESET);
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msg_relay_->send(pmsg);
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}
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if (tm_info.tm_wday != 6) {
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// auto reset at 16:00
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if (tm_info.tm_hour == 16 && tm_info.tm_min == 0 && tm_info.tm_sec == 0) {
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std::shared_ptr<MsgHeader> pmsg = make_shared<MsgHeader>(DESTINATION_ALL,"0", MSG_TYPE_ENGINE_RESET);
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msg_relay_->send(pmsg);
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}
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// switch day, at 20:30 everyday, reset td engine, needconfirmation
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if (tm_info.tm_hour == 20 && tm_info.tm_min == 30 && tm_info.tm_sec == 0) {
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std::shared_ptr<MsgHeader> pmsg = make_shared<MsgHeader>(DESTINATION_ALL,"0", MSG_TYPE_SWITCH_TRADING_DAY);
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msg_relay_->send(pmsg);
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RiskManager::instance().switchday();
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}
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// auto connect at 8:45, 13:15, 20:45
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if (tm_info.tm_hour == 8 && tm_info.tm_min == 45 && tm_info.tm_sec == 0) {
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std::shared_ptr<MsgHeader> pmsg = make_shared<MsgHeader>(DESTINATION_ALL,"0", MSG_TYPE_ENGINE_CONNECT);
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msg_relay_->send(pmsg);
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}
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if (tm_info.tm_hour == 13 && tm_info.tm_min == 15 && tm_info.tm_sec == 0) {
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std::shared_ptr<MsgHeader> pmsg = make_shared<MsgHeader>(DESTINATION_ALL,"0", MSG_TYPE_ENGINE_CONNECT);
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msg_relay_->send(pmsg);
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}
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if (tm_info.tm_hour == 20 && tm_info.tm_min == 45 && tm_info.tm_sec == 0) {
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std::shared_ptr<MsgHeader> pmsg = make_shared<MsgHeader>(DESTINATION_ALL,"0", MSG_TYPE_ENGINE_CONNECT);
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msg_relay_->send(pmsg);
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}
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}
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}
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// ctrl-c
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if (force) {
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throw runtime_error("ctrl-c triggered shutdown");
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}
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return 0;
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}
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int32_t tradingengine::run() {
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if (gShutdown)
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return 1;
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// sigsegv sig backtrace
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g_except_stack.flag = sigsetjmp(g_except_stack.env, 1);
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if (!g_except_stack.isDef()) {
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signal(SIGSEGV, recvSignal);
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try {
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auto fu1 = async(launch::async, std::bind(&tradingengine::cronjobs,this,std::placeholders::_1), true);
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if (mode == RUN_MODE::RECORD_MODE) {
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LOG_INFO(logger, "RECORD_MODE");
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// threads_.push_back(new thread(TickRecordingService));
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} else if (mode == RUN_MODE::REPLAY_MODE) {
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LOG_INFO(logger, "REPLAY_MODE");
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// threads_.push_back(new thread(TickReplayService, CConfig::instance().filetoreplay,CConfig::instance()._tickinterval));
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// threads_.push_back(new thread(DataBoardService));
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// //threads_.push_back(new thread(StrategyManagerService));
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} else if (mode == RUN_MODE::TRADE_MODE) {
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LOG_INFO(logger, "TRADE_MODE");
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// threads_.push_back(new thread(TickRecordingService));
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for (auto iter = CConfig::instance()._gatewaymap.begin(); iter != CConfig::instance()._gatewaymap.end(); iter++){
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if (iter->second.api == "CTP.TD") {
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std::shared_ptr<IEngine> ctptdengine = make_shared<CtpTDEngine>(iter->first);
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threads_.push_back(new std::thread(startengine, ctptdengine));
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pengines_.push_back(ctptdengine);
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} else if (iter->second.api == "CTP.MD") {
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std::shared_ptr<IEngine> ctpmdengine = make_shared<CtpMDEngine>();
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pengines_.push_back(ctpmdengine);
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threads_.push_back(new std::thread(startengine, ctpmdengine));
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} else if (iter->second.api == "PAPER.TD") {
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std::shared_ptr<IEngine> papertdengine = make_shared<PaperTDEngine>();
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threads_.push_back(new std::thread(startengine, papertdengine));
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pengines_.push_back(papertdengine);
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} else if (iter->second.api == "TAP.TD") {
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// TODO: finish later
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} else if (iter->second.api == "TAP.MD") {
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// TODO: finish later
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} else {
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LOG_INFO(logger, "API not supported ,ignore it!");
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}
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}
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} else {
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LOG_ERROR(logger, "Mode doesn't exist,exit.");
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return 1;
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}
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// set thread affinity
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// engine thread
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if (CConfig::instance().cpuaffinity) {
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int32_t num_cpus = std::thread::hardware_concurrency();
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for (int32_t i = 0; i< threads_.size(); i ++) {
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cpu_set_t cpuset;
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CPU_ZERO(&cpuset);
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CPU_SET(i%num_cpus, &cpuset);
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int32_t rc = pthread_setaffinity_np(threads_[i]->native_handle(),sizeof(cpu_set_t),&cpuset);
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if (rc != 0) {
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std::cerr << "Error calling pthread_setaffinity_np: " << rc << "\n";
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}
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}
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//main thread
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cpu_set_t cpuset;
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CPU_ZERO(&cpuset);
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CPU_SET(threads_.size()%num_cpus, &cpuset);
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int32_t rc = pthread_setaffinity_np(pthread_self(), sizeof(cpu_set_t), &cpuset);
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if (rc != 0) {
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std::cerr << "Error calling pthread_setaffinity_np: " << rc << "\n";
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}
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}
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while (!gShutdown) {
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msg_relay_->relay();
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}
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fu1.get();
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}
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catch (exception& e) {
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LOG_INFO(logger, e.what());
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}
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catch (...) {
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LOG_ERROR(logger, "StarQuant terminated in error!");
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}
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} else {
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// g_except_stack.clear();
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signal(SIGSEGV, SIG_IGN);
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LOG_ERROR(logger, "StarQuant terminated by SEGSEGV!");
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exit(0);
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}
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// for (const auto& e : pengines_) {
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// e->stop();
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// }
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return 0;
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}
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bool tradingengine::live() const {
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return gShutdown == true;
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}
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} // namespace StarQuant
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