上海期货交易所CTP行情和交易接入
概述
详细
本文档不介绍CTP的具体流程,具体流程请参考上海期货交易所文档(下载).
一、概述
1.CTP是上期技术,提供的国内期货行情和交易的接口,自推出以来,各大券商均架设了CTP技术的接入,引入策略算法便可以初步形成一个自动交易的系统,这也就吸引了很多对自动交易,策略交易感兴趣的各路高人来使用。
2.CTP难点在于,一个库提供了行情和交易两套接口,各自均有一套业务流程,而且两者在业务上还存在部分业务关联,也就是说还要处理两套之间的业务同步问题,没有一些C++基础的人很难开发好用的CTP库。
3.本Demo目标是,在Windows环境下做两个程序:
一个封装CTP行情和交易接口成一个库,尽可能在高内聚低耦合的情况下,保持代码清晰,通俗尽可能让;
一个执行程序很容易的去调用这个库,这里没有使用MFC或QT,直接采用控制台程序,很清晰的展示使用库。
二、准备环境
1.开发工具:visual studio 2015或以上版本(下载)
本Demo采用Visual studio 2015 专业版 update 3
Windows7 64位
2.下载上期CTP库(下载)
综合交易平台API下载,下载列表中的windows下64位库(最新(2015-05-15)),解压如下:
3.申请模拟账号(申请)
主页右上角,注册账号,例子中方便开箱即用,会使用我自己申请好的,请自行换成自己的帐号。
三、程序介绍
1.先看下Demo的运行效果。
2.程序目录结构
①Show all files模式下,VS工程目录结构如下图:
共两个项目,CTPSample和CTPServer,CTPSample为封装交易所CTP的动态库,CTPServer为使用库的UI程序。
②代码目录结构
bin64
-----CTP CTP产生的共享文件
-----Log 日志文件
config.cfg 配置文件
build
CTPServer.sln 存放工程文件
Src
------CTPSample DLL代码
------CTPServer UI代码
------Framwork 框架代码,避免复杂,不做公开(这里主要提供日志,数据定义,可自己替换)
说明:confg.cfg主要保存了CTP的地址(其他均为非本Demo演示的主要功能):
[info]
CTPFront.trade1 = tcp://180.168.146.187:10030
CTPFront.quote1 = tcp://180.168.146.187:10031
CTPFront.trade2 = tcp://180.168.146.187:10001
CTPFront.quote2 = tcp://180.168.146.187:10011
CTPFront.trade3 = tcp://218.202.237.33:10002
CTPFront.quote3 = tcp://ctp1-md11.citicsf.com:41213
3.模块介绍
CTPSample模块
CTPBase.h 动态库的导出定义
MyCTPQuote.h/MyCTPQuote.CPP 交易的封装
MyCTPQuote.h/MyCTPQuote.cpp 行情的封装
CTPServer模块
TradeManager.h/TradeManager.cpp UI主逻辑
CTPServer.cpp main启动
四、程序解析
1. CTPSample模块之MyCTPQuote.h
- //定义一个管理器,管理行情接受
- class CTPSAMPLE_EXPORT MyCTPQuote
- {
- //嵌入行情回报类
- class MyRecv : public CThostFtdcMdSpi
- {
- public:
- MyRecv():m_Parent(nullptr) {};
- ~MyRecv() {};
- void Bind(MyCTPQuote *Parent) { m_Parent = Parent; }
- public:
- ///当客户端与交易后台建立起通信连接时(还未登录前),该方法被调用。
- virtual void OnFrontConnected() { m_Parent->OnFrontConnected(); }
- ///当客户端与交易后台通信连接断开时,该方法被调用。当发生这个情况后,API会自动重新连接,客户端可不做处理。
- ///@param nReason 错误原因
- /// 0x1001 网络读失败
- /// 0x1002 网络写失败
- /// 0x2001 接收心跳超时
- /// 0x2002 发送心跳失败
- /// 0x2003 收到错误报文
- virtual void OnFrontDisconnected(int nReason) { m_Parent->OnFrontDisconnected(nReason); }
- ///心跳超时警告。当长时间未收到报文时,该方法被调用。
- ///@param nTimeLapse 距离上次接收报文的时间
- virtual void OnHeartBeatWarning(int nTimeLapse) { m_Parent->OnHeartBeatWarning(nTimeLapse); }
- ///登录请求响应
- virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
- { m_Parent->OnRspUserLogin(pRspUserLogin, pRspInfo, nRequestID, bIsLast); }
- ///登出请求响应
- virtual void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
- { m_Parent->OnRspUserLogout(pUserLogout, pRspInfo, nRequestID, bIsLast); }
- ///错误应答
- virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspError(pRspInfo, nRequestID, bIsLast); }
- ///订阅行情应答
- virtual void OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
- { m_Parent->OnRspSubMarketData(pSpecificInstrument, pRspInfo, nRequestID, bIsLast); }
- ///取消订阅行情应答
- virtual void OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
- { m_Parent->OnRspUnSubMarketData(pSpecificInstrument, pRspInfo, nRequestID, bIsLast); }
- ///订阅询价应答
- virtual void OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
- { m_Parent->OnRspSubForQuoteRsp(pSpecificInstrument, pRspInfo, nRequestID, bIsLast); }
- ///取消订阅询价应答
- virtual void OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
- { m_Parent->OnRspUnSubForQuoteRsp(pSpecificInstrument, pRspInfo, nRequestID, bIsLast); }
- ///深度行情通知
- virtual void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData) { m_Parent->OnRtnDepthMarketData(pDepthMarketData); }
- ///询价通知
- virtual void OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp) { m_Parent->OnRtnForQuoteRsp(pForQuoteRsp); }
- public:
- MyCTPQuote *m_Parent;
- };
- //thread
- public:
- MyCTPQuote( );
- ~MyCTPQuote();
- void setMainWidget(void *widget);
- // 订阅广播报文
- void Subscribe(CPacketReceiver *pPacketReceiver);
- // 取消广播报文订阅
- void Unsubscribe(CPacketReceiver *pPacketReceiver);
- static MyCTPQuote *Instance();
- void Init(const char *User, const char *pswd, const char *broker, const char *pszAddress);
- void FinishQryInstrument();
- void setLog(const string& str);
- bool m_bLoginSuccessed;
- public:
- ///////////////////////////////////////请求类函数,提供主要逻辑,供外部使用////////////////////////////////////////////////////////////////////////////
- ///用户登录请求
- int ReqUserLogin(CThostFtdcReqUserLoginField *pReqUserLoginField, int nRequestID)
- {
- return m_reqApi->ReqUserLogin(pReqUserLoginField, nRequestID );
- }
- ///登出请求
- int ReqUserLogout(CThostFtdcUserLogoutField *pUserLogout, int nRequestID) { return m_reqApi->ReqUserLogout(pUserLogout, nRequestID); }
- ///获取当前交易日
- ///@retrun 获取到的交易日
- ///@remark 只有登录成功后,才能得到正确的交易日
- const char *GetTradingDay() { return m_reqApi->GetTradingDay(); }
- ///订阅行情。
- ///@param ppInstrumentID 合约ID
- ///@param nCount 要订阅/退订行情的合约个数
- ///@remark
- int SubscribeMarketData(char *ppInstrumentID[], int nCount) { return m_reqApi->SubscribeMarketData(ppInstrumentID, nCount); }
- ///退订行情。
- ///@param ppInstrumentID 合约ID
- ///@param nCount 要订阅/退订行情的合约个数
- ///@remark
- int UnSubscribeMarketData(char *ppInstrumentID[], int nCount) { return m_reqApi->UnSubscribeMarketData(ppInstrumentID, nCount); }
- public:
- ///////////////////////////////////////回报类函数,收到数据,更新本地行情信息////////////////////////////////////////////////////////////////////////////
- ///当客户端与交易后台建立起通信连接时(还未登录前),该方法被调用。
- void OnFrontConnected();
- ///当客户端与交易后台通信连接断开时,该方法被调用。当发生这个情况后,API会自动重新连接,客户端可不做处理。
- ///@param nReason 错误原因
- /// 0x1001 网络读失败
- /// 0x1002 网络写失败
- /// 0x2001 接收心跳超时
- /// 0x2002 发送心跳失败
- /// 0x2003 收到错误报文
- void OnFrontDisconnected(int nReason);
- ///心跳超时警告。当长时间未收到报文时,该方法被调用。
- ///@param nTimeLapse 距离上次接收报文的时间
- void OnHeartBeatWarning(int nTimeLapse);
- ///登录请求响应
- void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
- ///登出请求响应
- void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
- ///错误应答
- void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
- ///订阅行情应答
- void OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
- ///取消订阅行情应答
- void OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
- ///订阅询价应答
- void OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
- ///取消订阅询价应答
- void OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
- ///深度行情通知
- void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData);
- ///询价通知
- void OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp);
- private:
- CThostFtdcMdApi* m_reqApi;
- MyRecv *m_RecvSpi;
- map<string /*InstrumentID*/, CThostFtdcInstrumentField> m_mapInstrument;//合约ID,合约信息
- map<string /*InstrumentID*/,CThostFtdcDepthMarketDataField /*Quotation*/> m_mapInstrumentQuote;//保存 合约ID-最新行情 对,合约ID唯一。
- vector<string /*InstrumentID*/> m_vecInstrumentId;//合约ID
- int requestID;
- string m_TradingDay;
- int m_session ;
- int m_frontId ;
- string OrderRef ;
- mutex m_mutex;
- ///用户登录信息
- CThostFtdcReqUserLoginField *m_userLoginInfo;
- bool m_bQryInstrumentOK;
- //用于给上层订阅
- typedef vector<CPacketReceiver*> VPKTRECEIVER;
- VPKTRECEIVER m_vPketReceiver;
- };
主要功能点:
①模块管理:
CTP的行情模块分两块,一个是同步查询API(CThostFtdcMdApi),一个是异步回报API(CThostFtdcMdSpi),这里定义了一个包装类,来管理这两类API,即
MyRecv来封装CThostFtdcMdSpi,CThostFtdcMdApi直接使用。
②给UI回报接口
本模块提供给上层的接口,定义了一个虚基类:
- class CPacketReceiver
- {
- public:
- virtual void Receive(CBroadcastPacket &pkt) = 0;
- };
- 这里运用到actor模式,接受UI订阅:
- typedef vector<CPacketReceiver*> VPKTRECEIVER;
- VPKTRECEIVER m_vPketReceiver;
③数据保存
数据收集,定义几个map
- map<string /*InstrumentID*/, CThostFtdcInstrumentField> m_mapInstrument;//合约ID,合约信息
- map<string /*InstrumentID*/,CThostFtdcDepthMarketDataField /*Quotation*/> m_mapInstrumentQuote;//保存 合约ID-最新行情 对,合约ID唯一。
- vector<string /*InstrumentID*/> m_vecInstrumentId;//合约ID
2. CTPSample模块之MyCTPTrade.h
- //定义一个管理器,管理行情接受
- class CTPSAMPLE_EXPORT MyCTPTrade
- {
- //嵌入行情回报类
- class MyRecv : public CThostFtdcTraderSpi
- {
- public:
- MyRecv():m_Parent(nullptr), m_nRequestId(0){};
- ~MyRecv() {};
- void Bind(MyCTPTrade *Parent) { m_Parent = Parent; }
- public:
- ///当客户端与交易后台建立起通信连接时(还未登录前),该方法被调用。
- virtual void OnFrontConnected() { m_Parent->OnFrontConnected(); }
- ///当客户端与交易后台通信连接断开时,该方法被调用。当发生这个情况后,API会自动重新连接,客户端可不做处理。
- ///@param nReason 错误原因
- /// 0x1001 网络读失败
- /// 0x1002 网络写失败
- /// 0x2001 接收心跳超时
- /// 0x2002 发送心跳失败
- /// 0x2003 收到错误报文
- virtual void OnFrontDisconnected(int nReason) { m_Parent->OnFrontDisconnected(nReason); }
- ///客户端认证响应
- virtual void OnRspAuthenticate(CThostFtdcRspAuthenticateField *pRspAuthenticateField, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
- { m_Parent->OnRspAuthenticate(pRspAuthenticateField,pRspInfo, nRequestID, bIsLast); }
- ///心跳超时警告。当长时间未收到报文时,该方法被调用。
- ///@param nTimeLapse 距离上次接收报文的时间
- virtual void OnHeartBeatWarning(int nTimeLapse) { m_Parent->OnHeartBeatWarning(nTimeLapse); }
- ///登录请求响应
- virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
- { m_Parent->OnRspUserLogin(pRspUserLogin, pRspInfo, nRequestID, bIsLast); }
- ///登出请求响应
- virtual void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
- { m_Parent->OnRspUserLogout(pUserLogout, pRspInfo, nRequestID, bIsLast); }
- ///错误应答
- virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {m_Parent->OnRspError(pRspInfo, nRequestID, bIsLast);}
- /*
- ///用户口令更新请求响应
- virtual void OnRspUserPasswordUpdate(CThostFtdcUserPasswordUpdateField *pUserPasswordUpdate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///资金账户口令更新请求响应
- virtual void OnRspTradingAccountPasswordUpdate(CThostFtdcTradingAccountPasswordUpdateField *pTradingAccountPasswordUpdate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///报单录入请求响应
- virtual void OnRspOrderInsert(CThostFtdcInputOrderField *pInputOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///预埋单录入请求响应
- virtual void OnRspParkedOrderInsert(CThostFtdcParkedOrderField *pParkedOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///预埋撤单录入请求响应
- virtual void OnRspParkedOrderAction(CThostFtdcParkedOrderActionField *pParkedOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///报单操作请求响应
- virtual void OnRspOrderAction(CThostFtdcInputOrderActionField *pInputOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///查询最大报单数量响应
- virtual void OnRspQueryMaxOrderVolume(CThostFtdcQueryMaxOrderVolumeField *pQueryMaxOrderVolume, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///投资者结算结果确认响应
- virtual void OnRspSettlementInfoConfirm(CThostFtdcSettlementInfoConfirmField *pSettlementInfoConfirm, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///删除预埋单响应
- virtual void OnRspRemoveParkedOrder(CThostFtdcRemoveParkedOrderField *pRemoveParkedOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///删除预埋撤单响应
- virtual void OnRspRemoveParkedOrderAction(CThostFtdcRemoveParkedOrderActionField *pRemoveParkedOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///执行宣告录入请求响应
- virtual void OnRspExecOrderInsert(CThostFtdcInputExecOrderField *pInputExecOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///执行宣告操作请求响应
- virtual void OnRspExecOrderAction(CThostFtdcInputExecOrderActionField *pInputExecOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///询价录入请求响应
- virtual void OnRspForQuoteInsert(CThostFtdcInputForQuoteField *pInputForQuote, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///报价录入请求响应
- virtual void OnRspQuoteInsert(CThostFtdcInputQuoteField *pInputQuote, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///报价操作请求响应
- virtual void OnRspQuoteAction(CThostFtdcInputQuoteActionField *pInputQuoteAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///批量报单操作请求响应
- virtual void OnRspBatchOrderAction(CThostFtdcInputBatchOrderActionField *pInputBatchOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///期权自对冲录入请求响应
- virtual void OnRspOptionSelfCloseInsert(CThostFtdcInputOptionSelfCloseField *pInputOptionSelfClose, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///期权自对冲操作请求响应
- virtual void OnRspOptionSelfCloseAction(CThostFtdcInputOptionSelfCloseActionField *pInputOptionSelfCloseAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///申请组合录入请求响应
- virtual void OnRspCombActionInsert(CThostFtdcInputCombActionField *pInputCombAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询报单响应
- virtual void OnRspQryOrder(CThostFtdcOrderField *pOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询成交响应
- virtual void OnRspQryTrade(CThostFtdcTradeField *pTrade, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询投资者持仓响应
- virtual void OnRspQryInvestorPosition(CThostFtdcInvestorPositionField *pInvestorPosition, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询资金账户响应
- virtual void OnRspQryTradingAccount(CThostFtdcTradingAccountField *pTradingAccount, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询投资者响应
- virtual void OnRspQryInvestor(CThostFtdcInvestorField *pInvestor, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询交易编码响应
- virtual void OnRspQryTradingCode(CThostFtdcTradingCodeField *pTradingCode, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询合约保证金率响应
- virtual void OnRspQryInstrumentMarginRate(CThostFtdcInstrumentMarginRateField *pInstrumentMarginRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询合约手续费率响应
- virtual void OnRspQryInstrumentCommissionRate(CThostFtdcInstrumentCommissionRateField *pInstrumentCommissionRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询交易所响应
- virtual void OnRspQryExchange(CThostFtdcExchangeField *pExchange, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询产品响应
- virtual void OnRspQryProduct(CThostFtdcProductField *pProduct, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- */
- ///请求查询合约响应
- virtual void OnRspQryInstrument(CThostFtdcInstrumentField *pInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
- {
- m_Parent->OnRspQryInstrument(pInstrument, pRspInfo, nRequestID, bIsLast);
- };
- /*
- ///请求查询行情响应
- virtual void OnRspQryDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询投资者结算结果响应
- virtual void OnRspQrySettlementInfo(CThostFtdcSettlementInfoField *pSettlementInfo, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询转帐银行响应
- virtual void OnRspQryTransferBank(CThostFtdcTransferBankField *pTransferBank, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询投资者持仓明细响应
- virtual void OnRspQryInvestorPositionDetail(CThostFtdcInvestorPositionDetailField *pInvestorPositionDetail, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询客户通知响应
- virtual void OnRspQryNotice(CThostFtdcNoticeField *pNotice, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询结算信息确认响应
- virtual void OnRspQrySettlementInfoConfirm(CThostFtdcSettlementInfoConfirmField *pSettlementInfoConfirm, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询投资者持仓明细响应
- virtual void OnRspQryInvestorPositionCombineDetail(CThostFtdcInvestorPositionCombineDetailField *pInvestorPositionCombineDetail, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///查询保证金监管系统经纪公司资金账户密钥响应
- virtual void OnRspQryCFMMCTradingAccountKey(CThostFtdcCFMMCTradingAccountKeyField *pCFMMCTradingAccountKey, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询仓单折抵信息响应
- virtual void OnRspQryEWarrantOffset(CThostFtdcEWarrantOffsetField *pEWarrantOffset, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询投资者品种/跨品种保证金响应
- virtual void OnRspQryInvestorProductGroupMargin(CThostFtdcInvestorProductGroupMarginField *pInvestorProductGroupMargin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询交易所保证金率响应
- virtual void OnRspQryExchangeMarginRate(CThostFtdcExchangeMarginRateField *pExchangeMarginRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询交易所调整保证金率响应
- virtual void OnRspQryExchangeMarginRateAdjust(CThostFtdcExchangeMarginRateAdjustField *pExchangeMarginRateAdjust, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询汇率响应
- virtual void OnRspQryExchangeRate(CThostFtdcExchangeRateField *pExchangeRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询二级代理操作员银期权限响应
- virtual void OnRspQrySecAgentACIDMap(CThostFtdcSecAgentACIDMapField *pSecAgentACIDMap, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询产品报价汇率
- virtual void OnRspQryProductExchRate(CThostFtdcProductExchRateField *pProductExchRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询产品组
- virtual void OnRspQryProductGroup(CThostFtdcProductGroupField *pProductGroup, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询做市商合约手续费率响应
- virtual void OnRspQryMMInstrumentCommissionRate(CThostFtdcMMInstrumentCommissionRateField *pMMInstrumentCommissionRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询做市商期权合约手续费响应
- virtual void OnRspQryMMOptionInstrCommRate(CThostFtdcMMOptionInstrCommRateField *pMMOptionInstrCommRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询报单手续费响应
- virtual void OnRspQryInstrumentOrderCommRate(CThostFtdcInstrumentOrderCommRateField *pInstrumentOrderCommRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询资金账户响应
- virtual void OnRspQrySecAgentTradingAccount(CThostFtdcTradingAccountField *pTradingAccount, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询二级代理商资金校验模式响应
- virtual void OnRspQrySecAgentCheckMode(CThostFtdcSecAgentCheckModeField *pSecAgentCheckMode, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询期权交易成本响应
- virtual void OnRspQryOptionInstrTradeCost(CThostFtdcOptionInstrTradeCostField *pOptionInstrTradeCost, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询期权合约手续费响应
- virtual void OnRspQryOptionInstrCommRate(CThostFtdcOptionInstrCommRateField *pOptionInstrCommRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询执行宣告响应
- virtual void OnRspQryExecOrder(CThostFtdcExecOrderField *pExecOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询询价响应
- virtual void OnRspQryForQuote(CThostFtdcForQuoteField *pForQuote, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询报价响应
- virtual void OnRspQryQuote(CThostFtdcQuoteField *pQuote, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询期权自对冲响应
- virtual void OnRspQryOptionSelfClose(CThostFtdcOptionSelfCloseField *pOptionSelfClose, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询投资单元响应
- virtual void OnRspQryInvestUnit(CThostFtdcInvestUnitField *pInvestUnit, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询组合合约安全系数响应
- virtual void OnRspQryCombInstrumentGuard(CThostFtdcCombInstrumentGuardField *pCombInstrumentGuard, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询申请组合响应
- virtual void OnRspQryCombAction(CThostFtdcCombActionField *pCombAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询转帐流水响应
- virtual void OnRspQryTransferSerial(CThostFtdcTransferSerialField *pTransferSerial, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询银期签约关系响应
- virtual void OnRspQryAccountregister(CThostFtdcAccountregisterField *pAccountregister, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///报单通知
- virtual void OnRtnOrder(CThostFtdcOrderField *pOrder) {};
- ///成交通知
- virtual void OnRtnTrade(CThostFtdcTradeField *pTrade) {};
- ///报单录入错误回报
- virtual void OnErrRtnOrderInsert(CThostFtdcInputOrderField *pInputOrder, CThostFtdcRspInfoField *pRspInfo) {};
- ///报单操作错误回报
- virtual void OnErrRtnOrderAction(CThostFtdcOrderActionField *pOrderAction, CThostFtdcRspInfoField *pRspInfo) {};
- ///合约交易状态通知
- virtual void OnRtnInstrumentStatus(CThostFtdcInstrumentStatusField *pInstrumentStatus) {};
- ///交易所公告通知
- virtual void OnRtnBulletin(CThostFtdcBulletinField *pBulletin) {};
- ///交易通知
- virtual void OnRtnTradingNotice(CThostFtdcTradingNoticeInfoField *pTradingNoticeInfo) {};
- ///提示条件单校验错误
- virtual void OnRtnErrorConditionalOrder(CThostFtdcErrorConditionalOrderField *pErrorConditionalOrder) {};
- ///执行宣告通知
- virtual void OnRtnExecOrder(CThostFtdcExecOrderField *pExecOrder) {};
- ///执行宣告录入错误回报
- virtual void OnErrRtnExecOrderInsert(CThostFtdcInputExecOrderField *pInputExecOrder, CThostFtdcRspInfoField *pRspInfo) {};
- ///执行宣告操作错误回报
- virtual void OnErrRtnExecOrderAction(CThostFtdcExecOrderActionField *pExecOrderAction, CThostFtdcRspInfoField *pRspInfo) {};
- ///询价录入错误回报
- virtual void OnErrRtnForQuoteInsert(CThostFtdcInputForQuoteField *pInputForQuote, CThostFtdcRspInfoField *pRspInfo) {};
- ///报价通知
- virtual void OnRtnQuote(CThostFtdcQuoteField *pQuote) {};
- ///报价录入错误回报
- virtual void OnErrRtnQuoteInsert(CThostFtdcInputQuoteField *pInputQuote, CThostFtdcRspInfoField *pRspInfo) {};
- ///报价操作错误回报
- virtual void OnErrRtnQuoteAction(CThostFtdcQuoteActionField *pQuoteAction, CThostFtdcRspInfoField *pRspInfo) {};
- ///询价通知
- virtual void OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp) {};
- ///保证金监控中心用户令牌
- virtual void OnRtnCFMMCTradingAccountToken(CThostFtdcCFMMCTradingAccountTokenField *pCFMMCTradingAccountToken) {};
- ///批量报单操作错误回报
- virtual void OnErrRtnBatchOrderAction(CThostFtdcBatchOrderActionField *pBatchOrderAction, CThostFtdcRspInfoField *pRspInfo) {};
- ///期权自对冲通知
- virtual void OnRtnOptionSelfClose(CThostFtdcOptionSelfCloseField *pOptionSelfClose) {};
- ///期权自对冲录入错误回报
- virtual void OnErrRtnOptionSelfCloseInsert(CThostFtdcInputOptionSelfCloseField *pInputOptionSelfClose, CThostFtdcRspInfoField *pRspInfo) {};
- ///期权自对冲操作错误回报
- virtual void OnErrRtnOptionSelfCloseAction(CThostFtdcOptionSelfCloseActionField *pOptionSelfCloseAction, CThostFtdcRspInfoField *pRspInfo) {};
- ///申请组合通知
- virtual void OnRtnCombAction(CThostFtdcCombActionField *pCombAction) {};
- ///申请组合录入错误回报
- virtual void OnErrRtnCombActionInsert(CThostFtdcInputCombActionField *pInputCombAction, CThostFtdcRspInfoField *pRspInfo) {};
- ///请求查询签约银行响应
- virtual void OnRspQryContractBank(CThostFtdcContractBankField *pContractBank, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询预埋单响应
- virtual void OnRspQryParkedOrder(CThostFtdcParkedOrderField *pParkedOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询预埋撤单响应
- virtual void OnRspQryParkedOrderAction(CThostFtdcParkedOrderActionField *pParkedOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询交易通知响应
- virtual void OnRspQryTradingNotice(CThostFtdcTradingNoticeField *pTradingNotice, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询经纪公司交易参数响应
- virtual void OnRspQryBrokerTradingParams(CThostFtdcBrokerTradingParamsField *pBrokerTradingParams, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询经纪公司交易算法响应
- virtual void OnRspQryBrokerTradingAlgos(CThostFtdcBrokerTradingAlgosField *pBrokerTradingAlgos, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///请求查询监控中心用户令牌
- virtual void OnRspQueryCFMMCTradingAccountToken(CThostFtdcQueryCFMMCTradingAccountTokenField *pQueryCFMMCTradingAccountToken, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///银行发起银行资金转期货通知
- virtual void OnRtnFromBankToFutureByBank(CThostFtdcRspTransferField *pRspTransfer) {};
- ///银行发起期货资金转银行通知
- virtual void OnRtnFromFutureToBankByBank(CThostFtdcRspTransferField *pRspTransfer) {};
- ///银行发起冲正银行转期货通知
- virtual void OnRtnRepealFromBankToFutureByBank(CThostFtdcRspRepealField *pRspRepeal) {};
- ///银行发起冲正期货转银行通知
- virtual void OnRtnRepealFromFutureToBankByBank(CThostFtdcRspRepealField *pRspRepeal) {}; ///期货发起银行资金转期货通知
- virtual void OnRtnFromBankToFutureByFuture(CThostFtdcRspTransferField *pRspTransfer) {};
- ///期货发起期货资金转银行通知
- virtual void OnRtnFromFutureToBankByFuture(CThostFtdcRspTransferField *pRspTransfer) {};
- ///系统运行时期货端手工发起冲正银行转期货请求,银行处理完毕后报盘发回的通知
- virtual void OnRtnRepealFromBankToFutureByFutureManual(CThostFtdcRspRepealField *pRspRepeal) {};
- ///系统运行时期货端手工发起冲正期货转银行请求,银行处理完毕后报盘发回的通知
- virtual void OnRtnRepealFromFutureToBankByFutureManual(CThostFtdcRspRepealField *pRspRepeal) {};
- ///期货发起查询银行余额通知
- virtual void OnRtnQueryBankBalanceByFuture(CThostFtdcNotifyQueryAccountField *pNotifyQueryAccount) {};
- ///期货发起银行资金转期货错误回报
- virtual void OnErrRtnBankToFutureByFuture(CThostFtdcReqTransferField *pReqTransfer, CThostFtdcRspInfoField *pRspInfo) {};
- ///期货发起期货资金转银行错误回报
- virtual void OnErrRtnFutureToBankByFuture(CThostFtdcReqTransferField *pReqTransfer, CThostFtdcRspInfoField *pRspInfo) {};
- ///系统运行时期货端手工发起冲正银行转期货错误回报
- virtual void OnErrRtnRepealBankToFutureByFutureManual(CThostFtdcReqRepealField *pReqRepeal, CThostFtdcRspInfoField *pRspInfo) {};
- ///系统运行时期货端手工发起冲正期货转银行错误回报
- virtual void OnErrRtnRepealFutureToBankByFutureManual(CThostFtdcReqRepealField *pReqRepeal, CThostFtdcRspInfoField *pRspInfo) {};
- ///期货发起查询银行余额错误回报
- virtual void OnErrRtnQueryBankBalanceByFuture(CThostFtdcReqQueryAccountField *pReqQueryAccount, CThostFtdcRspInfoField *pRspInfo) {};
- ///期货发起冲正银行转期货请求,银行处理完毕后报盘发回的通知
- virtual void OnRtnRepealFromBankToFutureByFuture(CThostFtdcRspRepealField *pRspRepeal) {};
- ///期货发起冲正期货转银行请求,银行处理完毕后报盘发回的通知
- virtual void OnRtnRepealFromFutureToBankByFuture(CThostFtdcRspRepealField *pRspRepeal) {};
- ///期货发起银行资金转期货应答
- virtual void OnRspFromBankToFutureByFuture(CThostFtdcReqTransferField *pReqTransfer, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///期货发起期货资金转银行应答
- virtual void OnRspFromFutureToBankByFuture(CThostFtdcReqTransferField *pReqTransfer, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///期货发起查询银行余额应答
- virtual void OnRspQueryBankAccountMoneyByFuture(CThostFtdcReqQueryAccountField *pReqQueryAccount, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
- ///银行发起银期开户通知
- virtual void OnRtnOpenAccountByBank(CThostFtdcOpenAccountField *pOpenAccount) {};
- ///银行发起银期销户通知
- virtual void OnRtnCancelAccountByBank(CThostFtdcCancelAccountField *pCancelAccount) {};
- ///银行发起变更银行账号通知
- virtual void OnRtnChangeAccountByBank(CThostFtdcChangeAccountField *pChangeAccount) {};
- */
- public:
- //保证唯一
- int m_nRequestId;
- int GetRequestId() {return ++m_nRequestId; }
- MyCTPTrade *m_Parent;
- };
- //thread
- public:
- MyCTPTrade();
- ~MyCTPTrade();
- static MyCTPTrade *Instance();
- void setMainWidget(void *widget);
- void Init(const char *User, const char *pswd, const char *broker, const char *pszAddress);
- map<string, CThostFtdcInstrumentField>& GetMapInstrument();
- void setLog(const string& str);
- bool m_bLoginSuccessed;
- public:
- ///////////////////////////////////////请求类函数,提供主要逻辑,供外部使用////////////////////////////////////////////////////////////////////////////
- ///用户登录请求
- int ReqUserLogin(CThostFtdcReqUserLoginField *pReqUserLoginField, int nRequestID)
- {
- return m_reqApi->ReqUserLogin(pReqUserLoginField, nRequestID );
- }
- ///登出请求
- int ReqUserLogout(CThostFtdcUserLogoutField *pUserLogout, int nRequestID) { return m_reqApi->ReqUserLogout(pUserLogout, nRequestID); }
- public:
- ///////////////////////////////////////回报类函数,收到数据,更新本地行情信息////////////////////////////////////////////////////////////////////////////
- ///当客户端与交易后台建立起通信连接时(还未登录前),该方法被调用。
- void OnFrontConnected();
- ///当客户端与交易后台通信连接断开时,该方法被调用。当发生这个情况后,API会自动重新连接,客户端可不做处理。
- ///@param nReason 错误原因
- /// 0x1001 网络读失败
- /// 0x1002 网络写失败
- /// 0x2001 接收心跳超时
- /// 0x2002 发送心跳失败
- /// 0x2003 收到错误报文
- void OnFrontDisconnected(int nReason);
- ///心跳超时警告。当长时间未收到报文时,该方法被调用。
- ///@param nTimeLapse 距离上次接收报文的时间
- void OnHeartBeatWarning(int nTimeLapse);
- void OnRspAuthenticate(CThostFtdcRspAuthenticateField *pRspAuthenticateField, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
- ///登录请求响应
- void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
- ///登出请求响应
- void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
- void OnRspQryInstrument(CThostFtdcInstrumentField *pInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
- void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
- public:
- atomic
- <bool>
- m_bQryIns;// 是否正在查询合约,如果正在查询,行情服务就不自己主动去订阅行情,因为查询合约完成后,会有订阅行情的动作
- atomic
- <bool>
- m_bQryInsOK;// 是否查询合约成功,成功订阅行情的动作
- private:
- CThostFtdcTraderApi* m_reqApi;
- MyRecv *m_RecvSpi;
- //vector
- <string /*InstrumentID*/>
- m_vecInstrumentId;//合约ID
- //int requestID;
- string m_TradingDay;
- int m_session ;
- int m_frontId ;
- string m_serverOrderRef ;
- int m_nOrderRef;
- ///用户登录信息
- CThostFtdcReqUserLoginField *m_userLoginInfo;
- mutex m_getInstru;
- void *mainHandle;
- // 保存合约
- map<string, CThostFtdcInstrumentField> m_mapInstrument;//合约ID,合约信息
- map<wstring, map<wstring, map<wstring, CThostFtdcInstrumentField>>> m_mapInstrument2;//交易所,板块,合约信息
- CConfigImpl* m_pConfig;
- };
①模块管理:
与CTP提供的行情库类似,这里定义了API和封装的回报API,如下:
- CThostFtdcTraderApi* m_reqApi;
- MyRecv *m_RecvSpi;
②与UI通信
由于交易API用的比较频繁,而回报主要在初始化阶段和数据更新,没有定义回报接口,定义的是全局单例模式,直接共上层使用。
③数据管理
- // 保存合约
- map<string, CThostFtdcInstrumentField> m_mapInstrument;//合约ID,合约信息
- map<wstring, map<wstring, map<wstring, CThostFtdcInstrumentField>>> m_mapInstrument2;//交易所,板块,合约信息
3.程序注意点
①UI初始化:
调用TradeManager::InitCTP启动CTP模块,主模块会订阅注册:
- MyCTPQuote::Instance()->Subscribe(this);
②交易模块与行情模块通信
当交易模块登陆成功后(通能说原子操作,来判断多条件满足),来调用行情的完成函数,已便行情模块来进行行情合约订阅
- int Qry = atomic_exchange(&MyCTPTrade::Instance()->m_bQryIns, false);
- int QryOK = atomic_exchange(&MyCTPTrade::Instance()->m_bQryInsOK, true);
- if(!Qry && QryOK)
- FinishQryInstrument();
③行情回报
收到行情回报,会调用下函数:
- void MyCTPQuote::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData)
并组织结构,向订阅派发:
- CBroadcastPacket pack;
- ///深度行情通知
- ///每秒两次行情
- void MyCTPQuote::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData)
- {
- if (pDepthMarketData->OpenPrice >= LDBL_MAX)
- pDepthMarketData->OpenPrice = 0;
- if (pDepthMarketData->HighestPrice >= LDBL_MAX)
- pDepthMarketData->HighestPrice = 0;
- if (pDepthMarketData->LowestPrice >= LDBL_MAX)
- pDepthMarketData->LowestPrice = 0;
- if (pDepthMarketData->ClosePrice >= LDBL_MAX)
- pDepthMarketData->ClosePrice = 0;
- if (pDepthMarketData->PreClosePrice >= LDBL_MAX)
- pDepthMarketData->PreClosePrice = 0;
- string str = "Quote SDK 接收行情信息:InstrumentID:";
- str += pDepthMarketData->InstrumentID ;
- str += " TradingDay:"; str += pDepthMarketData->TradingDay;
- str += " LastPrice:"; str += to_string(pDepthMarketData->LastPrice);
- str += " Volume:"; str += to_string(pDepthMarketData->Volume);
- str += " OpenPrice:"; str += to_string(pDepthMarketData->OpenPrice);
- str += " HighestPrice:"; str += to_string(pDepthMarketData->HighestPrice);
- str += " LowestPrice:"; str += to_string(pDepthMarketData->LowestPrice);
- str += " ClosePrice:"; str += to_string(pDepthMarketData->ClosePrice);
- str += " PreClosePrice:"; str += to_string(pDepthMarketData->PreClosePrice);
- str += " UpdateTime:"; str += pDepthMarketData->UpdateTime;
- CRLog(E_APPINFO, str.c_str());
- //本地保存
- //转发到界面
- //CThostFtdcDepthMarketDataField DepthMarketData;
- //memcpy_s(&DepthMarketData, sizeof(DepthMarketData) ,pDepthMarketData , sizeof(CThostFtdcDepthMarketDataField));
- //m_mapInstrumentQuote[pDepthMarketData->InstrumentID] = DepthMarketData;
- m_mapInstrumentQuote[pDepthMarketData->InstrumentID] = *pDepthMarketData;
- pack.SetParameter("InstrumentId", pDepthMarketData->InstrumentID);
- pack.SetParameter("TradingDay", pDepthMarketData->TradingDay);
- pack.SetParameter("OpenPrice", pDepthMarketData->OpenPrice);
- pack.SetParameter("HighestPrice", pDepthMarketData->HighestPrice);
- pack.SetParameter("LowestPrice", pDepthMarketData->LowestPrice);
- pack.SetParameter("ClosePrice", pDepthMarketData->ClosePrice);
- pack.SetParameter("PreClosePrice", pDepthMarketData->PreClosePrice);
- pack.SetParameter("UpperLimitPrice", pDepthMarketData->UpperLimitPrice);
- pack.SetParameter("LowerLimitPrice", pDepthMarketData->LowerLimitPrice);
- pack.SetParameter("AskPrice1", pDepthMarketData->AskPrice1);
- pack.SetParameter("AskVolume1", pDepthMarketData->AskVolume1);
- pack.SetParameter("BidPrice1", pDepthMarketData->BidPrice1);
- pack.SetParameter("BidVolume1", pDepthMarketData->BidVolume1);
- pack.SetParameter("LastPrice", pDepthMarketData->LastPrice);
- pack.SetParameter("Volume", pDepthMarketData->Volume);
- //给上层转发
- // 广播报文
- for (VPKTRECEIVER::iterator it = m_vPketReceiver.begin(); it < m_vPketReceiver.end(); it++)
- {
- (*it)->Receive(pack);
- }
- }
④界面处理回报数据
收到数据可以按照自己的逻辑处理,本Demo进行了写共享队列。
- QUOTATION quo = { 0 };
- void TradeManager::Receive(CBroadcastPacket &pkt)
- {
- unsigned int nLen = 0;
- const char* pcBuf = pkt.Encode(nLen);
- //分发给相应队列处理
- quo.Decode(pcBuf, nLen);
- int uiCount = 0;
- string sXQueName, sTmp;
- for (vector< CXQueueIo<QUOTATION>* >::iterator it = m_vecQueueIo.begin(); it != m_vecQueueIo.end(); ++it)
- {
- uiCount++;
- if (0 != *it)
- {
- (*it)->Enque(quo);
- sXQueName = "XQUE" + strutils::ToString<unsigned int>(uiCount);
- sXQueName += ".XQUE_NAME";
- if (0 == m_pConfig->GetProperty(sXQueName, sTmp))
- sXQueName = sTmp;
- CRLog(E_APPINFO, "共享队列XQueue[%s]写完成", sXQueName.c_str());
- }
- }//end for
- }
4.注意
内嵌Framwork所生成的动态库为本Demo提供日志和共享内存队列以及行情数据定义,可以自行定义替换,不存在bug,不影响演示,代码由于版权问题,暂不能公开,若有需要,请联系作者。
注:本文著作权归作者,由demo大师发表,拒绝转载,转载需要作者授权
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