多线程环境下SlimOrderbook拷贝异常：运行时空调试时有有效值

问题描述 #

在多线程环境中出现异常行为：结构体中的值在运行时为空，但断点调试模式下却能看到正常数据。

相关函数代码如下：

public static double Convert_CurrencyValue(SlimOrderbook orderBook,
    double amountToConvert, bool backward = false)
{
    OrderBookPrice price;
    double result;
    if (!backward)
    {
        price = orderBook.Bids[0];
        result = amountToConvert * price.Price;
    }
    else
    {
        price = orderBook.Asks[0];
        result = amountToConvert / price.Price;
    }
    if (double.IsInfinity(result) || double.IsNaN(result))
    {
        { /* 此处为断点标记 */ }
    }
    return result;
}

该函数有时（并非总是）会返回无穷大，为此添加了上述if语句和断点标记用于排查问题。

出现问题时，OrderbookPrice price变量的值如下：

double Price: 0;
double ImpliedProfit: 0;
double Volume: 0;

但在断点标记处，SlimOrderbook orderBook.Asks[0]的值却为：

double Price: 42.5232;
double ImpliedProfit: -0.01;
double Volume: 0.43;

调试视图显示上述变量值存在矛盾。

相关函数与结构 #

主要涉及的数据结构为class Orderbook和struct SlimOrderbook

SlimOrderbook定义：

public struct SlimOrderbook
{
    public SlimOrderbook(OrderBookPrice[] asks, double spot, OrderBookPrice[] bids)
    {
        Asks = asks;
        SpotPrice = spot;
        Bids = bids;
    }
    public OrderBookPrice[] Asks { get; private set; }
    public double SpotPrice { get; private set; }
    public OrderBookPrice[] Bids { get; private set; }
}
public struct OrderBookPrice
{
    public double Price;
    public double Volume;
    public double ImpliedProfit;
}

SlimOrderbook由OrderBook生成，作为本地使用的一次性工作副本，生成逻辑如下：

public SlimOrderbook GetOrderBook(Currency baseCurrency, Currency quoteCurrency)
{
    if (baseCurrency.Equals(CurrencyPair.BaseCurrency) && quoteCurrency.Equals(CurrencyPair.QuoteCurrency))
    {
        return new SlimOrderbook(asks: (OrderBookPrice[])Asks.Clone(), spot: SpotPrice, bids: (OrderBookPrice[])Bids.Clone());
    }
    else if (baseCurrency.Equals(CurrencyPair.QuoteCurrency) && quoteCurrency.Equals(CurrencyPair.BaseCurrency))
    {
        return new SlimOrderbook(asks: (OrderBookPrice[])InvertedAsks.Clone(), spot: InvertedSpotPrice, bids: (OrderBookPrice[])InvertedBids.Clone());
    }
    else
    {
        throw new ArgumentException($"BaseCurrency {baseCurrency} or QuoteCurrency{quoteCurrency} does not match Orderbook currencies!");
    }
}

已尝试的修复方案 #

• 将result = amountToConvert / price.Price;修改为result = amountToConvert / orderBook.Asks[0].Price;，问题未解决。
• 修改GetOrderBook()方法，在结构体中存储数组副本而非引用，问题未解决。

内容的提问来源于stack exchange，提问作者julian bechtold