期货行情接口开发之一

#include"acsy/util/publictools.h"#include <stdio.h> #include <iostream>#include <windows.h> #include "ThostTraderApi/win32/ThostFtdcMdApi.h"#include "ThostTraderApi/win32/ThostFtdcTraderApi.h"#include <fstream>#include <vector>#include <string>#include <boost/filesystem.hpp>#include<string>#include<mutex>#include "acsy/util/acsyapplication.h"#define MAX_ACCEPTABLE_PRICE (1.0E+15)#define DEAL_TOO_MAX( x ) if( ((x)>MAX_ACCEPTABLE_PRICE) || ((x)<(0-MAX_ACCEPTABLE_PRICE)) ) x = 0HANDLE g_hEvent = CreateEvent(NULL, true, false, NULL);namespace acsy{namespace trader{struct A{std::mutex mutex;bool value;void setValue(bool v){this->mutex.lock();this->value = v;this->mutex.unlock();}bool getValue(){return this->value;}void fun();bool fun1();};class tools :public util::Application < tools > {public:TThostFtdcBrokerIDType m_chBrokerID;TThostFtdcUserIDType m_chUserID;TThostFtdcUserIDType m_chUserPassword;TThostFtdcInstrumentIDType m_instrumentID;TThostFtdcExchangeIDType m_exchangeID;TThostFtdcExchangeInstIDType m_exchangeInstID;TThostFtdcInstrumentIDType m_productID;std::vector<std::string> m_vec;A m_login;A m_insok;int cnt = 0;int cnt1 = 0;CThostFtdcMdApi *m_pUserApi1;CThostFtdcTraderApi *m_pUserApi;public:tools();int main();std::string getappname(){ return "shujubaocun"; }};template < class T > class Deal{public:void setValue(const T &v);T getValue() const;public:std::mutex m_mutex;T m_value;};class datasvrlog :public util::Logger{public:virtual int log(const char *str);};class CSimpleHandler : public CThostFtdcTraderSpi{public:// 构造函数，需要 个有效的指向CThostFtdcMduserApi实例的指针 CSimpleHandler(CThostFtdcTraderApi *pUserApi, tools *tl);~CSimpleHandler() {}virtual void OnFrontConnected();virtual void OnFrontDisconnected(int nReason);virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);virtual void OnRspOrderInsert(CThostFtdcInputOrderField *pInputOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);virtual void OnRspQryInstrument(CThostFtdcInstrumentField *pInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);public:tools *tl;};class CSimpleHandler1 : public CThostFtdcMdSpi{public:CSimpleHandler1(CThostFtdcMdApi *pUserApi1,tools *tl);~CSimpleHandler1() {};virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);virtual void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData) override;virtual void OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);virtual void OnFrontDisconnected(int nReason);virtual void OnFrontConnected();public:tools *tl;};//tools实现int tools::main(){datasvrlog ds;ref().logger().registerLogger(&ds);// 产生一个CThostFtdcTraderApi实例 CThostFtdcTraderApi *pUserApi = CThostFtdcTraderApi::CreateFtdcTraderApi();CThostFtdcMdApi *pUserApi1 = CThostFtdcMdApi::CreateFtdcMdApi();// 产生一个事件处理的实例 CSimpleHandler sh(pUserApi, this);CSimpleHandler1 sh1(pUserApi1, this);// 注册 事件处理的实例 pUserApi->RegisterSpi(&sh);pUserApi1->RegisterSpi(&sh1);// 订阅私有流 //        TERT_RESTART:从本交易日开始重传 //        TERT_RESUME:从上次收到的续传 //        TERT_QUICK:只传送登录后私有流的内容 pUserApi->SubscribePrivateTopic(THOST_TERT_RESUME);// 订阅公共流 //        TERT_RESTART:从本交易日开始重传 //        TERT_RESUME:从上次收到的续传 //        TERT_QUICK:只传送登录后公共流的内容 pUserApi->SubscribePublicTopic(THOST_TERT_RESUME);// 设置交易托管系统服务的地址，可以注册多个地址备用 pUserApi->RegisterFront("tcp://180.168.146.187:10000");pUserApi1->RegisterFront("tcp://180.168.146.187:10010");// 使客户端开始与后台服务建立连接 pUserApi->Init();pUserApi1->Init();// 客户端等待报单操作完成 WaitForSingleObject(g_hEvent, INFINITE);// 释放API实例 pUserApi->Release();pUserApi1->Release();system("pause");return 0;}tools::tools(){m_insok.value = false;m_login.value = false;strcpy(m_chBrokerID, "9999");strcpy(m_chUserID, "******");strcpy(m_chUserPassword, "******");strcpy(m_instrumentID, "");strcpy(m_exchangeID, "");strcpy(m_productID, "");}//datasvrlog实现int datasvrlog::log(const char *str){std::string filename = "h:\\log.txt";std::ifstream ifs(filename);if (ifs)   //存在{std::ofstream fout(filename, std::ios::app);fout << str;fout.close();}else     //不存在{std::ofstream fout(filename);fout << str;}return 0;}//CSimpleHandler实现CSimpleHandler::CSimpleHandler(CThostFtdcTraderApi *pUserApi,tools *tl){this->tl = tl;tl->m_pUserApi = pUserApi;}void CSimpleHandler::OnFrontConnected(){CThostFtdcReqUserLoginField reqUserLogin;strcpy(reqUserLogin.BrokerID, tl->m_chBrokerID);strcpy(reqUserLogin.UserID, tl->m_chUserID);strcpy(reqUserLogin.Password, tl->m_chUserPassword);tl->m_pUserApi->ReqUserLogin(&reqUserLogin, 0);}void CSimpleHandler::OnFrontDisconnected(int nReason){// 当发生这个情况后，API会自动重新连接，客户端可不做处理 tools::instance().logger().log("OnFrontDisconnected.");}void CSimpleHandler::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin,CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){tools::instance().logger().log("OnRspUserLogin:");tools::instance().logger().log("ErrorCode=[%d], ErrorMsg=[%s]", pRspInfo->ErrorID,pRspInfo->ErrorMsg);tools::instance().logger().log("RequestID= [%d], Chain=[%d]", nRequestID, bIsLast);if (pRspInfo->ErrorID != 0) {// 端登失败，客户端需进行错误处理 tools::instance().logger().log("Trader failed to login, errorcode=%d errormsg=%s requestid=%d chain = %d", pRspInfo->ErrorID, pRspInfo->ErrorMsg, nRequestID, bIsLast);/*exit(-1);*/Sleep(5000);tl->cnt++;CThostFtdcReqUserLoginField reqUserLogin;strcpy(reqUserLogin.BrokerID, tl->m_chBrokerID);strcpy(reqUserLogin.UserID, tl->m_chUserID);strcpy(reqUserLogin.Password, tl->m_chUserPassword);tl->m_pUserApi->ReqUserLogin(&reqUserLogin, 0);tools::instance().logger().log("Trader登录失败后，第[%d]次登录!",tl->cnt);}//查询合约请求else if (pRspInfo->ErrorID == 0){CThostFtdcQryInstrumentField req;strcpy(req.InstrumentID, tl->m_instrumentID);strcpy(req.ExchangeInstID, tl->m_exchangeInstID);strcpy(req.ExchangeID, tl->m_exchangeID);strcpy(req.ProductID, tl->m_productID);tl->m_pUserApi->ReqQryInstrument(&req, 0);}}void CSimpleHandler::OnRspOrderInsert(CThostFtdcInputOrderField *pInputOrder,CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){// 输出报单录入结果 tools::instance().logger().log("ErrorCode=[%d], ErrorMsg=[%s]", pRspInfo->ErrorID,pRspInfo->ErrorMsg);// 通知报单录入完成 SetEvent(g_hEvent);};void CSimpleHandler::OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){tools::instance().logger().log("OnRspError:");tools::instance().logger().log("ErrorCode=[%d], ErrorMsg=[%s]", pRspInfo->ErrorID,pRspInfo->ErrorMsg);tools::instance().logger().log("RequestID= [%d], Chain=[%d]", nRequestID, bIsLast);// 客户端需进行错误处理 //{客户端的错误处理}}void CSimpleHandler::OnRspQryInstrument(CThostFtdcInstrumentField *pInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){tools::instance().logger().log("合约请求响应!,InstrumentID:[%s]", pInstrument->InstrumentID);std::cout << "InstrumentID=" << pInstrument->InstrumentID << std::endl;tl->m_vec.push_back(pInstrument->InstrumentID);if (bIsLast){tl->m_insok.fun();   //m_insok加锁if (tl->m_login.fun1()==true)   //m_login加锁{int len = tl->m_vec.size();char** Instrument = new char*[len];for (int i = 0; i < len; i++){Instrument[i] = const_cast<char*>(tl->m_vec[i].c_str());}tl->m_pUserApi1->SubscribeMarketData(Instrument, len);}}std::string ss = "\n";std::string isd = pInstrument->InstrumentID + ss;}//CSimpleHandler1实现CSimpleHandler1::CSimpleHandler1(CThostFtdcMdApi *pUserApi1,tools *tl){this->tl = tl;tl->m_pUserApi1 = pUserApi1;}void CSimpleHandler1::OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {tools::instance().logger().log("OnRspError:");tools::instance().logger().log("ErrorCode=[%d], ErrorMsg=[%s]", pRspInfo->ErrorID,pRspInfo->ErrorMsg);tools::instance().logger().log("RequestID=[%d], Chain=[%d]", nRequestID, bIsLast);// 客户端需进行错误处理//{客户端的错误处理}}void CSimpleHandler1::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData){// 输出报单录入结果char stime[64];acsy::util::BinDateTime bts_now = acsy::util::BinDateTime::now();acsy::util::BinDateTime bts_now_local = bts_now + 8 * acsy::util::BinDateTime::MILLIS_PER_HOUR;bts_now_local.toLongString(stime);/*"InstrumentID=[%s],UpdateTime=[%s],UpdateMillisec=[%d],LastPrice=[%lf],BidPrice1=[%lf],AskPrice1=[%],LowestPrice=[%],HighestPrice=[%],Volume=[%],BidVolume1=[%],AskVolume1=[%],OpenInterest=[%],Turnover=[%]\n"*/DEAL_TOO_MAX(pDepthMarketData->PreOpenInterest);DEAL_TOO_MAX(pDepthMarketData->PreClosePrice);DEAL_TOO_MAX(pDepthMarketData->PreSettlementPrice);DEAL_TOO_MAX(pDepthMarketData->ClosePrice);DEAL_TOO_MAX(pDepthMarketData->SettlementPrice);DEAL_TOO_MAX(pDepthMarketData->OpenInterest);DEAL_TOO_MAX(pDepthMarketData->LastPrice);DEAL_TOO_MAX(pDepthMarketData->UpperLimitPrice);DEAL_TOO_MAX(pDepthMarketData->LowerLimitPrice);DEAL_TOO_MAX(pDepthMarketData->HighestPrice);DEAL_TOO_MAX(pDepthMarketData->LowestPrice);DEAL_TOO_MAX(pDepthMarketData->OpenPrice);DEAL_TOO_MAX(pDepthMarketData->LowestPrice);DEAL_TOO_MAX(pDepthMarketData->Turnover);if (pDepthMarketData->AskPrice1 > 10 * pDepthMarketData->LastPrice){pDepthMarketData->AskPrice1 = pDepthMarketData->LastPrice;}if (pDepthMarketData->BidPrice1 > 10 * pDepthMarketData->LastPrice){pDepthMarketData->BidPrice1 = pDepthMarketData->LastPrice;}printf("%s,%s.%03d,%.4f,%.4f,%.4f,%.4f,%.4f,%d,%d,%d,%s,%.2lf,%.2lf\n",pDepthMarketData->InstrumentID, pDepthMarketData->UpdateTime, pDepthMarketData->UpdateMillisec, pDepthMarketData->LastPrice,pDepthMarketData->BidPrice1, pDepthMarketData->AskPrice1, pDepthMarketData->LowestPrice, pDepthMarketData->HighestPrice,pDepthMarketData->Volume, pDepthMarketData->BidVolume1, pDepthMarketData->AskVolume1, stime,pDepthMarketData->OpenInterest, pDepthMarketData->Turnover);std::string subs = acsy::util::strprintf("%s,%s.%03d,%.4f,%.4f,%.4f,%.4f,%.4f,%d,%d,%d,%s,%.2lf,%.2lf\n",pDepthMarketData->InstrumentID, pDepthMarketData->UpdateTime, pDepthMarketData->UpdateMillisec, pDepthMarketData->LastPrice,pDepthMarketData->BidPrice1, pDepthMarketData->AskPrice1, pDepthMarketData->LowestPrice, pDepthMarketData->HighestPrice,pDepthMarketData->Volume, pDepthMarketData->BidVolume1, pDepthMarketData->AskVolume1, stime,pDepthMarketData->OpenInterest, pDepthMarketData->Turnover);namespace fs = boost::filesystem;/* char stime[30] = "2015-10-23 14:07:03.579";*/std::string date;date = stime;std::string s1 = date.substr(0, 4);std::string s2 = date.substr(5, 2);std::string s3 = date.substr(8, 2);std::string floder = "h:\\" + s1 + s2 + s3;fs::path full_path(fs::initial_path());full_path = fs::system_complete(fs::path(floder, fs::native));if (!fs::exists(floder)){fs::create_directories(floder);}std::string filename = pDepthMarketData->InstrumentID;std::string filename1 = floder + "\\" + filename + ".csv";std::ifstream ifs(filename1);if (ifs)   //存在{std::ofstream fout(filename1, std::ios::app);fout << subs;fout.close();}else     //不存在{std::ofstream fout(filename1);fout << subs;}}void CSimpleHandler1::OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){tools::instance().logger().log("行情请求响应!,InstrumentID:[%s]", pSpecificInstrument->InstrumentID);}void CSimpleHandler1::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){if (bIsLast){tl->m_login.fun();  //m_login加锁if (tl->m_insok.fun1()==true)   //m_insok加锁{int len = tl->m_vec.size();char** Instrument = new char*[len];for (int i = 0; i < len; i++){Instrument[i] = const_cast<char*>(tl->m_vec[i].c_str());}tl->m_pUserApi1->SubscribeMarketData(Instrument, len);}}tools::instance().logger().log("OnRspUserLogin:");tools::instance().logger().log("ErrorCode=[%d], ErrorMsg=[%s]", pRspInfo->ErrorID,pRspInfo->ErrorMsg);tools::instance().logger().log("RequestID=[%d], Chain=[%d]", nRequestID, bIsLast);if (pRspInfo->ErrorID != 0) {// 端登失败，客户端需进行错误处理tools::instance().logger().log("MD failed to login, errorcode=%d errormsg=%s requestid=%d chain = %d", pRspInfo->ErrorID, pRspInfo->ErrorMsg, nRequestID, bIsLast);/*exit(-1);*/Sleep(5000);tl->cnt1++;CThostFtdcReqUserLoginField reqUserLogin;strcpy(reqUserLogin.BrokerID, tl->m_chBrokerID);strcpy(reqUserLogin.UserID, tl->m_chUserID);strcpy(reqUserLogin.Password, tl->m_chUserPassword);tl->m_pUserApi1->ReqUserLogin(&reqUserLogin, 0);tools::instance().logger().log("MD登录失败后，第[%d]次登录！", tl->cnt1);}}void CSimpleHandler1::OnFrontDisconnected(int nReason){// 当发生这个情况后，API会自动重新连接，客户端可不做处理tools::instance().logger().log("OnFrontDisconnected.");}void CSimpleHandler1::OnFrontConnected(){CThostFtdcReqUserLoginField reqUserLogin;strcpy(reqUserLogin.BrokerID, tl->m_chBrokerID);strcpy(reqUserLogin.UserID, tl->m_chUserID);strcpy(reqUserLogin.Password, tl->m_chUserPassword);tl->m_pUserApi1->ReqUserLogin(&reqUserLogin, 0);}void A::fun(){this->mutex.lock();this->value = true;this->mutex.unlock();}bool A::fun1(){bool b;this->mutex.lock();b = this->value;this->mutex.unlock();return b;}}}ACSY_DEF_MAINCLASS(acsy::trader::tools);