初步完成了LTS API的行情MD和交易TD封装，以及MD的测试脚本，LTS API版本20150115

.gitignore

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+# C++源代码
+ipch/
+Release/
+
+*.sdf
+*.sln
+*.suo
+*.exp
+*.pdb
+*.filters
+*.vcxproj
+*.cd
+
+# Python编译文件
+*.pyc
+
+# WingIDE文件
+*.wpr
+*.wpu
+
+# 压缩文件
+*.zip
+
+# API的.con文件
+*.con

vn.lts/ltsapi/SecurityFtdcMdApi.h

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+/////////////////////////////////////////////////////////////////////////
+///@company shanghai liber information Technology Co.,Ltd
+///@file SecurityFtdcMdApi.h
+///@brief 定义客户端接口
+/////////////////////////////////////////////////////////////////////////
+
+#if !defined(SECURITY_FTDCMDAPI_H)
+#define SECURITY_FTDCMDAPI_H
+
+#if _MSC_VER > 1000
+#pragma once
+#endif // _MSC_VER > 1000
+
+#include "SecurityFtdcUserApiStruct.h"
+
+#if defined(ISLIB) && defined(WIN32)
+#ifdef LIB_MD_API_EXPORT
+#define MD_API_EXPORT __declspec(dllexport)
+#else
+#define MD_API_EXPORT __declspec(dllimport)
+#endif
+#else
+#define MD_API_EXPORT 
+#endif
+
+class CSecurityFtdcMdSpi
+{
+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(){};
+	
+	///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){};
+		
+	///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){};
+	
+
+	///错误应答
+	virtual void OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///登录请求响应
+	virtual void OnRspUserLogin(CSecurityFtdcRspUserLoginField *pRspUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///登出请求响应
+	virtual void OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///订阅行情应答
+	virtual void OnRspSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///取消订阅行情应答
+	virtual void OnRspUnSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///深度行情通知
+	virtual void OnRtnDepthMarketData(CSecurityFtdcDepthMarketDataField *pDepthMarketData) {};
+};
+
+#ifndef WINDOWS
+	#if __GNUC__ >= 4
+		#pragma GCC visibility push(default)
+	#endif
+#endif
+
+class MD_API_EXPORT CSecurityFtdcMdApi
+{
+public:
+	///创建MdApi
+	///@param pszFlowPath 存贮订阅信息文件的目录，默认为当前目录
+	///@return 创建出的UserApi
+	///modify for udp marketdata
+	static CSecurityFtdcMdApi *CreateFtdcMdApi(const char *pszFlowPath = "");
+	
+	///删除接口对象本身
+	///@remark 不再使用本接口对象时,调用该函数删除接口对象
+	virtual void Release() = 0;
+	
+	///初始化
+	///@remark 初始化运行环境,只有调用后,接口才开始工作
+	virtual void Init() = 0;
+	
+	///等待接口线程结束运行
+	///@return 线程退出代码
+	virtual int Join() = 0;
+	
+	///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
+	virtual const char *GetTradingDay() = 0;
+	
+	///注册前置机网络地址
+	///@param pszFrontAddress：前置机网络地址。
+	///@remark 网络地址的格式为：“protocol://ipaddress:port”，如：”tcp://127.0.0.1:17001”。 
+	///@remark “tcp”代表传输协议，“127.0.0.1”代表服务器地址。”17001”代表服务器端口号。
+	virtual void RegisterFront(char *pszFrontAddress) = 0;
+	
+	///注册回调接口
+	///@param pSpi 派生自回调接口类的实例
+	virtual void RegisterSpi(CSecurityFtdcMdSpi *pSpi) = 0;
+	
+	///订阅行情。
+	///@param ppInstrumentID 合约ID  
+	///@param nCount 要订阅/退订行情的合约个数
+	///@remark 
+	virtual int SubscribeMarketData(char *ppInstrumentID[], int nCount, char* pExchageID) = 0;
+
+	///退订行情。
+	///@param ppInstrumentID 合约ID  
+	///@param nCount 要订阅/退订行情的合约个数
+	///@remark 
+	virtual int UnSubscribeMarketData(char *ppInstrumentID[], int nCount, char* pExchageID) = 0;
+
+	///用户登录请求
+	virtual int ReqUserLogin(CSecurityFtdcReqUserLoginField *pReqUserLoginField, int nRequestID) = 0;
+	
+
+	///登出请求
+	virtual int ReqUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, int nRequestID) = 0;
+protected:
+	~CSecurityFtdcMdApi(){};
+};
+
+#ifndef WINDOWS
+	#if __GNUC__ >= 4
+		#pragma GCC visibility pop
+	#endif
+#endif
+
+#endif

vn.lts/ltsapi/SecurityFtdcTraderApi.h

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+/////////////////////////////////////////////////////////////////////////
+///@company shanghai liber information Technology Co.,Ltd
+///@file SecurityFtdcTraderApi.h
+///@brief 定义客户端接口
+/////////////////////////////////////////////////////////////////////////
+
+#if !defined(SECURITY_FTDCTRADERAPI_H)
+#define SECURITY_FTDCTRADERAPI_H
+
+#if _MSC_VER > 1000
+#pragma once
+#endif // _MSC_VER > 1000
+
+#include "SecurityFtdcUserApiStruct.h"
+
+#if defined(ISLIB) && defined(WIN32)
+#ifdef LIB_TRADER_API_EXPORT
+#define TRADER_API_EXPORT __declspec(dllexport)
+#else
+#define TRADER_API_EXPORT __declspec(dllimport)
+#endif
+#else
+#define TRADER_API_EXPORT 
+#endif
+
+class CSecurityFtdcTraderSpi
+{
+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(){};
+	
+	///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){};
+		
+	///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){};	
+
+	///错误应答
+	virtual void OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///登录请求响应
+	virtual void OnRspUserLogin(CSecurityFtdcRspUserLoginField *pRspUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///登出请求响应
+	virtual void OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///报单录入请求响应
+	virtual void OnRspOrderInsert(CSecurityFtdcInputOrderField *pInputOrder, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///报单操作请求响应
+	virtual void OnRspOrderAction(CSecurityFtdcInputOrderActionField *pInputOrderAction, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///用户口令更新请求响应
+	virtual void OnRspUserPasswordUpdate(CSecurityFtdcUserPasswordUpdateField *pUserPasswordUpdate, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///资金账户口令更新请求响应
+	virtual void OnRspTradingAccountPasswordUpdate(CSecurityFtdcTradingAccountPasswordUpdateField *pTradingAccountPasswordUpdate, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询交易所响应
+	virtual void OnRspQryExchange(CSecurityFtdcExchangeField *pExchange, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询合约响应
+	virtual void OnRspQryInstrument(CSecurityFtdcInstrumentField *pInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询投资者响应
+	virtual void OnRspQryInvestor(CSecurityFtdcInvestorField *pInvestor, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询交易编码响应
+	virtual void OnRspQryTradingCode(CSecurityFtdcTradingCodeField *pTradingCode, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询资金账户响应
+	virtual void OnRspQryTradingAccount(CSecurityFtdcTradingAccountField *pTradingAccount, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询行情响应
+	virtual void OnRspQryDepthMarketData(CSecurityFtdcDepthMarketDataField *pDepthMarketData, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询债券利息响应
+	virtual void OnRspQryBondInterest(CSecurityFtdcBondInterestField *pBondInterest, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询市值配售信息响应
+	virtual void OnRspQryMarketRationInfo(CSecurityFtdcMarketRationInfoField *pMarketRationInfo, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询合约手续费率响应
+	virtual void OnRspQryInstrumentCommissionRate(CSecurityFtdcInstrumentCommissionRateField *pInstrumentCommissionRate, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询ETF合约响应
+	virtual void OnRspQryETFInstrument(CSecurityFtdcETFInstrumentField *pETFInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询ETF股票篮响应
+	virtual void OnRspQryETFBasket(CSecurityFtdcETFBasketField *pETFBasket, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询OF合约响应
+	virtual void OnRspQryOFInstrument(CSecurityFtdcOFInstrumentField *pOFInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询SF合约响应
+	virtual void OnRspQrySFInstrument(CSecurityFtdcSFInstrumentField *pSFInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询报单响应
+	virtual void OnRspQryOrder(CSecurityFtdcOrderField *pOrder, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询成交响应
+	virtual void OnRspQryTrade(CSecurityFtdcTradeField *pTrade, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询投资者持仓响应
+	virtual void OnRspQryInvestorPosition(CSecurityFtdcInvestorPositionField *pInvestorPosition, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///报单通知
+	virtual void OnRtnOrder(CSecurityFtdcOrderField *pOrder) {};
+
+	///成交通知
+	virtual void OnRtnTrade(CSecurityFtdcTradeField *pTrade) {};
+
+	///报单录入错误回报
+	virtual void OnErrRtnOrderInsert(CSecurityFtdcInputOrderField *pInputOrder, CSecurityFtdcRspInfoField *pRspInfo) {};
+
+	///报单操作错误回报
+	virtual void OnErrRtnOrderAction(CSecurityFtdcOrderActionField *pOrderAction, CSecurityFtdcRspInfoField *pRspInfo) {};
+
+	///Liber发起出金应答
+	virtual void OnRspFundOutByLiber(CSecurityFtdcInputFundTransferField *pInputFundTransfer, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///Liber发起出金通知
+	virtual void OnRtnFundOutByLiber(CSecurityFtdcFundTransferField *pFundTransfer) {};
+
+	///Liber发起出金错误回报
+	virtual void OnErrRtnFundOutByLiber(CSecurityFtdcInputFundTransferField *pInputFundTransfer, CSecurityFtdcRspInfoField *pRspInfo) {};
+
+	///银行发起入金通知
+	virtual void OnRtnFundInByBank(CSecurityFtdcFundTransferField *pFundTransfer) {};
+
+	///资金转账查询应答
+	virtual void OnRspQryFundTransferSerial(CSecurityFtdcFundTransferField *pFundTransfer, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///资金内转应答
+	virtual void OnRspFundInterTransfer(CSecurityFtdcFundInterTransferField *pFundInterTransfer, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///资金内转流水查询应答
+	virtual void OnRspQryFundInterTransferSerial(CSecurityFtdcFundInterTransferSerialField *pFundInterTransferSerial, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///资金内转流水通知
+	virtual void OnRtnFundInterTransferSerial(CSecurityFtdcFundInterTransferSerialField *pFundInterTransferSerial) {};
+
+	///资金内转错误回报
+	virtual void OnErrRtnFundInterTransfer(CSecurityFtdcFundInterTransferField *pFundInterTransfer, CSecurityFtdcRspInfoField *pRspInfo) {};
+};
+
+#ifndef WINDOWS
+	#if __GNUC__ >= 4
+		#pragma GCC visibility push(default)
+	#endif
+#endif
+
+class TRADER_API_EXPORT CSecurityFtdcTraderApi
+{
+public:
+	///创建TraderApi
+	///@param pszFlowPath 存贮订阅信息文件的目录，默认为当前目录
+	///@return 创建出的UserApi
+	static CSecurityFtdcTraderApi *CreateFtdcTraderApi(const char *pszFlowPath = "");
+	
+	///删除接口对象本身
+	///@remark 不再使用本接口对象时,调用该函数删除接口对象
+	virtual void Release() = 0;
+	
+	///初始化
+	///@remark 初始化运行环境,只有调用后,接口才开始工作
+	virtual void Init() = 0;
+	
+	///等待接口线程结束运行
+	///@return 线程退出代码
+	virtual int Join() = 0;
+	
+	///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
+	virtual const char *GetTradingDay() = 0;
+	
+	///注册前置机网络地址
+	///@param pszFrontAddress：前置机网络地址。
+	///@remark 网络地址的格式为：“protocol://ipaddress:port”，如：”tcp://127.0.0.1:17001”。 
+	///@remark “tcp”代表传输协议，“127.0.0.1”代表服务器地址。”17001”代表服务器端口号。
+	virtual void RegisterFront(char *pszFrontAddress) = 0;
+	
+	///注册回调接口
+	///@param pSpi 派生自回调接口类的实例
+	virtual void RegisterSpi(CSecurityFtdcTraderSpi *pSpi) = 0;
+	
+	///订阅私有流。
+	///@param nResumeType 私有流重传方式  
+	///        SECURITY_TERT_RESTART:从本交易日开始重传
+	///        SECURITY_TERT_RESUME:从上次收到的续传
+	///        SECURITY_TERT_QUICK:只传送登录后私有流的内容
+	///@remark 该方法要在Init方法前调用。若不调用则不会收到私有流的数据。
+	virtual void SubscribePrivateTopic(SECURITY_TE_RESUME_TYPE nResumeType) = 0;
+	
+	///订阅公共流。
+	///@param nResumeType 公共流重传方式  
+	///        SECURITY_TERT_RESTART:从本交易日开始重传
+	///        SECURITY_TERT_RESUME:从上次收到的续传
+	///        SECURITY_TERT_QUICK:只传送登录后公共流的内容
+	///@remark 该方法要在Init方法前调用。若不调用则不会收到公共流的数据。
+	virtual void SubscribePublicTopic(SECURITY_TE_RESUME_TYPE nResumeType) = 0;
+
+	///用户登录请求
+	virtual int ReqUserLogin(CSecurityFtdcReqUserLoginField *pReqUserLoginField, int nRequestID) = 0;
+	
+
+	///登出请求
+	virtual int ReqUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, int nRequestID) = 0;
+
+	///报单录入请求
+	virtual int ReqOrderInsert(CSecurityFtdcInputOrderField *pInputOrder, int nRequestID) = 0;
+
+	///报单操作请求
+	virtual int ReqOrderAction(CSecurityFtdcInputOrderActionField *pInputOrderAction, int nRequestID) = 0;
+
+	///用户口令更新请求
+	virtual int ReqUserPasswordUpdate(CSecurityFtdcUserPasswordUpdateField *pUserPasswordUpdate, int nRequestID) = 0;
+
+	///资金账户口令更新请求
+	virtual int ReqTradingAccountPasswordUpdate(CSecurityFtdcTradingAccountPasswordUpdateField *pTradingAccountPasswordUpdate, int nRequestID) = 0;
+
+	///请求查询交易所
+	virtual int ReqQryExchange(CSecurityFtdcQryExchangeField *pQryExchange, int nRequestID) = 0;
+
+	///请求查询合约
+	virtual int ReqQryInstrument(CSecurityFtdcQryInstrumentField *pQryInstrument, int nRequestID) = 0;
+
+	///请求查询投资者
+	virtual int ReqQryInvestor(CSecurityFtdcQryInvestorField *pQryInvestor, int nRequestID) = 0;
+
+	///请求查询交易编码
+	virtual int ReqQryTradingCode(CSecurityFtdcQryTradingCodeField *pQryTradingCode, int nRequestID) = 0;
+
+	///请求查询资金账户
+	virtual int ReqQryTradingAccount(CSecurityFtdcQryTradingAccountField *pQryTradingAccount, int nRequestID) = 0;
+
+	///请求查询行情
+	virtual int ReqQryDepthMarketData(CSecurityFtdcQryDepthMarketDataField *pQryDepthMarketData, int nRequestID) = 0;
+
+	///请求查询债券利息
+	virtual int ReqQryBondInterest(CSecurityFtdcQryBondInterestField *pQryBondInterest, int nRequestID) = 0;
+
+	///请求查询市值配售信息
+	virtual int ReqQryMarketRationInfo(CSecurityFtdcQryMarketRationInfoField *pQryMarketRationInfo, int nRequestID) = 0;
+
+	///请求查询合约手续费率
+	virtual int ReqQryInstrumentCommissionRate(CSecurityFtdcQryInstrumentCommissionRateField *pQryInstrumentCommissionRate, int nRequestID) = 0;
+
+	///请求查询ETF合约
+	virtual int ReqQryETFInstrument(CSecurityFtdcQryETFInstrumentField *pQryETFInstrument, int nRequestID) = 0;
+
+	///请求查询ETF股票篮
+	virtual int ReqQryETFBasket(CSecurityFtdcQryETFBasketField *pQryETFBasket, int nRequestID) = 0;
+
+	///请求查询OF合约
+	virtual int ReqQryOFInstrument(CSecurityFtdcQryOFInstrumentField *pQryOFInstrument, int nRequestID) = 0;
+
+	///请求查询SF合约
+	virtual int ReqQrySFInstrument(CSecurityFtdcQrySFInstrumentField *pQrySFInstrument, int nRequestID) = 0;
+
+	///请求查询报单
+	virtual int ReqQryOrder(CSecurityFtdcQryOrderField *pQryOrder, int nRequestID) = 0;
+
+	///请求查询成交
+	virtual int ReqQryTrade(CSecurityFtdcQryTradeField *pQryTrade, int nRequestID) = 0;
+
+	///请求查询投资者持仓
+	virtual int ReqQryInvestorPosition(CSecurityFtdcQryInvestorPositionField *pQryInvestorPosition, int nRequestID) = 0;
+
+	///Liber发起出金请求
+	virtual int ReqFundOutByLiber(CSecurityFtdcInputFundTransferField *pInputFundTransfer, int nRequestID) = 0;
+
+	///资金转账查询请求
+	virtual int ReqQryFundTransferSerial(CSecurityFtdcQryFundTransferSerialField *pQryFundTransferSerial, int nRequestID) = 0;
+
+	///资金内转请求
+	virtual int ReqFundInterTransfer(CSecurityFtdcFundInterTransferField *pFundInterTransfer, int nRequestID) = 0;
+
+	///资金内转流水查询请求
+	virtual int ReqQryFundInterTransferSerial(CSecurityFtdcQryFundInterTransferSerialField *pQryFundInterTransferSerial, int nRequestID) = 0;
+protected:
+	~CSecurityFtdcTraderApi(){};
+};
+  
+#ifndef WINDOWS
+	#if __GNUC__ >= 4
+		#pragma GCC visibility pop
+	#endif
+#endif
+
+#endif

vn.lts/pyscript/SecurityFtdcMdApi.h

@@ -0,0 +1,135 @@
+/////////////////////////////////////////////////////////////////////////
+///@company shanghai liber information Technology Co.,Ltd
+///@file SecurityFtdcMdApi.h
+///@brief 定义客户端接口
+/////////////////////////////////////////////////////////////////////////
+
+#if !defined(SECURITY_FTDCMDAPI_H)
+#define SECURITY_FTDCMDAPI_H
+
+#if _MSC_VER > 1000
+#pragma once
+#endif // _MSC_VER > 1000
+
+#include "SecurityFtdcUserApiStruct.h"
+
+#if defined(ISLIB) && defined(WIN32)
+#ifdef LIB_MD_API_EXPORT
+#define MD_API_EXPORT __declspec(dllexport)
+#else
+#define MD_API_EXPORT __declspec(dllimport)
+#endif
+#else
+#define MD_API_EXPORT 
+#endif
+
+class CSecurityFtdcMdSpi
+{
+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(){};
+	
+	///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){};
+		
+	///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){};
+	
+
+	///错误应答
+	virtual void OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///登录请求响应
+	virtual void OnRspUserLogin(CSecurityFtdcRspUserLoginField *pRspUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///登出请求响应
+	virtual void OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///订阅行情应答
+	virtual void OnRspSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///取消订阅行情应答
+	virtual void OnRspUnSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///深度行情通知
+	virtual void OnRtnDepthMarketData(CSecurityFtdcDepthMarketDataField *pDepthMarketData) {};
+};
+
+#ifndef WINDOWS
+	#if __GNUC__ >= 4
+		#pragma GCC visibility push(default)
+	#endif
+#endif
+
+class MD_API_EXPORT CSecurityFtdcMdApi
+{
+public:
+	///创建MdApi
+	///@param pszFlowPath 存贮订阅信息文件的目录，默认为当前目录
+	///@return 创建出的UserApi
+	///modify for udp marketdata
+	static CSecurityFtdcMdApi *CreateFtdcMdApi(const char *pszFlowPath = "");
+	
+	///删除接口对象本身
+	///@remark 不再使用本接口对象时,调用该函数删除接口对象
+	virtual void Release() = 0;
+	
+	///初始化
+	///@remark 初始化运行环境,只有调用后,接口才开始工作
+	virtual void Init() = 0;
+	
+	///等待接口线程结束运行
+	///@return 线程退出代码
+	virtual int Join() = 0;
+	
+	///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
+	virtual const char *GetTradingDay() = 0;
+	
+	///注册前置机网络地址
+	///@param pszFrontAddress：前置机网络地址。
+	///@remark 网络地址的格式为：“protocol://ipaddress:port”，如：”tcp://127.0.0.1:17001”。 
+	///@remark “tcp”代表传输协议，“127.0.0.1”代表服务器地址。”17001”代表服务器端口号。
+	virtual void RegisterFront(char *pszFrontAddress) = 0;
+	
+	///注册回调接口
+	///@param pSpi 派生自回调接口类的实例
+	virtual void RegisterSpi(CSecurityFtdcMdSpi *pSpi) = 0;
+	
+	///订阅行情。
+	///@param ppInstrumentID 合约ID  
+	///@param nCount 要订阅/退订行情的合约个数
+	///@remark 
+	virtual int SubscribeMarketData(char *ppInstrumentID[], int nCount, char* pExchageID) = 0;
+
+	///退订行情。
+	///@param ppInstrumentID 合约ID  
+	///@param nCount 要订阅/退订行情的合约个数
+	///@remark 
+	virtual int UnSubscribeMarketData(char *ppInstrumentID[], int nCount, char* pExchageID) = 0;
+
+	///用户登录请求
+	virtual int ReqUserLogin(CSecurityFtdcReqUserLoginField *pReqUserLoginField, int nRequestID) = 0;
+	
+
+	///登出请求
+	virtual int ReqUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, int nRequestID) = 0;
+protected:
+	~CSecurityFtdcMdApi(){};
+};
+
+#ifndef WINDOWS
+	#if __GNUC__ >= 4
+		#pragma GCC visibility pop
+	#endif
+#endif
+
+#endif

vn.lts/pyscript/SecurityFtdcTraderApi.h

@@ -0,0 +1,299 @@
+/////////////////////////////////////////////////////////////////////////
+///@company shanghai liber information Technology Co.,Ltd
+///@file SecurityFtdcTraderApi.h
+///@brief 定义客户端接口
+/////////////////////////////////////////////////////////////////////////
+
+#if !defined(SECURITY_FTDCTRADERAPI_H)
+#define SECURITY_FTDCTRADERAPI_H
+
+#if _MSC_VER > 1000
+#pragma once
+#endif // _MSC_VER > 1000
+
+#include "SecurityFtdcUserApiStruct.h"
+
+#if defined(ISLIB) && defined(WIN32)
+#ifdef LIB_TRADER_API_EXPORT
+#define TRADER_API_EXPORT __declspec(dllexport)
+#else
+#define TRADER_API_EXPORT __declspec(dllimport)
+#endif
+#else
+#define TRADER_API_EXPORT 
+#endif
+
+class CSecurityFtdcTraderSpi
+{
+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(){};
+	
+	///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){};
+		
+	///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){};	
+
+	///错误应答
+	virtual void OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///登录请求响应
+	virtual void OnRspUserLogin(CSecurityFtdcRspUserLoginField *pRspUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///登出请求响应
+	virtual void OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///报单录入请求响应
+	virtual void OnRspOrderInsert(CSecurityFtdcInputOrderField *pInputOrder, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///报单操作请求响应
+	virtual void OnRspOrderAction(CSecurityFtdcInputOrderActionField *pInputOrderAction, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///用户口令更新请求响应
+	virtual void OnRspUserPasswordUpdate(CSecurityFtdcUserPasswordUpdateField *pUserPasswordUpdate, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///资金账户口令更新请求响应
+	virtual void OnRspTradingAccountPasswordUpdate(CSecurityFtdcTradingAccountPasswordUpdateField *pTradingAccountPasswordUpdate, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询交易所响应
+	virtual void OnRspQryExchange(CSecurityFtdcExchangeField *pExchange, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询合约响应
+	virtual void OnRspQryInstrument(CSecurityFtdcInstrumentField *pInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询投资者响应
+	virtual void OnRspQryInvestor(CSecurityFtdcInvestorField *pInvestor, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询交易编码响应
+	virtual void OnRspQryTradingCode(CSecurityFtdcTradingCodeField *pTradingCode, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询资金账户响应
+	virtual void OnRspQryTradingAccount(CSecurityFtdcTradingAccountField *pTradingAccount, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询行情响应
+	virtual void OnRspQryDepthMarketData(CSecurityFtdcDepthMarketDataField *pDepthMarketData, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询债券利息响应
+	virtual void OnRspQryBondInterest(CSecurityFtdcBondInterestField *pBondInterest, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询市值配售信息响应
+	virtual void OnRspQryMarketRationInfo(CSecurityFtdcMarketRationInfoField *pMarketRationInfo, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询合约手续费率响应
+	virtual void OnRspQryInstrumentCommissionRate(CSecurityFtdcInstrumentCommissionRateField *pInstrumentCommissionRate, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询ETF合约响应
+	virtual void OnRspQryETFInstrument(CSecurityFtdcETFInstrumentField *pETFInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询ETF股票篮响应
+	virtual void OnRspQryETFBasket(CSecurityFtdcETFBasketField *pETFBasket, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询OF合约响应
+	virtual void OnRspQryOFInstrument(CSecurityFtdcOFInstrumentField *pOFInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询SF合约响应
+	virtual void OnRspQrySFInstrument(CSecurityFtdcSFInstrumentField *pSFInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询报单响应
+	virtual void OnRspQryOrder(CSecurityFtdcOrderField *pOrder, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询成交响应
+	virtual void OnRspQryTrade(CSecurityFtdcTradeField *pTrade, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///请求查询投资者持仓响应
+	virtual void OnRspQryInvestorPosition(CSecurityFtdcInvestorPositionField *pInvestorPosition, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///报单通知
+	virtual void OnRtnOrder(CSecurityFtdcOrderField *pOrder) {};
+
+	///成交通知
+	virtual void OnRtnTrade(CSecurityFtdcTradeField *pTrade) {};
+
+	///报单录入错误回报
+	virtual void OnErrRtnOrderInsert(CSecurityFtdcInputOrderField *pInputOrder, CSecurityFtdcRspInfoField *pRspInfo) {};
+
+	///报单操作错误回报
+	virtual void OnErrRtnOrderAction(CSecurityFtdcOrderActionField *pOrderAction, CSecurityFtdcRspInfoField *pRspInfo) {};
+
+	///Liber发起出金应答
+	virtual void OnRspFundOutByLiber(CSecurityFtdcInputFundTransferField *pInputFundTransfer, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///Liber发起出金通知
+	virtual void OnRtnFundOutByLiber(CSecurityFtdcFundTransferField *pFundTransfer) {};
+
+	///Liber发起出金错误回报
+	virtual void OnErrRtnFundOutByLiber(CSecurityFtdcInputFundTransferField *pInputFundTransfer, CSecurityFtdcRspInfoField *pRspInfo) {};
+
+	///银行发起入金通知
+	virtual void OnRtnFundInByBank(CSecurityFtdcFundTransferField *pFundTransfer) {};
+
+	///资金转账查询应答
+	virtual void OnRspQryFundTransferSerial(CSecurityFtdcFundTransferField *pFundTransfer, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///资金内转应答
+	virtual void OnRspFundInterTransfer(CSecurityFtdcFundInterTransferField *pFundInterTransfer, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///资金内转流水查询应答
+	virtual void OnRspQryFundInterTransferSerial(CSecurityFtdcFundInterTransferSerialField *pFundInterTransferSerial, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///资金内转流水通知
+	virtual void OnRtnFundInterTransferSerial(CSecurityFtdcFundInterTransferSerialField *pFundInterTransferSerial) {};
+
+	///资金内转错误回报
+	virtual void OnErrRtnFundInterTransfer(CSecurityFtdcFundInterTransferField *pFundInterTransfer, CSecurityFtdcRspInfoField *pRspInfo) {};
+};
+
+#ifndef WINDOWS
+	#if __GNUC__ >= 4
+		#pragma GCC visibility push(default)
+	#endif
+#endif
+
+class TRADER_API_EXPORT CSecurityFtdcTraderApi
+{
+public:
+	///创建TraderApi
+	///@param pszFlowPath 存贮订阅信息文件的目录，默认为当前目录
+	///@return 创建出的UserApi
+	static CSecurityFtdcTraderApi *CreateFtdcTraderApi(const char *pszFlowPath = "");
+	
+	///删除接口对象本身
+	///@remark 不再使用本接口对象时,调用该函数删除接口对象
+	virtual void Release() = 0;
+	
+	///初始化
+	///@remark 初始化运行环境,只有调用后,接口才开始工作
+	virtual void Init() = 0;
+	
+	///等待接口线程结束运行
+	///@return 线程退出代码
+	virtual int Join() = 0;
+	
+	///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
+	virtual const char *GetTradingDay() = 0;
+	
+	///注册前置机网络地址
+	///@param pszFrontAddress：前置机网络地址。
+	///@remark 网络地址的格式为：“protocol://ipaddress:port”，如：”tcp://127.0.0.1:17001”。 
+	///@remark “tcp”代表传输协议，“127.0.0.1”代表服务器地址。”17001”代表服务器端口号。
+	virtual void RegisterFront(char *pszFrontAddress) = 0;
+	
+	///注册回调接口
+	///@param pSpi 派生自回调接口类的实例
+	virtual void RegisterSpi(CSecurityFtdcTraderSpi *pSpi) = 0;
+	
+	///订阅私有流。
+	///@param nResumeType 私有流重传方式  
+	///        SECURITY_TERT_RESTART:从本交易日开始重传
+	///        SECURITY_TERT_RESUME:从上次收到的续传
+	///        SECURITY_TERT_QUICK:只传送登录后私有流的内容
+	///@remark 该方法要在Init方法前调用。若不调用则不会收到私有流的数据。
+	virtual void SubscribePrivateTopic(SECURITY_TE_RESUME_TYPE nResumeType) = 0;
+	
+	///订阅公共流。
+	///@param nResumeType 公共流重传方式  
+	///        SECURITY_TERT_RESTART:从本交易日开始重传
+	///        SECURITY_TERT_RESUME:从上次收到的续传
+	///        SECURITY_TERT_QUICK:只传送登录后公共流的内容
+	///@remark 该方法要在Init方法前调用。若不调用则不会收到公共流的数据。
+	virtual void SubscribePublicTopic(SECURITY_TE_RESUME_TYPE nResumeType) = 0;
+
+	///用户登录请求
+	virtual int ReqUserLogin(CSecurityFtdcReqUserLoginField *pReqUserLoginField, int nRequestID) = 0;
+	
+
+	///登出请求
+	virtual int ReqUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, int nRequestID) = 0;
+
+	///报单录入请求
+	virtual int ReqOrderInsert(CSecurityFtdcInputOrderField *pInputOrder, int nRequestID) = 0;
+
+	///报单操作请求
+	virtual int ReqOrderAction(CSecurityFtdcInputOrderActionField *pInputOrderAction, int nRequestID) = 0;
+
+	///用户口令更新请求
+	virtual int ReqUserPasswordUpdate(CSecurityFtdcUserPasswordUpdateField *pUserPasswordUpdate, int nRequestID) = 0;
+
+	///资金账户口令更新请求
+	virtual int ReqTradingAccountPasswordUpdate(CSecurityFtdcTradingAccountPasswordUpdateField *pTradingAccountPasswordUpdate, int nRequestID) = 0;
+
+	///请求查询交易所
+	virtual int ReqQryExchange(CSecurityFtdcQryExchangeField *pQryExchange, int nRequestID) = 0;
+
+	///请求查询合约
+	virtual int ReqQryInstrument(CSecurityFtdcQryInstrumentField *pQryInstrument, int nRequestID) = 0;
+
+	///请求查询投资者
+	virtual int ReqQryInvestor(CSecurityFtdcQryInvestorField *pQryInvestor, int nRequestID) = 0;
+
+	///请求查询交易编码
+	virtual int ReqQryTradingCode(CSecurityFtdcQryTradingCodeField *pQryTradingCode, int nRequestID) = 0;
+
+	///请求查询资金账户
+	virtual int ReqQryTradingAccount(CSecurityFtdcQryTradingAccountField *pQryTradingAccount, int nRequestID) = 0;
+
+	///请求查询行情
+	virtual int ReqQryDepthMarketData(CSecurityFtdcQryDepthMarketDataField *pQryDepthMarketData, int nRequestID) = 0;
+
+	///请求查询债券利息
+	virtual int ReqQryBondInterest(CSecurityFtdcQryBondInterestField *pQryBondInterest, int nRequestID) = 0;
+
+	///请求查询市值配售信息
+	virtual int ReqQryMarketRationInfo(CSecurityFtdcQryMarketRationInfoField *pQryMarketRationInfo, int nRequestID) = 0;
+
+	///请求查询合约手续费率
+	virtual int ReqQryInstrumentCommissionRate(CSecurityFtdcQryInstrumentCommissionRateField *pQryInstrumentCommissionRate, int nRequestID) = 0;
+
+	///请求查询ETF合约
+	virtual int ReqQryETFInstrument(CSecurityFtdcQryETFInstrumentField *pQryETFInstrument, int nRequestID) = 0;
+
+	///请求查询ETF股票篮
+	virtual int ReqQryETFBasket(CSecurityFtdcQryETFBasketField *pQryETFBasket, int nRequestID) = 0;
+
+	///请求查询OF合约
+	virtual int ReqQryOFInstrument(CSecurityFtdcQryOFInstrumentField *pQryOFInstrument, int nRequestID) = 0;
+
+	///请求查询SF合约
+	virtual int ReqQrySFInstrument(CSecurityFtdcQrySFInstrumentField *pQrySFInstrument, int nRequestID) = 0;
+
+	///请求查询报单
+	virtual int ReqQryOrder(CSecurityFtdcQryOrderField *pQryOrder, int nRequestID) = 0;
+
+	///请求查询成交
+	virtual int ReqQryTrade(CSecurityFtdcQryTradeField *pQryTrade, int nRequestID) = 0;
+
+	///请求查询投资者持仓
+	virtual int ReqQryInvestorPosition(CSecurityFtdcQryInvestorPositionField *pQryInvestorPosition, int nRequestID) = 0;
+
+	///Liber发起出金请求
+	virtual int ReqFundOutByLiber(CSecurityFtdcInputFundTransferField *pInputFundTransfer, int nRequestID) = 0;
+
+	///资金转账查询请求
+	virtual int ReqQryFundTransferSerial(CSecurityFtdcQryFundTransferSerialField *pQryFundTransferSerial, int nRequestID) = 0;
+
+	///资金内转请求
+	virtual int ReqFundInterTransfer(CSecurityFtdcFundInterTransferField *pFundInterTransfer, int nRequestID) = 0;
+
+	///资金内转流水查询请求
+	virtual int ReqQryFundInterTransferSerial(CSecurityFtdcQryFundInterTransferSerialField *pQryFundInterTransferSerial, int nRequestID) = 0;
+protected:
+	~CSecurityFtdcTraderApi(){};
+};
+  
+#ifndef WINDOWS
+	#if __GNUC__ >= 4
+		#pragma GCC visibility pop
+	#endif
+#endif
+
+#endif

vn.lts/pyscript/generate_data_type.py

@@ -0,0 +1,98 @@
+# encoding: UTF-8
+
+__author__ = 'CHENXY'
+
+# C++和python类型的映射字典
+type_dict = {
+    'int': 'int',
+    'char': 'string',
+    'double': 'float',
+    'short': 'int'
+}
+
+
+def process_line(line):
+    """处理每行"""
+    if '///' in line:           # 注释
+        py_line = process_comment(line)
+    elif 'typedef' in line:     # 类型申明
+        py_line = process_typedef(line)
+    elif '#define' in line:     # 定义常量
+        py_line = process_define(line)
+    elif line == '\n':          # 空行
+        py_line = line
+    else:
+        py_line = ''
+
+    return py_line
+
+
+def process_comment(line):
+    """处理注释"""
+    # if line[3] == '/':
+    #     py_line = ''
+    # else:
+    #     py_line = '#' + line[3:]
+    py_line = '#' + line[3:]
+    return py_line
+
+
+def process_typedef(line):
+    """处理类型申明"""
+    content = line.split(' ')
+    type_ = type_dict[content[1]]
+
+    keyword = content[2]
+    if '[' in keyword:
+        i = keyword.index('[')
+        keyword = keyword[:i]
+    else:
+        keyword = keyword.replace(';\n', '')  # 删除行末分号
+
+    py_line = 'typedefDict["%s"] = "%s"\n' % (keyword, type_)
+
+    return py_line
+
+
+def process_define(line):
+    """处理定义常量"""
+    content = line.split(' ')
+    constant = content[1]
+
+    if len(content)>2:
+        value = content[-1]
+        py_line = 'defineDict["%s"] = %s' % (constant, value)
+    else:
+        py_line = ''
+
+    return py_line
+
+
+def main():
+    """主函数"""
+    try:
+        fcpp = open('SecurityFtdcUserApiDataType.h','r')
+        fpy = open('lts_data_type.py', 'w')
+
+        fpy.write('# encoding: UTF-8\n')
+        fpy.write('\n')
+        fpy.write('defineDict = {}\n')
+        fpy.write('typedefDict = {}\n')
+        fpy.write('\n')
+
+        for line in fcpp:
+            py_line = process_line(line)
+            if py_line:
+                fpy.write(py_line.decode('gbk').encode('utf-8'))
+
+        fcpp.close()
+        fpy.close()
+
+        print u'data_type.py生成过程完成'
+    except:
+        print u'data_type.py生成过程出错'
+
+
+if __name__ == '__main__':
+    main()
+

vn.lts/pyscript/generate_md_functions.py

@@ -0,0 +1,207 @@
+# encoding: UTF-8
+
+__author__ = 'CHENXY'
+
+from string import join
+from lts_struct import structDict
+
+
+
+def processCallBack(line):
+    orignalLine = line
+    line = line.replace('\tvirtual void ', '')      # 删除行首的无效内容
+    line = line.replace('{};\n', '')                # 删除行尾的无效内容
+
+    content = line.split('(')
+    cbName = content[0]                             # 回调函数名称
+
+    cbArgs = content[1]                             # 回调函数参数
+    if cbArgs[-1] == ' ':
+        cbArgs = cbArgs.replace(') ', '')
+    else:
+        cbArgs = cbArgs.replace(')', '')
+
+    cbArgsList = cbArgs.split(', ')                 # 将每个参数转化为列表
+
+    cbArgsTypeList = []
+    cbArgsValueList = []
+
+    for arg in cbArgsList:                          # 开始处理参数
+        content = arg.split(' ')
+        if len(content) > 1:
+            cbArgsTypeList.append(content[0])           # 参数类型列表
+            cbArgsValueList.append(content[1])          # 参数数据列表
+
+    createTask(cbName, cbArgsTypeList, cbArgsValueList, orignalLine)
+    createProcess(cbName, cbArgsTypeList, cbArgsValueList)
+
+
+def createTask(cbName, cbArgsTypeList, cbArgsValueList, orignalLine):
+    # 从回调函数生成任务对象，并放入队列
+    funcline = orignalLine.replace('\tvirtual void ', 'void ' + apiName + '::')
+    funcline = funcline.replace('{};', '')
+
+    ftask.write(funcline)
+    ftask.write('{\n')
+    ftask.write("\tTask task = Task();\n")
+
+    ftask.write("\ttask.task_name = " + cbName.upper() + ";\n")
+
+    # define常量
+    global define_count
+    fdefine.write("#define " + cbName.upper() + ' ' + str(define_count) + '\n')
+    define_count = define_count + 1
+
+    # switch段代码
+    fswitch.write("case " + cbName.upper() + ':\n')
+    fswitch.write("{\n")
+    fswitch.write("\tthis->" + cbName.replace('On', 'process') + '(task);\n')
+    fswitch.write("\tbreak;\n")
+    fswitch.write("}\n")
+    fswitch.write("\n")
+
+    for i, type_ in enumerate(cbArgsTypeList):
+        if type_ == 'int':
+            ftask.write("\ttask.task_id = " + cbArgsValueList[i] + ";\n")
+        elif type_ == 'bool':
+            ftask.write("\ttask.task_last = " + cbArgsValueList[i] + ";\n")
+        elif 'RspInfoField' in type_:
+            ftask.write("\tif (pRspInfo)\n")
+            ftask.write("\t{\n")
+            ftask.write("\t\ttask.task_error = " + cbArgsValueList[i] + ";\n")
+            ftask.write("\t}\n")
+            ftask.write("\telse\n")
+            ftask.write("\t{\n")
+            ftask.write("\t\tCSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();\n")
+            ftask.write("\t\tmemset(&empty_error, 0, sizeof(empty_error));\n")
+            ftask.write("\t\ttask.task_error = empty_error;\n")
+            ftask.write("\t}\n")
+        else:
+            ftask.write("\ttask.task_data = " + cbArgsValueList[i] + ";\n")
+
+    ftask.write("\tthis->task_queue.push(task);\n")
+    ftask.write("};\n")
+    ftask.write("\n")
+
+
+def createProcess(cbName, cbArgsTypeList, cbArgsValueList):
+    # 从队列中提取任务，并转化为python字典
+    fprocess.write("void " + apiName + '::' + cbName.replace('On', 'process') + '(Task task)' + "\n")
+    fprocess.write("{\n")
+
+    onArgsList = []
+
+    for i, type_ in enumerate(cbArgsTypeList):
+        if 'RspInfoField' in type_:
+            fprocess.write("\t"+ type_ + ' task_error = any_cast<' + type_ + '>(task.task_error);\n')
+            fprocess.write("\t"+ "dict error;\n")
+
+            struct = structDict[type_]
+            for key in struct.keys():
+                fprocess.write("\t"+ 'error["' + key + '"] = task_error.' + key + ';\n')
+
+            fprocess.write("\n")
+
+            onArgsList.append('error')
+
+        elif type_ in structDict:
+            fprocess.write("\t"+ type_ + ' task_data = any_cast<' + type_ + '>(task.task_data);\n')
+            fprocess.write("\t"+ "dict data;\n")
+
+            struct = structDict[type_]
+            for key in struct.keys():
+                fprocess.write("\t"+ 'data["' + key + '"] = task_data.' + key + ';\n')
+
+            fprocess.write("\n")
+
+            onArgsList.append('data')
+
+        elif type_ == 'bool':
+            onArgsList.append('task.task_last')
+
+        elif type_ == 'int':
+            onArgsList.append('task.task_id')
+
+    onArgs = join(onArgsList, ', ')
+    fprocess.write('\tthis->' + cbName.replace('On', 'on') + '(' + onArgs +');\n')
+
+    fprocess.write("};\n")
+    fprocess.write("\n")
+
+
+def processFunction(line):
+    line = line.replace('\tvirtual int ', '')       # 删除行首的无效内容
+    line = line.replace(') = 0;\n', '')                # 删除行尾的无效内容
+
+    content = line.split('(')
+    fcName = content[0]                             # 回调函数名称
+
+    fcArgs = content[1]                             # 回调函数参数
+    fcArgs = fcArgs.replace(')', '')
+
+    fcArgsList = fcArgs.split(', ')                 # 将每个参数转化为列表
+
+    fcArgsTypeList = []
+    fcArgsValueList = []
+
+    for arg in fcArgsList:                          # 开始处理参数
+        content = arg.split(' ')
+        if len(content) > 1:
+            fcArgsTypeList.append(content[0])           # 参数类型列表
+            fcArgsValueList.append(content[1])          # 参数数据列表
+
+    if len(fcArgsTypeList)>0 and fcArgsTypeList[0] in structDict:
+        createFunction(fcName, fcArgsTypeList, fcArgsValueList)
+
+
+def createFunction(fcName, fcArgsTypeList, fcArgsValueList):
+    type_ = fcArgsTypeList[0]
+    struct = structDict[type_]
+
+    ffunction.write(fcName + '\n')
+    ffunction.write('{\n')
+    ffunction.write('\t' + type_ +' myreq = ' + type_ + '();\n')
+    ffunction.write('\tmemset(&myreq, 0, sizeof(myreq));\n')
+
+    for key, value in struct.items():
+        if value == 'string':
+            line = '\tgetChar(req, "' + key + '", myreq.' + key + ');\n'
+        elif value == 'int':
+            line = '\tgetInt(req, "' + key + '", &myreq.' + key + ');\n'
+        elif value == 'double':
+            line = '\tgetDouble(req, "' + key + '", &myreq.' + key + ');\n'
+        ffunction.write(line)
+
+    ffunction.write('\tint i = this->api->' + fcName + '(&myreq, nRequestID);\n')
+    ffunction.write('\treturn i;\n')
+
+    ffunction.write('};\n')
+    ffunction.write('\n')
+
+
+
+
+#########################################################
+apiName = 'MdApi'
+
+fcpp = open('SecurityFtdcMdApi.h', 'r')
+ftask = open('lts_md_task.cpp', 'w')
+fprocess = open('lts_md_process.cpp', 'w')
+ffunction = open('lts_md_function.cpp', 'w')
+fdefine = open('lts_md_define.cpp', 'w')
+fswitch = open('lts_md_switch.cpp', 'w')
+
+define_count = 1
+
+for line in fcpp:
+    if "\tvirtual void On" in line:
+        processCallBack(line)
+    elif "\tvirtual int" in line:
+        processFunction(line)
+
+fcpp.close()
+ftask.close()
+fprocess.close()
+ffunction.close()
+fswitch.close()
+fdefine.close()

vn.lts/pyscript/generate_struct.py

@@ -0,0 +1,56 @@
+# encoding: UTF-8
+
+__author__ = 'CHENXY'
+
+from lts_data_type import *
+
+def main():
+    """主函数"""
+    fcpp = open('SecurityFtdcUserApiStruct.h', 'r')
+    fpy = open('lts_struct.py', 'w')
+
+    fpy.write('# encoding: UTF-8\n')
+    fpy.write('\n')
+    fpy.write('structDict = {}\n')
+    fpy.write('\n')
+
+    for line in fcpp:
+        # 结构体申明注释
+        if '///' in line and '\t' not in line:
+            py_line = '#' + line[3:]
+
+        # 结构体变量注释
+        elif '\t///' in line:
+            py_line = '#' + line[4:]
+
+        # 结构体申明
+        elif 'struct' in line:
+            content = line.split(' ')
+            name = content[1].replace('\n','')
+            py_line = '%s = {}\n' % name
+
+        # 结构体变量
+        elif '\t' in line:
+            content = line.split('\t')
+            typedef = content[1]
+            type_ = typedefDict[typedef]
+            variable = content[2].replace(';\n', "")
+            py_line = '%s["%s"] = "%s"\n' % (name, variable, type_)
+
+        # 结构体结束
+        elif '}' in line:
+            py_line = "structDict['%s'] = %s\n\n" % (name, name)
+
+        # 结构体开始
+        elif '{' in line:
+            py_line = ''
+
+        # 其他
+        else:
+            py_line = '\n'
+
+        fpy.write(py_line.decode('gbk').encode('utf-8'))
+
+
+if __name__ == '__main__':
+    main()

vn.lts/pyscript/generate_td_functions.py

@@ -0,0 +1,207 @@
+# encoding: UTF-8
+
+__author__ = 'CHENXY'
+
+from string import join
+from lts_struct import structDict
+
+
+
+def processCallBack(line):
+    orignalLine = line
+    line = line.replace('\tvirtual void ', '')      # 删除行首的无效内容
+    line = line.replace('{};\n', '')                # 删除行尾的无效内容
+
+    content = line.split('(')
+    cbName = content[0]                             # 回调函数名称
+
+    cbArgs = content[1]                             # 回调函数参数
+    if cbArgs[-1] == ' ':
+        cbArgs = cbArgs.replace(') ', '')
+    else:
+        cbArgs = cbArgs.replace(')', '')
+
+    cbArgsList = cbArgs.split(', ')                 # 将每个参数转化为列表
+
+    cbArgsTypeList = []
+    cbArgsValueList = []
+
+    for arg in cbArgsList:                          # 开始处理参数
+        content = arg.split(' ')
+        if len(content) > 1:
+            cbArgsTypeList.append(content[0])           # 参数类型列表
+            cbArgsValueList.append(content[1])          # 参数数据列表
+
+    createTask(cbName, cbArgsTypeList, cbArgsValueList, orignalLine)
+    createProcess(cbName, cbArgsTypeList, cbArgsValueList)
+
+
+def createTask(cbName, cbArgsTypeList, cbArgsValueList, orignalLine):
+    # 从回调函数生成任务对象，并放入队列
+    funcline = orignalLine.replace('\tvirtual void ', 'void ' + apiName + '::')
+    funcline = funcline.replace('{};', '')
+
+    ftask.write(funcline)
+    ftask.write('{\n')
+    ftask.write("\tTask task = Task();\n")
+
+    ftask.write("\ttask.task_name = " + cbName.upper() + ";\n")
+
+    # define常量
+    global define_count
+    fdefine.write("#define " + cbName.upper() + ' ' + str(define_count) + '\n')
+    define_count = define_count + 1
+
+    # switch段代码
+    fswitch.write("case " + cbName.upper() + ':\n')
+    fswitch.write("{\n")
+    fswitch.write("\tthis->" + cbName.replace('On', 'process') + '(task);\n')
+    fswitch.write("\tbreak;\n")
+    fswitch.write("}\n")
+    fswitch.write("\n")
+
+    for i, type_ in enumerate(cbArgsTypeList):
+        if type_ == 'int':
+            ftask.write("\ttask.task_id = " + cbArgsValueList[i] + ";\n")
+        elif type_ == 'bool':
+            ftask.write("\ttask.task_last = " + cbArgsValueList[i] + ";\n")
+        elif 'RspInfoField' in type_:
+            ftask.write("\tif (pRspInfo)\n")
+            ftask.write("\t{\n")
+            ftask.write("\t\ttask.task_error = " + cbArgsValueList[i] + ";\n")
+            ftask.write("\t}\n")
+            ftask.write("\telse\n")
+            ftask.write("\t{\n")
+            ftask.write("\t\tCSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();\n")
+            ftask.write("\t\tmemset(&empty_error, 0, sizeof(empty_error));\n")
+            ftask.write("\t\ttask.task_error = empty_error;\n")
+            ftask.write("\t}\n")
+        else:
+            ftask.write("\ttask.task_data = " + cbArgsValueList[i] + ";\n")
+
+    ftask.write("\tthis->task_queue.push(task);\n")
+    ftask.write("};\n")
+    ftask.write("\n")
+
+
+def createProcess(cbName, cbArgsTypeList, cbArgsValueList):
+    # 从队列中提取任务，并转化为python字典
+    fprocess.write("void " + apiName + '::' + cbName.replace('On', 'process') + '(Task task)' + "\n")
+    fprocess.write("{\n")
+
+    onArgsList = []
+
+    for i, type_ in enumerate(cbArgsTypeList):
+        if 'RspInfoField' in type_:
+            fprocess.write("\t"+ type_ + ' task_error = any_cast<' + type_ + '>(task.task_error);\n')
+            fprocess.write("\t"+ "dict error;\n")
+
+            struct = structDict[type_]
+            for key in struct.keys():
+                fprocess.write("\t"+ 'error["' + key + '"] = task_error.' + key + ';\n')
+
+            fprocess.write("\n")
+
+            onArgsList.append('error')
+
+        elif type_ in structDict:
+            fprocess.write("\t"+ type_ + ' task_data = any_cast<' + type_ + '>(task.task_data);\n')
+            fprocess.write("\t"+ "dict data;\n")
+
+            struct = structDict[type_]
+            for key in struct.keys():
+                fprocess.write("\t"+ 'data["' + key + '"] = task_data.' + key + ';\n')
+
+            fprocess.write("\n")
+
+            onArgsList.append('data')
+
+        elif type_ == 'bool':
+            onArgsList.append('task.task_last')
+
+        elif type_ == 'int':
+            onArgsList.append('task.task_id')
+
+    onArgs = join(onArgsList, ', ')
+    fprocess.write('\tthis->' + cbName.replace('On', 'on') + '(' + onArgs +');\n')
+
+    fprocess.write("};\n")
+    fprocess.write("\n")
+
+
+def processFunction(line):
+    line = line.replace('\tvirtual int ', '')       # 删除行首的无效内容
+    line = line.replace(') = 0;\n', '')                # 删除行尾的无效内容
+
+    content = line.split('(')
+    fcName = content[0]                             # 回调函数名称
+
+    fcArgs = content[1]                             # 回调函数参数
+    fcArgs = fcArgs.replace(')', '')
+
+    fcArgsList = fcArgs.split(', ')                 # 将每个参数转化为列表
+
+    fcArgsTypeList = []
+    fcArgsValueList = []
+
+    for arg in fcArgsList:                          # 开始处理参数
+        content = arg.split(' ')
+        if len(content) > 1:
+            fcArgsTypeList.append(content[0])           # 参数类型列表
+            fcArgsValueList.append(content[1])          # 参数数据列表
+
+    if len(fcArgsTypeList)>0 and fcArgsTypeList[0] in structDict:
+        createFunction(fcName, fcArgsTypeList, fcArgsValueList)
+
+
+def createFunction(fcName, fcArgsTypeList, fcArgsValueList):
+    type_ = fcArgsTypeList[0]
+    struct = structDict[type_]
+
+    ffunction.write(fcName + '\n')
+    ffunction.write('{\n')
+    ffunction.write('\t' + type_ +' myreq = ' + type_ + '();\n')
+    ffunction.write('\tmemset(&myreq, 0, sizeof(myreq));\n')
+
+    for key, value in struct.items():
+        if value == 'string':
+            line = '\tgetChar(req, "' + key + '", myreq.' + key + ');\n'
+        elif value == 'int':
+            line = '\tgetInt(req, "' + key + '", &myreq.' + key + ');\n'
+        elif value == 'double':
+            line = '\tgetDouble(req, "' + key + '", &myreq.' + key + ');\n'
+        ffunction.write(line)
+
+    ffunction.write('\tint i = this->api->' + fcName + '(&myreq, nRequestID);\n')
+    ffunction.write('\treturn i;\n')
+
+    ffunction.write('};\n')
+    ffunction.write('\n')
+
+
+
+
+#########################################################
+apiName = 'TdApi'
+
+fcpp = open('SecurityFtdcTraderApi.h', 'r')
+ftask = open('lts_td_task.cpp', 'w')
+fprocess = open('lts_td_process.cpp', 'w')
+ffunction = open('lts_td_function.cpp', 'w')
+fdefine = open('lts_td_define.cpp', 'w')
+fswitch = open('lts_td_switch.cpp', 'w')
+
+define_count = 1
+
+for line in fcpp:
+    if "\tvirtual void On" in line:
+        processCallBack(line)
+    elif "\tvirtual int" in line:
+        processFunction(line)
+
+fcpp.close()
+ftask.close()
+fprocess.close()
+ffunction.close()
+fswitch.close()
+fdefine.close()

vn.lts/pyscript/lts_md_define.cpp

@@ -0,0 +1,9 @@
+#define ONFRONTCONNECTED 1
+#define ONFRONTDISCONNECTED 2
+#define ONHEARTBEATWARNING 3
+#define ONRSPERROR 4
+#define ONRSPUSERLOGIN 5
+#define ONRSPUSERLOGOUT 6
+#define ONRSPSUBMARKETDATA 7
+#define ONRSPUNSUBMARKETDATA 8
+#define ONRTNDEPTHMARKETDATA 9

vn.lts/pyscript/lts_md_function.cpp

@@ -0,0 +1,29 @@
+ReqUserLogin
+{
+	CSecurityFtdcReqUserLoginField myreq = CSecurityFtdcReqUserLoginField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "MacAddress", myreq.MacAddress);
+	getChar(req, "UserProductInfo", myreq.UserProductInfo);
+	getChar(req, "UserID", myreq.UserID);
+	getChar(req, "AuthCode", myreq.AuthCode);
+	getChar(req, "TradingDay", myreq.TradingDay);
+	getChar(req, "InterfaceProductInfo", myreq.InterfaceProductInfo);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	getChar(req, "ClientIPAddress", myreq.ClientIPAddress);
+	getChar(req, "OneTimePassword", myreq.OneTimePassword);
+	getChar(req, "ProtocolInfo", myreq.ProtocolInfo);
+	getChar(req, "Password", myreq.Password);
+	int i = this->api->ReqUserLogin(&myreq, nRequestID);
+	return i;
+};
+
+ReqUserLogout
+{
+	CSecurityFtdcUserLogoutField myreq = CSecurityFtdcUserLogoutField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "UserID", myreq.UserID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	int i = this->api->ReqUserLogout(&myreq, nRequestID);
+	return i;
+};
+

vn.lts/pyscript/lts_md_process.cpp

@@ -0,0 +1,143 @@
+void MdApi::processFrontConnected(Task task)
+{
+	this->onFrontConnected();
+};
+
+void MdApi::processFrontDisconnected(Task task)
+{
+	this->onFrontDisconnected(task.task_id);
+};
+
+void MdApi::processHeartBeatWarning(Task task)
+{
+	this->onHeartBeatWarning(task.task_id);
+};
+
+void MdApi::processRspError(Task task)
+{
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspError(error, task.task_id, task.task_last);
+};
+
+void MdApi::processRspUserLogin(Task task)
+{
+	CSecurityFtdcRspUserLoginField task_data = any_cast<CSecurityFtdcRspUserLoginField>(task.task_data);
+	dict data;
+	data["MaxOrderRef"] = task_data.MaxOrderRef;
+	data["UserID"] = task_data.UserID;
+	data["TradingDay"] = task_data.TradingDay;
+	data["SessionID"] = task_data.SessionID;
+	data["SystemName"] = task_data.SystemName;
+	data["FrontID"] = task_data.FrontID;
+	data["BrokerID"] = task_data.BrokerID;
+	data["LoginTime"] = task_data.LoginTime;
+
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspUserLogin(data, error, task.task_id, task.task_last);
+};
+
+void MdApi::processRspUserLogout(Task task)
+{
+	CSecurityFtdcUserLogoutField task_data = any_cast<CSecurityFtdcUserLogoutField>(task.task_data);
+	dict data;
+	data["UserID"] = task_data.UserID;
+	data["BrokerID"] = task_data.BrokerID;
+
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspUserLogout(data, error, task.task_id, task.task_last);
+};
+
+void MdApi::processRspSubMarketData(Task task)
+{
+	CSecurityFtdcSpecificInstrumentField task_data = any_cast<CSecurityFtdcSpecificInstrumentField>(task.task_data);
+	dict data;
+	data["InstrumentID"] = task_data.InstrumentID;
+	data["ExchangeID"] = task_data.ExchangeID;
+
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspSubMarketData(data, error, task.task_id, task.task_last);
+};
+
+void MdApi::processRspUnSubMarketData(Task task)
+{
+	CSecurityFtdcSpecificInstrumentField task_data = any_cast<CSecurityFtdcSpecificInstrumentField>(task.task_data);
+	dict data;
+	data["InstrumentID"] = task_data.InstrumentID;
+	data["ExchangeID"] = task_data.ExchangeID;
+
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspUnSubMarketData(data, error, task.task_id, task.task_last);
+};
+
+void MdApi::processRtnDepthMarketData(Task task)
+{
+	CSecurityFtdcDepthMarketDataField task_data = any_cast<CSecurityFtdcDepthMarketDataField>(task.task_data);
+	dict data;
+	data["HighestPrice"] = task_data.HighestPrice;
+	data["BidPrice5"] = task_data.BidPrice5;
+	data["BidPrice4"] = task_data.BidPrice4;
+	data["BidPrice1"] = task_data.BidPrice1;
+	data["BidPrice3"] = task_data.BidPrice3;
+	data["BidPrice2"] = task_data.BidPrice2;
+	data["LowerLimitPrice"] = task_data.LowerLimitPrice;
+	data["OpenPrice"] = task_data.OpenPrice;
+	data["AskPrice5"] = task_data.AskPrice5;
+	data["AskPrice4"] = task_data.AskPrice4;
+	data["AskPrice3"] = task_data.AskPrice3;
+	data["PreClosePrice"] = task_data.PreClosePrice;
+	data["AskPrice1"] = task_data.AskPrice1;
+	data["PreSettlementPrice"] = task_data.PreSettlementPrice;
+	data["AskVolume1"] = task_data.AskVolume1;
+	data["UpdateTime"] = task_data.UpdateTime;
+	data["UpdateMillisec"] = task_data.UpdateMillisec;
+	data["AveragePrice"] = task_data.AveragePrice;
+	data["BidVolume5"] = task_data.BidVolume5;
+	data["BidVolume4"] = task_data.BidVolume4;
+	data["BidVolume3"] = task_data.BidVolume3;
+	data["BidVolume2"] = task_data.BidVolume2;
+	data["PreOpenInterest"] = task_data.PreOpenInterest;
+	data["AskPrice2"] = task_data.AskPrice2;
+	data["Volume"] = task_data.Volume;
+	data["AskVolume3"] = task_data.AskVolume3;
+	data["AskVolume2"] = task_data.AskVolume2;
+	data["AskVolume5"] = task_data.AskVolume5;
+	data["AskVolume4"] = task_data.AskVolume4;
+	data["UpperLimitPrice"] = task_data.UpperLimitPrice;
+	data["BidVolume1"] = task_data.BidVolume1;
+	data["InstrumentID"] = task_data.InstrumentID;
+	data["ClosePrice"] = task_data.ClosePrice;
+	data["ExchangeID"] = task_data.ExchangeID;
+	data["TradingDay"] = task_data.TradingDay;
+	data["PreDelta"] = task_data.PreDelta;
+	data["OpenInterest"] = task_data.OpenInterest;
+	data["CurrDelta"] = task_data.CurrDelta;
+	data["Turnover"] = task_data.Turnover;
+	data["LastPrice"] = task_data.LastPrice;
+	data["SettlementPrice"] = task_data.SettlementPrice;
+	data["ExchangeInstID"] = task_data.ExchangeInstID;
+	data["LowestPrice"] = task_data.LowestPrice;
+	data["ActionDay"] = task_data.ActionDay;
+
+	this->onRtnDepthMarketData(data);
+};
+

vn.lts/pyscript/lts_md_switch.cpp

@@ -0,0 +1,54 @@
+case ONFRONTCONNECTED:
+{
+	this->processFrontConnected(task);
+	break;
+}
+
+case ONFRONTDISCONNECTED:
+{
+	this->processFrontDisconnected(task);
+	break;
+}
+
+case ONHEARTBEATWARNING:
+{
+	this->processHeartBeatWarning(task);
+	break;
+}
+
+case ONRSPERROR:
+{
+	this->processRspError(task);
+	break;
+}
+
+case ONRSPUSERLOGIN:
+{
+	this->processRspUserLogin(task);
+	break;
+}
+
+case ONRSPUSERLOGOUT:
+{
+	this->processRspUserLogout(task);
+	break;
+}
+
+case ONRSPSUBMARKETDATA:
+{
+	this->processRspSubMarketData(task);
+	break;
+}
+
+case ONRSPUNSUBMARKETDATA:
+{
+	this->processRspUnSubMarketData(task);
+	break;
+}
+
+case ONRTNDEPTHMARKETDATA:
+{
+	this->processRtnDepthMarketData(task);
+	break;
+}
+

vn.lts/pyscript/lts_md_task.cpp

@@ -0,0 +1,130 @@
+void MdApi::OnFrontConnected()
+{
+	Task task = Task();
+	task.task_name = ONFRONTCONNECTED;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnFrontDisconnected(int nReason)
+{
+	Task task = Task();
+	task.task_name = ONFRONTDISCONNECTED;
+	task.task_id = nReason;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnHeartBeatWarning(int nTimeLapse)
+{
+	Task task = Task();
+	task.task_name = ONHEARTBEATWARNING;
+	task.task_id = nTimeLapse;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPERROR;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnRspUserLogin(CSecurityFtdcRspUserLoginField *pRspUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPUSERLOGIN;
+	task.task_data = *pRspUserLogin;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPUSERLOGOUT;
+	task.task_data = *pUserLogout;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnRspSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPSUBMARKETDATA;
+	task.task_data = *pSpecificInstrument;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnRspUnSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPUNSUBMARKETDATA;
+	task.task_data = *pSpecificInstrument;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnRtnDepthMarketData(CSecurityFtdcDepthMarketDataField *pDepthMarketData) 
+{
+	Task task = Task();
+	task.task_name = ONRTNDEPTHMARKETDATA;
+	task.task_data = *pDepthMarketData;
+	this->task_queue.push(task);
+};
+

vn.lts/pyscript/lts_td_define.cpp

@@ -0,0 +1,39 @@
+#define ONFRONTCONNECTED 1
+#define ONFRONTDISCONNECTED 2
+#define ONHEARTBEATWARNING 3
+#define ONRSPERROR 4
+#define ONRSPUSERLOGIN 5
+#define ONRSPUSERLOGOUT 6
+#define ONRSPORDERINSERT 7
+#define ONRSPORDERACTION 8
+#define ONRSPUSERPASSWORDUPDATE 9
+#define ONRSPTRADINGACCOUNTPASSWORDUPDATE 10
+#define ONRSPQRYEXCHANGE 11
+#define ONRSPQRYINSTRUMENT 12
+#define ONRSPQRYINVESTOR 13
+#define ONRSPQRYTRADINGCODE 14
+#define ONRSPQRYTRADINGACCOUNT 15
+#define ONRSPQRYDEPTHMARKETDATA 16
+#define ONRSPQRYBONDINTEREST 17
+#define ONRSPQRYMARKETRATIONINFO 18
+#define ONRSPQRYINSTRUMENTCOMMISSIONRATE 19
+#define ONRSPQRYETFINSTRUMENT 20
+#define ONRSPQRYETFBASKET 21
+#define ONRSPQRYOFINSTRUMENT 22
+#define ONRSPQRYSFINSTRUMENT 23
+#define ONRSPQRYORDER 24
+#define ONRSPQRYTRADE 25
+#define ONRSPQRYINVESTORPOSITION 26
+#define ONRTNORDER 27
+#define ONRTNTRADE 28
+#define ONERRRTNORDERINSERT 29
+#define ONERRRTNORDERACTION 30
+#define ONRSPFUNDOUTBYLIBER 31
+#define ONRTNFUNDOUTBYLIBER 32
+#define ONERRRTNFUNDOUTBYLIBER 33
+#define ONRTNFUNDINBYBANK 34
+#define ONRSPQRYFUNDTRANSFERSERIAL 35
+#define ONRSPFUNDINTERTRANSFER 36
+#define ONRSPQRYFUNDINTERTRANSFERSERIAL 37
+#define ONRTNFUNDINTERTRANSFERSERIAL 38
+#define ONERRRTNFUNDINTERTRANSFER 39

vn.lts/pyscript/lts_td_function.cpp

@@ -0,0 +1,338 @@
+ReqUserLogin
+{
+	CSecurityFtdcReqUserLoginField myreq = CSecurityFtdcReqUserLoginField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "MacAddress", myreq.MacAddress);
+	getChar(req, "UserProductInfo", myreq.UserProductInfo);
+	getChar(req, "UserID", myreq.UserID);
+	getChar(req, "AuthCode", myreq.AuthCode);
+	getChar(req, "TradingDay", myreq.TradingDay);
+	getChar(req, "InterfaceProductInfo", myreq.InterfaceProductInfo);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	getChar(req, "ClientIPAddress", myreq.ClientIPAddress);
+	getChar(req, "OneTimePassword", myreq.OneTimePassword);
+	getChar(req, "ProtocolInfo", myreq.ProtocolInfo);
+	getChar(req, "Password", myreq.Password);
+	int i = this->api->ReqUserLogin(&myreq, nRequestID);
+	return i;
+};
+
+ReqUserLogout
+{
+	CSecurityFtdcUserLogoutField myreq = CSecurityFtdcUserLogoutField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "UserID", myreq.UserID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	int i = this->api->ReqUserLogout(&myreq, nRequestID);
+	return i;
+};
+
+ReqOrderInsert
+{
+	CSecurityFtdcInputOrderField myreq = CSecurityFtdcInputOrderField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "ContingentCondition", myreq.ContingentCondition);
+	getChar(req, "CombOffsetFlag", myreq.CombOffsetFlag);
+	getChar(req, "UserID", myreq.UserID);
+	getChar(req, "LimitPrice", myreq.LimitPrice);
+	getInt(req, "UserForceClose", &myreq.UserForceClose);
+	getChar(req, "Direction", myreq.Direction);
+	getInt(req, "VolumeTotalOriginal", &myreq.VolumeTotalOriginal);
+	getChar(req, "OrderPriceType", myreq.OrderPriceType);
+	getChar(req, "TimeCondition", myreq.TimeCondition);
+	getInt(req, "IsAutoSuspend", &myreq.IsAutoSuspend);
+	getInt(req, "IsAutoSuspend", &myreq.IsAutoSuspend);
+	getChar(req, "InstrumentID", myreq.InstrumentID);
+	getChar(req, "ExchangeID", myreq.ExchangeID);
+	getInt(req, "MinVolume", &myreq.MinVolume);
+	getChar(req, "ForceCloseReason", myreq.ForceCloseReason);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	getChar(req, "CombHedgeFlag", myreq.CombHedgeFlag);
+	getChar(req, "GTDDate", myreq.GTDDate);
+	getChar(req, "BusinessUnit", myreq.BusinessUnit);
+	getChar(req, "OrderRef", myreq.OrderRef);
+	getChar(req, "InvestorID", myreq.InvestorID);
+	getChar(req, "VolumeCondition", myreq.VolumeCondition);
+	getInt(req, "RequestID", &myreq.RequestID);
+	int i = this->api->ReqOrderInsert(&myreq, nRequestID);
+	return i;
+};
+
+ReqOrderAction
+{
+	CSecurityFtdcInputOrderActionField myreq = CSecurityFtdcInputOrderActionField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "InstrumentID", myreq.InstrumentID);
+	getChar(req, "ExchangeID", myreq.ExchangeID);
+	getChar(req, "OrderLocalID", myreq.OrderLocalID);
+	getInt(req, "OrderActionRef", &myreq.OrderActionRef);
+	getChar(req, "UserID", myreq.UserID);
+	getChar(req, "UserID", myreq.UserID);
+	getChar(req, "OrderRef", myreq.OrderRef);
+	getChar(req, "InvestorID", myreq.InvestorID);
+	getInt(req, "SessionID", &myreq.SessionID);
+	getInt(req, "VolumeChange", &myreq.VolumeChange);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	getInt(req, "RequestID", &myreq.RequestID);
+	getChar(req, "ActionFlag", myreq.ActionFlag);
+	getInt(req, "FrontID", &myreq.FrontID);
+	getChar(req, "BranchPBU", myreq.BranchPBU);
+	int i = this->api->ReqOrderAction(&myreq, nRequestID);
+	return i;
+};
+
+ReqUserPasswordUpdate
+{
+	CSecurityFtdcUserPasswordUpdateField myreq = CSecurityFtdcUserPasswordUpdateField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "UserID", myreq.UserID);
+	getChar(req, "NewPassword", myreq.NewPassword);
+	getChar(req, "OldPassword", myreq.OldPassword);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	int i = this->api->ReqUserPasswordUpdate(&myreq, nRequestID);
+	return i;
+};
+
+ReqTradingAccountPasswordUpdate
+{
+	CSecurityFtdcTradingAccountPasswordUpdateField myreq = CSecurityFtdcTradingAccountPasswordUpdateField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "NewPassword", myreq.NewPassword);
+	getChar(req, "OldPassword", myreq.OldPassword);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	getChar(req, "AccountID", myreq.AccountID);
+	int i = this->api->ReqTradingAccountPasswordUpdate(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryExchange
+{
+	CSecurityFtdcQryExchangeField myreq = CSecurityFtdcQryExchangeField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "ExchangeID", myreq.ExchangeID);
+	int i = this->api->ReqQryExchange(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryInstrument
+{
+	CSecurityFtdcQryInstrumentField myreq = CSecurityFtdcQryInstrumentField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "InstrumentID", myreq.InstrumentID);
+	getChar(req, "ExchangeID", myreq.ExchangeID);
+	getChar(req, "ExchangeInstID", myreq.ExchangeInstID);
+	getChar(req, "ProductID", myreq.ProductID);
+	int i = this->api->ReqQryInstrument(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryInvestor
+{
+	CSecurityFtdcQryInvestorField myreq = CSecurityFtdcQryInvestorField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "InvestorID", myreq.InvestorID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	int i = this->api->ReqQryInvestor(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryTradingCode
+{
+	CSecurityFtdcQryTradingCodeField myreq = CSecurityFtdcQryTradingCodeField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "InvestorID", myreq.InvestorID);
+	getChar(req, "ExchangeID", myreq.ExchangeID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	getChar(req, "ClientID", myreq.ClientID);
+	int i = this->api->ReqQryTradingCode(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryTradingAccount
+{
+	CSecurityFtdcQryTradingAccountField myreq = CSecurityFtdcQryTradingAccountField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "InvestorID", myreq.InvestorID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	int i = this->api->ReqQryTradingAccount(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryDepthMarketData
+{
+	CSecurityFtdcQryDepthMarketDataField myreq = CSecurityFtdcQryDepthMarketDataField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "InstrumentID", myreq.InstrumentID);
+	int i = this->api->ReqQryDepthMarketData(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryBondInterest
+{
+	CSecurityFtdcQryBondInterestField myreq = CSecurityFtdcQryBondInterestField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "InstrumentID", myreq.InstrumentID);
+	getChar(req, "ExchangeID", myreq.ExchangeID);
+	int i = this->api->ReqQryBondInterest(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryMarketRationInfo
+{
+	CSecurityFtdcQryMarketRationInfoField myreq = CSecurityFtdcQryMarketRationInfoField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "InvestorID", myreq.InvestorID);
+	getChar(req, "ExchangeID", myreq.ExchangeID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	int i = this->api->ReqQryMarketRationInfo(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryInstrumentCommissionRate
+{
+	CSecurityFtdcQryInstrumentCommissionRateField myreq = CSecurityFtdcQryInstrumentCommissionRateField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "InstrumentID", myreq.InstrumentID);
+	getChar(req, "ExchangeID", myreq.ExchangeID);
+	getChar(req, "OffsetFlag", myreq.OffsetFlag);
+	getChar(req, "Direction", myreq.Direction);
+	getChar(req, "InvestorID", myreq.InvestorID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	int i = this->api->ReqQryInstrumentCommissionRate(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryETFInstrument
+{
+	CSecurityFtdcQryETFInstrumentField myreq = CSecurityFtdcQryETFInstrumentField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "ETFInstrumentID", myreq.ETFInstrumentID);
+	getChar(req, "ExchangeID", myreq.ExchangeID);
+	int i = this->api->ReqQryETFInstrument(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryETFBasket
+{
+	CSecurityFtdcQryETFBasketField myreq = CSecurityFtdcQryETFBasketField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "ETFInstrumentID", myreq.ETFInstrumentID);
+	getChar(req, "ExchangeID", myreq.ExchangeID);
+	int i = this->api->ReqQryETFBasket(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryOFInstrument
+{
+	CSecurityFtdcQryOFInstrumentField myreq = CSecurityFtdcQryOFInstrumentField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "ExchangeID", myreq.ExchangeID);
+	getChar(req, "OFInstrumentID", myreq.OFInstrumentID);
+	int i = this->api->ReqQryOFInstrument(&myreq, nRequestID);
+	return i;
+};
+
+ReqQrySFInstrument
+{
+	CSecurityFtdcQrySFInstrumentField myreq = CSecurityFtdcQrySFInstrumentField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "SFInstrumentID", myreq.SFInstrumentID);
+	getChar(req, "ExchangeID", myreq.ExchangeID);
+	int i = this->api->ReqQrySFInstrument(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryOrder
+{
+	CSecurityFtdcQryOrderField myreq = CSecurityFtdcQryOrderField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "InstrumentID", myreq.InstrumentID);
+	getChar(req, "ExchangeID", myreq.ExchangeID);
+	getChar(req, "InsertTimeStart", myreq.InsertTimeStart);
+	getChar(req, "InvestorID", myreq.InvestorID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	getChar(req, "OrderSysID", myreq.OrderSysID);
+	getChar(req, "InsertTimeEnd", myreq.InsertTimeEnd);
+	int i = this->api->ReqQryOrder(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryTrade
+{
+	CSecurityFtdcQryTradeField myreq = CSecurityFtdcQryTradeField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "InstrumentID", myreq.InstrumentID);
+	getChar(req, "TradeTimeStart", myreq.TradeTimeStart);
+	getChar(req, "ExchangeID", myreq.ExchangeID);
+	getChar(req, "TradeID", myreq.TradeID);
+	getChar(req, "InvestorID", myreq.InvestorID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	getChar(req, "TradeTimeEnd", myreq.TradeTimeEnd);
+	int i = this->api->ReqQryTrade(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryInvestorPosition
+{
+	CSecurityFtdcQryInvestorPositionField myreq = CSecurityFtdcQryInvestorPositionField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "InstrumentID", myreq.InstrumentID);
+	getChar(req, "InvestorID", myreq.InvestorID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	int i = this->api->ReqQryInvestorPosition(&myreq, nRequestID);
+	return i;
+};
+
+ReqFundOutByLiber
+{
+	CSecurityFtdcInputFundTransferField myreq = CSecurityFtdcInputFundTransferField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "UserID", myreq.UserID);
+	getChar(req, "InvestorID", myreq.InvestorID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	getChar(req, "AccountType", myreq.AccountType);
+	getChar(req, "Password", myreq.Password);
+	getChar(req, "Password", myreq.Password);
+	getChar(req, "Digest", myreq.Digest);
+	getChar(req, "AccountID", myreq.AccountID);
+	int i = this->api->ReqFundOutByLiber(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryFundTransferSerial
+{
+	CSecurityFtdcQryFundTransferSerialField myreq = CSecurityFtdcQryFundTransferSerialField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "BrokerID", myreq.BrokerID);
+	getChar(req, "AccountType", myreq.AccountType);
+	getChar(req, "AccountID", myreq.AccountID);
+	int i = this->api->ReqQryFundTransferSerial(&myreq, nRequestID);
+	return i;
+};
+
+ReqFundInterTransfer
+{
+	CSecurityFtdcFundInterTransferField myreq = CSecurityFtdcFundInterTransferField();
+	memset(&myreq, 0, sizeof(myreq));
+	getInt(req, "SerialID", &myreq.SerialID);
+	getChar(req, "TransferType", myreq.TransferType);
+	getChar(req, "UserID", myreq.UserID);
+	getChar(req, "InvestorID", myreq.InvestorID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	getChar(req, "Password", myreq.Password);
+	getChar(req, "Password", myreq.Password);
+	getChar(req, "AccountID", myreq.AccountID);
+	int i = this->api->ReqFundInterTransfer(&myreq, nRequestID);
+	return i;
+};
+
+ReqQryFundInterTransferSerial
+{
+	CSecurityFtdcQryFundInterTransferSerialField myreq = CSecurityFtdcQryFundInterTransferSerialField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "InvestorID", myreq.InvestorID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	int i = this->api->ReqQryFundInterTransferSerial(&myreq, nRequestID);
+	return i;
+};
+

vn.lts/pyscript/lts_td_switch.cpp

@@ -0,0 +1,234 @@
+case ONFRONTCONNECTED:
+{
+	this->processFrontConnected(task);
+	break;
+}
+
+case ONFRONTDISCONNECTED:
+{
+	this->processFrontDisconnected(task);
+	break;
+}
+
+case ONHEARTBEATWARNING:
+{
+	this->processHeartBeatWarning(task);
+	break;
+}
+
+case ONRSPERROR:
+{
+	this->processRspError(task);
+	break;
+}
+
+case ONRSPUSERLOGIN:
+{
+	this->processRspUserLogin(task);
+	break;
+}
+
+case ONRSPUSERLOGOUT:
+{
+	this->processRspUserLogout(task);
+	break;
+}
+
+case ONRSPORDERINSERT:
+{
+	this->processRspOrderInsert(task);
+	break;
+}
+
+case ONRSPORDERACTION:
+{
+	this->processRspOrderAction(task);
+	break;
+}
+
+case ONRSPUSERPASSWORDUPDATE:
+{
+	this->processRspUserPasswordUpdate(task);
+	break;
+}
+
+case ONRSPTRADINGACCOUNTPASSWORDUPDATE:
+{
+	this->processRspTradingAccountPasswordUpdate(task);
+	break;
+}
+
+case ONRSPQRYEXCHANGE:
+{
+	this->processRspQryExchange(task);
+	break;
+}
+
+case ONRSPQRYINSTRUMENT:
+{
+	this->processRspQryInstrument(task);
+	break;
+}
+
+case ONRSPQRYINVESTOR:
+{
+	this->processRspQryInvestor(task);
+	break;
+}
+
+case ONRSPQRYTRADINGCODE:
+{
+	this->processRspQryTradingCode(task);
+	break;
+}
+
+case ONRSPQRYTRADINGACCOUNT:
+{
+	this->processRspQryTradingAccount(task);
+	break;
+}
+
+case ONRSPQRYDEPTHMARKETDATA:
+{
+	this->processRspQryDepthMarketData(task);
+	break;
+}
+
+case ONRSPQRYBONDINTEREST:
+{
+	this->processRspQryBondInterest(task);
+	break;
+}
+
+case ONRSPQRYMARKETRATIONINFO:
+{
+	this->processRspQryMarketRationInfo(task);
+	break;
+}
+
+case ONRSPQRYINSTRUMENTCOMMISSIONRATE:
+{
+	this->processRspQryInstrumentCommissionRate(task);
+	break;
+}
+
+case ONRSPQRYETFINSTRUMENT:
+{
+	this->processRspQryETFInstrument(task);
+	break;
+}
+
+case ONRSPQRYETFBASKET:
+{
+	this->processRspQryETFBasket(task);
+	break;
+}
+
+case ONRSPQRYOFINSTRUMENT:
+{
+	this->processRspQryOFInstrument(task);
+	break;
+}
+
+case ONRSPQRYSFINSTRUMENT:
+{
+	this->processRspQrySFInstrument(task);
+	break;
+}
+
+case ONRSPQRYORDER:
+{
+	this->processRspQryOrder(task);
+	break;
+}
+
+case ONRSPQRYTRADE:
+{
+	this->processRspQryTrade(task);
+	break;
+}
+
+case ONRSPQRYINVESTORPOSITION:
+{
+	this->processRspQryInvestorPosition(task);
+	break;
+}
+
+case ONRTNORDER:
+{
+	this->processRtnOrder(task);
+	break;
+}
+
+case ONRTNTRADE:
+{
+	this->processRtnTrade(task);
+	break;
+}
+
+case ONERRRTNORDERINSERT:
+{
+	this->processErrRtnOrderInsert(task);
+	break;
+}
+
+case ONERRRTNORDERACTION:
+{
+	this->processErrRtnOrderAction(task);
+	break;
+}
+
+case ONRSPFUNDOUTBYLIBER:
+{
+	this->processRspFundOutByLiber(task);
+	break;
+}
+
+case ONRTNFUNDOUTBYLIBER:
+{
+	this->processRtnFundOutByLiber(task);
+	break;
+}
+
+case ONERRRTNFUNDOUTBYLIBER:
+{
+	this->processErrRtnFundOutByLiber(task);
+	break;
+}
+
+case ONRTNFUNDINBYBANK:
+{
+	this->processRtnFundInByBank(task);
+	break;
+}
+
+case ONRSPQRYFUNDTRANSFERSERIAL:
+{
+	this->processRspQryFundTransferSerial(task);
+	break;
+}
+
+case ONRSPFUNDINTERTRANSFER:
+{
+	this->processRspFundInterTransfer(task);
+	break;
+}
+
+case ONRSPQRYFUNDINTERTRANSFERSERIAL:
+{
+	this->processRspQryFundInterTransferSerial(task);
+	break;
+}
+
+case ONRTNFUNDINTERTRANSFERSERIAL:
+{
+	this->processRtnFundInterTransferSerial(task);
+	break;
+}
+
+case ONERRRTNFUNDINTERTRANSFER:
+{
+	this->processErrRtnFundInterTransfer(task);
+	break;
+}
+

vn.lts/pyscript/lts_td_task.cpp

@@ -0,0 +1,675 @@
+void TdApi::OnFrontConnected()
+{
+	Task task = Task();
+	task.task_name = ONFRONTCONNECTED;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnFrontDisconnected(int nReason)
+{
+	Task task = Task();
+	task.task_name = ONFRONTDISCONNECTED;
+	task.task_id = nReason;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnHeartBeatWarning(int nTimeLapse)	
+{
+	Task task = Task();
+	task.task_name = ONHEARTBEATWARNING;
+	task.task_id = nTimeLapse{};	
+;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPERROR;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspUserLogin(CSecurityFtdcRspUserLoginField *pRspUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPUSERLOGIN;
+	task.task_data = *pRspUserLogin;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPUSERLOGOUT;
+	task.task_data = *pUserLogout;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspOrderInsert(CSecurityFtdcInputOrderField *pInputOrder, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPORDERINSERT;
+	task.task_data = *pInputOrder;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspOrderAction(CSecurityFtdcInputOrderActionField *pInputOrderAction, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPORDERACTION;
+	task.task_data = *pInputOrderAction;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspUserPasswordUpdate(CSecurityFtdcUserPasswordUpdateField *pUserPasswordUpdate, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPUSERPASSWORDUPDATE;
+	task.task_data = *pUserPasswordUpdate;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspTradingAccountPasswordUpdate(CSecurityFtdcTradingAccountPasswordUpdateField *pTradingAccountPasswordUpdate, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPTRADINGACCOUNTPASSWORDUPDATE;
+	task.task_data = *pTradingAccountPasswordUpdate;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryExchange(CSecurityFtdcExchangeField *pExchange, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYEXCHANGE;
+	task.task_data = *pExchange;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryInstrument(CSecurityFtdcInstrumentField *pInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYINSTRUMENT;
+	task.task_data = *pInstrument;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryInvestor(CSecurityFtdcInvestorField *pInvestor, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYINVESTOR;
+	task.task_data = *pInvestor;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryTradingCode(CSecurityFtdcTradingCodeField *pTradingCode, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYTRADINGCODE;
+	task.task_data = *pTradingCode;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryTradingAccount(CSecurityFtdcTradingAccountField *pTradingAccount, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYTRADINGACCOUNT;
+	task.task_data = *pTradingAccount;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryDepthMarketData(CSecurityFtdcDepthMarketDataField *pDepthMarketData, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYDEPTHMARKETDATA;
+	task.task_data = *pDepthMarketData;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryBondInterest(CSecurityFtdcBondInterestField *pBondInterest, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYBONDINTEREST;
+	task.task_data = *pBondInterest;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryMarketRationInfo(CSecurityFtdcMarketRationInfoField *pMarketRationInfo, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYMARKETRATIONINFO;
+	task.task_data = *pMarketRationInfo;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryInstrumentCommissionRate(CSecurityFtdcInstrumentCommissionRateField *pInstrumentCommissionRate, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYINSTRUMENTCOMMISSIONRATE;
+	task.task_data = *pInstrumentCommissionRate;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryETFInstrument(CSecurityFtdcETFInstrumentField *pETFInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYETFINSTRUMENT;
+	task.task_data = *pETFInstrument;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryETFBasket(CSecurityFtdcETFBasketField *pETFBasket, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYETFBASKET;
+	task.task_data = *pETFBasket;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryOFInstrument(CSecurityFtdcOFInstrumentField *pOFInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYOFINSTRUMENT;
+	task.task_data = *pOFInstrument;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQrySFInstrument(CSecurityFtdcSFInstrumentField *pSFInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYSFINSTRUMENT;
+	task.task_data = *pSFInstrument;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryOrder(CSecurityFtdcOrderField *pOrder, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYORDER;
+	task.task_data = *pOrder;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryTrade(CSecurityFtdcTradeField *pTrade, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYTRADE;
+	task.task_data = *pTrade;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryInvestorPosition(CSecurityFtdcInvestorPositionField *pInvestorPosition, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYINVESTORPOSITION;
+	task.task_data = *pInvestorPosition;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRtnOrder(CSecurityFtdcOrderField *pOrder) 
+{
+	Task task = Task();
+	task.task_name = ONRTNORDER;
+	task.task_data = *pOrder;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRtnTrade(CSecurityFtdcTradeField *pTrade) 
+{
+	Task task = Task();
+	task.task_name = ONRTNTRADE;
+	task.task_data = *pTrade;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnErrRtnOrderInsert(CSecurityFtdcInputOrderField *pInputOrder, CSecurityFtdcRspInfoField *pRspInfo) 
+{
+	Task task = Task();
+	task.task_name = ONERRRTNORDERINSERT;
+	task.task_data = *pInputOrder;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	this->task_queue.push(task);
+};
+
+void TdApi::OnErrRtnOrderAction(CSecurityFtdcOrderActionField *pOrderAction, CSecurityFtdcRspInfoField *pRspInfo) 
+{
+	Task task = Task();
+	task.task_name = ONERRRTNORDERACTION;
+	task.task_data = *pOrderAction;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspFundOutByLiber(CSecurityFtdcInputFundTransferField *pInputFundTransfer, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPFUNDOUTBYLIBER;
+	task.task_data = *pInputFundTransfer;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRtnFundOutByLiber(CSecurityFtdcFundTransferField *pFundTransfer) 
+{
+	Task task = Task();
+	task.task_name = ONRTNFUNDOUTBYLIBER;
+	task.task_data = *pFundTransfer;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnErrRtnFundOutByLiber(CSecurityFtdcInputFundTransferField *pInputFundTransfer, CSecurityFtdcRspInfoField *pRspInfo) 
+{
+	Task task = Task();
+	task.task_name = ONERRRTNFUNDOUTBYLIBER;
+	task.task_data = *pInputFundTransfer;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRtnFundInByBank(CSecurityFtdcFundTransferField *pFundTransfer) 
+{
+	Task task = Task();
+	task.task_name = ONRTNFUNDINBYBANK;
+	task.task_data = *pFundTransfer;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryFundTransferSerial(CSecurityFtdcFundTransferField *pFundTransfer, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYFUNDTRANSFERSERIAL;
+	task.task_data = *pFundTransfer;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspFundInterTransfer(CSecurityFtdcFundInterTransferField *pFundInterTransfer, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPFUNDINTERTRANSFER;
+	task.task_data = *pFundInterTransfer;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspQryFundInterTransferSerial(CSecurityFtdcFundInterTransferSerialField *pFundInterTransferSerial, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPQRYFUNDINTERTRANSFERSERIAL;
+	task.task_data = *pFundInterTransferSerial;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRtnFundInterTransferSerial(CSecurityFtdcFundInterTransferSerialField *pFundInterTransferSerial) 
+{
+	Task task = Task();
+	task.task_name = ONRTNFUNDINTERTRANSFERSERIAL;
+	task.task_data = *pFundInterTransferSerial;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnErrRtnFundInterTransfer(CSecurityFtdcFundInterTransferField *pFundInterTransfer, CSecurityFtdcRspInfoField *pRspInfo) 
+{
+	Task task = Task();
+	task.task_name = ONERRRTNFUNDINTERTRANSFER;
+	task.task_data = *pFundInterTransfer;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	this->task_queue.push(task);
+};
+

vn.lts/vnltsmd/pyltsmd/ReadMe.txt

@@ -0,0 +1,32 @@
+========================================================================
+    动态链接库：pyltsmd 项目概述
+========================================================================
+
+应用程序向导已为您创建了此 pyltsmd DLL。
+
+本文件概要介绍组成 pyltsmd 应用程序的每个文件的内容。
+
+
+pyltsmd.vcxproj
+    这是使用应用程序向导生成的 VC++ 项目的主项目文件，其中包含生成该文件的 Visual C++ 的版本信息，以及有关使用应用程序向导选择的平台、配置和项目功能的信息。
+
+pyltsmd.vcxproj.filters
+    这是使用“应用程序向导”生成的 VC++ 项目筛选器文件。它包含有关项目文件与筛选器之间的关联信息。在 IDE 中，通过这种关联，在特定节点下以分组形式显示具有相似扩展名的文件。例如，“.cpp”文件与“源文件”筛选器关联。
+
+pyltsmd.cpp
+    这是主 DLL 源文件。
+
+	此 DLL 在创建时不导出任何符号。因此，生成时不会产生 .lib 文件。如果希望此项目成为其他某个项目的项目依赖项，则需要添加代码以从 DLL 导出某些符号，以便产生一个导出库，或者，也可以在项目“属性页”对话框中的“链接器”文件夹中，将“常规”属性页上的“忽略输入库”属性设置为“是”。
+
+/////////////////////////////////////////////////////////////////////////////
+其他标准文件:
+
+StdAfx.h, StdAfx.cpp
+    这些文件用于生成名为 pyltsmd.pch 的预编译头 (PCH) 文件和名为 StdAfx.obj 的预编译类型文件。
+
+/////////////////////////////////////////////////////////////////////////////
+其他注释:
+
+应用程序向导使用“TODO:”注释来指示应添加或自定义的源代码部分。
+
+/////////////////////////////////////////////////////////////////////////////

vn.lts/vnltsmd/pyltsmd/dllmain.cpp

@@ -0,0 +1,19 @@
+// dllmain.cpp : 定义 DLL 应用程序的入口点。
+#include "stdafx.h"
+
+BOOL APIENTRY DllMain( HMODULE hModule,
+                       DWORD  ul_reason_for_call,
+                       LPVOID lpReserved
+					 )
+{
+	switch (ul_reason_for_call)
+	{
+	case DLL_PROCESS_ATTACH:
+	case DLL_THREAD_ATTACH:
+	case DLL_THREAD_DETACH:
+	case DLL_PROCESS_DETACH:
+		break;
+	}
+	return TRUE;
+}
+

vn.lts/vnltsmd/pyltsmd/stdafx.cpp

@@ -0,0 +1,8 @@
+// stdafx.cpp : 只包括标准包含文件的源文件
+// pyltsmd.pch 将作为预编译头
+// stdafx.obj 将包含预编译类型信息
+
+#include "stdafx.h"
+
+// TODO:  在 STDAFX.H 中
+// 引用任何所需的附加头文件，而不是在此文件中引用

vn.lts/vnltsmd/pyltsmd/stdafx.h

@@ -0,0 +1,16 @@
+// stdafx.h : 标准系统包含文件的包含文件，
+// 或是经常使用但不常更改的
+// 特定于项目的包含文件
+//
+
+#pragma once
+
+#include "targetver.h"
+
+#define WIN32_LEAN_AND_MEAN             //  从 Windows 头文件中排除极少使用的信息
+// Windows 头文件: 
+#include <windows.h>
+
+
+
+// TODO:  在此处引用程序需要的其他头文件

vn.lts/vnltsmd/pyltsmd/targetver.h

@@ -0,0 +1,8 @@
+#pragma once
+
+// 包括 SDKDDKVer.h 将定义可用的最高版本的 Windows 平台。
+
+// 如果要为以前的 Windows 平台生成应用程序，请包括 WinSDKVer.h，并将
+// WIN32_WINNT 宏设置为要支持的平台，然后再包括 SDKDDKVer.h。
+
+#include <SDKDDKVer.h>

vn.lts/vnltsmd/pyltsmd/vnltsmd.cpp

@@ -0,0 +1,588 @@
+// MdApi.cpp : 定义 DLL 应用程序的导出函数。
+//
+
+#include "stdafx.h"
+#include "vnltsmd.h"
+
+
+
+///-------------------------------------------------------------------------------------
+///从Python对象到C++类型转换用的函数
+///-------------------------------------------------------------------------------------
+
+void getInt(dict d, string key, int *value)
+{
+	if (d.has_key(key))		//检查字典中是否存在该键值
+	{
+		object o = d[key];	//获取该键值
+		extract<int> x(o);	//创建提取器
+		if (x.check())		//如果可以提取
+		{
+			*value = x();	//对目标整数指针赋值
+		}
+	}
+};
+
+void getDouble(dict d, string key, double *value)
+{
+	if (d.has_key(key))
+	{
+		object o = d[key];
+		extract<double> x(o);
+		if (x.check())
+		{
+			*value = x();
+		}
+	}
+};
+
+void getChar(dict d, string key, char *value)
+{
+	if (d.has_key(key))
+	{
+		object o = d[key];
+		extract<string> x(o);
+		if (x.check())
+		{
+			string s = x();
+			const char *buffer = s.c_str();
+			//对字符串指针赋值必须使用strcpy_s, vs2013使用strcpy编译通不过
+			//+1应该是因为C++字符串的结尾符号？不是特别确定，不加这个1会出错
+			strcpy_s(value, strlen(buffer) + 1, buffer);
+		}
+	}
+};
+
+
+
+///-------------------------------------------------------------------------------------
+///C++的回调函数将数据保存到队列中
+///-------------------------------------------------------------------------------------
+
+void MdApi::OnFrontConnected()
+{
+	Task task = Task();
+	task.task_name = ONFRONTCONNECTED;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnFrontDisconnected(int nReason)
+{
+	Task task = Task();
+	task.task_name = ONFRONTDISCONNECTED;
+	task.task_id = nReason;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnHeartBeatWarning(int nTimeLapse)
+{
+	Task task = Task();
+	task.task_name = ONHEARTBEATWARNING;
+	task.task_id = nTimeLapse;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
+{
+	Task task = Task();
+	task.task_name = ONRSPERROR;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnRspUserLogin(CSecurityFtdcRspUserLoginField *pRspUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
+{
+	Task task = Task();
+	task.task_name = ONRSPUSERLOGIN;
+	task.task_data = *pRspUserLogin;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
+{
+	Task task = Task();
+	task.task_name = ONRSPUSERLOGOUT;
+	task.task_data = *pUserLogout;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnRspSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
+{
+	Task task = Task();
+	task.task_name = ONRSPSUBMARKETDATA;
+	task.task_data = *pSpecificInstrument;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnRspUnSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
+{
+	Task task = Task();
+	task.task_name = ONRSPUNSUBMARKETDATA;
+	task.task_data = *pSpecificInstrument;
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void MdApi::OnRtnDepthMarketData(CSecurityFtdcDepthMarketDataField *pDepthMarketData)
+{
+	Task task = Task();
+	task.task_name = ONRTNDEPTHMARKETDATA;
+	task.task_data = *pDepthMarketData;
+	this->task_queue.push(task);
+};
+
+
+
+
+
+///-------------------------------------------------------------------------------------
+///工作线程从队列中取出数据，转化为python对象后，进行推送
+///-------------------------------------------------------------------------------------
+
+void MdApi::processTask()
+{
+	while (1)
+	{
+		Task task = this->task_queue.wait_and_pop();
+
+		switch (task.task_name)
+		{
+			case ONFRONTCONNECTED:
+			{
+				this->processFrontConnected(task);
+				break;
+			}
+
+			case ONFRONTDISCONNECTED:
+			{
+				this->processFrontDisconnected(task);
+				break;
+			}
+
+			case ONHEARTBEATWARNING:
+			{
+				this->processHeartBeatWarning(task);
+				break;
+			}
+
+			case ONRSPERROR:
+			{
+				this->processRspError(task);
+				break;
+			}
+
+			case ONRSPUSERLOGIN:
+			{
+				this->processRspUserLogin(task);
+				break;
+			}
+
+			case ONRSPUSERLOGOUT:
+			{
+				this->processRspUserLogout(task);
+				break;
+			}
+
+			case ONRSPSUBMARKETDATA:
+			{
+				this->processRspSubMarketData(task);
+				break;
+			}
+
+			case ONRSPUNSUBMARKETDATA:
+			{
+				this->processRspUnSubMarketData(task);
+				break;
+			}
+
+			case ONRTNDEPTHMARKETDATA:
+			{
+				this->processRtnDepthMarketData(task);
+				break;
+			}
+		};
+	}
+};
+
+void MdApi::processFrontConnected(Task task)
+{
+	this->onFrontConnected();
+};
+
+void MdApi::processFrontDisconnected(Task task)
+{
+	this->onFrontDisconnected(task.task_id);
+};
+
+void MdApi::processHeartBeatWarning(Task task)
+{
+	this->onHeartBeatWarning(task.task_id);
+};
+
+void MdApi::processRspError(Task task)
+{
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspError(error, task.task_id, task.task_last);
+};
+
+void MdApi::processRspUserLogin(Task task)
+{
+	CSecurityFtdcRspUserLoginField task_data = any_cast<CSecurityFtdcRspUserLoginField>(task.task_data);
+	dict data;
+	data["MaxOrderRef"] = task_data.MaxOrderRef;
+	data["UserID"] = task_data.UserID;
+	data["TradingDay"] = task_data.TradingDay;
+	data["SessionID"] = task_data.SessionID;
+	data["SystemName"] = task_data.SystemName;
+	data["FrontID"] = task_data.FrontID;
+	data["BrokerID"] = task_data.BrokerID;
+	data["LoginTime"] = task_data.LoginTime;
+
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspUserLogin(data, error, task.task_id, task.task_last);
+};
+
+void MdApi::processRspUserLogout(Task task)
+{
+	CSecurityFtdcUserLogoutField task_data = any_cast<CSecurityFtdcUserLogoutField>(task.task_data);
+	dict data;
+	data["UserID"] = task_data.UserID;
+	data["BrokerID"] = task_data.BrokerID;
+
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspUserLogout(data, error, task.task_id, task.task_last);
+};
+
+void MdApi::processRspSubMarketData(Task task)
+{
+	CSecurityFtdcSpecificInstrumentField task_data = any_cast<CSecurityFtdcSpecificInstrumentField>(task.task_data);
+	dict data;
+	data["InstrumentID"] = task_data.InstrumentID;
+	data["ExchangeID"] = task_data.ExchangeID;
+
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspSubMarketData(data, error, task.task_id, task.task_last);
+};
+
+void MdApi::processRspUnSubMarketData(Task task)
+{
+	CSecurityFtdcSpecificInstrumentField task_data = any_cast<CSecurityFtdcSpecificInstrumentField>(task.task_data);
+	dict data;
+	data["InstrumentID"] = task_data.InstrumentID;
+	data["ExchangeID"] = task_data.ExchangeID;
+
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspUnSubMarketData(data, error, task.task_id, task.task_last);
+};
+
+void MdApi::processRtnDepthMarketData(Task task)
+{
+	CSecurityFtdcDepthMarketDataField task_data = any_cast<CSecurityFtdcDepthMarketDataField>(task.task_data);
+	dict data;
+	data["HighestPrice"] = task_data.HighestPrice;
+	data["BidPrice5"] = task_data.BidPrice5;
+	data["BidPrice4"] = task_data.BidPrice4;
+	data["BidPrice1"] = task_data.BidPrice1;
+	data["BidPrice3"] = task_data.BidPrice3;
+	data["BidPrice2"] = task_data.BidPrice2;
+	data["LowerLimitPrice"] = task_data.LowerLimitPrice;
+	data["OpenPrice"] = task_data.OpenPrice;
+	data["AskPrice5"] = task_data.AskPrice5;
+	data["AskPrice4"] = task_data.AskPrice4;
+	data["AskPrice3"] = task_data.AskPrice3;
+	data["PreClosePrice"] = task_data.PreClosePrice;
+	data["AskPrice1"] = task_data.AskPrice1;
+	data["PreSettlementPrice"] = task_data.PreSettlementPrice;
+	data["AskVolume1"] = task_data.AskVolume1;
+	data["UpdateTime"] = task_data.UpdateTime;
+	data["UpdateMillisec"] = task_data.UpdateMillisec;
+	data["AveragePrice"] = task_data.AveragePrice;
+	data["BidVolume5"] = task_data.BidVolume5;
+	data["BidVolume4"] = task_data.BidVolume4;
+	data["BidVolume3"] = task_data.BidVolume3;
+	data["BidVolume2"] = task_data.BidVolume2;
+	data["PreOpenInterest"] = task_data.PreOpenInterest;
+	data["AskPrice2"] = task_data.AskPrice2;
+	data["Volume"] = task_data.Volume;
+	data["AskVolume3"] = task_data.AskVolume3;
+	data["AskVolume2"] = task_data.AskVolume2;
+	data["AskVolume5"] = task_data.AskVolume5;
+	data["AskVolume4"] = task_data.AskVolume4;
+	data["UpperLimitPrice"] = task_data.UpperLimitPrice;
+	data["BidVolume1"] = task_data.BidVolume1;
+	data["InstrumentID"] = task_data.InstrumentID;
+	data["ClosePrice"] = task_data.ClosePrice;
+	data["ExchangeID"] = task_data.ExchangeID;
+	data["TradingDay"] = task_data.TradingDay;
+	data["PreDelta"] = task_data.PreDelta;
+	data["OpenInterest"] = task_data.OpenInterest;
+	data["CurrDelta"] = task_data.CurrDelta;
+	data["Turnover"] = task_data.Turnover;
+	data["LastPrice"] = task_data.LastPrice;
+	data["SettlementPrice"] = task_data.SettlementPrice;
+	data["ExchangeInstID"] = task_data.ExchangeInstID;
+	data["LowestPrice"] = task_data.LowestPrice;
+	data["ActionDay"] = task_data.ActionDay;
+
+	this->onRtnDepthMarketData(data);
+};
+
+
+
+///-------------------------------------------------------------------------------------
+///主动函数
+///-------------------------------------------------------------------------------------
+
+void MdApi::createFtdcMdApi(string pszFlowPath)
+{
+	this->api = CSecurityFtdcMdApi::CreateFtdcMdApi(pszFlowPath.c_str());
+	this->api->RegisterSpi(this);
+};
+
+void MdApi::release()
+{
+	this->api->Release();
+};
+
+void MdApi::init()
+{
+	this->api->Init();
+};
+
+int MdApi::join()
+{
+	int i = this->api->Join();
+	return i;
+};
+
+string MdApi::getTradingDay()
+{
+	string day = this->api->GetTradingDay();
+	return day;
+};
+
+void MdApi::registerFront(string pszFrontAddress)
+{
+	this->api->RegisterFront((char*)pszFrontAddress.c_str());
+};
+
+int MdApi::subscribeMarketData(dict req)
+{
+	char instrumentID[256];
+	char exchangeID[256];
+	getChar(req, "InstrumentID", instrumentID);
+	getChar(req, "ExchangeID", exchangeID);
+	char* myreq[1] = { instrumentID };
+	int i = this->api->SubscribeMarketData(myreq, 1, exchangeID);
+	return i;
+};
+
+int MdApi::unSubscribeMarketData(dict req)
+{
+	char instrumentID[256];
+	char exchangeID[256];
+	getChar(req, "InstrumentID", instrumentID);
+	getChar(req, "ExchangeID", exchangeID);
+	char* myreq[1] = { instrumentID };
+	int i = this->api->UnSubscribeMarketData(myreq, 1, exchangeID);
+	return i;
+};
+
+int MdApi::reqUserLogin(dict req, int nRequestID)
+{
+	CSecurityFtdcReqUserLoginField myreq = CSecurityFtdcReqUserLoginField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "MacAddress", myreq.MacAddress);
+	getChar(req, "UserProductInfo", myreq.UserProductInfo);
+	getChar(req, "UserID", myreq.UserID);
+	getChar(req, "AuthCode", myreq.AuthCode);
+	getChar(req, "TradingDay", myreq.TradingDay);
+	getChar(req, "InterfaceProductInfo", myreq.InterfaceProductInfo);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	getChar(req, "ClientIPAddress", myreq.ClientIPAddress);
+	getChar(req, "OneTimePassword", myreq.OneTimePassword);
+	getChar(req, "ProtocolInfo", myreq.ProtocolInfo);
+	getChar(req, "Password", myreq.Password);
+	int i = this->api->ReqUserLogin(&myreq, nRequestID);
+	return i;
+};
+
+int MdApi::reqUserLogout(dict req, int nRequestID)
+{
+	CSecurityFtdcUserLogoutField myreq = CSecurityFtdcUserLogoutField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "UserID", myreq.UserID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	int i = this->api->ReqUserLogout(&myreq, nRequestID);
+	return i;
+};
+
+
+
+///-------------------------------------------------------------------------------------
+///Boost.Python封装
+///-------------------------------------------------------------------------------------
+
+struct MdApiWrap : MdApi, wrapper < MdApi >
+{
+	virtual void onFrontConnected()
+	{
+		PyLock lock;
+		this->get_override("onFrontConnected")();
+	};
+
+	virtual void onFrontDisconnected(int i)
+	{
+		PyLock lock;
+		this->get_override("onFrontDisconnected")(i);
+	};
+
+	virtual void onHeartBeatWarning(int i)
+	{
+		PyLock lock;
+		this->get_override("onHeartBeatWarning")(i);
+	};
+
+	virtual void onRspError(dict data, int id, bool last)
+	{
+		PyLock lock;
+		this->get_override("onRspError")(data, id, last);
+	};
+
+	virtual void onRspUserLogin(dict data, dict error, int id, bool last)
+	{
+		PyLock lock;
+		this->get_override("onRspUserLogin")(data, error, id, last);
+	};
+
+	virtual void onRspUserLogout(dict data, dict error, int id, bool last)
+	{
+		PyLock lock;
+		this->get_override("onRspUserLogout")(data, error, id, last);
+	};
+
+	virtual void onRspSubMarketData(dict data, dict error, int id, bool last)
+	{
+		PyLock lock;
+		this->get_override("onRspSubMarketData")(data, error, id, last);
+	};
+
+	virtual void onRspUnSubMarketData(dict data, dict error, int id, bool last)
+	{
+		PyLock lock;
+		this->get_override("onRspUnSubMarketData")(data, error, id, last);
+	};
+
+	virtual void onRtnDepthMarketData(dict data)
+	{
+		PyLock lock;
+		this->get_override("onRtnDepthMarketData")(data);
+	};
+};
+
+
+BOOST_PYTHON_MODULE(vnltsmd)
+{
+	PyEval_InitThreads();	//导入时运行，保证先创建GIL
+
+	class_<MdApiWrap, boost::noncopyable>("MdApi")
+		.def("createFtdcMdApi", &MdApiWrap::createFtdcMdApi)
+		.def("release", &MdApiWrap::release)
+		.def("init", &MdApiWrap::init)
+		.def("join", &MdApiWrap::join)
+		.def("getTradingDay", &MdApiWrap::getTradingDay)
+		.def("registerFront", &MdApiWrap::registerFront)
+		.def("subscribeMarketData", &MdApiWrap::subscribeMarketData)
+		.def("unSubscribeMarketData", &MdApiWrap::unSubscribeMarketData)
+		.def("reqUserLogin", &MdApiWrap::reqUserLogin)
+		.def("reqUserLogout", &MdApiWrap::reqUserLogout)
+
+		.def("onFrontConnected", pure_virtual(&MdApiWrap::onFrontConnected))
+		.def("onFrontDisconnected", pure_virtual(&MdApiWrap::onFrontDisconnected))
+		.def("onHeartBeatWarning", pure_virtual(&MdApiWrap::onHeartBeatWarning))
+		.def("onRspError", pure_virtual(&MdApiWrap::onRspError))
+		.def("onRspUserLogin", pure_virtual(&MdApiWrap::onRspUserLogin))
+		.def("onRspUserLogout", pure_virtual(&MdApiWrap::onRspUserLogout))
+		.def("onRspSubMarketData", pure_virtual(&MdApiWrap::onRspSubMarketData))
+		.def("onRspUnSubMarketData", pure_virtual(&MdApiWrap::onRspUnSubMarketData))
+		.def("onRtnDepthMarketData", pure_virtual(&MdApiWrap::onRtnDepthMarketData))
+		;
+};

vn.lts/vnltsmd/pyltsmd/vnltsmd.h

@@ -0,0 +1,272 @@
+//说明部分
+
+//系统
+#include "stdafx.h"
+#include <string>
+#include <queue>
+
+//Boost
+#define BOOST_PYTHON_STATIC_LIB
+#include <boost/python/module.hpp>	//python封装
+#include <boost/python/def.hpp>		//python封装
+#include <boost/python/dict.hpp>	//python封装
+#include <boost/python/object.hpp>	//python封装
+#include <boost/python.hpp>			//python封装
+#include <boost/thread.hpp>			//任务队列的线程功能
+#include <boost/bind.hpp>			//任务队列的线程功能
+#include <boost/any.hpp>			//任务队列的任务实现
+
+//API
+#include "SecurityFtdcMdApi.h"
+
+//命名空间
+using namespace std;
+using namespace boost::python;
+using namespace boost;
+
+//常量
+#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中的部分组件
+///-------------------------------------------------------------------------------------
+
+//GIL全局锁简化获取用，
+//用于帮助C++线程获得GIL锁，从而防止python崩溃
+class PyLock
+{
+private:
+	PyGILState_STATE gil_state;
+
+public:
+	//在某个函数方法中创建该对象时，获得GIL锁
+	PyLock()
+	{
+		gil_state = PyGILState_Ensure();
+	}
+
+	//在某个函数完成后销毁该对象时，解放GIL锁
+	~PyLock()
+	{
+		PyGILState_Release(gil_state);
+	}
+};
+
+
+//任务结构体
+struct Task
+{
+	int task_name;		//回调函数名称对应的常量
+	any task_data;		//数据结构体
+	any task_error;		//错误结构体
+	int task_id;		//请求id
+	bool task_last;		//是否为最后返回
+};
+
+
+///线程安全的队列
+template<typename Data>
+
+class ConcurrentQueue
+{
+private:
+	queue<Data> the_queue;								//标准库队列
+	mutable mutex the_mutex;							//boost互斥锁
+	condition_variable the_condition_variable;			//boost条件变量
+
+public:
+
+	//存入新的任务
+	void push(Data const& data)
+	{
+		mutex::scoped_lock lock(the_mutex);				//获取互斥锁
+		the_queue.push(data);							//向队列中存入数据
+		lock.unlock();									//释放锁
+		the_condition_variable.notify_one();			//通知正在阻塞等待的线程
+	}
+
+	//检查队列是否为空
+	bool empty() const
+	{
+		mutex::scoped_lock lock(the_mutex);
+		return the_queue.empty();
+	}
+
+	//取出
+	Data wait_and_pop()
+	{
+		mutex::scoped_lock lock(the_mutex);
+
+		while (the_queue.empty())						//当队列为空时
+		{
+			the_condition_variable.wait(lock);			//等待条件变量通知
+		}
+
+		Data popped_value = the_queue.front();			//获取队列中的最后一个任务
+		the_queue.pop();								//删除该任务
+		return popped_value;							//返回该任务
+	}
+
+};
+
+
+//从字典中获取某个建值对应的整数，并赋值到请求结构体对象的值上
+void getInt(dict d, string key, int* value);
+
+
+//从字典中获取某个建值对应的浮点数，并赋值到请求结构体对象的值上
+void getDouble(dict d, string key, double* value);
+
+
+//从字典中获取某个建值对应的字符串，并赋值到请求结构体对象的值上
+void getChar(dict d, string key, char* value);
+
+
+
+///-------------------------------------------------------------------------------------
+///C++ SPI的回调函数方法实现
+///-------------------------------------------------------------------------------------
+
+//API的继承实现
+class MdApi : public CSecurityFtdcMdSpi
+{
+private:
+	CSecurityFtdcMdApi* api;			//API对象
+	thread *task_thread;				//工作线程指针（向python中推送数据）
+	ConcurrentQueue<Task> task_queue;	//任务队列
+
+public:
+	MdApi()
+	{
+		function0<void> f = boost::bind(&MdApi::processTask, this);
+		thread t(f);
+		this->task_thread = &t;
+	};
+
+	~MdApi()
+	{
+	};
+
+	//-------------------------------------------------------------------------------------
+	//API回调函数
+	//-------------------------------------------------------------------------------------
+
+	//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();
+
+	//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);
+
+	//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);
+
+	//错误应答
+	virtual void OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	//登录请求响应
+	virtual void OnRspUserLogin(CSecurityFtdcRspUserLoginField *pRspUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	//登出请求响应
+	virtual void OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	//订阅行情应答
+	virtual void OnRspSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	//取消订阅行情应答
+	virtual void OnRspUnSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	//深度行情通知
+	virtual void OnRtnDepthMarketData(CSecurityFtdcDepthMarketDataField *pDepthMarketData);
+
+
+	//-------------------------------------------------------------------------------------
+	//task：任务
+	//-------------------------------------------------------------------------------------
+
+	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：回调函数的数据字典
+	//error：回调函数的错误字典
+	//id：请求id
+	//last：是否为最后返回
+	//i：整数
+	//-------------------------------------------------------------------------------------
+
+	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:主动函数的请求字典
+	//-------------------------------------------------------------------------------------
+
+	void createFtdcMdApi(string pszFlowPath = "");
+
+	void release();
+
+	void init();
+
+	int join();
+
+	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);
+};

vn.lts/vnltsmd/test/mdtest.py

@@ -0,0 +1,151 @@
+# encoding = UTF-8
+
+import sys
+from time import sleep
+
+from PyQt4 import QtGui
+
+from vnltsmd import *
+
+
+#----------------------------------------------------------------------
+def print_dict(d):
+    """按照键值打印一个字典"""
+    for key,value in d.items():
+        print key + ':' + str(value)
+        
+        
+#----------------------------------------------------------------------
+def simple_log(func):
+    """简单装饰器用于输出函数名"""
+    def wrapper(*args, **kw):
+        print ""
+        print str(func.__name__)
+        return func(*args, **kw)
+    return wrapper
+
+
+########################################################################
+class TestMdApi(MdApi):
+    """测试用实例"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(TestMdApi, self).__init__()
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onFrontConnected(self):
+        """服务器连接"""
+        pass
+    
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onFrontDisconnected(self, n):
+        """服务器断开"""
+        print n
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onHeartBeatWarning(self, n):
+        """心跳报警"""
+        print n
+    
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRspError(self, error, n, last):
+        """错误"""
+        print_dict(error)
+    
+    #----------------------------------------------------------------------
+    def onRspUserLogin(self, data, error, n, last):
+        """登陆回报"""
+        print_dict(data)
+        print_dict(error)
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRspUserLogout(self, data, error, n, last):
+        """登出回报"""
+        print_dict(data)
+        print_dict(error)
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRspSubMarketData(self, data, error, n, last):
+        """订阅合约回报"""
+        print_dict(data)
+        print_dict(error)
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRspUnSubMarketData(self, data, error, n, last):
+        """退订合约回报"""
+        print_dict(data)
+        print_dict(error)    
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRtnDepthMarketData(self, data):
+        """行情推送"""
+        print_dict(data)
+        
+
+
+#----------------------------------------------------------------------
+def main():
+    """主测试函数，出现堵塞时可以考虑使用sleep"""
+    reqid = 0
+    
+    # 创建Qt应用对象，用于事件循环
+    app = QtGui.QApplication(sys.argv)
+
+    # 创建API对象
+    api = TestMdApi()
+    
+    # 在C++环境中创建MdApi对象，传入参数是希望用来保存.con文件的地址
+    api.createFtdcMdApi('')
+    
+    # 注册前置机地址
+    api.registerFront("tcp://101.231.210.1:24513")
+    
+    # 初始化api，连接前置机
+    api.init()
+    sleep(0.5)
+    
+    # 登陆
+    loginReq = {}                           # 创建一个空字典
+    loginReq['UserID'] = ''                 # 参数作为字典键值的方式传入
+    loginReq['Password'] = ''               # 键名和C++中的结构体成员名对应
+    loginReq['BrokerID'] = '2011'    
+    reqid = reqid + 1                       # 请求数必须保持唯一性
+    i = api.reqUserLogin(loginReq, 1)
+    sleep(0.5)
+    
+    ## 登出
+    #reqid = reqid + 1
+    #i = api.reqUserLogout({}, 1)
+    #sleep(0.5)
+    
+    # 获取交易日，目前输出为空
+    #day = api.getTradingDay()
+    #print 'Trading Day is:' + str(day)
+    #sleep(0.5)
+    
+    # 订阅合约
+    subReq = {}
+    subReq['InstrumentID'] = '600600'
+    subReq['ExchangeID'] = 'SSE'
+    i = api.subscribeMarketData(subReq)
+    
+    ## 退订合约
+    #i = api.unSubscribeMarketData(subReq)
+    
+    # 连续运行，用于输出行情
+    app.exec_()
+    
+    
+    
+if __name__ == '__main__':
+    main()

vn.lts/vnltstd/PythonTest/test.py

@@ -0,0 +1,83 @@
+# encoding = UTF-8
+
+from PyQt4 import QtGui
+import sys
+from time import sleep
+
+from vnltstd import *
+
+def printdict(error):
+    for key, value in error.items():
+        print key + ':' + str(value)
+
+class MyTdApi(TdApi):
+    def __init__(self):
+        super(MyTdApi, self).__init__()
+
+    def onFrontConnected(self):
+        print 'connected'
+
+    def onFrontDisconnected(self, i):
+        print 'disconnected'
+
+    def onHeartBeatWarning(self, i):
+        print 'heartbeat'
+
+    def onRspError(self, data, id_, last):
+        print 'error'
+        print data
+
+    def onRspUserLogin(self, data, error, id_, last) :
+        print 'login'
+        printdict(data)
+        printdict(error)
+        
+
+    def onRspUserLogout(self, data, error, id_, last):
+        print 'logout'
+        printdict(data)
+        printdict(error)
+
+    #----------------------------------------------------------------------
+    def onRspQryInstrument(self, data, error, id_, last):
+        """"""
+        printdict(data)
+    
+    #----------------------------------------------------------------------
+    def onRspQryInvestor(self, data, error, id_, last):
+        """"""
+        printdict(data)        
+
+def main():
+    
+    app = QtGui.QApplication(sys.argv)
+
+    api = MyTdApi()
+    api.createFtdcTraderApi('')
+
+    api.registerFront("tcp://101.231.210.1:24505")
+    api.init()
+    sleep(1.0)
+
+    lgreq = {}
+    lgreq['UserID'] = '010000058678'
+    lgreq['Password'] = '0656032'
+    lgreq['BrokerID'] = '2011'
+    i = api.reqUserLogin(lgreq, 1)
+    print i
+    sleep(1.0)
+
+    #req2 = {}
+    #req2['InstrumentID'] = '600600'
+    #req2['ExchangeID'] = 'SSE'
+    #api.subscribeMarketData(req2)
+    
+    ireq = {}
+    #a = api.reqQryInstrument(ireq, 3)
+    b = api.reqQryInvestor(ireq, 3)
+    #print 'a is:'+ str(a)
+
+    app.exec_()
+    
+if __name__ == '__main__':
+    main()

vn.lts/vnltstd/pyltstd/ReadMe.txt

@@ -0,0 +1,32 @@
+========================================================================
+    动态链接库：pyltstd 项目概述
+========================================================================
+
+应用程序向导已为您创建了此 pyltstd DLL。
+
+本文件概要介绍组成 pyltstd 应用程序的每个文件的内容。
+
+
+pyltstd.vcxproj
+    这是使用应用程序向导生成的 VC++ 项目的主项目文件，其中包含生成该文件的 Visual C++ 的版本信息，以及有关使用应用程序向导选择的平台、配置和项目功能的信息。
+
+pyltstd.vcxproj.filters
+    这是使用“应用程序向导”生成的 VC++ 项目筛选器文件。它包含有关项目文件与筛选器之间的关联信息。在 IDE 中，通过这种关联，在特定节点下以分组形式显示具有相似扩展名的文件。例如，“.cpp”文件与“源文件”筛选器关联。
+
+pyltstd.cpp
+    这是主 DLL 源文件。
+
+	此 DLL 在创建时不导出任何符号。因此，生成时不会产生 .lib 文件。如果希望此项目成为其他某个项目的项目依赖项，则需要添加代码以从 DLL 导出某些符号，以便产生一个导出库，或者，也可以在项目“属性页”对话框中的“链接器”文件夹中，将“常规”属性页上的“忽略输入库”属性设置为“是”。
+
+/////////////////////////////////////////////////////////////////////////////
+其他标准文件:
+
+StdAfx.h, StdAfx.cpp
+    这些文件用于生成名为 pyltstd.pch 的预编译头 (PCH) 文件和名为 StdAfx.obj 的预编译类型文件。
+
+/////////////////////////////////////////////////////////////////////////////
+其他注释:
+
+应用程序向导使用“TODO:”注释来指示应添加或自定义的源代码部分。
+
+/////////////////////////////////////////////////////////////////////////////

vn.lts/vnltstd/pyltstd/dllmain.cpp

@@ -0,0 +1,19 @@
+// dllmain.cpp : 定义 DLL 应用程序的入口点。
+#include "stdafx.h"
+
+BOOL APIENTRY DllMain( HMODULE hModule,
+                       DWORD  ul_reason_for_call,
+                       LPVOID lpReserved
+					 )
+{
+	switch (ul_reason_for_call)
+	{
+	case DLL_PROCESS_ATTACH:
+	case DLL_THREAD_ATTACH:
+	case DLL_THREAD_DETACH:
+	case DLL_PROCESS_DETACH:
+		break;
+	}
+	return TRUE;
+}
+

vn.lts/vnltstd/pyltstd/stdafx.cpp

@@ -0,0 +1,8 @@
+// stdafx.cpp : 只包括标准包含文件的源文件
+// pyltstd.pch 将作为预编译头
+// stdafx.obj 将包含预编译类型信息
+
+#include "stdafx.h"
+
+// TODO:  在 STDAFX.H 中
+// 引用任何所需的附加头文件，而不是在此文件中引用

vn.lts/vnltstd/pyltstd/stdafx.h

@@ -0,0 +1,16 @@
+// stdafx.h : 标准系统包含文件的包含文件，
+// 或是经常使用但不常更改的
+// 特定于项目的包含文件
+//
+
+#pragma once
+
+#include "targetver.h"
+
+#define WIN32_LEAN_AND_MEAN             //  从 Windows 头文件中排除极少使用的信息
+// Windows 头文件: 
+#include <windows.h>
+
+
+
+// TODO:  在此处引用程序需要的其他头文件

vn.lts/vnltstd/pyltstd/targetver.h

@@ -0,0 +1,8 @@
+#pragma once
+
+// 包括 SDKDDKVer.h 将定义可用的最高版本的 Windows 平台。
+
+// 如果要为以前的 Windows 平台生成应用程序，请包括 WinSDKVer.h，并将
+// WIN32_WINNT 宏设置为要支持的平台，然后再包括 SDKDDKVer.h。
+
+#include <SDKDDKVer.h>

vn.lts/vnltstd/pyltstd/vnltstd.h

@@ -0,0 +1,558 @@
+//说明部分
+
+//系统
+#include "stdafx.h"
+#include <string>
+#include <queue>
+
+//Boost
+#define BOOST_PYTHON_STATIC_LIB
+#include <boost/python/module.hpp>	//python封装
+#include <boost/python/def.hpp>		//python封装
+#include <boost/python/dict.hpp>	//python封装
+#include <boost/python/object.hpp>	//python封装
+#include <boost/python.hpp>			//python封装
+#include <boost/thread.hpp>			//任务队列的线程功能
+#include <boost/bind.hpp>			//任务队列的线程功能
+#include <boost/any.hpp>			//任务队列的任务实现
+
+//API
+#include "SecurityFtdcTraderApi.h"
+
+//命名空间
+using namespace std;
+using namespace boost::python;
+using namespace boost;
+
+//常量
+#define ONFRONTCONNECTED 1
+#define ONFRONTDISCONNECTED 2
+#define ONHEARTBEATWARNING 3
+#define ONRSPERROR 4
+#define ONRSPUSERLOGIN 5
+#define ONRSPUSERLOGOUT 6
+#define ONRSPORDERINSERT 7
+#define ONRSPORDERACTION 8
+#define ONRSPUSERPASSWORDUPDATE 9
+#define ONRSPTRADINGACCOUNTPASSWORDUPDATE 10
+#define ONRSPQRYEXCHANGE 11
+#define ONRSPQRYINSTRUMENT 12
+#define ONRSPQRYINVESTOR 13
+#define ONRSPQRYTRADINGCODE 14
+#define ONRSPQRYTRADINGACCOUNT 15
+#define ONRSPQRYDEPTHMARKETDATA 16
+#define ONRSPQRYBONDINTEREST 17
+#define ONRSPQRYMARKETRATIONINFO 18
+#define ONRSPQRYINSTRUMENTCOMMISSIONRATE 19
+#define ONRSPQRYETFINSTRUMENT 20
+#define ONRSPQRYETFBASKET 21
+#define ONRSPQRYOFINSTRUMENT 22
+#define ONRSPQRYSFINSTRUMENT 23
+#define ONRSPQRYORDER 24
+#define ONRSPQRYTRADE 25
+#define ONRSPQRYINVESTORPOSITION 26
+#define ONRTNORDER 27
+#define ONRTNTRADE 28
+#define ONERRRTNORDERINSERT 29
+#define ONERRRTNORDERACTION 30
+#define ONRSPFUNDOUTBYLIBER 31
+#define ONRTNFUNDOUTBYLIBER 32
+#define ONERRRTNFUNDOUTBYLIBER 33
+#define ONRTNFUNDINBYBANK 34
+#define ONRSPQRYFUNDTRANSFERSERIAL 35
+#define ONRSPFUNDINTERTRANSFER 36
+#define ONRSPQRYFUNDINTERTRANSFERSERIAL 37
+#define ONRTNFUNDINTERTRANSFERSERIAL 38
+#define ONERRRTNFUNDINTERTRANSFER 39
+
+
+///-------------------------------------------------------------------------------------
+///API中的部分组件
+///-------------------------------------------------------------------------------------
+
+//GIL全局锁简化获取用，
+//用于帮助C++线程获得GIL锁，从而防止python崩溃
+class PyLock
+{
+private:
+	PyGILState_STATE gil_state;
+
+public:
+	//在某个函数方法中创建该对象时，获得GIL锁
+	PyLock()
+	{
+		gil_state = PyGILState_Ensure();
+	}
+
+	//在某个函数完成后销毁该对象时，解放GIL锁
+	~PyLock()
+	{
+		PyGILState_Release(gil_state);
+	}
+};
+
+
+//任务结构体
+struct Task
+{
+	int task_name;		//回调函数名称对应的常量
+	any task_data;		//数据结构体
+	any task_error;		//错误结构体
+	int task_id;		//请求id
+	bool task_last;		//是否为最后返回
+};
+
+
+///线程安全的队列
+template<typename Data>
+
+class ConcurrentQueue
+{
+private:
+	queue<Data> the_queue;								//标准库队列
+	mutable mutex the_mutex;							//boost互斥锁
+	condition_variable the_condition_variable;			//boost条件变量
+
+public:
+
+	//存入新的任务
+	void push(Data const& data)
+	{
+		mutex::scoped_lock lock(the_mutex);				//获取互斥锁
+		the_queue.push(data);							//向队列中存入数据
+		lock.unlock();									//释放锁
+		the_condition_variable.notify_one();			//通知正在阻塞等待的线程
+	}
+
+	//检查队列是否为空
+	bool empty() const
+	{
+		mutex::scoped_lock lock(the_mutex);
+		return the_queue.empty();
+	}
+
+	//取出
+	Data wait_and_pop()
+	{
+		mutex::scoped_lock lock(the_mutex);
+
+		while (the_queue.empty())						//当队列为空时
+		{
+			the_condition_variable.wait(lock);			//等待条件变量通知
+		}
+
+		Data popped_value = the_queue.front();			//获取队列中的最后一个任务
+		the_queue.pop();								//删除该任务
+		return popped_value;							//返回该任务
+	}
+
+};
+
+
+//从字典中获取某个建值对应的整数，并赋值到请求结构体对象的值上
+void getInt(dict d, string key, int* value);
+
+
+//从字典中获取某个建值对应的浮点数，并赋值到请求结构体对象的值上
+void getDouble(dict d, string key, double* value);
+
+
+//从字典中获取某个建值对应的字符串，并赋值到请求结构体对象的值上
+void getChar(dict d, string key, char* value);
+
+
+
+///-------------------------------------------------------------------------------------
+///C++ SPI的回调函数方法实现
+///-------------------------------------------------------------------------------------
+
+//API的继承实现
+class TdApi : public CSecurityFtdcTraderSpi
+{
+private:
+	CSecurityFtdcTraderApi* api;			//API对象
+	thread *task_thread;				//工作线程指针（向python中推送数据）
+	ConcurrentQueue<Task> task_queue;	//任务队列
+
+public:
+	TdApi()
+	{
+		function0<void> f = boost::bind(&TdApi::processTask, this);
+		thread t(f);
+		this->task_thread = &t;
+	};
+
+	~TdApi()
+	{
+	};
+
+	//-------------------------------------------------------------------------------------
+	//API回调函数
+	//-------------------------------------------------------------------------------------
+
+	///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();
+
+	///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);
+
+	///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);
+
+	///错误应答
+	virtual void OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///登录请求响应
+	virtual void OnRspUserLogin(CSecurityFtdcRspUserLoginField *pRspUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///登出请求响应
+	virtual void OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///报单录入请求响应
+	virtual void OnRspOrderInsert(CSecurityFtdcInputOrderField *pInputOrder, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///报单操作请求响应
+	virtual void OnRspOrderAction(CSecurityFtdcInputOrderActionField *pInputOrderAction, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///用户口令更新请求响应
+	virtual void OnRspUserPasswordUpdate(CSecurityFtdcUserPasswordUpdateField *pUserPasswordUpdate, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///资金账户口令更新请求响应
+	virtual void OnRspTradingAccountPasswordUpdate(CSecurityFtdcTradingAccountPasswordUpdateField *pTradingAccountPasswordUpdate, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询交易所响应
+	virtual void OnRspQryExchange(CSecurityFtdcExchangeField *pExchange, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询合约响应
+	virtual void OnRspQryInstrument(CSecurityFtdcInstrumentField *pInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询投资者响应
+	virtual void OnRspQryInvestor(CSecurityFtdcInvestorField *pInvestor, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询交易编码响应
+	virtual void OnRspQryTradingCode(CSecurityFtdcTradingCodeField *pTradingCode, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询资金账户响应
+	virtual void OnRspQryTradingAccount(CSecurityFtdcTradingAccountField *pTradingAccount, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询行情响应
+	virtual void OnRspQryDepthMarketData(CSecurityFtdcDepthMarketDataField *pDepthMarketData, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询债券利息响应
+	virtual void OnRspQryBondInterest(CSecurityFtdcBondInterestField *pBondInterest, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询市值配售信息响应
+	virtual void OnRspQryMarketRationInfo(CSecurityFtdcMarketRationInfoField *pMarketRationInfo, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询合约手续费率响应
+	virtual void OnRspQryInstrumentCommissionRate(CSecurityFtdcInstrumentCommissionRateField *pInstrumentCommissionRate, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询ETF合约响应
+	virtual void OnRspQryETFInstrument(CSecurityFtdcETFInstrumentField *pETFInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询ETF股票篮响应
+	virtual void OnRspQryETFBasket(CSecurityFtdcETFBasketField *pETFBasket, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询OF合约响应
+	virtual void OnRspQryOFInstrument(CSecurityFtdcOFInstrumentField *pOFInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询SF合约响应
+	virtual void OnRspQrySFInstrument(CSecurityFtdcSFInstrumentField *pSFInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询报单响应
+	virtual void OnRspQryOrder(CSecurityFtdcOrderField *pOrder, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询成交响应
+	virtual void OnRspQryTrade(CSecurityFtdcTradeField *pTrade, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///请求查询投资者持仓响应
+	virtual void OnRspQryInvestorPosition(CSecurityFtdcInvestorPositionField *pInvestorPosition, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///报单通知
+	virtual void OnRtnOrder(CSecurityFtdcOrderField *pOrder);
+
+	///成交通知
+	virtual void OnRtnTrade(CSecurityFtdcTradeField *pTrade);
+
+	///报单录入错误回报
+	virtual void OnErrRtnOrderInsert(CSecurityFtdcInputOrderField *pInputOrder, CSecurityFtdcRspInfoField *pRspInfo);
+
+	///报单操作错误回报
+	virtual void OnErrRtnOrderAction(CSecurityFtdcOrderActionField *pOrderAction, CSecurityFtdcRspInfoField *pRspInfo);
+
+	///Liber发起出金应答
+	virtual void OnRspFundOutByLiber(CSecurityFtdcInputFundTransferField *pInputFundTransfer, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///Liber发起出金通知
+	virtual void OnRtnFundOutByLiber(CSecurityFtdcFundTransferField *pFundTransfer);
+
+	///Liber发起出金错误回报
+	virtual void OnErrRtnFundOutByLiber(CSecurityFtdcInputFundTransferField *pInputFundTransfer, CSecurityFtdcRspInfoField *pRspInfo);
+
+	///银行发起入金通知
+	virtual void OnRtnFundInByBank(CSecurityFtdcFundTransferField *pFundTransfer);
+
+	///资金转账查询应答
+	virtual void OnRspQryFundTransferSerial(CSecurityFtdcFundTransferField *pFundTransfer, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///资金内转应答
+	virtual void OnRspFundInterTransfer(CSecurityFtdcFundInterTransferField *pFundInterTransfer, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///资金内转流水查询应答
+	virtual void OnRspQryFundInterTransferSerial(CSecurityFtdcFundInterTransferSerialField *pFundInterTransferSerial, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
+
+	///资金内转流水通知
+	virtual void OnRtnFundInterTransferSerial(CSecurityFtdcFundInterTransferSerialField *pFundInterTransferSerial);
+
+	///资金内转错误回报
+	virtual void OnErrRtnFundInterTransfer(CSecurityFtdcFundInterTransferField *pFundInterTransfer, CSecurityFtdcRspInfoField *pRspInfo);
+
+	//-------------------------------------------------------------------------------------
+	//task：任务
+	//-------------------------------------------------------------------------------------
+
+	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 processRspOrderInsert(Task task);
+
+	void processRspOrderAction(Task task);
+
+	void processRspUserPasswordUpdate(Task task);
+
+	void processRspTradingAccountPasswordUpdate(Task task);
+
+	void processRspQryExchange(Task task);
+
+	void processRspQryInstrument(Task task);
+
+	void processRspQryInvestor(Task task);
+
+	void processRspQryTradingCode(Task task);
+
+	void processRspQryTradingAccount(Task task);
+
+	void processRspQryDepthMarketData(Task task);
+
+	void processRspQryBondInterest(Task task);
+
+	void processRspQryMarketRationInfo(Task task);
+
+	void processRspQryInstrumentCommissionRate(Task task);
+
+	void processRspQryETFInstrument(Task task);
+
+	void processRspQryETFBasket(Task task);
+
+	void processRspQryOFInstrument(Task task);
+
+	void processRspQrySFInstrument(Task task);
+
+	void processRspQryOrder(Task task);
+
+	void processRspQryTrade(Task task);
+
+	void processRspQryInvestorPosition(Task task);
+
+	void processRtnOrder(Task task);
+
+	void processRtnTrade(Task task);
+
+	void processErrRtnOrderInsert(Task task);
+
+	void processErrRtnOrderAction(Task task);
+
+	void processRspFundOutByLiber(Task task);
+
+	void processRtnFundOutByLiber(Task task);
+
+	void processErrRtnFundOutByLiber(Task task);
+
+	void processRtnFundInByBank(Task task);
+
+	void processRspQryFundTransferSerial(Task task);
+
+	void processRspFundInterTransfer(Task task);
+
+	void processRspQryFundInterTransferSerial(Task task);
+
+	void processRtnFundInterTransferSerial(Task task);
+
+	void processErrRtnFundInterTransfer(Task task);
+
+	//-------------------------------------------------------------------------------------
+	//data：回调函数的数据字典
+	//error：回调函数的错误字典
+	//id：请求id
+	//last：是否为最后返回
+	//i：整数
+	//-------------------------------------------------------------------------------------
+
+	virtual void onFrontConnected(){};
+
+	virtual void onFrontDisconnected(int i){};
+
+	virtual void onHeartBeatWarning(int i){};
+
+	virtual void onRspError(dict error, 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 onRspOrderInsert(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspOrderAction(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspUserPasswordUpdate(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspTradingAccountPasswordUpdate(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryExchange(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryInstrument(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryInvestor(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryTradingCode(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryTradingAccount(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryDepthMarketData(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryBondInterest(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryMarketRationInfo(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryInstrumentCommissionRate(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryETFInstrument(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryETFBasket(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryOFInstrument(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQrySFInstrument(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryOrder(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryTrade(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryInvestorPosition(dict data, dict error, int id, bool last) {};
+
+	virtual void onRtnOrder(dict data) {};
+
+	virtual void onRtnTrade(dict data) {};
+
+	virtual void onErrRtnOrderInsert(dict data, dict error) {};
+
+	virtual void onErrRtnOrderAction(dict data, dict error) {};
+
+	virtual void onRspFundOutByLiber(dict data, dict error, int id, bool last) {};
+
+	virtual void onRtnFundOutByLiber(dict data) {};
+
+	virtual void onErrRtnFundOutByLiber(dict data, dict error) {};
+
+	virtual void onRtnFundInByBank(dict data) {};
+
+	virtual void onRspQryFundTransferSerial(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspFundInterTransfer(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspQryFundInterTransferSerial(dict data, dict error, int id, bool last) {};
+
+	virtual void onRtnFundInterTransferSerial(dict data) {};
+
+	virtual void onErrRtnFundInterTransfer(dict data, dict error) {};
+
+	//-------------------------------------------------------------------------------------
+	//req:主动函数的请求字典
+	//-------------------------------------------------------------------------------------
+
+	void createFtdcTraderApi(string pszFlowPath = "");
+
+	void release();
+
+	void init();
+
+	int join();
+
+	string getTradingDay();
+
+	void registerFront(string pszFrontAddress);
+
+	void subscribePrivateTopic(int nType);
+
+	void subscribePublicTopic(int nType);
+
+	int reqUserLogin(dict req, int nRequestID);
+
+	int reqUserLogout(dict req, int nRequestID);
+
+	int reqOrderInsert(dict req, int nRequestID);
+
+	int reqOrderAction(dict req, int nRequestID);
+
+	int reqUserPasswordUpdate(dict req, int nRequestID);
+
+	int reqTradingAccountPasswordUpdate(dict req, int nRequestID);
+
+	int reqQryExchange(dict req, int nRequestID);
+
+	int reqQryInstrument(dict req, int nRequestID);
+
+	int reqQryInvestor(dict req, int nRequestID);
+
+	int reqQryTradingCode(dict req, int nRequestID);
+
+	int reqQryTradingAccount(dict req, int nRequestID);
+
+	int reqQryDepthMarketData(dict req, int nRequestID);
+
+	int reqQryBondInterest(dict req, int nRequestID);
+
+	int reqQryMarketRationInfo(dict req, int nRequestID);
+
+	int reqQryInstrumentCommissionRate(dict req, int nRequestID);
+
+	int reqQryETFInstrument(dict req, int nRequestID);
+
+	int reqQryETFBasket(dict req, int nRequestID);
+
+	int reqQryOFInstrument(dict req, int nRequestID);
+
+	int reqQrySFInstrument(dict req, int nRequestID);
+
+	int reqQryOrder(dict req, int nRequestID);
+
+	int reqQryTrade(dict req, int nRequestID);
+
+	int reqQryInvestorPosition(dict req, int nRequestID);
+
+	int reqFundOutByLiber(dict req, int nRequestID);
+
+	int reqQryFundTransferSerial(dict req, int nRequestID);
+
+	int reqFundInterTransfer(dict req, int nRequestID);
+
+	int reqQryFundInterTransferSerial(dict req, int nRequestID);
+};