[update] CTP 6.3.19

vnpy/api/ctp/ctp_constant.py

@@ -21,6 +21,8 @@ THOST_FTDC_ICT_HKMCIDCard = 'I'
 THOST_FTDC_ICT_AccountsPermits = 'J'
 THOST_FTDC_ICT_FrgPrmtRdCard = 'K'
 THOST_FTDC_ICT_CptMngPrdLetter = 'L'
+THOST_FTDC_ICT_UniformSocialCreditCode = 'N'
+THOST_FTDC_ICT_CorporationCertNo = 'O'
 THOST_FTDC_ICT_OtherCard = 'x'
 THOST_FTDC_IR_All = '1'
 THOST_FTDC_IR_Group = '2'
@@ -142,6 +144,16 @@ THOST_FTDC_PC_Combination = '3'
 THOST_FTDC_PC_Spot = '4'
 THOST_FTDC_PC_EFP = '5'
 THOST_FTDC_PC_SpotOption = '6'
+THOST_FTDC_PC_TAS = '7'
+THOST_FTDC_PC_MI = 'I'
+THOST_FTDC_APC_FutureSingle = '1'
+THOST_FTDC_APC_OptionSingle = '2'
+THOST_FTDC_APC_Futures = '3'
+THOST_FTDC_APC_Options = '4'
+THOST_FTDC_APC_TradingComb = '5'
+THOST_FTDC_APC_UnTradingComb = '6'
+THOST_FTDC_APC_AllTrading = '7'
+THOST_FTDC_APC_All = '8'
 THOST_FTDC_IP_NotStart = '0'
 THOST_FTDC_IP_Started = '1'
 THOST_FTDC_IP_Pause = '2'
@@ -251,6 +263,8 @@ THOST_FTDC_TRDT_OTC = '2'
 THOST_FTDC_TRDT_EFPDerived = '3'
 THOST_FTDC_TRDT_CombinationDerived = '4'
 THOST_FTDC_TRDT_BlockTrade = '5'
+THOST_FTDC_SPOST_Common = '#'
+THOST_FTDC_SPOST_Tas = '0'
 THOST_FTDC_PSRC_LastPrice = '0'
 THOST_FTDC_PSRC_Buy = '1'
 THOST_FTDC_PSRC_Sell = '2'
@@ -506,6 +520,8 @@ THOST_FTDC_UET_Trading = '3'
 THOST_FTDC_UET_TradingError = '4'
 THOST_FTDC_UET_UpdatePassword = '5'
 THOST_FTDC_UET_Authenticate = '6'
+THOST_FTDC_UET_SubmitSysInfo = '7'
+THOST_FTDC_UET_Transfer = '8'
 THOST_FTDC_UET_Other = '9'
 THOST_FTDC_ICS_Close = '0'
 THOST_FTDC_ICS_CloseToday = '1'
@@ -1140,6 +1156,8 @@ THOST_FTDC_COMBT_STD = '3'
 THOST_FTDC_COMBT_STG = '4'
 THOST_FTDC_COMBT_PRT = '5'
 THOST_FTDC_COMBT_CLD = '6'
+THOST_FTDC_COMBT_OPL = '7'
+THOST_FTDC_COMBT_BFO = '8'
 THOST_FTDC_DCECOMBT_SPL = '0'
 THOST_FTDC_DCECOMBT_OPL = '1'
 THOST_FTDC_DCECOMBT_SP = '2'
@@ -1195,6 +1213,7 @@ THOST_FTDC_CFUFN_SUFN_F = 'F'
 THOST_FTDC_CFUFN_SUFN_S = 'S'
 THOST_FTDC_CMDR_Comb = '0'
 THOST_FTDC_CMDR_UnComb = '1'
+THOST_FTDC_CMDR_DelComb = '2'
 THOST_FTDC_STOV_RealValue = '1'
 THOST_FTDC_STOV_ProfitValue = '2'
 THOST_FTDC_STOV_RealRatio = '3'

vnpy/api/ctp/generator/ctp_constant.py

@@ -21,6 +21,8 @@ THOST_FTDC_ICT_HKMCIDCard = 'I'
 THOST_FTDC_ICT_AccountsPermits = 'J'
 THOST_FTDC_ICT_FrgPrmtRdCard = 'K'
 THOST_FTDC_ICT_CptMngPrdLetter = 'L'
+THOST_FTDC_ICT_UniformSocialCreditCode = 'N'
+THOST_FTDC_ICT_CorporationCertNo = 'O'
 THOST_FTDC_ICT_OtherCard = 'x'
 THOST_FTDC_IR_All = '1'
 THOST_FTDC_IR_Group = '2'
@@ -142,6 +144,16 @@ THOST_FTDC_PC_Combination = '3'
 THOST_FTDC_PC_Spot = '4'
 THOST_FTDC_PC_EFP = '5'
 THOST_FTDC_PC_SpotOption = '6'
+THOST_FTDC_PC_TAS = '7'
+THOST_FTDC_PC_MI = 'I'
+THOST_FTDC_APC_FutureSingle = '1'
+THOST_FTDC_APC_OptionSingle = '2'
+THOST_FTDC_APC_Futures = '3'
+THOST_FTDC_APC_Options = '4'
+THOST_FTDC_APC_TradingComb = '5'
+THOST_FTDC_APC_UnTradingComb = '6'
+THOST_FTDC_APC_AllTrading = '7'
+THOST_FTDC_APC_All = '8'
 THOST_FTDC_IP_NotStart = '0'
 THOST_FTDC_IP_Started = '1'
 THOST_FTDC_IP_Pause = '2'
@@ -164,6 +176,8 @@ THOST_FTDC_HF_Speculation = '1'
 THOST_FTDC_HF_Arbitrage = '2'
 THOST_FTDC_HF_Hedge = '3'
 THOST_FTDC_HF_MarketMaker = '5'
+THOST_FTDC_HF_SpecHedge = '6'
+THOST_FTDC_HF_HedgeSpec = '7'
 THOST_FTDC_BHF_Speculation = '1'
 THOST_FTDC_BHF_Arbitrage = '2'
 THOST_FTDC_BHF_Hedge = '3'
@@ -208,7 +222,8 @@ THOST_FTDC_ORDT_DeriveFromCombination = '2'
 THOST_FTDC_ORDT_Combination = '3'
 THOST_FTDC_ORDT_ConditionalOrder = '4'
 THOST_FTDC_ORDT_Swap = '5'
-THOST_FTDC_ORDT_DeriveFromEFP = '6'
+THOST_FTDC_ORDT_DeriveFromBlockTrade = '6'
+THOST_FTDC_ORDT_DeriveFromEFPTrade = '7'
 THOST_FTDC_TC_IOC = '1'
 THOST_FTDC_TC_GFS = '2'
 THOST_FTDC_TC_GFD = '3'
@@ -247,9 +262,13 @@ THOST_FTDC_TRDT_OptionsExecution = '1'
 THOST_FTDC_TRDT_OTC = '2'
 THOST_FTDC_TRDT_EFPDerived = '3'
 THOST_FTDC_TRDT_CombinationDerived = '4'
+THOST_FTDC_TRDT_BlockTrade = '5'
+THOST_FTDC_SPOST_Common = '#'
+THOST_FTDC_SPOST_Tas = '0'
 THOST_FTDC_PSRC_LastPrice = '0'
 THOST_FTDC_PSRC_Buy = '1'
 THOST_FTDC_PSRC_Sell = '2'
+THOST_FTDC_PSRC_OTC = '3'
 THOST_FTDC_IS_BeforeTrading = '0'
 THOST_FTDC_IS_NoTrading = '1'
 THOST_FTDC_IS_Continous = '2'
@@ -501,6 +520,8 @@ THOST_FTDC_UET_Trading = '3'
 THOST_FTDC_UET_TradingError = '4'
 THOST_FTDC_UET_UpdatePassword = '5'
 THOST_FTDC_UET_Authenticate = '6'
+THOST_FTDC_UET_SubmitSysInfo = '7'
+THOST_FTDC_UET_Transfer = '8'
 THOST_FTDC_UET_Other = '9'
 THOST_FTDC_ICS_Close = '0'
 THOST_FTDC_ICS_CloseToday = '1'
@@ -1135,6 +1156,19 @@ THOST_FTDC_COMBT_STD = '3'
 THOST_FTDC_COMBT_STG = '4'
 THOST_FTDC_COMBT_PRT = '5'
 THOST_FTDC_COMBT_CLD = '6'
+THOST_FTDC_COMBT_OPL = '7'
+THOST_FTDC_COMBT_BFO = '8'
+THOST_FTDC_DCECOMBT_SPL = '0'
+THOST_FTDC_DCECOMBT_OPL = '1'
+THOST_FTDC_DCECOMBT_SP = '2'
+THOST_FTDC_DCECOMBT_SPC = '3'
+THOST_FTDC_DCECOMBT_BLS = '4'
+THOST_FTDC_DCECOMBT_BES = '5'
+THOST_FTDC_DCECOMBT_CAS = '6'
+THOST_FTDC_DCECOMBT_STD = '7'
+THOST_FTDC_DCECOMBT_STG = '8'
+THOST_FTDC_DCECOMBT_BFO = '9'
+THOST_FTDC_DCECOMBT_SFO = 'a'
 THOST_FTDC_ORPT_PreSettlementPrice = '1'
 THOST_FTDC_ORPT_OpenPrice = '4'
 THOST_FTDC_ORPT_MaxPreSettlementPrice = '5'
@@ -1179,6 +1213,7 @@ THOST_FTDC_CFUFN_SUFN_F = 'F'
 THOST_FTDC_CFUFN_SUFN_S = 'S'
 THOST_FTDC_CMDR_Comb = '0'
 THOST_FTDC_CMDR_UnComb = '1'
+THOST_FTDC_CMDR_DelComb = '2'
 THOST_FTDC_STOV_RealValue = '1'
 THOST_FTDC_STOV_ProfitValue = '2'
 THOST_FTDC_STOV_RealRatio = '3'

vnpy/api/ctp/generator/ctp_md_header_define.h

@@ -3,10 +3,11 @@
 #define ONHEARTBEATWARNING 2
 #define ONRSPUSERLOGIN 3
 #define ONRSPUSERLOGOUT 4
-#define ONRSPERROR 5
+#define ONRSPQRYMULTICASTINSTRUMENT 5
-#define ONRSPSUBMARKETDATA 6
+#define ONRSPERROR 6
-#define ONRSPUNSUBMARKETDATA 7
+#define ONRSPSUBMARKETDATA 7
-#define ONRSPSUBFORQUOTERSP 8
+#define ONRSPUNSUBMARKETDATA 8
-#define ONRSPUNSUBFORQUOTERSP 9
+#define ONRSPSUBFORQUOTERSP 9
-#define ONRTNDEPTHMARKETDATA 10
+#define ONRSPUNSUBFORQUOTERSP 10
-#define ONRTNFORQUOTERSP 11
+#define ONRTNDEPTHMARKETDATA 11
+#define ONRTNFORQUOTERSP 12

vnpy/api/ctp/generator/ctp_md_header_function.h

@@ -2,3 +2,5 @@ int reqUserLogin(const dict &req, int reqid);
 
 int reqUserLogout(const dict &req, int reqid);
 
+int reqQryMulticastInstrument(const dict &req, int reqid);
+

vnpy/api/ctp/generator/ctp_md_header_on.h

@@ -8,6 +8,8 @@ virtual void onRspUserLogin(const dict &data, const dict &error, int reqid, bool
 
 virtual void onRspUserLogout(const dict &data, const dict &error, int reqid, bool last) {};
 
+virtual void onRspQryMulticastInstrument(const dict &data, const dict &error, int reqid, bool last) {};
+
 virtual void onRspError(const dict &error, int reqid, bool last) {};
 
 virtual void onRspSubMarketData(const dict &data, const dict &error, int reqid, bool last) {};

vnpy/api/ctp/generator/ctp_md_header_process.h

@@ -8,6 +8,8 @@ void processRspUserLogin(Task *task);
 
 void processRspUserLogout(Task *task);
 
+void processRspQryMulticastInstrument(Task *task);
+
 void processRspError(Task *task);
 
 void processRspSubMarketData(Task *task);

vnpy/api/ctp/generator/ctp_md_source_function.cpp

@@ -28,3 +28,13 @@ int MdApi::reqUserLogout(const dict &req, int reqid)
 	return i;
 };
 
+int MdApi::reqQryMulticastInstrument(const dict &req, int reqid)
+{
+	CThostFtdcQryMulticastInstrumentField myreq = CThostFtdcQryMulticastInstrumentField();
+	memset(&myreq, 0, sizeof(myreq));
+	getInt(req, "TopicID", &myreq.TopicID);
+	getString(req, "InstrumentID", myreq.InstrumentID);
+	int i = this->api->ReqQryMulticastInstrument(&myreq, reqid);
+	return i;
+};
+

vnpy/api/ctp/generator/ctp_md_source_module.cpp

@@ -1,11 +1,12 @@
 .def("reqUserLogin", &MdApi::reqUserLogin)
 .def("reqUserLogout", &MdApi::reqUserLogout)
-
+.def("reqQryMulticastInstrument", &MdApi::reqQryMulticastInstrument)
 .def("onFrontConnected", &MdApi::onFrontConnected)
 .def("onFrontDisconnected", &MdApi::onFrontDisconnected)
 .def("onHeartBeatWarning", &MdApi::onHeartBeatWarning)
 .def("onRspUserLogin", &MdApi::onRspUserLogin)
 .def("onRspUserLogout", &MdApi::onRspUserLogout)
+.def("onRspQryMulticastInstrument", &MdApi::onRspQryMulticastInstrument)
 .def("onRspError", &MdApi::onRspError)
 .def("onRspSubMarketData", &MdApi::onRspSubMarketData)
 .def("onRspUnSubMarketData", &MdApi::onRspUnSubMarketData)

vnpy/api/ctp/generator/ctp_md_source_on.cpp

@@ -58,6 +58,18 @@ void onRspUserLogout(const dict &data, const dict &error, int reqid, bool last)
 	}
 };
 
+void onRspQryMulticastInstrument(const dict &data, const dict &error, int reqid, bool last) override
+{
+	try
+	{
+		PYBIND11_OVERLOAD(void, MdApi, onRspQryMulticastInstrument, data, error, reqid, last);
+	}
+	catch (const error_already_set &e)
+	{
+		cout << e.what() << endl;
+	}
+};
+
 void onRspError(const dict &error, int reqid, bool last) override
 {
 	try

vnpy/api/ctp/generator/ctp_md_source_process.cpp

@@ -71,6 +71,32 @@ void MdApi::processRspUserLogout(Task *task)
 	this->onRspUserLogout(data, error, task->task_id, task->task_last);
 };
 
+void MdApi::processRspQryMulticastInstrument(Task *task)
+{
+	gil_scoped_acquire acquire;
+	dict data;
+	if (task->task_data)
+	{
+		CThostFtdcMulticastInstrumentField *task_data = (CThostFtdcMulticastInstrumentField*)task->task_data;
+		data["TopicID"] = task_data->TopicID;
+		data["InstrumentID"] = toUtf(task_data->InstrumentID);
+		data["InstrumentNo"] = task_data->InstrumentNo;
+		data["CodePrice"] = task_data->CodePrice;
+		data["VolumeMultiple"] = task_data->VolumeMultiple;
+		data["PriceTick"] = task_data->PriceTick;
+		delete task_data;
+	}
+	dict error;
+	if (task->task_error)
+	{
+		CThostFtdcRspInfoField *task_error = (CThostFtdcRspInfoField*)task->task_error;
+		error["ErrorID"] = task_error->ErrorID;
+		error["ErrorMsg"] = toUtf(task_error->ErrorMsg);
+		delete task_error;
+	}
+	this->onRspQryMulticastInstrument(data, error, task->task_id, task->task_last);
+};
+
 void MdApi::processRspError(Task *task)
 {
 	gil_scoped_acquire acquire;

vnpy/api/ctp/generator/ctp_md_source_switch.cpp

@@ -28,6 +28,12 @@ case ONRSPUSERLOGOUT:
 	break;
 }
 
+case ONRSPQRYMULTICASTINSTRUMENT:
+{
+	this->processRspQryMulticastInstrument(&task);
+	break;
+}
+
 case ONRSPERROR:
 {
 	this->processRspError(&task);

vnpy/api/ctp/generator/ctp_md_source_task.cpp

@@ -21,7 +21,7 @@ void MdApi::OnHeartBeatWarning(int nTimeLapse)
 	this->task_queue.push(task);
 };
 
-void MdApi::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+void MdApi::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
 {
 	Task task = Task();
 	task.task_name = ONRSPUSERLOGIN;
@@ -42,7 +42,7 @@ void MdApi::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtd
 	this->task_queue.push(task);
 };
 
-void MdApi::OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+void MdApi::OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
 {
 	Task task = Task();
 	task.task_name = ONRSPUSERLOGOUT;
@@ -63,7 +63,28 @@ void MdApi::OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRs
 	this->task_queue.push(task);
 };
 
-void MdApi::OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+void MdApi::OnRspQryMulticastInstrument(CThostFtdcMulticastInstrumentField *pMulticastInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYMULTICASTINSTRUMENT;
+	if (pMulticastInstrument)
+	{
+		CThostFtdcMulticastInstrumentField *task_data = new CThostFtdcMulticastInstrumentField();
+		*task_data = *pMulticastInstrument;
+		task.task_data = task_data;
+	}
+	if (pRspInfo)
+	{
+		CThostFtdcRspInfoField *task_error = new CThostFtdcRspInfoField();
+		*task_error = *pRspInfo;
+		task.task_error = task_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
 {
 	Task task = Task();
 	task.task_name = ONRSPERROR;
@@ -78,7 +99,7 @@ void MdApi::OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bI
 	this->task_queue.push(task);
 };
 
-void MdApi::OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+void MdApi::OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
 {
 	Task task = Task();
 	task.task_name = ONRSPSUBMARKETDATA;
@@ -99,7 +120,7 @@ void MdApi::OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstr
 	this->task_queue.push(task);
 };
 
-void MdApi::OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+void MdApi::OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
 {
 	Task task = Task();
 	task.task_name = ONRSPUNSUBMARKETDATA;
@@ -120,7 +141,7 @@ void MdApi::OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificIns
 	this->task_queue.push(task);
 };
 
-void MdApi::OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+void MdApi::OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
 {
 	Task task = Task();
 	task.task_name = ONRSPSUBFORQUOTERSP;
@@ -141,7 +162,7 @@ void MdApi::OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInst
 	this->task_queue.push(task);
 };
 
-void MdApi::OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+void MdApi::OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
 {
 	Task task = Task();
 	task.task_name = ONRSPUNSUBFORQUOTERSP;
@@ -162,7 +183,7 @@ void MdApi::OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificIn
 	this->task_queue.push(task);
 };
 
-void MdApi::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData) 
+void MdApi::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData)
 {
 	Task task = Task();
 	task.task_name = ONRTNDEPTHMARKETDATA;
@@ -175,7 +196,7 @@ void MdApi::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketDat
 	this->task_queue.push(task);
 };
 
-void MdApi::OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp) 
+void MdApi::OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp)
 {
 	Task task = Task();
 	task.task_name = ONRTNFORQUOTERSP;

vnpy/api/ctp/generator/ctp_struct.py

@@ -68,6 +68,7 @@ CThostFtdcAuthenticationInfoField = {
     "IsResult": "int",
     "AppID": "string",
     "AppType": "char",
+    "ClientIPAddress": "string",
 }
 
 CThostFtdcRspUserLogin2Field = {
@@ -410,6 +411,9 @@ CThostFtdcInvestorPositionField = {
     "ExchangeID": "string",
     "YdStrikeFrozen": "int",
     "InvestUnitID": "string",
+    "PositionCostOffset": "double",
+    "TasPosition": "int",
+    "TasPositionCost": "double",
 }
 
 CThostFtdcInstrumentMarginRateField = {
@@ -1160,6 +1164,9 @@ CThostFtdcSyncingInvestorPositionField = {
     "ExchangeID": "string",
     "YdStrikeFrozen": "int",
     "InvestUnitID": "string",
+    "PositionCostOffset": "double",
+    "TasPosition": "int",
+    "TasPositionCost": "double",
 }
 
 CThostFtdcSyncingInstrumentMarginRateField = {
@@ -2185,6 +2192,8 @@ CThostFtdcInputCombActionField = {
     "IPAddress": "string",
     "MacAddress": "string",
     "InvestUnitID": "string",
+    "FrontID": "int",
+    "SessionID": "int",
 }
 
 CThostFtdcCombActionField = {
@@ -2569,6 +2578,8 @@ CThostFtdcSyncDelaySwapField = {
     "FromRemainSwap": "double",
     "ToCurrencyID": "string",
     "ToAmount": "double",
+    "IsManualSwap": "int",
+    "IsAllRemainSetZero": "int",
 }
 
 CThostFtdcQrySyncDelaySwapField = {
@@ -2796,7 +2807,9 @@ CThostFtdcInvestorPositionDetailField = {
     "SettlementPrice": "double",
     "CloseVolume": "int",
     "CloseAmount": "double",
+    "TimeFirstVolume": "int",
     "InvestUnitID": "string",
+    "SpecPosiType": "char",
 }
 
 CThostFtdcTradingAccountPasswordField = {
@@ -3546,6 +3559,26 @@ CThostFtdcQryBulletinField = {
     "NewsUrgency": "char",
 }
 
+CThostFtdcMulticastInstrumentField = {
+    "TopicID": "int",
+    "InstrumentID": "string",
+    "InstrumentNo": "int",
+    "CodePrice": "double",
+    "VolumeMultiple": "int",
+    "PriceTick": "double",
+}
+
+CThostFtdcQryMulticastInstrumentField = {
+    "TopicID": "int",
+    "InstrumentID": "string",
+}
+
+CThostFtdcAppIDAuthAssignField = {
+    "BrokerID": "string",
+    "AppID": "string",
+    "DRIdentityID": "int",
+}
+
 CThostFtdcReqOpenAccountField = {
     "TradeCode": "string",
     "BankID": "string",
@@ -4906,3 +4939,21 @@ CThostFtdcDepartmentUserField = {
 CThostFtdcQueryFreqField = {
     "QueryFreq": "int",
 }
+
+CThostFtdcAuthForbiddenIPField = {
+    "IPAddress": "string",
+}
+
+CThostFtdcQryAuthForbiddenIPField = {
+    "IPAddress": "string",
+}
+
+CThostFtdcSyncDelaySwapFrozenField = {
+    "DelaySwapSeqNo": "string",
+    "BrokerID": "string",
+    "InvestorID": "string",
+    "FromCurrencyID": "string",
+    "FromRemainSwap": "double",
+    "IsManualSwap": "int",
+}
+

vnpy/api/ctp/generator/ctp_td_source_function.cpp

@@ -559,6 +559,8 @@ int TdApi::reqCombActionInsert(const dict &req, int reqid)
 	getString(req, "IPAddress", myreq.IPAddress);
 	getString(req, "MacAddress", myreq.MacAddress);
 	getString(req, "InvestUnitID", myreq.InvestUnitID);
+	getInt(req, "FrontID", &myreq.FrontID);
+	getInt(req, "SessionID", &myreq.SessionID);
 	int i = this->api->ReqCombActionInsert(&myreq, reqid);
 	return i;
 };

vnpy/api/ctp/generator/ctp_td_source_process.cpp

@@ -806,6 +806,8 @@ void TdApi::processRspCombActionInsert(Task *task)
 		data["IPAddress"] = toUtf(task_data->IPAddress);
 		data["MacAddress"] = toUtf(task_data->MacAddress);
 		data["InvestUnitID"] = toUtf(task_data->InvestUnitID);
+		data["FrontID"] = task_data->FrontID;
+		data["SessionID"] = task_data->SessionID;
 		delete task_data;
 	}
 	dict error;
@@ -1006,6 +1008,9 @@ void TdApi::processRspQryInvestorPosition(Task *task)
 		data["ExchangeID"] = toUtf(task_data->ExchangeID);
 		data["YdStrikeFrozen"] = task_data->YdStrikeFrozen;
 		data["InvestUnitID"] = toUtf(task_data->InvestUnitID);
+		data["PositionCostOffset"] = task_data->PositionCostOffset;
+		data["TasPosition"] = task_data->TasPosition;
+		data["TasPositionCost"] = task_data->TasPositionCost;
 		delete task_data;
 	}
 	dict error;
@@ -1475,7 +1480,9 @@ void TdApi::processRspQryInvestorPositionDetail(Task *task)
 		data["SettlementPrice"] = task_data->SettlementPrice;
 		data["CloseVolume"] = task_data->CloseVolume;
 		data["CloseAmount"] = task_data->CloseAmount;
+		data["TimeFirstVolume"] = task_data->TimeFirstVolume;
 		data["InvestUnitID"] = toUtf(task_data->InvestUnitID);
+		data["SpecPosiType"] = task_data->SpecPosiType;
 		delete task_data;
 	}
 	dict error;
@@ -3514,6 +3521,8 @@ void TdApi::processErrRtnCombActionInsert(Task *task)
 		data["IPAddress"] = toUtf(task_data->IPAddress);
 		data["MacAddress"] = toUtf(task_data->MacAddress);
 		data["InvestUnitID"] = toUtf(task_data->InvestUnitID);
+		data["FrontID"] = task_data->FrontID;
+		data["SessionID"] = task_data->SessionID;
 		delete task_data;
 	}
 	dict error;

vnpy/api/ctp/generator/ctp_typedef.py

@@ -59,6 +59,7 @@ TThostFtdcPositionDateType = "char"
 TThostFtdcPositionDateTypeType = "char"
 TThostFtdcTradingRoleType = "char"
 TThostFtdcProductClassType = "char"
+TThostFtdcAPIProductClassType = "char"
 TThostFtdcInstLifePhaseType = "char"
 TThostFtdcDirectionType = "char"
 TThostFtdcPositionTypeType = "char"
@@ -79,6 +80,7 @@ TThostFtdcActionFlagType = "char"
 TThostFtdcTradingRightType = "char"
 TThostFtdcOrderSourceType = "char"
 TThostFtdcTradeTypeType = "char"
+TThostFtdcSpecPosiTypeType = "char"
 TThostFtdcPriceSourceType = "char"
 TThostFtdcInstrumentStatusType = "char"
 TThostFtdcInstStatusEnterReasonType = "char"
@@ -299,7 +301,6 @@ TThostFtdcAMLInvestorTypeType = "string"
 TThostFtdcAMLIdCardTypeType = "string"
 TThostFtdcAMLTradeDirectType = "string"
 TThostFtdcAMLTradeModelType = "string"
-TThostFtdcAMLParamIDType = "string"
 TThostFtdcAMLOpParamValueType = "double"
 TThostFtdcAMLCustomerCardTypeType = "string"
 TThostFtdcAMLInstitutionNameType = "string"
@@ -722,6 +723,7 @@ TThostFtdcExecResultType = "char"
 TThostFtdcStrikeSequenceType = "int"
 TThostFtdcStrikeTimeType = "string"
 TThostFtdcCombinationTypeType = "char"
+TThostFtdcDceCombinationTypeType = "char"
 TThostFtdcOptionRoyaltyPriceTypeType = "char"
 TThostFtdcBalanceAlgorithmType = "char"
 TThostFtdcActionTypeType = "char"

vnpy/api/ctp/include/ctp/ThostFtdcMdApi.h

@@ -52,6 +52,9 @@ public:
 	///登出请求响应
 	virtual void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
 
+	///ÇëÇó²éѯ×é²¥ºÏÔ¼ÏìÓ¦
+	virtual void OnRspQryMulticastInstrument(CThostFtdcMulticastInstrumentField *pMulticastInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
 	///错误应答
 	virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
 
@@ -155,6 +158,9 @@ public:
 
 	///登出请求
 	virtual int ReqUserLogout(CThostFtdcUserLogoutField *pUserLogout, int nRequestID) = 0;
+
+	///ÇëÇó²éѯ×é²¥ºÏÔ¼
+	virtual int ReqQryMulticastInstrument(CThostFtdcQryMulticastInstrumentField *pQryMulticastInstrument, int nRequestID) = 0;
 protected:
 	~CThostFtdcMdApi(){};
 };

vnpy/api/ctp/include/ctp/ThostFtdcUserApiDataType.h

@@ -252,6 +252,10 @@ typedef char TThostFtdcIdentifiedCardNoType[51];
 #define THOST_FTDC_ICT_FrgPrmtRdCard 'K'
 ///资管产品备案函
 #define THOST_FTDC_ICT_CptMngPrdLetter 'L'
+///统一社会信用代码
+#define THOST_FTDC_ICT_UniformSocialCreditCode 'N'
+///机构成立证明文件
+#define THOST_FTDC_ICT_CorporationCertNo 'O'
 ///其他证件
 #define THOST_FTDC_ICT_OtherCard 'x'
 
@@ -624,9 +628,35 @@ typedef char TThostFtdcTradingRoleType;
 #define THOST_FTDC_PC_EFP '5'
 ///现货期权
 #define THOST_FTDC_PC_SpotOption '6'
+///TAS合约
+#define THOST_FTDC_PC_TAS '7'
+///金属指数
+#define THOST_FTDC_PC_MI 'I'
 
 typedef char TThostFtdcProductClassType;
 
+/////////////////////////////////////////////////////////////////////////
+///TFtdcAPIProductClassType是一个产品类型类型
+/////////////////////////////////////////////////////////////////////////
+///期货单一合约
+#define THOST_FTDC_APC_FutureSingle '1'
+///期权单一合约
+#define THOST_FTDC_APC_OptionSingle '2'
+///可交易期货(含期货组合和期货单一合约)
+#define THOST_FTDC_APC_Futures '3'
+///可交易期权(含期权组合和期权单一合约)
+#define THOST_FTDC_APC_Options '4'
+///可下单组合（目前包含DCE和ZCE的期货组合）
+#define THOST_FTDC_APC_TradingComb '5'
+///可申请的组合（dce可以申请的组合合约 包含dce可以交易的合约）
+#define THOST_FTDC_APC_UnTradingComb '6'
+///所有可以交易合约
+#define THOST_FTDC_APC_AllTrading '7'
+///所有合约（包含不能交易合约 慎用）
+#define THOST_FTDC_APC_All '8'
+
+typedef char TThostFtdcAPIProductClassType;
+
 /////////////////////////////////////////////////////////////////////////
 ///TFtdcInstLifePhaseType是一个合约生命周期状态类型
 /////////////////////////////////////////////////////////////////////////
@@ -965,6 +995,16 @@ typedef char TThostFtdcOrderSourceType;
 
 typedef char TThostFtdcTradeTypeType;
 
+/////////////////////////////////////////////////////////////////////////
+///TFtdcSpecPosiTypeType是一个特殊持仓明细标识类型
+/////////////////////////////////////////////////////////////////////////
+///普通持仓明细
+#define THOST_FTDC_SPOST_Common '#'
+///TAS合约成交产生的标的合约持仓明细
+#define THOST_FTDC_SPOST_Tas '0'
+
+typedef char TThostFtdcSpecPosiTypeType;
+
 /////////////////////////////////////////////////////////////////////////
 ///TFtdcPriceSourceType是一个成交价来源类型
 /////////////////////////////////////////////////////////////////////////
@@ -2510,6 +2550,10 @@ typedef char TThostFtdcClearbarchIDType[6];
 #define THOST_FTDC_UET_UpdatePassword '5'
 ///客户端认证
 #define THOST_FTDC_UET_Authenticate '6'
+///终端信息上报
+#define THOST_FTDC_UET_SubmitSysInfo '7'
+///转账
+#define THOST_FTDC_UET_Transfer '8'
 ///其他
 #define THOST_FTDC_UET_Other '9'
 
@@ -2711,11 +2755,6 @@ typedef char TThostFtdcAMLTradeDirectType[3];
 /////////////////////////////////////////////////////////////////////////
 typedef char TThostFtdcAMLTradeModelType[3];
 
-/////////////////////////////////////////////////////////////////////////
-///TFtdcAMLParamIDType是一个参数代码类型
-/////////////////////////////////////////////////////////////////////////
-typedef char TThostFtdcAMLParamIDType[21];
-
 /////////////////////////////////////////////////////////////////////////
 ///TFtdcAMLOpParamValueType是一个业务参数代码值类型
 /////////////////////////////////////////////////////////////////////////
@@ -6192,6 +6231,10 @@ typedef char TThostFtdcStrikeTimeType[13];
 #define THOST_FTDC_COMBT_PRT '5'
 ///时间价差组合
 #define THOST_FTDC_COMBT_CLD '6'
+///期权对锁组合
+#define THOST_FTDC_COMBT_OPL '7'
+///买备兑组合
+#define THOST_FTDC_COMBT_BFO '8'
 
 typedef char TThostFtdcCombinationTypeType;
 
@@ -6386,6 +6429,8 @@ typedef char TThostFtdcCFFEXUploadFileNameType;
 #define THOST_FTDC_CMDR_Comb '0'
 ///申请拆分
 #define THOST_FTDC_CMDR_UnComb '1'
+///操作员删组合单
+#define THOST_FTDC_CMDR_DelComb '2'
 
 typedef char TThostFtdcCombDirectionType;
 

vnpy/api/ctp/include/ctp/ThostFtdcUserApiStruct.h

@@ -150,6 +150,8 @@ struct CThostFtdcAuthenticationInfoField
 	TThostFtdcAppIDType	AppID;
 	///App类型
 	TThostFtdcAppTypeType	AppType;
+	///终端IP地址
+	TThostFtdcIPAddressType	ClientIPAddress;
 };
 
 ///用户登录应答2
@@ -812,6 +814,10 @@ struct CThostFtdcInvestorPositionField
 	TThostFtdcInvestUnitIDType	InvestUnitID;
 	///大商所持仓成本差值，只有大商所使用
 	TThostFtdcMoneyType	PositionCostOffset;
+	///tas持仓手数
+	TThostFtdcVolumeType	TasPosition;
+	///tas持仓成本
+	TThostFtdcMoneyType	TasPositionCost;
 };
 
 ///合约保证金率
@@ -2273,6 +2279,10 @@ struct CThostFtdcSyncingInvestorPositionField
 	TThostFtdcInvestUnitIDType	InvestUnitID;
 	///大商所持仓成本差值，只有大商所使用
 	TThostFtdcMoneyType	PositionCostOffset;
+	///tas持仓手数
+	TThostFtdcVolumeType	TasPosition;
+	///tas持仓成本
+	TThostFtdcMoneyType	TasPositionCost;
 };
 
 ///正在同步中的合约保证金率
@@ -4237,6 +4247,10 @@ struct CThostFtdcInputCombActionField
 	TThostFtdcMacAddressType	MacAddress;
 	///投资单元代码
 	TThostFtdcInvestUnitIDType	InvestUnitID;
+	///前置编号
+	TThostFtdcFrontIDType	FrontID;
+	///会话编号
+	TThostFtdcSessionIDType	SessionID;
 };
 
 ///申请组合
@@ -4977,6 +4991,10 @@ struct CThostFtdcSyncDelaySwapField
 	TThostFtdcCurrencyIDType	ToCurrencyID;
 	///目标金额
 	TThostFtdcMoneyType	ToAmount;
+	///是否手工换汇
+	TThostFtdcBoolType	IsManualSwap;
+	///是否将所有外币的剩余换汇额度设置为0
+	TThostFtdcBoolType	IsAllRemainSetZero;
 };
 
 ///查询延时换汇同步
@@ -5405,10 +5423,12 @@ struct CThostFtdcInvestorPositionDetailField
 	TThostFtdcVolumeType	CloseVolume;
 	///平仓金额
 	TThostFtdcMoneyType	CloseAmount;
-	///按照时间顺序平仓的笔数,大商所专用
+	///先开先平剩余数量（DCE）
 	TThostFtdcVolumeType	TimeFirstVolume;
 	///投资单元代码
 	TThostFtdcInvestUnitIDType	InvestUnitID;
+	///特殊持仓标志
+	TThostFtdcSpecPosiTypeType	SpecPosiType;
 };
 
 ///资金账户口令域
@@ -6835,6 +6855,43 @@ struct CThostFtdcQryBulletinField
 	TThostFtdcNewsUrgencyType	NewsUrgency;
 };
 
+///MulticastInstrument
+struct CThostFtdcMulticastInstrumentField
+{
+	///主题号
+	TThostFtdcInstallIDType	TopicID;
+	///合约代码
+	TThostFtdcInstrumentIDType	InstrumentID;
+	///合约编号
+	TThostFtdcInstallIDType	InstrumentNo;
+	///基准价
+	TThostFtdcPriceType	CodePrice;
+	///合约数量乘数
+	TThostFtdcVolumeMultipleType	VolumeMultiple;
+	///最小变动价位
+	TThostFtdcPriceType	PriceTick;
+};
+
+///QryMulticastInstrument
+struct CThostFtdcQryMulticastInstrumentField
+{
+	///主题号
+	TThostFtdcInstallIDType	TopicID;
+	///合约代码
+	TThostFtdcInstrumentIDType	InstrumentID;
+};
+
+///App客户端权限分配
+struct CThostFtdcAppIDAuthAssignField
+{
+	///经纪公司代码
+	TThostFtdcBrokerIDType	BrokerID;
+	///App代码
+	TThostFtdcAppIDType	AppID;
+	///交易中心代码
+	TThostFtdcDRIdentityIDType	DRIdentityID;
+};
+
 ///转帐开户请求
 struct CThostFtdcReqOpenAccountField
 {
@@ -9487,6 +9544,37 @@ struct CThostFtdcQueryFreqField
 	TThostFtdcQueryFreqType	QueryFreq;
 };
 
+///禁止认证IP
+struct CThostFtdcAuthForbiddenIPField
+{
+	///IP地址
+	TThostFtdcIPAddressType	IPAddress;
+};
+
+///查询禁止认证IP
+struct CThostFtdcQryAuthForbiddenIPField
+{
+	///IP地址
+	TThostFtdcIPAddressType	IPAddress;
+};
+
+///换汇可提冻结
+struct CThostFtdcSyncDelaySwapFrozenField
+{
+	///换汇流水号
+	TThostFtdcDepositSeqNoType	DelaySwapSeqNo;
+	///经纪公司代码
+	TThostFtdcBrokerIDType	BrokerID;
+	///投资者代码
+	TThostFtdcInvestorIDType	InvestorID;
+	///源币种
+	TThostFtdcCurrencyIDType	FromCurrencyID;
+	///源剩余换汇额度(可提冻结)
+	TThostFtdcMoneyType	FromRemainSwap;
+	///是否手工换汇
+	TThostFtdcBoolType	IsManualSwap;
+};
+
 
 
 #endif

vnpy/api/ctp/readme.md

@@ -0,0 +1,52 @@
+
+#总步骤
+
+    1、利用API头文件，生成数据结构和函数
+    2、使用pybind11封装pyd或so
+
+
+# 生成数据结构等映射py文件
+
+    1.生成数据类型
+    python generate_data_type.py
+    => 产生两个文件: ctp_typedef.py, ctp_constant.py
+    
+    2.生成数据结构
+    python generate_struct.py
+    => 产生文件: ctp_struct.py
+    
+    3.生成接口
+    python generate_api_functions.py
+    => 产生 ctp_md_*.cpp ctp_md_*.h, ctp_td_*.cpp, ctp_td_*.h
+
+# 6.3.15 升级6.3.19
+    
+    1.更新覆盖 ctp/include/ctp目录下的*.h文件
+    2.更新覆盖 ctp/libs目录下的 *.lib文件
+    3.更新覆盖 ctp目录下的 *.dll, *.so文件
+    4.在ctp/generator目录下，重新生成数据结构等映射文件
+    5.更新覆盖ctp目录下的 ctp_constant.py    
+    6.对比ctp/generator目录下的 ctp_md_*.h 文件，与 vnctp/vnctpmd/vnctpmd.h文件，增量更新常量、数据结构和函数名等代码
+    7.对比ctp/generator目录下的 ctp_md_*.cpp 文件，与 vnctp/vnctpmd/vnctpmd.cpp文件，增量更新函数等
+    8.对比ctp/generator目录下的 ctp_td_*.h 文件，与 vnctp/vnctptd/vnctptd.h文件，增量更新常量、数据结构和函数名等代码
+    9.对比ctp/generator目录下的 ctp_td_*.cpp 文件，与 vnctp/vnctptd/vnctptd.cpp文件，增量更新函数等
+    
+#windows 编译
+
+    1.vs 2019 打开vnctp/vnctp.sln解决方案文件
+    2.检查两个子项目的属性：
+     --头文件目录，包含python 3.7或者env目录下的include目录，ctp api的include目录，pybind11的include目录
+     --lib目录，主要是ctp/libs目录， python 3.7或env下的libs目录
+    3.使用release模式进行编译
+ 
+  
+ #linux编译
+    1. 复制so文件到ctp根目录，并改名
+       mv thostmduserapi_se.so libthostmduserapi_se.so 
+       mv thosttraderapi_se.so libthosttraderapi_se.so
+      在py37环境下运行
+      python setup.py build
+    2. 产生的so文件，复制改名至ctp/目录下
+    cp build/lib.linux-x86_64-3.7/vnctpmd.cpython-37m-x86_64-linux-gnu.so  vnctpmd.so 
+    cp build/lib.linux-x86_64-3.7/vnctptd.cpython-37m-x86_64-linux-gnu.so vnctptd.so
+

vnpy/api/ctp/vnctp/vnctpmd/vnctpmd.cpp

@@ -1,11 +1,11 @@
-// vnctpmd.cpp : 定义 DLL 应用程序的导出函数。
+// vnctpmd.cpp : <EFBFBD><EFBFBD><EFBFBD><EFBFBD> DLL Ӧ<>ó<EFBFBD><C3B3><EFBFBD>ĵ<EFBFBD><C4B5><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
 //
 
 #include "vnctpmd.h"
 
 
 ///-------------------------------------------------------------------------------------
-///C++的回调函数将数据保存到队列中
+///C++<EFBFBD>Ļص<EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ݱ<EFBFBD><EFBFBD>浽<EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
 ///-------------------------------------------------------------------------------------
 
 void MdApi::OnFrontConnected()
@@ -73,6 +73,27 @@ void MdApi::OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRs
 	this->task_queue.push(task);
 };
 
+void MdApi::OnRspQryMulticastInstrument(CThostFtdcMulticastInstrumentField *pMulticastInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYMULTICASTINSTRUMENT;
+	if (pMulticastInstrument)
+	{
+		CThostFtdcMulticastInstrumentField *task_data = new CThostFtdcMulticastInstrumentField();
+		*task_data = *pMulticastInstrument;
+		task.task_data = task_data;
+	}
+	if (pRspInfo)
+	{
+		CThostFtdcRspInfoField *task_error = new CThostFtdcRspInfoField();
+		*task_error = *pRspInfo;
+		task.task_error = task_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
 void MdApi::OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
 {
 	Task task = Task();
@@ -201,7 +222,7 @@ void MdApi::OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp)
 
 
 ///-------------------------------------------------------------------------------------
-///工作线程从队列中取出数据，转化为python对象后，进行推送
+///<EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>̴߳Ӷ<EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ȡ<EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ݣ<EFBFBD>ת<EFBFBD><EFBFBD>Ϊpython<EFBFBD><EFBFBD><EFBFBD><EFBFBD>󣬽<EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
 ///-------------------------------------------------------------------------------------
 
 void MdApi::processTask()
@@ -211,7 +232,7 @@ void MdApi::processTask()
         while (this->active)
         {
             Task task = this->task_queue.pop();
-            
+
             switch (task.task_name)
             {
             case ONFRONTCONNECTED:
@@ -244,6 +265,12 @@ void MdApi::processTask()
                 break;
             }
 
+            case ONRSPQRYMULTICASTINSTRUMENT:
+            {
+                this->processRspQryMulticastInstrument(&task);
+                break;
+            }
+
             case ONRSPERROR:
             {
                 this->processRspError(&task);
@@ -366,6 +393,32 @@ void MdApi::processRspUserLogout(Task *task)
 	this->onRspUserLogout(data, error, task->task_id, task->task_last);
 };
 
+void MdApi::processRspQryMulticastInstrument(Task *task)
+{
+	gil_scoped_acquire acquire;
+	dict data;
+	if (task->task_data)
+	{
+		CThostFtdcMulticastInstrumentField *task_data = (CThostFtdcMulticastInstrumentField*)task->task_data;
+		data["TopicID"] = task_data->TopicID;
+		data["InstrumentID"] = toUtf(task_data->InstrumentID);
+		data["InstrumentNo"] = task_data->InstrumentNo;
+		data["CodePrice"] = task_data->CodePrice;
+		data["VolumeMultiple"] = task_data->VolumeMultiple;
+		data["PriceTick"] = task_data->PriceTick;
+		delete task->task_data;
+	}
+	dict error;
+	if (task->task_error)
+	{
+		CThostFtdcRspInfoField *task_error = (CThostFtdcRspInfoField*)task->task_error;
+		error["ErrorID"] = task_error->ErrorID;
+		error["ErrorMsg"] = toUtf(task_error->ErrorMsg);
+		delete task_error;
+	}
+	this->onRspQryMulticastInstrument(data, error, task->task_id, task->task_last);
+};
+
 void MdApi::processRspError(Task *task)
 {
 	gil_scoped_acquire acquire;
@@ -539,7 +592,7 @@ void MdApi::processRtnForQuoteRsp(Task *task)
 };
 
 ///-------------------------------------------------------------------------------------
-///主动函数
+///<EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
 ///-------------------------------------------------------------------------------------
 
 void MdApi::createFtdcMdApi(string pszFlowPath)
@@ -637,6 +690,7 @@ int MdApi::reqUserLogin(const dict &req, int reqid)
 	getString(req, "OneTimePassword", myreq.OneTimePassword);
 	getString(req, "ClientIPAddress", myreq.ClientIPAddress);
 	getString(req, "LoginRemark", myreq.LoginRemark);
+	getInt(req, "ClientIPPort", &myreq.ClientIPPort);
 	int i = this->api->ReqUserLogin(&myreq, reqid);
 	return i;
 };
@@ -651,9 +705,18 @@ int MdApi::reqUserLogout(const dict &req, int reqid)
 	return i;
 };
 
+int MdApi::reqQryMulticastInstrument(const dict &req, int reqid)
+{
+	CThostFtdcQryMulticastInstrumentField myreq = CThostFtdcQryMulticastInstrumentField();
+	memset(&myreq, 0, sizeof(myreq));
+	getInt(req, "TopicID", &myreq.TopicID);
+	getString(req, "InstrumentID", myreq.InstrumentID);
+	int i = this->api->ReqQryMulticastInstrument(&myreq, reqid);
+	return i;
+};
 
 ///-------------------------------------------------------------------------------------
-///Boost.Python封装
+///Boost.Python<EFBFBD><EFBFBD>װ
 ///-------------------------------------------------------------------------------------
 
 class PyMdApi: public MdApi
@@ -721,6 +784,17 @@ public:
 		}
 	};
 
+    void onRspQryMulticastInstrument(const dict &data, const dict &error, int reqid, bool last) override
+    {
+        try
+        {
+            PYBIND11_OVERLOAD(void, MdApi, onRspQryMulticastInstrument, data, error, reqid, last);
+        }
+        catch (const error_already_set &e)
+        {
+            cout << e.what() << endl;
+        }
+    };
 	void onRspError(const dict &error, int reqid, bool last) override
 	{
 		try
@@ -825,12 +899,13 @@ PYBIND11_MODULE(vnctpmd, m)
 		.def("unSubscribeForQuoteRsp", &MdApi::unSubscribeForQuoteRsp)
 		.def("reqUserLogin", &MdApi::reqUserLogin)
 		.def("reqUserLogout", &MdApi::reqUserLogout)
-
+        .def("reqQryMulticastInstrument", &MdApi::reqQryMulticastInstrument)
 		.def("onFrontConnected", &MdApi::onFrontConnected)
 		.def("onFrontDisconnected", &MdApi::onFrontDisconnected)
 		.def("onHeartBeatWarning", &MdApi::onHeartBeatWarning)
 		.def("onRspUserLogin", &MdApi::onRspUserLogin)
 		.def("onRspUserLogout", &MdApi::onRspUserLogout)
+		.def("onRspQryMulticastInstrument", &MdApi::onRspQryMulticastInstrument)
 		.def("onRspError", &MdApi::onRspError)
 		.def("onRspSubMarketData", &MdApi::onRspSubMarketData)
 		.def("onRspUnSubMarketData", &MdApi::onRspUnSubMarketData)

vnpy/api/ctp/vnctp/vnctpmd/vnctpmd.h

@@ -16,13 +16,14 @@ using namespace pybind11;
 #define ONHEARTBEATWARNING 2
 #define ONRSPUSERLOGIN 3
 #define ONRSPUSERLOGOUT 4
-#define ONRSPERROR 5
+#define ONRSPQRYMULTICASTINSTRUMENT 5
-#define ONRSPSUBMARKETDATA 6
+#define ONRSPERROR 6
-#define ONRSPUNSUBMARKETDATA 7
+#define ONRSPSUBMARKETDATA 7
-#define ONRSPSUBFORQUOTERSP 8
+#define ONRSPUNSUBMARKETDATA 8
-#define ONRSPUNSUBFORQUOTERSP 9
+#define ONRSPSUBFORQUOTERSP 9
-#define ONRTNDEPTHMARKETDATA 10
+#define ONRSPUNSUBFORQUOTERSP 10
-#define ONRTNFORQUOTERSP 11
+#define ONRTNDEPTHMARKETDATA 11
+#define ONRTNFORQUOTERSP 12
 
 
 ///-------------------------------------------------------------------------------------
@@ -78,6 +79,9 @@ public:
 	///µÇ³öÇëÇóÏìÓ¦
 	virtual void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) ;
 
+	/// ×é²¥ºÏÔ¼·µ»Ø
+    virtual void OnRspQryMulticastInstrument(CThostFtdcMulticastInstrumentField *pMulticastInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
 	///´íÎóÓ¦´ð
 	virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) ;
 
@@ -115,6 +119,8 @@ public:
 
 	void processRspUserLogout(Task *task);
 
+    void processRspQryMulticastInstrument(Task *task);
+
 	void processRspError(Task *task);
 
 	void processRspSubMarketData(Task *task);
@@ -148,6 +154,8 @@ public:
 
 	virtual void onRspUserLogout(const dict &data, const dict &error, int reqid, bool last) {};
 
+    virtual void onRspQryMulticastInstrument(const dict &data, const dict &error, int reqid, bool last) {};
+
 	virtual void onRspError(const dict &error, int reqid, bool last) {};
 
 	virtual void onRspSubMarketData(const dict &data, const dict &error, int reqid, bool last) {};
@@ -191,4 +199,6 @@ public:
 	int reqUserLogin(const dict &req, int reqid);
 
 	int reqUserLogout(const dict &req, int reqid);
+
+	int reqQryMulticastInstrument(const dict &req, int reqid);
 };

vnpy/api/ctp/vnctp/vnctpmd/vnctpmd.vcxproj

@@ -23,7 +23,7 @@
     <ProjectGuid>{F00054FF-282F-4826-848E-D58BFB9E9D9F}</ProjectGuid>
     <Keyword>Win32Proj</Keyword>
     <RootNamespace>vnctpmd</RootNamespace>
-    <WindowsTargetPlatformVersion>10.0.17134.0</WindowsTargetPlatformVersion>
+    <WindowsTargetPlatformVersion>10.0.17763.0</WindowsTargetPlatformVersion>
   </PropertyGroup>
   <Import Project="$(VCTargetsPath)\Microsoft.Cpp.Default.props" />
   <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'" Label="Configuration">
@@ -88,16 +88,16 @@
     <LinkIncremental>false</LinkIncremental>
     <TargetExt>.pyd</TargetExt>
     <IncludePath>C:\Python37\include;$(SolutionDir);$(SolutionDir)..\include;$(SolutionDir)..\include\ctp;$(IncludePath)</IncludePath>
-    <ReferencePath>C:\GitHub\vnpy\vnpy\api\ctp\ctpapi;$(ReferencePath)</ReferencePath>
+    <ReferencePath>C:\GitHub\msincenselee\vnpy\api\ctp;$(ReferencePath)</ReferencePath>
     <LibraryPath>C:\Python37\libs;$(SolutionDir)..\libs;$(LibraryPath)</LibraryPath>
     <OutDir>$(SolutionDir)..\</OutDir>
   </PropertyGroup>
   <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release|x64'">
     <LinkIncremental>false</LinkIncremental>
-    <IncludePath>C:\Miniconda3\include;$(SolutionDir);$(SolutionDir)..\include;$(SolutionDir)..\include\ctp;$(IncludePath)</IncludePath>
+    <IncludePath>C:\Users\incen\AppData\Local\conda\conda\envs\py37\include;$(SolutionDir);$(SolutionDir)..\include;$(SolutionDir)..\include\pybind11;$(SolutionDir)..\include\ctp;$(IncludePath)</IncludePath>
     <ReferencePath>$(ReferencePath)</ReferencePath>
     <TargetExt>.pyd</TargetExt>
-    <LibraryPath>C:\Miniconda3\libs;$(SolutionDir)..\libs;$(LibraryPath)</LibraryPath>
+    <LibraryPath>C:\Users\incen\AppData\Local\conda\conda\envs\py37\libs;$(SolutionDir)..\libs;$(LibraryPath)</LibraryPath>
     <OutDir>$(SolutionDir)..\</OutDir>
   </PropertyGroup>
   <ItemDefinitionGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'">
@@ -170,7 +170,7 @@
       <EnableCOMDATFolding>true</EnableCOMDATFolding>
       <OptimizeReferences>true</OptimizeReferences>
       <GenerateDebugInformation>true</GenerateDebugInformation>
-      <AdditionalLibraryDirectories>C:\GitHub\vnpy\vnpy\api\ctp\libs;C:\Miniconda3\libs;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
+      <AdditionalLibraryDirectories>C:\GitHub\msincenselee\vnpy\api\ctp\libs;C:\Users\incen\AppData\Local\conda\conda\envs\py37\libs;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
       <AdditionalDependencies>thostmduserapi_se.lib;thosttraderapi_se.lib;%(AdditionalDependencies)</AdditionalDependencies>
     </Link>
   </ItemDefinitionGroup>
@@ -197,4 +197,4 @@
   <Import Project="$(VCTargetsPath)\Microsoft.Cpp.targets" />
   <ImportGroup Label="ExtensionTargets">
   </ImportGroup>
-</Project>
+</Project>

vnpy/api/ctp/vnctp/vnctptd/vnctptd.cpp

@@ -1,11 +1,11 @@
-// vnctpmd.cpp : 定义 DLL 应用程序的导出函数。
+// vnctpmd.cpp : <EFBFBD><EFBFBD><EFBFBD><EFBFBD> DLL Ӧ<>ó<EFBFBD><C3B3><EFBFBD>ĵ<EFBFBD><C4B5><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
 //
 
 #include "vnctptd.h"
 
 
 ///-------------------------------------------------------------------------------------
-///C++的回调函数将数据保存到队列中
+///C++<EFBFBD>Ļص<EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ݱ<EFBFBD><EFBFBD>浽<EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
 ///-------------------------------------------------------------------------------------
 
 void TdApi::OnFrontConnected()
@@ -2349,7 +2349,7 @@ void TdApi::OnRtnChangeAccountByBank(CThostFtdcChangeAccountField *pChangeAccoun
 
 
 ///-------------------------------------------------------------------------------------
-///工作线程从队列中取出数据，转化为python对象后，进行推送
+///<EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>̴߳Ӷ<EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ȡ<EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>ݣ<EFBFBD>ת<EFBFBD><EFBFBD>Ϊpython<EFBFBD><EFBFBD><EFBFBD><EFBFBD>󣬽<EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
 ///-------------------------------------------------------------------------------------
 
 void TdApi::processTask()
@@ -3927,6 +3927,8 @@ void TdApi::processRspCombActionInsert(Task *task)
 		data["IPAddress"] = toUtf(task_data->IPAddress);
 		data["MacAddress"] = toUtf(task_data->MacAddress);
 		data["InvestUnitID"] = toUtf(task_data->InvestUnitID);
+		data["FrontID"] = task_data->FrontID;
+		data["SessionID"] = task_data->SessionID;
 		delete task_data;
 	}
 	dict error;
@@ -4127,6 +4129,9 @@ void TdApi::processRspQryInvestorPosition(Task *task)
 		data["ExchangeID"] = toUtf(task_data->ExchangeID);
 		data["YdStrikeFrozen"] = task_data->YdStrikeFrozen;
 		data["InvestUnitID"] = toUtf(task_data->InvestUnitID);
+		data["PositionCostOffset"] = task_data->PositionCostOffset;
+		data["TasPosition"] = task_data->TasPosition;
+		data["TasPositionCost"] = task_data->TasPositionCost;
 		delete task_data;
 	}
 	dict error;
@@ -4596,7 +4601,9 @@ void TdApi::processRspQryInvestorPositionDetail(Task *task)
 		data["SettlementPrice"] = task_data->SettlementPrice;
 		data["CloseVolume"] = task_data->CloseVolume;
 		data["CloseAmount"] = task_data->CloseAmount;
+		data["TimeFirstVolume"] = task_data->TimeFirstVolume;
 		data["InvestUnitID"] = toUtf(task_data->InvestUnitID);
+		data["SpecPosiType"] = task_data->SpecPosiType;
 		delete task_data;
 	}
 	dict error;
@@ -6635,6 +6642,8 @@ void TdApi::processErrRtnCombActionInsert(Task *task)
 		data["IPAddress"] = toUtf(task_data->IPAddress);
 		data["MacAddress"] = toUtf(task_data->MacAddress);
 		data["InvestUnitID"] = toUtf(task_data->InvestUnitID);
+		data["FrontID"] = task_data->FrontID;
+		data["SessionID"] = task_data->SessionID;
 		delete task_data;
 	}
 	dict error;
@@ -8237,7 +8246,7 @@ void TdApi::processRtnChangeAccountByBank(Task *task)
 
 
 ///-------------------------------------------------------------------------------------
-///主动函数
+///<EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD><EFBFBD>
 ///-------------------------------------------------------------------------------------
 
 void TdApi::createFtdcTraderApi(string pszFlowPath)
@@ -8859,6 +8868,8 @@ int TdApi::reqCombActionInsert(const dict &req, int reqid)
 	getString(req, "IPAddress", myreq.IPAddress);
 	getString(req, "MacAddress", myreq.MacAddress);
 	getString(req, "InvestUnitID", myreq.InvestUnitID);
+	getInt(req, "FrontID", &myreq.FrontID);
+	getInt(req, "SessionID", &myreq.SessionID);
 	int i = this->api->ReqCombActionInsert(&myreq, reqid);
 	return i;
 };
@@ -9636,14 +9647,14 @@ int TdApi::reqQueryBankAccountMoneyByFuture(const dict &req, int reqid)
 
 
 ///-------------------------------------------------------------------------------------
-///Boost.Python封装
+///Boost.Python<EFBFBD><EFBFBD>װ
 ///-------------------------------------------------------------------------------------
 
 class PyTdApi : public TdApi
 {
 public:
     using TdApi::TdApi;
-    
+
 	void onFrontConnected() override
 	{
 		try

vnpy/api/ctp/vnctp/vnctptd/vnctptd.vcxproj

@@ -23,7 +23,7 @@
     <ProjectGuid>{016732E6-5789-4F7C-9A1C-C46A249080CF}</ProjectGuid>
     <Keyword>Win32Proj</Keyword>
     <RootNamespace>vnctptd</RootNamespace>
-    <WindowsTargetPlatformVersion>10.0.17134.0</WindowsTargetPlatformVersion>
+    <WindowsTargetPlatformVersion>10.0.17763.0</WindowsTargetPlatformVersion>
   </PropertyGroup>
   <Import Project="$(VCTargetsPath)\Microsoft.Cpp.Default.props" />
   <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'" Label="Configuration">
@@ -94,8 +94,8 @@
   <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release|x64'">
     <LinkIncremental>false</LinkIncremental>
     <TargetExt>.pyd</TargetExt>
-    <IncludePath>C:\Miniconda3\include;$(SolutionDir);$(SolutionDir)..\include;$(SolutionDir)..\include\ctp;$(IncludePath)</IncludePath>
+    <IncludePath>C:\ProgramData\Miniconda3\include;$(SolutionDir);$(SolutionDir)..\include;$(SolutionDir)..\include\ctp;$(IncludePath)</IncludePath>
-    <LibraryPath>C:\Miniconda3\libs;$(SolutionDir)..\libs;$(LibraryPath)</LibraryPath>
+    <LibraryPath>C:\ProgramData\Miniconda3\libs;$(SolutionDir)..\libs;$(LibraryPath)</LibraryPath>
     <OutDir>$(SolutionDir)..\</OutDir>
   </PropertyGroup>
   <ItemDefinitionGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'">
@@ -168,7 +168,7 @@
       <EnableCOMDATFolding>true</EnableCOMDATFolding>
       <OptimizeReferences>true</OptimizeReferences>
       <GenerateDebugInformation>true</GenerateDebugInformation>
-      <AdditionalLibraryDirectories>C:\Miniconda3\libs;C:\GitHub\vnpy\vnpy\api\ctp\libs;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
+      <AdditionalLibraryDirectories>C:\Users\incen\AppData\Local\conda\conda\envs\py37\libs;C:\GitHub\msincenselee\vnpy\api\ctp\libs;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
       <AdditionalDependencies>thostmduserapi_se.lib;thosttraderapi_se.lib;%(AdditionalDependencies)</AdditionalDependencies>
     </Link>
   </ItemDefinitionGroup>