vnpy/vn.lts_old/vnltsmd/pyltsmd/vnltsmd.h

//˵<><CBB5><EFBFBD><EFBFBD><EFBFBD><EFBFBD>

//ϵͳ
#include "stdafx.h"
#include <string>
#include <queue>

//Boost
#define BOOST_PYTHON_STATIC_LIB
#include <boost/python/module.hpp>	//python<6F><6E>װ
#include <boost/python/def.hpp>		//python<6F><6E>װ
#include <boost/python/dict.hpp>	//python<6F><6E>װ
#include <boost/python/object.hpp>	//python<6F><6E>װ
#include <boost/python.hpp>			//python<6F><6E>װ
#include <boost/thread.hpp>			//<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>е<EFBFBD><D0B5>̹߳<DFB3><CCB9><EFBFBD>
#include <boost/bind.hpp>			//<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>е<EFBFBD><D0B5>̹߳<DFB3><CCB9><EFBFBD>
#include <boost/any.hpp>			//<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>е<EFBFBD><D0B5><EFBFBD><EFBFBD><EFBFBD>ʵ<EFBFBD><CAB5>

//API
#include "SecurityFtdcMdApi.h"

//<2F><><EFBFBD><EFBFBD><EFBFBD>ռ<EFBFBD>
using namespace std;
using namespace boost::python;
using namespace boost;

//<2F><><EFBFBD><EFBFBD>
#define ONFRONTCONNECTED 0
#define ONFRONTDISCONNECTED 1
#define ONHEARTBEATWARNING 2
#define ONRSPERROR 3
#define ONRSPUSERLOGIN 4
#define ONRSPUSERLOGOUT 5
#define ONRSPSUBMARKETDATA 6
#define ONRSPUNSUBMARKETDATA 7
#define ONRTNDEPTHMARKETDATA 8
#define EXIT 0


///-------------------------------------------------------------------------------------
///API<50>еIJ<D0B5><C4B2><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
///-------------------------------------------------------------------------------------

//GILȫ<4C><C8AB><EFBFBD><EFBFBD><EFBFBD>򻯻<EFBFBD>ȡ<EFBFBD>ã<EFBFBD>
//<2F><><EFBFBD>ڰ<EFBFBD><DAB0><EFBFBD>C++<2B>̻߳<DFB3><CCBB><EFBFBD>GIL<49><4C><EFBFBD><EFBFBD><EFBFBD>Ӷ<EFBFBD><D3B6><EFBFBD>ֹpython<6F><6E><EFBFBD><EFBFBD>
class PyLock
{
private:
	PyGILState_STATE gil_state;

public:
	//<2F><>ij<EFBFBD><C4B3><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>д<EFBFBD><D0B4><EFBFBD><EFBFBD>ö<EFBFBD><C3B6><EFBFBD>ʱ<EFBFBD><CAB1><EFBFBD><EFBFBD><EFBFBD><EFBFBD>GIL<49><4C>
	PyLock()
	{
		gil_state = PyGILState_Ensure();
	}

	//<2F><>ij<EFBFBD><C4B3><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ɺ<EFBFBD><C9BA><EFBFBD><EFBFBD>ٸö<D9B8><C3B6><EFBFBD>ʱ<EFBFBD><CAB1><EFBFBD><EFBFBD><EFBFBD><EFBFBD>GIL<49><4C>
	~PyLock()
	{
		PyGILState_Release(gil_state);
	}
};


//<2F><><EFBFBD><EFBFBD><EFBFBD>ṹ<EFBFBD><E1B9B9>
struct Task
{
	int task_name;		//<2F>ص<EFBFBD><D8B5><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ƶ<EFBFBD>Ӧ<EFBFBD>ij<EFBFBD><C4B3><EFBFBD>
	any task_data;		//<2F><><EFBFBD>ݽṹ<DDBD><E1B9B9>
	any task_error;		//<2F><><EFBFBD><EFBFBD><EFBFBD>ṹ<EFBFBD><E1B9B9>
	int task_id;		//<2F><><EFBFBD><EFBFBD>id
	bool task_last;		//<2F>Ƿ<EFBFBD>Ϊ<EFBFBD><CEAA><EFBFBD>󷵻<EFBFBD>
};


///<2F>̰߳<DFB3>ȫ<EFBFBD>Ķ<EFBFBD><C4B6><EFBFBD>
template<typename Data>

class ConcurrentQueue
{
private:
	queue<Data> the_queue;								//<2F><>׼<EFBFBD><D7BC><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
	mutable mutex the_mutex;							//boost<73><74><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
	condition_variable the_condition_variable;			//boost<73><74><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>

public:

	//<2F><><EFBFBD><EFBFBD><EFBFBD>µ<EFBFBD><C2B5><EFBFBD><EFBFBD><EFBFBD>
	void push(Data const& data)
	{
		mutex::scoped_lock lock(the_mutex);				//<2F><>ȡ<EFBFBD><C8A1><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
		the_queue.push(data);							//<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>д<EFBFBD><D0B4><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
		lock.unlock();									//<2F>ͷ<EFBFBD><CDB7><EFBFBD>
		the_condition_variable.notify_one();			//֪ͨ<CDA8><D6AA><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ȴ<EFBFBD><C8B4><EFBFBD><EFBFBD>߳<EFBFBD>
	}

	//<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ƿ<EFBFBD>Ϊ<EFBFBD><CEAA>
	bool empty() const
	{
		mutex::scoped_lock lock(the_mutex);
		return the_queue.empty();
	}

	//ȡ<><C8A1>
	Data wait_and_pop()
	{
		mutex::scoped_lock lock(the_mutex);

		while (the_queue.empty())						//<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ϊ<EFBFBD><CEAA>ʱ
		{
			the_condition_variable.wait(lock);			//<2F>ȴ<EFBFBD><C8B4><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>֪ͨ
		}

		Data popped_value = the_queue.front();			//<2F><>ȡ<EFBFBD><C8A1><EFBFBD><EFBFBD><EFBFBD>е<EFBFBD><D0B5><EFBFBD><EFBFBD><EFBFBD>һ<EFBFBD><D2BB><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
		the_queue.pop();								//ɾ<><C9BE><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
		return popped_value;							//<2F><><EFBFBD>ظ<EFBFBD><D8B8><EFBFBD><EFBFBD><EFBFBD>
	}

};


//<2F><><EFBFBD>ֵ<EFBFBD><D6B5>л<EFBFBD>ȡij<C8A1><C4B3><EFBFBD><EFBFBD>ֵ<EFBFBD><D6B5>Ӧ<EFBFBD><D3A6><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ֵ<EFBFBD><D6B5><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ṹ<EFBFBD><E1B9B9><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ֵ<EFBFBD><D6B5>
void getInt(dict d, string key, int* value);


//<2F><><EFBFBD>ֵ<EFBFBD><D6B5>л<EFBFBD>ȡij<C8A1><C4B3><EFBFBD><EFBFBD>ֵ<EFBFBD><D6B5>Ӧ<EFBFBD>ĸ<EFBFBD><C4B8><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ֵ<EFBFBD><D6B5><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ṹ<EFBFBD><E1B9B9><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ֵ<EFBFBD><D6B5>
void getDouble(dict d, string key, double* value);


//<2F><><EFBFBD>ֵ<EFBFBD><D6B5>л<EFBFBD>ȡij<C8A1><C4B3><EFBFBD><EFBFBD>ֵ<EFBFBD><D6B5>Ӧ<EFBFBD><D3A6><EFBFBD>ַ<EFBFBD><D6B7><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ֵ<EFBFBD><D6B5><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ṹ<EFBFBD><E1B9B9><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ֵ<EFBFBD><D6B5>
void getChar(dict d, string key, char* value);



///-------------------------------------------------------------------------------------
///C++ SPI<50>Ļص<C4BB><D8B5><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ʵ<EFBFBD><CAB5>
///-------------------------------------------------------------------------------------

//API<50>ļ̳<C4BC>ʵ<EFBFBD><CAB5>
class MdApi : public CSecurityFtdcMdSpi
{
private:
	CSecurityFtdcMdApi* api;			//API<50><49><EFBFBD><EFBFBD>
	thread *task_thread;				//<2F><><EFBFBD><EFBFBD><EFBFBD>߳<EFBFBD>ָ<EFBFBD>루<EFBFBD><EBA3A8>python<6F><6E><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ݣ<EFBFBD>
	ConcurrentQueue<Task> task_queue;	//<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>

public:
	MdApi()
	{
		function0<void> f = boost::bind(&MdApi::processTask, this);
		thread t(f);
		this->task_thread = &t;
	};

	~MdApi()
	{
	};

	//-------------------------------------------------------------------------------------
	//API<50>ص<EFBFBD><D8B5><EFBFBD><EFBFBD><EFBFBD>
	//-------------------------------------------------------------------------------------

	//<2F><><EFBFBD>ͻ<EFBFBD><CDBB><EFBFBD><EFBFBD>뽻<EFBFBD>׺<EFBFBD>̨<EFBFBD><CCA8><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ͨ<EFBFBD><CDA8><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ʱ<EFBFBD><CAB1><EFBFBD><EFBFBD>δ<EFBFBD><CEB4>¼ǰ<C2BC><C7B0><EFBFBD><EFBFBD><EFBFBD>÷<EFBFBD><C3B7><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>á<EFBFBD>
	virtual void OnFrontConnected();

	//<2F><><EFBFBD>ͻ<EFBFBD><CDBB><EFBFBD><EFBFBD>뽻<EFBFBD>׺<EFBFBD>̨ͨ<CCA8><CDA8><EFBFBD><EFBFBD><EFBFBD>ӶϿ<D3B6>ʱ<EFBFBD><CAB1><EFBFBD>÷<EFBFBD><C3B7><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>á<EFBFBD><C3A1><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>API<50><49><EFBFBD>Զ<EFBFBD><D4B6><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ӣ<EFBFBD><D3A3>ͻ<EFBFBD><CDBB>˿ɲ<CBBF><C9B2><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
	//@param nReason <20><><EFBFBD><EFBFBD>ԭ<EFBFBD><D4AD>
	//        0x1001 <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ʧ<EFBFBD><CAA7>
	//        0x1002 <20><><EFBFBD><EFBFBD>дʧ<D0B4><CAA7>
	//        0x2001 <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ʱ
	//        0x2002 <20><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ʧ<EFBFBD><CAA7>
	//        0x2003 <20>յ<EFBFBD><D5B5><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
	virtual void OnFrontDisconnected(int nReason);

	//<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ʱ<EFBFBD><CAB1><EFBFBD>档<EFBFBD><E6A1A3><EFBFBD><EFBFBD>ʱ<EFBFBD><CAB1>δ<EFBFBD>յ<EFBFBD><D5B5><EFBFBD><EFBFBD><EFBFBD>ʱ<EFBFBD><CAB1><EFBFBD>÷<EFBFBD><C3B7><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>á<EFBFBD>
	//@param nTimeLapse <20><><EFBFBD><EFBFBD><EFBFBD>ϴν<CFB4><CEBD>ձ<EFBFBD><D5B1>ĵ<EFBFBD>ʱ<EFBFBD><CAB1>
	virtual void OnHeartBeatWarning(int nTimeLapse);

	//<2F><><EFBFBD><EFBFBD>Ӧ<EFBFBD><D3A6>
	virtual void OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	//<2F><>¼<EFBFBD><C2BC><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ӧ
	virtual void OnRspUserLogin(CSecurityFtdcRspUserLoginField *pRspUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	//<2F>dz<EFBFBD><C7B3><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ӧ
	virtual void OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	//<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ӧ<EFBFBD><D3A6>
	virtual void OnRspSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	//ȡ<><C8A1><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ӧ<EFBFBD><D3A6>
	virtual void OnRspUnSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	//<2F><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>֪ͨ
	virtual void OnRtnDepthMarketData(CSecurityFtdcDepthMarketDataField *pDepthMarketData);


	//-------------------------------------------------------------------------------------
	//task<73><6B><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
	//-------------------------------------------------------------------------------------

	void processTask();

	void processFrontConnected(Task task);

	void processFrontDisconnected(Task task);

	void processHeartBeatWarning(Task task);

	void processRspError(Task task);

	void processRspUserLogin(Task task);

	void processRspUserLogout(Task task);

	void processRspSubMarketData(Task task);

	void processRspUnSubMarketData(Task task);

	void processRtnDepthMarketData(Task task);

	//-------------------------------------------------------------------------------------
	//data<74><61><EFBFBD>ص<EFBFBD><D8B5><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ֵ<EFBFBD>
	//error<6F><72><EFBFBD>ص<EFBFBD><D8B5><EFBFBD><EFBFBD><EFBFBD><EFBFBD>Ĵ<EFBFBD><C4B4><EFBFBD><EFBFBD>ֵ<EFBFBD>
	//id<69><64><EFBFBD><EFBFBD><EFBFBD><EFBFBD>id
	//last<73><74><EFBFBD>Ƿ<EFBFBD>Ϊ<EFBFBD><CEAA><EFBFBD>󷵻<EFBFBD>
	//i<><69><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
	//-------------------------------------------------------------------------------------

	virtual void onFrontConnected(){};

	virtual void onFrontDisconnected(int i){};

	virtual void onHeartBeatWarning(int i){};

	virtual void onRspError(dict data, int id, bool last) {};

	virtual void onRspUserLogin(dict data, dict error, int id, bool last) {};

	virtual void onRspUserLogout(dict data, dict error, int id, bool last) {};

	virtual void onRspSubMarketData(dict data, dict error, int id, bool last) {};

	virtual void onRspUnSubMarketData(dict data, dict error, int id, bool last) {};

	virtual void onRtnDepthMarketData(dict data) {};

	//-------------------------------------------------------------------------------------
	//req:<3A><><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ֵ<EFBFBD>
	//-------------------------------------------------------------------------------------

	void createFtdcMdApi(string pszFlowPath = "");

	void release();

	void init();

	int join();

	int exit();

	string getTradingDay();

	void registerFront(string pszFrontAddress);

	int subscribeMarketData(dict req);

	int unSubscribeMarketData(dict req);

	int reqUserLogin(dict req, int nRequestID);

	int reqUserLogout(dict req, int nRequestID);
};