半夜淀粉莫名其妙有行情，导致交易紊乱 - 金字塔软件问题提交 - 金字塔客服中心 - 专业程序化交易软件提供商

我用后台程序化交易，昨天在淀粉上出现了莫名其妙的情况。我在后台程序化的代码中用debugfile来记录各个变量的值，然后昨天记录到下面贴出来的情况。其中1c，2c，3c表示的是仓量，由于我的策略中使用不同参数对同一品种交易，就用这些全局变量来记录每组参数对应的仓量。对应的，1p是第一组仓位的平仓价格，以此类推。记录中可以看到，昨天半夜23：32左右，莫名其妙有交易信号，持续了两秒钟，然后平仓价格就被莫名其妙的改变了，结果早上09：00一开盘系统就直接平仓了。请问这是什么情况？如何可以避免这样的情况？

2016-10-24 14:59:58.000    开始1c=12
2016-10-24 14:59:58.001    开始2c=12
2016-10-24 14:59:58.001    开始3c=12
2016-10-24 14:59:58.001    tsell前1p=1742
2016-10-24 14:59:58.002    tsell后1c=12
2016-10-24 14:59:58.002    tsell前2p=1711
2016-10-24 14:59:58.003    tsell后2c=12
2016-10-24 14:59:58.003    tsell前3p=1761
2016-10-24 14:59:58.003    tsell后3c=12
2016-10-24 14:59:58.004    dianfen运行结束
2016-10-24 14:59:58.496    开始1c=12
2016-10-24 14:59:58.496    开始2c=12
2016-10-24 14:59:58.497    开始3c=12
2016-10-24 14:59:58.497    tsell前1p=1742
2016-10-24 14:59:58.497    tsell后1c=12
2016-10-24 14:59:58.497    tsell前2p=1711
2016-10-24 14:59:58.498    tsell后2c=12
2016-10-24 14:59:58.498    tsell前3p=1761
2016-10-24 14:59:58.498    tsell后3c=12
2016-10-24 14:59:58.498    dianfen运行结束
2016-10-24 14:59:58.975    开始1c=12
2016-10-24 14:59:58.975    开始2c=12
2016-10-24 14:59:58.975    开始3c=12
2016-10-24 14:59:58.975    tsell前1p=1742
2016-10-24 14:59:58.975    tsell后1c=12
2016-10-24 14:59:58.975    tsell前2p=1711
2016-10-24 14:59:58.975    tsell后2c=12
2016-10-24 14:59:58.975    tsell前3p=1761
2016-10-24 14:59:58.975    tsell后3c=12
2016-10-24 14:59:58.975    dianfen运行结束
2016-10-24 14:59:59.493    开始1c=12
2016-10-24 14:59:59.494    开始2c=12
2016-10-24 14:59:59.494    开始3c=12
2016-10-24 14:59:59.494    tsell前1p=1742
2016-10-24 14:59:59.495    tsell后1c=12
2016-10-24 14:59:59.495    tsell前2p=1711
2016-10-24 14:59:59.496    tsell后2c=12
2016-10-24 14:59:59.496    tsell前3p=1761
2016-10-24 14:59:59.497    tsell后3c=12
2016-10-24 14:59:59.497    dianfen运行结束
2016-10-24 14:59:59.980    开始1c=12
2016-10-24 14:59:59.980    开始2c=12
2016-10-24 14:59:59.981    开始3c=12
2016-10-24 14:59:59.981    tsell前1p=1742
2016-10-24 14:59:59.981    tsell后1c=12
2016-10-24 14:59:59.981    tsell前2p=1711
2016-10-24 14:59:59.982    tsell后2c=12
2016-10-24 14:59:59.982    tsell前3p=1761
2016-10-24 14:59:59.983    tsell后3c=12
2016-10-24 14:59:59.983    dianfen运行结束
2016-10-24 23:32:33.981    开始1c=12
2016-10-24 23:32:33.981    开始2c=12
2016-10-24 23:32:33.981    开始3c=12
2016-10-24 23:32:33.982    tsell前1p=5663
2016-10-24 23:32:33.983    tsell后1c=12
2016-10-24 23:32:33.984    tsell前2p=5525
2016-10-24 23:32:33.985    tsell后2c=12
2016-10-24 23:32:33.986    tsell前3p=5388
2016-10-24 23:32:33.987    tsell后3c=12
2016-10-24 23:32:33.987    dianfen运行结束
2016-10-24 23:32:35.875    开始1c=12
2016-10-24 23:32:35.875    开始2c=12
2016-10-24 23:32:35.876    开始3c=12
2016-10-24 23:32:35.877    tsell前1p=5663
2016-10-24 23:32:35.877    tsell后1c=12
2016-10-24 23:32:35.878    tsell前2p=5525
2016-10-24 23:32:35.879    tsell后2c=12
2016-10-24 23:32:35.880    tsell前3p=5388
2016-10-24 23:32:35.880    tsell后3c=12
2016-10-24 23:32:35.881    dianfen运行结束
2016-10-25 09:00:10.864    开始1c=12
2016-10-25 09:00:10.865    开始2c=12
2016-10-25 09:00:10.865    开始3c=12
2016-10-25 09:00:10.866    tsell前1p=5916
2016-10-25 09:00:10.867    tsell后1c=0
2016-10-25 09:00:10.868    tbuy后1c=0
2016-10-25 09:00:10.868    tbuy后1p=0
2016-10-25 09:00:10.869    tbuyshort后1c=0
2016-10-25 09:00:10.869    tbuyshort后1p=0
2016-10-25 09:00:10.870    tsell前2p=5879
2016-10-25 09:00:10.871    tsell后2c=0
2016-10-25 09:00:10.872    tbuy后2c=0
2016-10-25 09:00:10.872    tbuy后2p=0
2016-10-25 09:00:10.872    tbuyshort后2c=0
2016-10-25 09:00:10.873    tbuyshort后2p=0
2016-10-25 09:00:10.873    tsell前3p=5842
2016-10-25 09:00:10.875    tsell后3c=0
2016-10-25 09:00:10.875    tbuy后3c=0
2016-10-25 09:00:10.875    tbuy后3p=0
2016-10-25 09:00:10.876    tbuyshort后3c=0
2016-10-25 09:00:10.876    tbuyshort后3p=0
2016-10-25 09:00:10.876    dianfen运行结束
2016-10-25 09:00:11.360    开始1c=0
2016-10-25 09:00:11.360    开始2c=0
2016-10-25 09:00:11.361    开始3c=0
2016-10-25 09:00:11.361    tbuy后1c=0
2016-10-25 09:00:11.361    tbuy后1p=0
2016-10-25 09:00:11.362    tbuyshort后1c=0
2016-10-25 09:00:11.362    tbuyshort后1p=0
2016-10-25 09:00:11.362    tbuy后2c=0
2016-10-25 09:00:11.362    tbuy后2p=0
2016-10-25 09:00:11.363    tbuyshort后2c=0
2016-10-25 09:00:11.363    tbuyshort后2p=0
2016-10-25 09:00:11.364    tbuy后3c=0
2016-10-25 09:00:11.364    tbuy后3p=0
2016-10-25 09:00:11.364    tbuyshort后3c=0
2016-10-25 09:00:11.365    tbuyshort后3p=0
2016-10-25 09:00:11.365    dianfen运行结束

是不是用了不间断监控，在后台设置界面这样即使没有行情也会刷新公式的

[此贴子已经被作者于2016-10-25 13:37:50编辑过]

是的，用了不间断监控。但是我希望能半秒甚至0.25秒扫描一次，还有别的办法吗？

交易-下单设置-程序化交易

只在交易时段进行程序化，这边的勾勾上

另外你这么频繁扫描有意义吗？行情都没有这么快速你相当于在100这个价格上来回反复没有知己作用的

今天又出现了这样的情况，有log了，请帮忙看一下。另，@yukizzc “只在交易时段进行程序化”一直都是勾的，上次以来已经去掉了不间断监控，是用的固定时间轮询，轮询周期为1秒。

问题总体而言就是extgbdata里记录的全局变量在11月9日收盘后15：22莫名其妙被改了，然后第二天一早开盘淀粉第一时间就了结离场了。请看下面的记录。由于帖子内容有字数限制，我的回复分成两个帖子，请一起查看。

首先是order log（问题出在CS01上，只看CS01即可；我后台代码里设置的是9：00：10以后才可以开始下单，所以CS01到9：00：11才触发平仓）：

2016-11-09 09:00:08.620 【后台】L01 运行结束

2016-11-09 09:00:08.620 【后台】PP01 运行结束

2016-11-09 09:00:08.635 【后台】CS01 运行结束

2016-11-09 09:00:08.635 【后台】P01 运行结束

2016-11-09 09:00:08.635 【后台】BUX12 运行结束

2016-11-09 09:00:08.635 【后台】MA01 运行结束

2016-11-09 09:00:08.635 【后台】TA01 运行结束

2016-11-09 09:00:08.635 【后台】RB01 运行结束

2016-11-09 09:00:08.635 【后台】SRY01 运行结束

2016-11-09 09:00:08.635 【后台】J01 运行结束

2016-11-09 09:00:08.635 【后台】RU01 运行结束

2016-11-09 09:00:08.635 【后台】M01 运行结束

2016-11-09 09:00:09.604 【后台】L01 运行结束

2016-11-09 09:00:09.604 【后台】CS01 运行结束

2016-11-09 09:00:09.604 【后台】PP01 运行结束

2016-11-09 09:00:09.604 【后台】P01 运行结束

2016-11-09 09:00:09.604 【后台】RU01 运行结束

2016-11-09 09:00:09.604 【后台】BUX12 运行结束

2016-11-09 09:00:09.604 【后台】J01 运行结束

2016-11-09 09:00:09.604 【后台】TA01 运行结束

2016-11-09 09:00:09.604 【后台】RB01 运行结束

2016-11-09 09:00:09.604 【后台】M01 运行结束

2016-11-09 09:00:09.604 【后台】SRY01 运行结束

2016-11-09 09:00:09.604 【后台】MA01 运行结束

2016-11-09 09:00:10.635 【后台】CS01 运行结束

2016-11-09 09:00:10.635 【后台】L01 运行结束

2016-11-09 09:00:10.635 【后台】PP01 运行结束

2016-11-09 09:00:10.635 【后台】P01 运行结束

2016-11-09 09:00:10.635 【后台】RU01 运行结束

2016-11-09 09:00:10.635 【后台】BUX12 运行结束

2016-11-09 09:00:10.635 【后台】TA01 运行结束

2016-11-09 09:00:10.635 【后台】SRY01 运行结束

2016-11-09 09:00:10.635 【后台】MA01 运行结束

2016-11-09 09:00:10.635 【后台】RB01 运行结束

2016-11-09 09:00:10.635 【后台】M01 运行结束

2016-11-09 09:00:10.635 【后台】J01 运行结束

2016-11-09 09:00:11.604 【后台】CS01 TSell 已成功触发下单操作价格:0.000000 数量:10 类型:1 账户: 品种:CS01

2016-11-09 09:00:11.604 【后台】实际账户持仓 30

2016-11-09 09:00:11.604 【后台】下单已发送

2016-11-09 09:00:11.604 【后台】CS01 TSell 已成功触发下单操作价格:0.000000 数量:10 类型:1 账户: 品种:CS01

2016-11-09 09:00:11.604 【后台】实际账户持仓 30

2016-11-09 09:00:11.604 【后台】下单已发送

2016-11-09 09:00:11.620 【后台】PP01 运行结束

2016-11-09 09:00:11.620 【后台】CS01 TSell 已成功触发下单操作价格:0.000000 数量:10 类型:1 账户: 品种:CS01

2016-11-09 09:00:11.620 【后台】实际账户持仓 30

2016-11-09 09:00:11.620 【后台】下单已发送

2016-11-09 09:00:11.620 【后台】L01 运行结束

2016-11-09 09:00:11.620 【后台】CS01 运行结束

2016-11-09 09:00:11.620 【后台】P01 运行结束

2016-11-09 09:00:11.620 【后台】M01 运行结束

2016-11-09 09:00:11.620 【后台】RU01 运行结束

2016-11-09 09:00:11.620 【后台】SRY01 运行结束

2016-11-09 09:00:11.620 【后台】MA01 运行结束

2016-11-09 09:00:11.620 【后台】BUX12 运行结束

2016-11-09 09:00:11.620 【后台】RB01 运行结束

2016-11-09 09:00:11.620 【后台】J01 运行结束

2016-11-09 09:00:11.620 【后台】TA01 运行结束

2016-11-09 09:00:11.620 【下单】CS01 价0.000000 量10 买卖1 类型1 开平1 账户8010100079 Formula 1

2016-11-09 09:00:11.620 【下单】确认报单已发送 ID=1901797922 RefID = 8450

2016-11-09 09:00:11.620 【下单】CS01 价0.000000 量10 买卖1 类型1 开平1 账户8010100079 Formula 1

2016-11-09 09:00:11.620 【下单】确认报单已发送 ID=1901797932 RefID = 8460

2016-11-09 09:00:11.620 【下单】CS01 价0.000000 量10 买卖1 类型1 开平1 账户8010100079 Formula 1

2016-11-09 09:00:11.620 【下单】确认报单已发送 ID=1901797942 RefID = 8470

2016-11-09 09:00:11.682 【指令】收到回报指令 ID = 1901797922 RefID = 8450

2016-11-09 09:00:11.698 【回报】8010100079 : cs1701 - 已报单 10 价格:0 平卖

2016-11-09 09:00:11.698 【指令】收到回报指令 ID = 1901797932 RefID = 8460

2016-11-09 09:00:11.729 【指令】收到回报指令 ID = 1901797942 RefID = 8470

2016-11-09 09:00:11.745 【回报】8010100079 : cs1701 - 已报单 10 价格:0 平卖

2016-11-09 09:00:11.760 【指令】收到回报指令 ID = 1901797922 RefID = 8450

2016-11-09 09:00:11.760 【指令】收到成交回报指令 REFID = 8450 vol = 10

2016-11-09 09:00:11.760 【指令】收到回报指令 ID = 1901797932 RefID = 8460

2016-11-09 09:00:11.776 【回报】8010100079 : cs1701 - 已成交 10 价格:1848 平卖

2016-11-09 09:00:11.776 【指令】收到成交回报指令 REFID = 8460 vol = 10

2016-11-09 09:00:11.776 【指令】收到回报指令 ID = 1901797942 RefID = 8470

2016-11-09 09:00:11.776 【指令】收到成交回报指令 REFID = 8470 vol = 10

2016-11-09 09:00:11.807 【回报】8010100079 : cs1701 - 已成交 10 价格:1848 平卖

2016-11-09 09:00:12.620 【后台】L01 运行结束

----------------------------------------------------------------------------------------

然后请看我自己在代码中加的debugfile2语句记录下来的情况。如前面帖子所述：我在后台程序化的代码中用debugfile来记录各个变量的值，然后昨天记录到下面贴出来的情况。其中1c，2c，3c表示的是仓量，由于我的策略中使用不同参数对同一品种交易，就用这些全局变量来记录每组参数对应的仓量。对应的，1p是第一组仓位的平仓价格，以此类推。

在该记录里可以看到，11月8日我持有30手淀粉，1c、2c、3c都是10，并且各自记录了平仓条件，1p2p3p都在1800上下，持续到当日14：59：59都是没有问题的。然后15：22后台程序化莫名启动了，先是1p2p3p莫名变成了13000左右，然后1c2c3c变成0，然后1p2p3p变成6000左右，然后还有各种奇葩无厘头的变动，最终结果是1c2c3c回到了10，但是1p2p3p变成了13000左右。整个过程从15：22：26到15：23：20。第二天开盘，淀粉价格比13000低，按照程序指令，开盘直接市价平仓了。

2016-11-08 14:59:59.543 开始1c=10

2016-11-08 14:59:59.543 开始2c=10

2016-11-08 14:59:59.543 开始3c=10

2016-11-08 14:59:59.543 tsell前1p=1794

2016-11-08 14:59:59.543 tsell后1c=10

2016-11-08 14:59:59.543 tsell前2p=1800

2016-11-08 14:59:59.543 tsell后2c=10

2016-11-08 14:59:59.543 tsell前3p=1808

2016-11-08 14:59:59.543 tsell后3c=10

2016-11-08 14:59:59.543 dianfen运行结束

2016-11-08 15:22:26.174 开始1c=10

2016-11-08 15:22:26.174 开始2c=10

2016-11-08 15:22:26.174 开始3c=10

2016-11-08 15:22:26.174 tsell前1p=1794

2016-11-08 15:22:26.174 tsell后1c=10

2016-11-08 15:22:26.190 tsell前2p=1800

2016-11-08 15:22:26.190 tsell后2c=10

2016-11-08 15:22:26.190 tsell前3p=1808

2016-11-08 15:22:26.190 tsell后3c=10

2016-11-08 15:22:26.190 dianfen运行结束

2016-11-08 15:22:28.471 开始1c=10

2016-11-08 15:22:28.471 开始2c=10

2016-11-08 15:22:28.471 开始3c=10

2016-11-08 15:22:28.471 tsell前1p=1794

2016-11-08 15:22:28.471 tsell后1c=10

2016-11-08 15:22:28.471 tsell前2p=1800

2016-11-08 15:22:28.471 tsell后2c=10

2016-11-08 15:22:28.471 tsell前3p=1808

2016-11-08 15:22:28.471 tsell后3c=10

2016-11-08 15:22:28.471 dianfen运行结束

2016-11-08 15:22:32.909 开始1c=10

2016-11-08 15:22:32.909 开始2c=10

2016-11-08 15:22:32.909 开始3c=10

2016-11-08 15:22:32.909 tsell前1p=13994

2016-11-08 15:22:32.909 tsell后1c=10

2016-11-08 15:22:32.909 tsell前2p=13546

2016-11-08 15:22:32.909 tsell后2c=10

2016-11-08 15:22:32.909 tsell前3p=13098

2016-11-08 15:22:32.909 tsell后3c=10

。。。。。。此处省略很多字，还有很多莫名的参数跳动。

2016-11-08 15:22:42.550 开始1c=0

2016-11-08 15:22:42.550 开始2c=0

2016-11-08 15:22:42.550 开始3c=0

2016-11-08 15:22:42.550 tbuy后1c=0

2016-11-08 15:22:42.550 tbuy后1p=0

2016-11-08 15:22:42.550 tbuyshort后1c=0

2016-11-08 15:22:42.550 tbuyshort后1p=0

2016-11-08 15:22:42.550 tbuy后2c=0

2016-11-08 15:22:42.565 tbuy后2p=0

2016-11-08 15:22:42.565 tbuyshort后2c=0

2016-11-08 15:22:42.565 tbuyshort后2p=0

2016-11-08 15:22:42.565 tbuy后3c=0

2016-11-08 15:22:42.565 tbuy后3p=0

2016-11-08 15:22:42.565 tbuyshort后3c=0

2016-11-08 15:22:42.565 tbuyshort后3p=0

2016-11-08 15:22:42.565 dianfen运行结束

2016-11-08 15:22:43.065 开始1c=0

2016-11-08 15:22:43.065 开始2c=0

2016-11-08 15:22:43.065 开始3c=0

2016-11-08 15:22:43.065 tbuy前1c=10

2016-11-08 15:22:43.065 tbuy后1c=10

2016-11-08 15:22:43.065 tbuy后1p=1813

2016-11-08 15:22:43.065 tbuyshort后1c=10

2016-11-08 15:22:43.065 tbuyshort后1p=1813

2016-11-08 15:22:43.065 tbuy前2c=10

2016-11-08 15:22:43.065 tbuy后2c=10

2016-11-08 15:22:43.065 tbuy后2p=1813

2016-11-08 15:22:43.065 tbuyshort后2c=10

2016-11-08 15:22:43.065 tbuyshort后2p=1813

2016-11-08 15:22:43.065 tbuy前3c=10

2016-11-08 15:22:43.065 tbuy后3c=10

2016-11-08 15:22:43.065 tbuy后3p=1813

2016-11-08 15:22:43.065 tbuyshort后3c=10

2016-11-08 15:22:43.065 tbuyshort后3p=1813

2016-11-08 15:22:43.065 dianfen运行结束

2016-11-08 15:22:44.956 开始1c=10

2016-11-08 15:22:44.972 开始2c=10

2016-11-08 15:22:44.972 开始3c=10

2016-11-08 15:22:44.972 tsell前1p=1813

2016-11-08 15:22:44.972 tsell后1c=10

2016-11-08 15:22:44.972 tsell前2p=1813

2016-11-08 15:22:44.972 tsell后2c=10

2016-11-08 15:22:44.972 tsell前3p=1813

2016-11-08 15:22:44.972 tsell后3c=10

2016-11-08 15:22:44.972 dianfen运行结束

2016-11-08 15:23:20.675 开始1c=10

2016-11-08 15:23:20.675 开始2c=10

2016-11-08 15:23:20.675 开始3c=10

2016-11-08 15:23:20.675 tsell前1p=13994

2016-11-08 15:23:20.675 tsell后1c=10

2016-11-08 15:23:20.675 tsell前2p=13546

2016-11-08 15:23:20.675 tsell后2c=10

2016-11-08 15:23:20.675 tsell前3p=13098

2016-11-08 15:23:20.675 tsell后3c=10

2016-11-08 15:23:20.675 dianfen运行结束

2016-11-09 09:00:11.557 开始1c=10

2016-11-09 09:00:11.557 开始2c=10

2016-11-09 09:00:11.557 开始3c=10

2016-11-09 09:00:11.557 tsell前1p=14997

2016-11-09 09:00:11.557 tsell后1c=0

2016-11-09 09:00:11.557 tbuy后1c=0

2016-11-09 09:00:11.557 tbuy后1p=0

2016-11-09 09:00:11.557 tbuyshort后1c=0

2016-11-09 09:00:11.557 tbuyshort后1p=0

2016-11-09 09:00:11.557 tsell前2p=14950

2016-11-09 09:00:11.557 tsell后2c=0

2016-11-09 09:00:11.557 tbuy后2c=0

2016-11-09 09:00:11.557 tbuy后2p=0

2016-11-09 09:00:11.557 tbuyshort后2c=0

2016-11-09 09:00:11.557 tbuyshort后2p=0

2016-11-09 09:00:11.557 tsell前3p=14903

2016-11-09 09:00:11.557 tsell后3c=0

2016-11-09 09:00:11.557 tbuy后3c=0

2016-11-09 09:00:11.557 tbuy后3p=0

2016-11-09 09:00:11.557 tbuyshort后3c=0

2016-11-09 09:00:11.573 tbuyshort后3p=0

2016-11-09 09:00:11.573 dianfen运行结束

2016-11-09 09:00:12.588 开始1c=0

2016-11-09 09:00:12.588 开始2c=0

2016-11-09 09:00:12.588 开始3c=0

2016-11-09 09:00:12.588 tbuy后1c=0

2016-11-09 09:00:12.588 tbuy后1p=0

2016-11-09 09:00:12.588 tbuyshort后1c=0

2016-11-09 09:00:12.588 tbuyshort后1p=0

2016-11-09 09:00:12.588 tbuy后2c=0

2016-11-09 09:00:12.588 tbuy后2p=0

2016-11-09 09:00:12.588 tbuyshort后2c=0

2016-11-09 09:00:12.588 tbuyshort后2p=0

2016-11-09 09:00:12.588 tbuy后3c=0

2016-11-09 09:00:12.588 tbuy后3p=0

2016-11-09 09:00:12.588 tbuyshort后3c=0

2016-11-09 09:00:12.588 tbuyshort后3p=0

2016-11-09 09:00:12.588 dianfen运行结束

2016-11-09 09:00:13.557 开始1c=0

2016-11-09 09:00:13.557 开始2c=0

2016-11-09 09:00:13.557 开始3c=0

2016-11-09 09:00:13.557 tbuy后1c=0

2016-11-09 09:00:13.557 tbuy后1p=0

2016-11-09 09:00:13.557 tbuyshort后1c=0

2016-11-09 09:00:13.557 tbuyshort后1p=0

2016-11-09 09:00:13.557 tbuy后2c=0

2016-11-09 09:00:13.557 tbuy后2p=0

2016-11-09 09:00:13.557 tbuyshort后2c=0

2016-11-09 09:00:13.557 tbuyshort后2p=0

2016-11-09 09:00:13.557 tbuy后3c=0

2016-11-09 09:00:13.557 tbuy后3p=0

2016-11-09 09:00:13.557 tbuyshort后3c=0

2016-11-09 09:00:13.557 tbuyshort后3p=0

2016-11-09 09:00:13.557 dianfen运行结束

有人看过吗？请帮帮忙

系统对应的交易日志有吗？

5楼就是啊，已经贴出来了

5楼是日志，6楼是我自己用debugfile记录的txt文件

主题：半夜淀粉莫名其妙有行情，导致交易紊乱