• 上海期货交易所CTP行情和交易接入


    发布时间:2018-09-25
     
    技术:C++11,动态库的制作
     

    概述

    CTP的接入Demo

    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:

    image.png

    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:

    image.png

    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。

    image.png

    2.程序目录结构

    ①Show all files模式下,VS工程目录结构如下图:

    image.png

    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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  • 原文地址:https://www.cnblogs.com/demodashi/p/10486866.html
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