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：
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。