增加直达期货的外盘交易接口
This commit is contained in:
chenxy123
parent
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commit
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17
README.md
17
README.md
@ -36,6 +36,7 @@
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对于想研究API封装的用户，可以参考[vnpy.org](http://vnpy.org)上面的教程一步步操作。
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其他作者建议使用的软件工具：
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* [WingIDE](http://wingware.com/)：非常好用的Python集成开发环境（作者就是用它写的vn.py）
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* [Robomongo](https://robomongo.org/)：MongoDB的图形化客户端，方便监控和修改数据
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@ -49,26 +50,31 @@
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##### 注意:
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按照以上方式配置后，你便可以使用vn.py的CTP, LTS, KSOTP等大多数交易接口，但在启动vtMain.py时， 你可能会遇到以下错误：
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按照以上方式配置后，便可以使用vn.py的CTP, LTS, KSOTP等大多数交易接口，但在启动vtMain.py时， 你可能会遇到以下错误：
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```
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请先安装WindPy接口
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global name 'w' is not defined
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No module named ib.ext.Contract
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No module named websocket
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```
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它们分别对应Wind, IB, OKCOIN三个交易接口，如果你不使用这三个接口，可以直接忽略这些错误，不会影响使用。
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但如果你需要，可以通过以下方式安装其对应的库：
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* WIND - 到[大奖章网站](http://www.dajiangzhang.com/document)注册并下载安装**Wind资讯开放应用接口**个人版即可
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* WIND - 到[大奖章网站](http://www.dajiangzhang.com/document)注册并下载安装**Wind资讯开放应用接口**个人版即可，使用机构版Wind终端的用户可以直接在终端里安装Python接口
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* IB - 参考https://github.com/blampe/IbPy， 基本上是两步：
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```
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git clone https://github.com/blampe/IbPy.git
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cd IbPy
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python setup.py install
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```
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* OKCOIN - ```pip install websocket``` or ```conda install websocket```
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@ -78,10 +84,15 @@ python setup.py install
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vn.py使用github托管其源代码，贡献代码使用github的PR(Pull Request)的流程，十分的强大与便利:
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1. [创建 Issue](https://github.com/vnpy/vnpy/issues/new) - 对于较大的改动(如新功能，大型重构等)最好先开issue讨论一下，较小的improvement(如文档改进，bugfix等)直接发PR即可
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2. Fork [vn.py](https://github.com/vnpy/vnpy) - 点击右上角**Fork**按钮
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3. Clone你自己的fork: ```git clone https://github.com/$userid/vnpy.git```
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4. 在**dev**修改并将修改push到你的fork上
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5. 创建从你的fork的**dev**分支到主项目的**dev**分支的[Pull Request] - [在此](https://github.com/vnpy/vnpy)点击**Compare & pull request**
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6. 等待review, 需要继续改进，或者被Merge!
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---
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12
vn.shzd/README.md
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12
vn.shzd/README.md
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# vn.shzd
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### 简介
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直达期货接口的Python封装，主要用于外盘期货交易，可以提供比IB更低的行情和交易延时，以及更好的交易稳定性，适合专业机构使用。
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### API版本
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日期：2015-10-16
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名称：ShZd-Dll_20151016
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链接：[http://www.directaccess.com.hk/software/download.html](http://www.directaccess.com.hk/software/download.html)
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BIN
vn.shzd/docs/中文名称与代码.xlsm
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BIN
vn.shzd/docs/中文名称与代码.xlsm
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Binary file not shown.
39
vn.shzd/docs/通信错误编码与提示
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vn.shzd/docs/通信错误编码与提示
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code msg
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00000 或“ ” 处理成功
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00001 服务器已断开，请联系客服或者稍后重新登录系统
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00002 指令失败，请联系客服或者稍后重新登录系统！
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10001 用户名不正确
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10002 登录密码错误
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10003 密码错误次数超限，用户已冻结，请联系客服解冻！
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10004 用户已被冻结，请联系客服解冻！
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20000 下单失败
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20001 资金不足
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20002 交易服务器未连接
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20003 您已被禁止交易，请联系客服解禁
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20004 下单被拒绝
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20005 系统号生成失败
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20006 您的资金账户中没有该合约交易所需的币种
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20007 该合约已经到期，不能交易
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20008 该交易市场未开市，不能交易
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20009 该交易市场已闭市，不能交易
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20010 下单价格超出限定范围
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20011 下单数量过大
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20012 您被禁止交易该合约，请联系客服
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20013 您的资金账户风险率过高，已被禁止交易
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20014 撤单失败
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20015 您的账户交易数据出现异常，暂停交易
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20016 改单失败
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20019 下单数量超过客户持仓限量
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20020 下单数量超过客户可下单买量
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20021 下单数量超过客户可下单卖量
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20022 下单数量超过公司持仓限量
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20023 下单数量超过公司可下单买量
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20024 下单数量超过公司可下单卖量
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20026 合约临近交割，只可平仓，不能开仓
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20027 该合约已过最后交易日时间，禁止电子盘交易
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20028 商品未开放，禁止交易
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20029 单笔下单数量超过该商品单笔最大可下单数
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7、17服务器连接成功，前置服务器连接成功，行情服务器连接成功
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8、18服务器断开，前置断开、行情服务器断开
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3000 请求未输入账号
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27
vn.shzd/shzdapi/ShZdMessage.h
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vn.shzd/shzdapi/ShZdMessage.h
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#pragma once
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#include <map>
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using namespace std;
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#ifndef ShZdMessage_H
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#define ShZdMessage_H
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#ifdef DLL_FILE
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class _declspec(dllexport) CShZdMessage //导出类CShZdMessage
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#else
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class _declspec(dllimport) CShZdMessage //导入类CShZdMessage
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#endif
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{
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public:
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CShZdMessage(void);
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~CShZdMessage(void);
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bool SetTag(const int tag,const char* value);
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char* GetString(int tag);
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bool SetAllRead(int read);//设置所有信息结构体为已读或未读
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const char* GetMesgType();
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bool SetMsgType(const char *msgType);
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string GetAllString();//返回所有的字符串
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private:
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map<int,string> MsgBody;//信息体
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};
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#endif
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BIN
vn.shzd/shzdapi/ShZdTradeLib.dll
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BIN
vn.shzd/shzdapi/ShZdTradeLib.dll
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Binary file not shown.
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vn.shzd/shzdapi/ShZdTradeLib.h
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vn.shzd/shzdapi/ShZdTradeLib.h
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//==================================================================================
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//下列 ifdef 块是创建使从 DLL 导出更简单的
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// 宏的标准方法。此 DLL 中的所有文件都是用命令行上定义的 SHZDTRADELIB_EXPORTS
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// 符号编译的。在使用此 DLL 的
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// 任何其他项目上不应定义此符号。这样，源文件中包含此文件的任何其他项目都会将
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// SHZDTRADELIB_API 函数视为是从 DLL 导入的，而此 DLL 则将用此宏定义的
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// 符号视为是被导出的。
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// 向少中 2013-03-22
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//===================================================================================
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#pragma once
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#include "ShZdMessage.h"
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#ifdef SHZDTRADELIB_EXPORTS
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#define SHZDTRADELIB_API __declspec(dllexport)
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#else
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#define SHZDTRADELIB_API __declspec(dllimport)
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#endif
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#ifdef __cplusplus
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//===================================================================================
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// 对外导出的接口
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//===================================================================================
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//接收信息的虚类
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class SHZDTRADELIB_API IShZdTradeOutLib
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{
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public:
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virtual int OnReceiveTradeInfo(const CShZdMessage * re)=0;
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virtual int OnReceiveMarketInfo(const CShZdMessage * re)=0;
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virtual int OnReceiveErrorInfo(int errorCode,const char* re)=0;
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};
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typedef IShZdTradeOutLib* IShZdTradeOutLibHandler;
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//发送信息的虚类
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class SHZDTRADELIB_API IShZdTradeInLib
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{
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public:
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virtual void Release() = 0;
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virtual int InitShZdServer()=0;//初始化服务器
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virtual int RegisterFront(const char *pszFrontAddress,int portNum)=0; //连接前置服务器
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virtual int RegisterMarket(const char *pszMarketAddress,int portNum)=0;//连接行情服务器
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virtual int ShZdSendInfoToTrade(const CShZdMessage *send)=0; //向前置服务器发送交易请求
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virtual int ShZdSendInfoToMarket(const CShZdMessage *send)=0;//向行情服务器发送行情请求
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virtual int RegisterOutLib(IShZdTradeOutLibHandler handler)=0;
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};
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typedef IShZdTradeInLib* ShZdTradeInLibHandle;
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// 此类是从 ShZdTradeLib.dll 导出的
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class SHZDTRADELIB_API CShZdTradeLib {
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public:
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};
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#else
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#endif
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#ifdef __cplusplus
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# define EXTERN_C extern "C"
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#else
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# define EXTERN_C
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#endif
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EXTERN_C SHZDTRADELIB_API ShZdTradeInLibHandle GetShZdTradeLib(void);
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BIN
vn.shzd/shzdapi/ShZdTradeLib.lib
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BIN
vn.shzd/shzdapi/ShZdTradeLib.lib
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Binary file not shown.
BIN
vn.shzd/test/ShZdTradeLib.dll
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BIN
vn.shzd/test/ShZdTradeLib.dll
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75
vn.shzd/test/test.py
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vn.shzd/test/test.py
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# encoding: UTF-8
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from time import sleep
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from vnshzd import *
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#----------------------------------------------------------------------
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def printDict(d):
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""""""
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l = d.keys()
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l.sort()
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for key in l:
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print '%s:%s' %(key, d[key])
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########################################################################
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class TestApi(ShzdApi):
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""""""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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super(TestApi, self).__init__()
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pass
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#----------------------------------------------------------------------
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def onReceiveErrorInfo(self, errcode, errmsg):
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""""""
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print '-' * 50
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print 'errorcode %s, error msg %s' %(errcode, errmsg)
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#----------------------------------------------------------------------
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def onReceiveMarketInfo(self, data):
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""""""
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print '-' * 50
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printDict(data)
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#----------------------------------------------------------------------
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def onReceiveTradeInfo(self, data):
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""""""
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print '-' * 50
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printDict(data)
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if __name__ == '__main__':
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api = TestApi()
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# 初始化连接
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api.initShZdServer()
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# 注册前置机地址
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print api.registerFront('222.73.119.230', 7003)
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print api.registerMarket('222.73.119.230', 9003)
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# 登录
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sleep(1)
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data = {}
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data['msgtype'] = 'A'
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data['12'] = 'demo000604'
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data['16'] = '888888'
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api.shzdSendInfoToTrade(data)
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# 订阅行情
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sleep(1)
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data = {}
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data['msgtype'] = 'MA'
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data['11'] = '00010337'
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data['201'] = '+'
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data['307'] = "CME,6J1609"
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api.shzdSendInfoToMarket(data)
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raw_input()
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BIN
vn.shzd/test/vnshzd.pyd
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BIN
vn.shzd/test/vnshzd.pyd
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vn.shzd/vnshzd/vnshzd/ReadMe.txt
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48
vn.shzd/vnshzd/vnshzd/ReadMe.txt
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========================================================================
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DYNAMIC LINK LIBRARY : vnshzd Project Overview
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========================================================================
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AppWizard has created this vnshzd DLL for you.
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This file contains a summary of what you will find in each of the files that
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make up your vnshzd application.
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vnshzd.vcxproj
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This is the main project file for VC++ projects generated using an Application Wizard.
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It contains information about the version of Visual C++ that generated the file, and
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information about the platforms, configurations, and project features selected with the
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Application Wizard.
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vnshzd.vcxproj.filters
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This is the filters file for VC++ projects generated using an Application Wizard.
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It contains information about the association between the files in your project
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and the filters. This association is used in the IDE to show grouping of files with
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similar extensions under a specific node (for e.g. ".cpp" files are associated with the
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"Source Files" filter).
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vnshzd.cpp
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This is the main DLL source file.
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When created, this DLL does not export any symbols. As a result, it
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will not produce a .lib file when it is built. If you wish this project
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to be a project dependency of some other project, you will either need to
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add code to export some symbols from the DLL so that an export library
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will be produced, or you can set the Ignore Input Library property to Yes
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on the General propert page of the Linker folder in the project's Property
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Pages dialog box.
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/////////////////////////////////////////////////////////////////////////////
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Other standard files:
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StdAfx.h, StdAfx.cpp
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These files are used to build a precompiled header (PCH) file
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named vnshzd.pch and a precompiled types file named StdAfx.obj.
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/////////////////////////////////////////////////////////////////////////////
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Other notes:
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AppWizard uses "TODO:" comments to indicate parts of the source code you
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should add to or customize.
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/////////////////////////////////////////////////////////////////////////////
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19
vn.shzd/vnshzd/vnshzd/dllmain.cpp
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19
vn.shzd/vnshzd/vnshzd/dllmain.cpp
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// dllmain.cpp : Defines the entry point for the DLL application.
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#include "stdafx.h"
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BOOL APIENTRY DllMain( HMODULE hModule,
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DWORD ul_reason_for_call,
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LPVOID lpReserved
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)
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{
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switch (ul_reason_for_call)
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{
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case DLL_PROCESS_ATTACH:
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case DLL_THREAD_ATTACH:
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case DLL_THREAD_DETACH:
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case DLL_PROCESS_DETACH:
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break;
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}
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return TRUE;
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}
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8
vn.shzd/vnshzd/vnshzd/stdafx.cpp
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8
vn.shzd/vnshzd/vnshzd/stdafx.cpp
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// stdafx.cpp : source file that includes just the standard includes
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// vnshzd.pch will be the pre-compiled header
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// stdafx.obj will contain the pre-compiled type information
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#include "stdafx.h"
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// TODO: reference any additional headers you need in STDAFX.H
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// and not in this file
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16
vn.shzd/vnshzd/vnshzd/stdafx.h
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16
vn.shzd/vnshzd/vnshzd/stdafx.h
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// stdafx.h : include file for standard system include files,
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// or project specific include files that are used frequently, but
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// are changed infrequently
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//
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#pragma once
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#include "targetver.h"
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#define WIN32_LEAN_AND_MEAN // Exclude rarely-used stuff from Windows headers
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// Windows Header Files:
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#include <windows.h>
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// TODO: reference additional headers your program requires here
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8
vn.shzd/vnshzd/vnshzd/targetver.h
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8
vn.shzd/vnshzd/vnshzd/targetver.h
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#pragma once
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// Including SDKDDKVer.h defines the highest available Windows platform.
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||||
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||||
// If you wish to build your application for a previous Windows platform, include WinSDKVer.h and
|
||||
// set the _WIN32_WINNT macro to the platform you wish to support before including SDKDDKVer.h.
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#include <SDKDDKVer.h>
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362
vn.shzd/vnshzd/vnshzd/vnshzd.cpp
Normal file
362
vn.shzd/vnshzd/vnshzd/vnshzd.cpp
Normal file
@ -0,0 +1,362 @@
|
||||
// vnctpmd.cpp : 定义 DLL 应用程序的导出函数。
|
||||
//
|
||||
|
||||
#include "stdafx.h"
|
||||
#include "vnshzd.h"
|
||||
|
||||
///-------------------------------------------------------------------------------------
|
||||
///C++的回调函数将数据保存到队列中
|
||||
///-------------------------------------------------------------------------------------
|
||||
|
||||
int ShzdApi::OnReceiveTradeInfo(const CShZdMessage * re)
|
||||
{
|
||||
if (re)
|
||||
{
|
||||
CShZdMessage *msg = new CShZdMessage();
|
||||
*msg = *re;
|
||||
|
||||
Task *task = new Task();
|
||||
task->task_name = ONRECEIVETRADEINFO;
|
||||
task->task_data = msg;
|
||||
this->task_queue.push(task);
|
||||
}
|
||||
|
||||
return 0;
|
||||
};
|
||||
|
||||
int ShzdApi::OnReceiveMarketInfo(const CShZdMessage * re)
|
||||
{
|
||||
if (re)
|
||||
{
|
||||
CShZdMessage *msg = new CShZdMessage();
|
||||
*msg = *re;
|
||||
|
||||
Task *task = new Task();
|
||||
task->task_name = ONRECEIVEMARKETINFO;
|
||||
task->task_data = msg;
|
||||
this->task_queue.push(task);
|
||||
}
|
||||
|
||||
return 0;
|
||||
};
|
||||
|
||||
int ShzdApi::OnReceiveErrorInfo(int errorCode, const char* re)
|
||||
{
|
||||
Task *task = new Task();
|
||||
task->task_name = ONRECEIVEERRORINFO;
|
||||
task->task_errcode = errorCode;
|
||||
task->task_errmsg = string(re);
|
||||
this->task_queue.push(task);
|
||||
|
||||
return 0;
|
||||
};
|
||||
|
||||
|
||||
///-------------------------------------------------------------------------------------
|
||||
///工作线程从队列中取出数据，转化为python对象后，进行推送
|
||||
///-------------------------------------------------------------------------------------
|
||||
|
||||
void ShzdApi::processTask()
|
||||
{
|
||||
while (1)
|
||||
{
|
||||
Task *task = this->task_queue.wait_and_pop();
|
||||
|
||||
switch (task->task_name)
|
||||
{
|
||||
case ONRECEIVETRADEINFO:
|
||||
{
|
||||
this->processTradeInfo(task);
|
||||
break;
|
||||
}
|
||||
|
||||
case ONRECEIVEMARKETINFO:
|
||||
{
|
||||
this->processMarketInfo(task);
|
||||
break;
|
||||
}
|
||||
|
||||
case ONRECEIVEERRORINFO:
|
||||
{
|
||||
this->processErrorInfo(task);
|
||||
break;
|
||||
}
|
||||
};
|
||||
}
|
||||
};
|
||||
|
||||
|
||||
void ShzdApi::processTradeInfo(Task* task)
|
||||
{
|
||||
PyLock lock;
|
||||
|
||||
dict data;
|
||||
CShZdMessage *tr = (CShZdMessage*)task->task_data;
|
||||
|
||||
//读取信息类型
|
||||
string type = tr->GetMesgType();
|
||||
data["msgtype"] = type;
|
||||
|
||||
//读取具体数据
|
||||
string allstr = tr->GetAllString();
|
||||
vector<string> strvector;
|
||||
boost::split(strvector, allstr, boost::is_any_of(",")); //首先基于","把字符串分解
|
||||
|
||||
for (int i = 0; i < strvector.size(); i++) //遍历上一步分解的段落，再用"="分解每段
|
||||
{
|
||||
string temp = strvector[i];
|
||||
if (temp.find("=") != string::npos) //忽略没有"="的段落
|
||||
{
|
||||
vector<string> tempvector;
|
||||
boost::split(tempvector, temp, boost::is_any_of("="));
|
||||
data[tempvector[0]] = tempvector[1];
|
||||
}
|
||||
}
|
||||
|
||||
this->onReceiveTradeInfo(data);
|
||||
|
||||
delete task->task_data;
|
||||
delete task;
|
||||
};
|
||||
|
||||
void ShzdApi::processMarketInfo(Task* task)
|
||||
{
|
||||
PyLock lock;
|
||||
|
||||
dict data;
|
||||
CShZdMessage *tr = (CShZdMessage*)task->task_data;
|
||||
|
||||
//读取信息类型
|
||||
string type = tr->GetMesgType();
|
||||
data["msgtype"] = type;
|
||||
|
||||
//读取具体数据
|
||||
string allstr = tr->GetAllString();
|
||||
vector<string> strvector;
|
||||
boost::split(strvector, allstr, boost::is_any_of(",")); //首先基于","把字符串分解
|
||||
|
||||
for (int i = 0; i < strvector.size(); i++) //遍历上一步分解的段落，再用"="分解每段
|
||||
{
|
||||
string temp = strvector[i];
|
||||
if (temp.find("=") != string::npos) //忽略没有"="的段落
|
||||
{
|
||||
vector<string> tempvector;
|
||||
boost::split(tempvector, temp, boost::is_any_of("="));
|
||||
data[tempvector[0]] = tempvector[1];
|
||||
}
|
||||
}
|
||||
|
||||
this->onReceiveTradeInfo(data);
|
||||
|
||||
delete task->task_data;
|
||||
delete task;
|
||||
};
|
||||
|
||||
void ShzdApi::processErrorInfo(Task* task)
|
||||
{
|
||||
PyLock lock;
|
||||
|
||||
this->onReceiveErrorInfo(task->task_errcode, task->task_errmsg);
|
||||
|
||||
delete task;
|
||||
};
|
||||
|
||||
|
||||
|
||||
///-------------------------------------------------------------------------------------
|
||||
///主动函数
|
||||
///-------------------------------------------------------------------------------------
|
||||
|
||||
void ShzdApi::release()
|
||||
{
|
||||
this->api->Release();
|
||||
};
|
||||
|
||||
int ShzdApi::initShZdServer()
|
||||
{
|
||||
this->api = GetShZdTradeLib();
|
||||
int n = this->api->InitShZdServer();
|
||||
this->api->RegisterOutLib(this);
|
||||
return n;
|
||||
};
|
||||
|
||||
|
||||
int ShzdApi::registerFront(string address, int port)
|
||||
{
|
||||
return this->api->RegisterFront(address.c_str(), port);
|
||||
};
|
||||
|
||||
|
||||
int ShzdApi::registerMarket(string address, int port)
|
||||
{
|
||||
return this->api->RegisterMarket(address.c_str(), port);
|
||||
};
|
||||
|
||||
int ShzdApi::shzdSendInfoToTrade(dict data)
|
||||
{
|
||||
CShZdMessage msg = CShZdMessage();
|
||||
|
||||
//插入信息类型
|
||||
if (data.has_key("msgtype"))
|
||||
{
|
||||
object msgtype = data["msgtype"];
|
||||
extract<string> x(msgtype);
|
||||
if (x.check())
|
||||
{
|
||||
string typestr = x();
|
||||
msg.SetMsgType(typestr.c_str());
|
||||
}
|
||||
}
|
||||
|
||||
//插入字段
|
||||
boost::python::list keyList = data.keys();
|
||||
boost::python::list valueList = data.values();
|
||||
|
||||
for (int n = 0; n < len(keyList); n++)
|
||||
{
|
||||
//声明
|
||||
int keyint = 0;
|
||||
string valuestr = "";
|
||||
|
||||
//获取整数型的key
|
||||
object key = keyList[n];
|
||||
extract<string> x1(key);
|
||||
if (x1.check())
|
||||
{
|
||||
string keystr = x1();
|
||||
stringstream ss;
|
||||
ss << keystr;
|
||||
ss >> keyint;
|
||||
}
|
||||
|
||||
//获取字符串的value
|
||||
object value = valueList[n];
|
||||
extract<string> x2(value);
|
||||
if (x2.check())
|
||||
{
|
||||
valuestr = x2();
|
||||
}
|
||||
|
||||
//添加到msg中
|
||||
msg.SetTag(keyint, valuestr.c_str());
|
||||
}
|
||||
|
||||
return this->api->ShZdSendInfoToTrade(&msg);
|
||||
};
|
||||
|
||||
int ShzdApi::shzdSendInfoToMarket(dict data)
|
||||
{
|
||||
CShZdMessage msg = CShZdMessage();
|
||||
|
||||
//插入信息类型
|
||||
if (data.has_key("msgtype"))
|
||||
{
|
||||
object msgtype = data["msgtype"];
|
||||
extract<string> x(msgtype);
|
||||
if (x.check())
|
||||
{
|
||||
string typestr = x();
|
||||
msg.SetMsgType(typestr.c_str());
|
||||
}
|
||||
}
|
||||
|
||||
//插入字段
|
||||
boost::python::list keyList = data.keys();
|
||||
boost::python::list valueList = data.values();
|
||||
|
||||
for (int n = 0; n < len(keyList); n++)
|
||||
{
|
||||
//声明
|
||||
int keyint = 0;
|
||||
string valuestr = "";
|
||||
|
||||
//获取整数型的key
|
||||
object key = keyList[n];
|
||||
extract<string> x1(key);
|
||||
if (x1.check())
|
||||
{
|
||||
string keystr = x1();
|
||||
stringstream ss;
|
||||
ss << keystr;
|
||||
ss >> keyint;
|
||||
}
|
||||
|
||||
//获取字符串的value
|
||||
object value = valueList[n];
|
||||
extract<string> x2(value);
|
||||
if (x2.check())
|
||||
{
|
||||
valuestr = x2();
|
||||
}
|
||||
|
||||
//添加到msg中
|
||||
msg.SetTag(keyint, valuestr.c_str());
|
||||
}
|
||||
|
||||
return this->api->ShZdSendInfoToMarket(&msg);
|
||||
};
|
||||
|
||||
|
||||
|
||||
///-------------------------------------------------------------------------------------
|
||||
///Boost.Python封装
|
||||
///-------------------------------------------------------------------------------------
|
||||
|
||||
struct ShzdApiWrap : ShzdApi, wrapper < ShzdApi >
|
||||
{
|
||||
virtual void onReceiveTradeInfo(dict data)
|
||||
{
|
||||
//以下的try...catch...可以实现捕捉python环境中错误的功能，防止C++直接出现原因未知的崩溃
|
||||
try
|
||||
{
|
||||
this->get_override("onReceiveTradeInfo")(data);
|
||||
}
|
||||
catch (error_already_set const &)
|
||||
{
|
||||
PyErr_Print();
|
||||
}
|
||||
};
|
||||
|
||||
virtual void onReceiveMarketInfo(dict data)
|
||||
{
|
||||
try
|
||||
{
|
||||
this->get_override("onReceiveMarketInfo")(data);
|
||||
}
|
||||
catch (error_already_set const &)
|
||||
{
|
||||
PyErr_Print();
|
||||
}
|
||||
};
|
||||
|
||||
virtual void onReceiveErrorInfo(int errcode, string errmsg)
|
||||
{
|
||||
try
|
||||
{
|
||||
this->get_override("onReceiveErrorInfo")(errcode, errmsg);
|
||||
}
|
||||
catch (error_already_set const &)
|
||||
{
|
||||
PyErr_Print();
|
||||
}
|
||||
};
|
||||
};
|
||||
|
||||
|
||||
BOOST_PYTHON_MODULE(vnshzd)
|
||||
{
|
||||
PyEval_InitThreads(); //导入时运行，保证先创建GIL
|
||||
|
||||
class_<ShzdApiWrap, boost::noncopyable>("ShzdApi")
|
||||
.def("release", &ShzdApiWrap::release)
|
||||
.def("initShZdServer", &ShzdApiWrap::initShZdServer)
|
||||
.def("registerFront", &ShzdApiWrap::registerFront)
|
||||
.def("registerMarket", &ShzdApiWrap::registerMarket)
|
||||
.def("shzdSendInfoToTrade", &ShzdApiWrap::shzdSendInfoToTrade)
|
||||
.def("shzdSendInfoToMarket", &ShzdApiWrap::shzdSendInfoToMarket)
|
||||
|
||||
.def("onReceiveTradeInfo", pure_virtual(&ShzdApiWrap::onReceiveTradeInfo))
|
||||
.def("onReceiveMarketInfo", pure_virtual(&ShzdApiWrap::onReceiveMarketInfo))
|
||||
.def("onReceiveErrorInfo", pure_virtual(&ShzdApiWrap::onReceiveErrorInfo))
|
||||
;
|
||||
};
|
||||
197
vn.shzd/vnshzd/vnshzd/vnshzd.h
Normal file
197
vn.shzd/vnshzd/vnshzd/vnshzd.h
Normal file
@ -0,0 +1,197 @@
|
||||
//说明部分
|
||||
|
||||
//系统
|
||||
#ifdef WIN32
|
||||
#include "stdafx.h"
|
||||
#endif
|
||||
#include <string>
|
||||
#include <queue>
|
||||
#include <vector>
|
||||
|
||||
//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/list.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
|
||||
#include <boost/algorithm/string.hpp> //字符串处理功能
|
||||
|
||||
//API
|
||||
#include "ShZdTradeLib.h"
|
||||
|
||||
//命名空间
|
||||
using namespace std;
|
||||
using namespace boost::python;
|
||||
using namespace boost;
|
||||
|
||||
//常量
|
||||
#define ONRECEIVETRADEINFO 1
|
||||
#define ONRECEIVEMARKETINFO 2
|
||||
#define ONRECEIVEERRORINFO 3
|
||||
|
||||
|
||||
///-------------------------------------------------------------------------------------
|
||||
///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
|
||||
void* task_data; //数据结构指针
|
||||
string task_errmsg; //错误字符串
|
||||
int task_errcode; //错误代码
|
||||
};
|
||||
|
||||
|
||||
///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
|
||||
}
|
||||
|
||||
};
|
||||
|
||||
|
||||
///-------------------------------------------------------------------------------------
|
||||
///C++ SPI的回调函数方法实现
|
||||
///-------------------------------------------------------------------------------------
|
||||
|
||||
//API的继承实现
|
||||
class ShzdApi : public IShZdTradeOutLib
|
||||
{
|
||||
private:
|
||||
IShZdTradeInLib *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:
|
||||
ShzdApi()
|
||||
{
|
||||
function0<void> f = boost::bind(&ShzdApi::processTask, this);
|
||||
thread t(f);
|
||||
this->task_thread = &t;
|
||||
};
|
||||
|
||||
~ShzdApi()
|
||||
{
|
||||
};
|
||||
|
||||
//-------------------------------------------------------------------------------------
|
||||
//API回调函数
|
||||
//-------------------------------------------------------------------------------------
|
||||
|
||||
virtual int OnReceiveTradeInfo(const CShZdMessage * re);
|
||||
|
||||
virtual int OnReceiveMarketInfo(const CShZdMessage * re);
|
||||
|
||||
virtual int OnReceiveErrorInfo(int errorCode, const char* re);
|
||||
|
||||
//-------------------------------------------------------------------------------------
|
||||
//task：任务
|
||||
//-------------------------------------------------------------------------------------
|
||||
|
||||
void processTask();
|
||||
|
||||
void processTradeInfo(Task *task);
|
||||
|
||||
void processMarketInfo(Task *task);
|
||||
|
||||
void processErrorInfo(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 onReceiveTradeInfo(dict data){};
|
||||
|
||||
virtual void onReceiveMarketInfo(dict data){};
|
||||
|
||||
virtual void onReceiveErrorInfo(int errcode, string errmsg){};
|
||||
|
||||
//-------------------------------------------------------------------------------------
|
||||
//req:主动函数的请求字典
|
||||
//-------------------------------------------------------------------------------------
|
||||
|
||||
void release();
|
||||
|
||||
int initShZdServer();
|
||||
|
||||
int registerFront(string address, int port);
|
||||
|
||||
int registerMarket(string address, int port);
|
||||
|
||||
int shzdSendInfoToTrade(dict data);
|
||||
|
||||
int shzdSendInfoToMarket(dict data);
|
||||
|
||||
};
|
||||
128
vn.xtp/pyscript/generate_data_type.py
Normal file
128
vn.xtp/pyscript/generate_data_type.py
Normal file
@ -0,0 +1,128 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
__author__ = u'用Python的交易员'
|
||||
|
||||
# C++和python类型的映射字典
|
||||
type_dict = {
|
||||
'int': 'int',
|
||||
'char': 'string',
|
||||
'double': 'float',
|
||||
'short': 'int',
|
||||
'XTP_EXCHANGE_TYPE': 'int'
|
||||
}
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def process_line(line):
|
||||
"""处理每行"""
|
||||
# 注释
|
||||
if line[:3] == '///': # 注释
|
||||
py_line = process_comment(line)
|
||||
# 枚举
|
||||
elif 'enum' in line:
|
||||
py_line = process_enum(line)
|
||||
# 常量
|
||||
elif '#define' in line:
|
||||
py_line = process_define(line)
|
||||
# 类型定义
|
||||
elif 'typedef' in line:
|
||||
py_line = process_typedef(line)
|
||||
# 空行
|
||||
elif line == '\n':
|
||||
py_line = line
|
||||
# 其他忽略
|
||||
else:
|
||||
py_line = ''
|
||||
|
||||
return py_line
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def process_enum(line):
|
||||
"""处理枚举"""
|
||||
content = line.replace('\n', '').split(' ')
|
||||
type_ = 'int'
|
||||
keyword = content[1]
|
||||
py_line = 'typedefDict["%s"] = "%s"\n' % (keyword, type_)
|
||||
|
||||
return py_line
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def process_comment(line):
|
||||
"""处理注释"""
|
||||
py_line = line.replace('/', '#')
|
||||
|
||||
return py_line
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def process_typedef(line):
|
||||
"""处理类型定义"""
|
||||
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
|
||||
|
||||
if 'char' in line:
|
||||
if '[' in line:
|
||||
type_ = 'string'
|
||||
else:
|
||||
type_ = 'char'
|
||||
|
||||
py_line = 'typedefDict["%s"] = "%s"\n' % (keyword, type_)
|
||||
|
||||
return py_line
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def process_define(line):
|
||||
"""处理常量"""
|
||||
content = line.split(' ')
|
||||
constant = content[1]
|
||||
|
||||
if len(content)>2:
|
||||
value = content[-1]
|
||||
#py_line = 'defineDict["%s"] = %s' % (constant, value)
|
||||
py_line = '%s = %s' %(constant, value)
|
||||
else:
|
||||
py_line = ''
|
||||
|
||||
return py_line
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def replaceTabs(f):
|
||||
"""把Tab用4个空格替代"""
|
||||
l = []
|
||||
for line in f:
|
||||
line.replace('\t', ' ')
|
||||
l.append(line)
|
||||
return l
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def main():
|
||||
"""主函数"""
|
||||
fcpp = open('xtp_api_data_type.h','r')
|
||||
fpy = open('xtp_data_type.py', 'w')
|
||||
|
||||
fpy.write('# encoding: UTF-8\n')
|
||||
fpy.write('\n')
|
||||
fpy.write('typedefDict = {}\n')
|
||||
fpy.write('\n')
|
||||
|
||||
lcpp = replaceTabs(fcpp)
|
||||
for n, line in enumerate(lcpp):
|
||||
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'
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
main()
|
||||
|
||||
295
vn.xtp/pyscript/generate_md_functions.py
Normal file
295
vn.xtp/pyscript/generate_md_functions.py
Normal file
@ -0,0 +1,295 @@
|
||||
# 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)
|
||||
|
||||
# 生成.h文件中的process部分
|
||||
process_line = 'void process' + cbName[2:] + '(Task *task);\n'
|
||||
fheaderprocess.write(process_line)
|
||||
fheaderprocess.write('\n')
|
||||
|
||||
# 生成.h文件中的on部分
|
||||
if 'OnRspError' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict error, int id, bool last) {};\n'
|
||||
elif 'OnRsp' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data, dict error, int id, bool last) {};\n'
|
||||
elif 'OnRtn' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data) {};\n'
|
||||
elif 'OnErrRtn' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data, dict error) {};\n'
|
||||
else:
|
||||
on_line = ''
|
||||
fheaderon.write(on_line)
|
||||
fheaderon.write('\n')
|
||||
|
||||
# 生成封装部分
|
||||
createWrap(cbName)
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def createWrap(cbName):
|
||||
"""在Python封装段代码中进行处理"""
|
||||
# 生成.h文件中的on部分
|
||||
if 'OnRspError' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict error, int id, bool last)\n'
|
||||
override_line = '("on' + cbName[2:] + '")(error, id, last);\n'
|
||||
elif 'OnRsp' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data, dict error, int id, bool last)\n'
|
||||
override_line = '("on' + cbName[2:] + '")(data, error, id, last);\n'
|
||||
elif 'OnRtn' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data)\n'
|
||||
override_line = '("on' + cbName[2:] + '")(data);\n'
|
||||
elif 'OnErrRtn' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data, dict error)\n'
|
||||
override_line = '("on' + cbName[2:] + '")(data, error);\n'
|
||||
else:
|
||||
on_line = ''
|
||||
|
||||
if on_line is not '':
|
||||
fwrap.write(on_line)
|
||||
fwrap.write('{\n')
|
||||
fwrap.write('\ttry\n')
|
||||
fwrap.write('\t{\n')
|
||||
fwrap.write('\t\tthis->get_override'+override_line)
|
||||
fwrap.write('\t}\n')
|
||||
fwrap.write('\tcatch (error_already_set const &)\n')
|
||||
fwrap.write('\t{\n')
|
||||
fwrap.write('\t\tPyErr_Print();\n')
|
||||
fwrap.write('\t}\n')
|
||||
fwrap.write('};\n')
|
||||
fwrap.write('\n')
|
||||
|
||||
|
||||
|
||||
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 = new 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("\n")
|
||||
ftask.write("\tif (pRspInfo)\n")
|
||||
ftask.write("\t{\n")
|
||||
ftask.write("\t\t" + type_ + ' *task_error = new ' + type_ + '();\n')
|
||||
ftask.write("\t\t" + '*task_error = ' + cbArgsValueList[i] + ';\n')
|
||||
ftask.write("\t\ttask->task_error = task_error;\n")
|
||||
ftask.write("\t}\n")
|
||||
ftask.write("\n")
|
||||
else:
|
||||
ftask.write("\n")
|
||||
ftask.write("\tif (" + cbArgsValueList[i][1:] + ")\n")
|
||||
ftask.write("\t{\n")
|
||||
|
||||
ftask.write("\t\t" + type_ + ' *task_data = new ' + type_ + '();\n')
|
||||
ftask.write("\t\t" + '*task_data = ' + cbArgsValueList[i] + ';\n')
|
||||
ftask.write("\t\ttask->task_data = task_data;\n")
|
||||
ftask.write("\t}\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")
|
||||
fprocess.write("\tPyLock lock;\n")
|
||||
|
||||
onArgsList = []
|
||||
|
||||
for i, type_ in enumerate(cbArgsTypeList):
|
||||
if 'RspInfoField' in type_:
|
||||
fprocess.write("\t"+ "dict error;\n")
|
||||
fprocess.write("\tif (task->task_error)\n")
|
||||
fprocess.write("\t{\n")
|
||||
fprocess.write("\t\t"+ type_ + ' *task_error = (' + type_ + '*) task->task_error;\n')
|
||||
|
||||
struct = structDict[type_]
|
||||
for key in struct.keys():
|
||||
fprocess.write("\t\t"+ 'error["' + key + '"] = task_error->' + key + ';\n')
|
||||
|
||||
fprocess.write("\t\tdelete task->task_error;\n")
|
||||
fprocess.write("\t}\n")
|
||||
fprocess.write("\n")
|
||||
|
||||
onArgsList.append('error')
|
||||
|
||||
elif type_ in structDict:
|
||||
fprocess.write("\t"+ "dict data;\n")
|
||||
fprocess.write("\tif (task->task_data)\n")
|
||||
fprocess.write("\t{\n")
|
||||
fprocess.write("\t\t"+ type_ + ' *task_data = (' + type_ + '*) task->task_data;\n')
|
||||
|
||||
struct = structDict[type_]
|
||||
for key in struct.keys():
|
||||
fprocess.write("\t\t"+ 'data["' + key + '"] = task_data->' + key + ';\n')
|
||||
|
||||
fprocess.write("\t\tdelete task->task_data;\n")
|
||||
fprocess.write("\t}\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('\tdelete task;\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)
|
||||
|
||||
# 生成.h文件中的主动函数部分
|
||||
if 'Req' in fcName:
|
||||
req_line = 'int req' + fcName[3:] + '(dict req, int nRequestID);\n'
|
||||
fheaderfunction.write(req_line)
|
||||
fheaderfunction.write('\n')
|
||||
|
||||
|
||||
def createFunction(fcName, fcArgsTypeList, fcArgsValueList):
|
||||
type_ = fcArgsTypeList[0]
|
||||
struct = structDict[type_]
|
||||
|
||||
ffunction.write('int MdApi::req' + fcName[3:] + '(dict req, int nRequestID)\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 = '\tgetString(req, "' + key + '", myreq.' + key + ');\n'
|
||||
elif value == 'char':
|
||||
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')
|
||||
fheaderprocess = open('lts_md_header_process.h', 'w')
|
||||
fheaderon = open('lts_md_header_on.h', 'w')
|
||||
fheaderfunction = open('lts_md_header_function.h', 'w')
|
||||
fwrap = open('lts_md_wrap.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()
|
||||
fheaderprocess.close()
|
||||
fheaderon.close()
|
||||
fheaderfunction.close()
|
||||
fwrap.close()
|
||||
295
vn.xtp/pyscript/generate_qry_functions.py
Normal file
295
vn.xtp/pyscript/generate_qry_functions.py
Normal file
@ -0,0 +1,295 @@
|
||||
# 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)
|
||||
|
||||
# 生成.h文件中的process部分
|
||||
process_line = 'void process' + cbName[2:] + '(Task *task);\n'
|
||||
fheaderprocess.write(process_line)
|
||||
fheaderprocess.write('\n')
|
||||
|
||||
# 生成.h文件中的on部分
|
||||
if 'OnRspError' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict error, int id, bool last) {};\n'
|
||||
elif 'OnRsp' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data, dict error, int id, bool last) {};\n'
|
||||
elif 'OnRtn' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data) {};\n'
|
||||
elif 'OnErrRtn' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data, dict error) {};\n'
|
||||
else:
|
||||
on_line = ''
|
||||
fheaderon.write(on_line)
|
||||
fheaderon.write('\n')
|
||||
|
||||
# 生成封装部分
|
||||
createWrap(cbName)
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def createWrap(cbName):
|
||||
"""在Python封装段代码中进行处理"""
|
||||
# 生成.h文件中的on部分
|
||||
if 'OnRspError' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict error, int id, bool last)\n'
|
||||
override_line = '("on' + cbName[2:] + '")(error, id, last);\n'
|
||||
elif 'OnRsp' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data, dict error, int id, bool last)\n'
|
||||
override_line = '("on' + cbName[2:] + '")(data, error, id, last);\n'
|
||||
elif 'OnRtn' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data)\n'
|
||||
override_line = '("on' + cbName[2:] + '")(data);\n'
|
||||
elif 'OnErrRtn' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data, dict error)\n'
|
||||
override_line = '("on' + cbName[2:] + '")(data, error);\n'
|
||||
else:
|
||||
on_line = ''
|
||||
|
||||
if on_line is not '':
|
||||
fwrap.write(on_line)
|
||||
fwrap.write('{\n')
|
||||
fwrap.write('\ttry\n')
|
||||
fwrap.write('\t{\n')
|
||||
fwrap.write('\t\tthis->get_override'+override_line)
|
||||
fwrap.write('\t}\n')
|
||||
fwrap.write('\tcatch (error_already_set const &)\n')
|
||||
fwrap.write('\t{\n')
|
||||
fwrap.write('\t\tPyErr_Print();\n')
|
||||
fwrap.write('\t}\n')
|
||||
fwrap.write('};\n')
|
||||
fwrap.write('\n')
|
||||
|
||||
|
||||
|
||||
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 = new 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("\n")
|
||||
ftask.write("\tif (pRspInfo)\n")
|
||||
ftask.write("\t{\n")
|
||||
ftask.write("\t\t" + type_ + ' *task_error = new ' + type_ + '();\n')
|
||||
ftask.write("\t\t" + '*task_error = ' + cbArgsValueList[i] + ';\n')
|
||||
ftask.write("\t\ttask->task_error = task_error;\n")
|
||||
ftask.write("\t}\n")
|
||||
ftask.write("\n")
|
||||
else:
|
||||
ftask.write("\n")
|
||||
ftask.write("\tif (" + cbArgsValueList[i][1:] + ")\n")
|
||||
ftask.write("\t{\n")
|
||||
|
||||
ftask.write("\t\t" + type_ + ' *task_data = new ' + type_ + '();\n')
|
||||
ftask.write("\t\t" + '*task_data = ' + cbArgsValueList[i] + ';\n')
|
||||
ftask.write("\t\ttask->task_data = task_data;\n")
|
||||
ftask.write("\t}\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")
|
||||
fprocess.write("\tPyLock lock;\n")
|
||||
|
||||
onArgsList = []
|
||||
|
||||
for i, type_ in enumerate(cbArgsTypeList):
|
||||
if 'RspInfoField' in type_:
|
||||
fprocess.write("\t"+ "dict error;\n")
|
||||
fprocess.write("\tif (task->task_error)\n")
|
||||
fprocess.write("\t{\n")
|
||||
fprocess.write("\t\t"+ type_ + ' *task_error = (' + type_ + '*) task->task_error;\n')
|
||||
|
||||
struct = structDict[type_]
|
||||
for key in struct.keys():
|
||||
fprocess.write("\t\t"+ 'error["' + key + '"] = task_error->' + key + ';\n')
|
||||
|
||||
fprocess.write("\t\tdelete task->task_error;\n")
|
||||
fprocess.write("\t}\n")
|
||||
fprocess.write("\n")
|
||||
|
||||
onArgsList.append('error')
|
||||
|
||||
elif type_ in structDict:
|
||||
fprocess.write("\t"+ "dict data;\n")
|
||||
fprocess.write("\tif (task->task_data)\n")
|
||||
fprocess.write("\t{\n")
|
||||
fprocess.write("\t\t"+ type_ + ' *task_data = (' + type_ + '*) task->task_data;\n')
|
||||
|
||||
struct = structDict[type_]
|
||||
for key in struct.keys():
|
||||
fprocess.write("\t\t"+ 'data["' + key + '"] = task_data->' + key + ';\n')
|
||||
|
||||
fprocess.write("\t\tdelete task->task_data;\n")
|
||||
fprocess.write("\t}\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('\tdelete task;\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)
|
||||
|
||||
# 生成.h文件中的主动函数部分
|
||||
if 'Req' in fcName:
|
||||
req_line = 'int req' + fcName[3:] + '(dict req, int nRequestID);\n'
|
||||
fheaderfunction.write(req_line)
|
||||
fheaderfunction.write('\n')
|
||||
|
||||
|
||||
def createFunction(fcName, fcArgsTypeList, fcArgsValueList):
|
||||
type_ = fcArgsTypeList[0]
|
||||
struct = structDict[type_]
|
||||
|
||||
ffunction.write('int QryApi::req' + fcName[3:] + '(dict req, int nRequestID)\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 = '\tgetString(req, "' + key + '", myreq.' + key + ');\n'
|
||||
elif value == 'char':
|
||||
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 = 'QryApi'
|
||||
|
||||
fcpp = open('SecurityFtdcQueryApi.h', 'r')
|
||||
ftask = open('lts_qry_task.cpp', 'w')
|
||||
fprocess = open('lts_qry_process.cpp', 'w')
|
||||
ffunction = open('lts_qry_function.cpp', 'w')
|
||||
fdefine = open('lts_qry_define.cpp', 'w')
|
||||
fswitch = open('lts_qry_switch.cpp', 'w')
|
||||
fheaderprocess = open('lts_qry_header_process.h', 'w')
|
||||
fheaderon = open('lts_qry_header_on.h', 'w')
|
||||
fheaderfunction = open('lts_qry_header_function.h', 'w')
|
||||
fwrap = open('lts_qry_wrap.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()
|
||||
fheaderprocess.close()
|
||||
fheaderon.close()
|
||||
fheaderfunction.close()
|
||||
fwrap.close()
|
||||
76
vn.xtp/pyscript/generate_struct_oms.py
Normal file
76
vn.xtp/pyscript/generate_struct_oms.py
Normal file
@ -0,0 +1,76 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
__author__ = 'CHENXY'
|
||||
|
||||
from xtp_data_type import *
|
||||
|
||||
type_dict = {
|
||||
'uint64_t': 'int',
|
||||
'uint32_t': 'int',
|
||||
'int64_t': 'int',
|
||||
'char': 'string',
|
||||
'double': 'float'
|
||||
}
|
||||
|
||||
typedefDict.update(type_dict)
|
||||
|
||||
|
||||
def main():
|
||||
"""主函数"""
|
||||
fcpp = open('xoms_api_struct.h', 'r')
|
||||
fpy = open('xtp_struct_oms.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 ' ' == line[0:4] or '\t' == line[0]:
|
||||
content = line.split(' ')
|
||||
content = [k for k in content if k]
|
||||
print content
|
||||
typedef = content[0].replace('\t', '')
|
||||
type_ = typedefDict[typedef]
|
||||
|
||||
variable = content[1]
|
||||
variable = variable.replace(';', "")
|
||||
variable = variable.replace('\n', "")
|
||||
if '[' in variable:
|
||||
k = variable.index('[')
|
||||
variable = variable[0:k]
|
||||
|
||||
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()
|
||||
76
vn.xtp/pyscript/generate_struct_quote.py
Normal file
76
vn.xtp/pyscript/generate_struct_quote.py
Normal file
@ -0,0 +1,76 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
__author__ = 'CHENXY'
|
||||
|
||||
from xtp_data_type import *
|
||||
|
||||
type_dict = {
|
||||
'uint64_t': 'int',
|
||||
'uint32_t': 'int',
|
||||
'int64_t': 'int',
|
||||
'char': 'string',
|
||||
'double': 'float'
|
||||
}
|
||||
|
||||
typedefDict.update(type_dict)
|
||||
|
||||
|
||||
def main():
|
||||
"""主函数"""
|
||||
fcpp = open('xquote_api_struct.h', 'r')
|
||||
fpy = open('xtp_struct_quote.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 ' ' == line[0:4] or '\t' == line[0]:
|
||||
content = line.split(' ')
|
||||
content = [k for k in content if k]
|
||||
print content
|
||||
typedef = content[0].replace('\t', '')
|
||||
type_ = typedefDict[typedef]
|
||||
|
||||
variable = content[1]
|
||||
variable = variable.replace(';', "")
|
||||
variable = variable.replace('\n', "")
|
||||
if '[' in variable:
|
||||
k = variable.index('[')
|
||||
variable = variable[0:k]
|
||||
|
||||
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()
|
||||
295
vn.xtp/pyscript/generate_td_functions.py
Normal file
295
vn.xtp/pyscript/generate_td_functions.py
Normal file
@ -0,0 +1,295 @@
|
||||
# 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)
|
||||
|
||||
# 生成.h文件中的process部分
|
||||
process_line = 'void process' + cbName[2:] + '(Task *task);\n'
|
||||
fheaderprocess.write(process_line)
|
||||
fheaderprocess.write('\n')
|
||||
|
||||
# 生成.h文件中的on部分
|
||||
if 'OnRspError' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict error, int id, bool last) {};\n'
|
||||
elif 'OnRsp' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data, dict error, int id, bool last) {};\n'
|
||||
elif 'OnRtn' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data) {};\n'
|
||||
elif 'OnErrRtn' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data, dict error) {};\n'
|
||||
else:
|
||||
on_line = ''
|
||||
fheaderon.write(on_line)
|
||||
fheaderon.write('\n')
|
||||
|
||||
# 生成封装部分
|
||||
createWrap(cbName)
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def createWrap(cbName):
|
||||
"""在Python封装段代码中进行处理"""
|
||||
# 生成.h文件中的on部分
|
||||
if 'OnRspError' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict error, int id, bool last)\n'
|
||||
override_line = '("on' + cbName[2:] + '")(error, id, last);\n'
|
||||
elif 'OnRsp' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data, dict error, int id, bool last)\n'
|
||||
override_line = '("on' + cbName[2:] + '")(data, error, id, last);\n'
|
||||
elif 'OnRtn' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data)\n'
|
||||
override_line = '("on' + cbName[2:] + '")(data);\n'
|
||||
elif 'OnErrRtn' in cbName:
|
||||
on_line = 'virtual void on' + cbName[2:] + '(dict data, dict error)\n'
|
||||
override_line = '("on' + cbName[2:] + '")(data, error);\n'
|
||||
else:
|
||||
on_line = ''
|
||||
|
||||
if on_line is not '':
|
||||
fwrap.write(on_line)
|
||||
fwrap.write('{\n')
|
||||
fwrap.write('\ttry\n')
|
||||
fwrap.write('\t{\n')
|
||||
fwrap.write('\t\tthis->get_override'+override_line)
|
||||
fwrap.write('\t}\n')
|
||||
fwrap.write('\tcatch (error_already_set const &)\n')
|
||||
fwrap.write('\t{\n')
|
||||
fwrap.write('\t\tPyErr_Print();\n')
|
||||
fwrap.write('\t}\n')
|
||||
fwrap.write('};\n')
|
||||
fwrap.write('\n')
|
||||
|
||||
|
||||
|
||||
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 = new 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("\n")
|
||||
ftask.write("\tif (pRspInfo)\n")
|
||||
ftask.write("\t{\n")
|
||||
ftask.write("\t\t" + type_ + ' *task_error = new ' + type_ + '();\n')
|
||||
ftask.write("\t\t" + '*task_error = ' + cbArgsValueList[i] + ';\n')
|
||||
ftask.write("\t\ttask->task_error = task_error;\n")
|
||||
ftask.write("\t}\n")
|
||||
ftask.write("\n")
|
||||
else:
|
||||
ftask.write("\n")
|
||||
ftask.write("\tif (" + cbArgsValueList[i][1:] + ")\n")
|
||||
ftask.write("\t{\n")
|
||||
|
||||
ftask.write("\t\t" + type_ + ' *task_data = new ' + type_ + '();\n')
|
||||
ftask.write("\t\t" + '*task_data = ' + cbArgsValueList[i] + ';\n')
|
||||
ftask.write("\t\ttask->task_data = task_data;\n")
|
||||
ftask.write("\t}\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")
|
||||
fprocess.write("\tPyLock lock;\n")
|
||||
|
||||
onArgsList = []
|
||||
|
||||
for i, type_ in enumerate(cbArgsTypeList):
|
||||
if 'RspInfoField' in type_:
|
||||
fprocess.write("\t"+ "dict error;\n")
|
||||
fprocess.write("\tif (task->task_error)\n")
|
||||
fprocess.write("\t{\n")
|
||||
fprocess.write("\t\t"+ type_ + ' *task_error = (' + type_ + '*) task->task_error;\n')
|
||||
|
||||
struct = structDict[type_]
|
||||
for key in struct.keys():
|
||||
fprocess.write("\t\t"+ 'error["' + key + '"] = task_error->' + key + ';\n')
|
||||
|
||||
fprocess.write("\t\tdelete task->task_error;\n")
|
||||
fprocess.write("\t}\n")
|
||||
fprocess.write("\n")
|
||||
|
||||
onArgsList.append('error')
|
||||
|
||||
elif type_ in structDict:
|
||||
fprocess.write("\t"+ "dict data;\n")
|
||||
fprocess.write("\tif (task->task_data)\n")
|
||||
fprocess.write("\t{\n")
|
||||
fprocess.write("\t\t"+ type_ + ' *task_data = (' + type_ + '*) task->task_data;\n')
|
||||
|
||||
struct = structDict[type_]
|
||||
for key in struct.keys():
|
||||
fprocess.write("\t\t"+ 'data["' + key + '"] = task_data->' + key + ';\n')
|
||||
|
||||
fprocess.write("\t\tdelete task->task_data;\n")
|
||||
fprocess.write("\t}\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('\tdelete task;\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)
|
||||
|
||||
# 生成.h文件中的主动函数部分
|
||||
if 'Req' in fcName:
|
||||
req_line = 'int req' + fcName[3:] + '(dict req, int nRequestID);\n'
|
||||
fheaderfunction.write(req_line)
|
||||
fheaderfunction.write('\n')
|
||||
|
||||
|
||||
def createFunction(fcName, fcArgsTypeList, fcArgsValueList):
|
||||
type_ = fcArgsTypeList[0]
|
||||
struct = structDict[type_]
|
||||
|
||||
ffunction.write('int TdApi::req' + fcName[3:] + '(dict req, int nRequestID)\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 = '\tgetString(req, "' + key + '", myreq.' + key + ');\n'
|
||||
elif value == 'char':
|
||||
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')
|
||||
fheaderprocess = open('lts_td_header_process.h', 'w')
|
||||
fheaderon = open('lts_td_header_on.h', 'w')
|
||||
fheaderfunction = open('lts_td_header_function.h', 'w')
|
||||
fwrap = open('lts_td_wrap.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()
|
||||
fheaderprocess.close()
|
||||
fheaderon.close()
|
||||
fheaderfunction.close()
|
||||
fwrap.close()
|
||||
2738
vn.xtp/pyscript/notused/xtp_api_struct_compatible.h
Normal file
2738
vn.xtp/pyscript/notused/xtp_api_struct_compatible.h
Normal file
File diff suppressed because it is too large
Load Diff
161
vn.xtp/pyscript/notused/xtp_quote_api_compatible.h
Normal file
161
vn.xtp/pyscript/notused/xtp_quote_api_compatible.h
Normal file
@ -0,0 +1,161 @@
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
///@author 中泰证券股份有限公司
|
||||
///@file xtp_quote_api_compatible.h
|
||||
///@brief 定义行情订阅客户端兼容接口
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
|
||||
#ifndef _XTP_QUOTE_API_COMPATIBLE_H_
|
||||
#define _XTP_QUOTE_API_COMPATIBLE_H_
|
||||
|
||||
#if _MSC_VER > 1000
|
||||
#pragma once
|
||||
#endif // _MSC_VER > 1000
|
||||
|
||||
#include "xtp_api_struct.h"
|
||||
#include "xtp_api_struct_compatible.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 XTP::API::QuoteCompatibleSpi
|
||||
*
|
||||
* \brief 行情回调兼容类
|
||||
*
|
||||
* \author 中泰证券股份有限公司
|
||||
* \date 十月 2015
|
||||
*/
|
||||
namespace XTP {
|
||||
namespace API {
|
||||
class QuoteCompatibleSpi
|
||||
{
|
||||
public:
|
||||
///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) {};
|
||||
|
||||
|
||||
///错误应答
|
||||
///@param pRspInfo 错误信息
|
||||
///@param nRequestID 请求的ID
|
||||
///@param bIsLast 是否最后一个
|
||||
virtual void OnRspError(CXTPRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
|
||||
|
||||
///登出请求响应
|
||||
///@param pUserLogout 用户登出的参数
|
||||
///@param pRspInfo 错误信息
|
||||
///@param nRequestID 请求的ID
|
||||
///@param bIsLast 是否最后一个
|
||||
virtual void OnRspUserLogout(CXTPUserLogoutField *pUserLogout, CXTPRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
|
||||
|
||||
///订阅行情应答
|
||||
///@param pSpecificInstrument 详细的合约订阅情况
|
||||
///@param pRspInfo 错误信息
|
||||
///@param nRequestID 请求的ID
|
||||
///@param bIsLast 是否最后一个
|
||||
virtual void OnRspSubMarketData(CXTPSpecificInstrumentField *pSpecificInstrument, CXTPRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
|
||||
|
||||
///取消订阅行情应答
|
||||
///@param pSpecificInstrument 详细的合约取消订阅情况
|
||||
///@param pRspInfo 错误信息
|
||||
///@param nRequestID 请求的ID
|
||||
///@param bIsLast 是否最后一个
|
||||
virtual void OnRspUnSubMarketData(CXTPSpecificInstrumentField *pSpecificInstrument, CXTPRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
|
||||
|
||||
///深度行情通知
|
||||
///@param pDepthMarketData 行情数据
|
||||
virtual void OnRtnDepthMarketData(CXTPDepthMarketDataField *pDepthMarketData) {};
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
/*!
|
||||
* \class XTP::API::QuoteCompatibleApi
|
||||
*
|
||||
* \brief 行情订阅兼容接口类
|
||||
*
|
||||
* \author 中泰证券股份有限公司
|
||||
* \date 十月 2015
|
||||
*/
|
||||
namespace XTP {
|
||||
namespace API {
|
||||
class MD_API_EXPORT QuoteCompatibleApi
|
||||
{
|
||||
public:
|
||||
///创建QuoteApi
|
||||
///@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 QuoteCompatibleApi *CreateQuoteApi(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;
|
||||
|
||||
|
||||
///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
|
||||
///@return 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(QuoteCompatibleSpi *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
|
||||
///@param pExchageID 交易所代码
|
||||
///@remark 可以一次性订阅同一证券交易所的多个合约
|
||||
virtual int SubscribeMarketData(char *ppInstrumentID[], int nCount, XTP_EXCHANGE_TYPE 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
|
||||
///@param pExchageID 交易所代码
|
||||
///@remark 可以一次性取消订阅同一证券交易所的多个合约
|
||||
virtual int UnSubscribeMarketData(char *ppInstrumentID[], int nCount, XTP_EXCHANGE_TYPE pExchageID) = 0;
|
||||
|
||||
///用户登录请求
|
||||
///@return 登录是否成功，“0”表示登录成功，非“0”表示登录出错
|
||||
///@remark 此函数为同步阻塞式，不需要异步等待登录成功，当函数返回即可进行后续操作
|
||||
virtual int ReqUserLogin(CXTPReqUserLoginField *pReqUserLoginField, int nRequestID) = 0;
|
||||
|
||||
|
||||
///登出请求
|
||||
///@return 登出是否成功，“0”表示登出成功，非“0”表示登出出错
|
||||
virtual int ReqUserLogout(CXTPUserLogoutField *pUserLogout, int nRequestID) = 0;
|
||||
|
||||
protected:
|
||||
~QuoteCompatibleApi() {};
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
|
||||
|
||||
#endif
|
||||
258
vn.xtp/pyscript/xoms_api_struct.h
Normal file
258
vn.xtp/pyscript/xoms_api_struct.h
Normal file
@ -0,0 +1,258 @@
|
||||
/*!
|
||||
* \file xoms_api_struct.h
|
||||
* \date 2015/10/23 16:45
|
||||
*
|
||||
* \author howellxu
|
||||
* Contact: user@company.com
|
||||
*
|
||||
* \brief 定义订单管理系统外部交互接口数据结构
|
||||
*
|
||||
* TODO: long description
|
||||
*
|
||||
* \note
|
||||
*/
|
||||
#ifndef _XOMS_API_STRUCT_H_
|
||||
#define _XOMS_API_STRUCT_H_
|
||||
|
||||
#include "xtp_api_data_type.h"
|
||||
|
||||
#define XTP_API_TICKER_LEN 13
|
||||
#define XTP_API_TICKER_NAME_LEN 48
|
||||
#define XTP_LOCAL_ORDER_LEN 11
|
||||
#define XTP_ORDER_EXCH_LEN 17
|
||||
#define XTP_ORDER_RES_LEN 4
|
||||
#define XTP_SUBPBUID_LEN 7
|
||||
#define XTP_BRANCH_PBU_LEN 7
|
||||
#define XTP_SYS_INSTRUMENT_LEN 24
|
||||
|
||||
|
||||
//=====================客户端接口定义=================================
|
||||
///新订单请求
|
||||
struct XTPOrderInsertInfo
|
||||
{
|
||||
///XTP系统订单ID
|
||||
uint64_t order_xtp_id;
|
||||
///报单引用,由客户自定义
|
||||
uint32_t order_client_id;
|
||||
///合约代码 客户端请求不带空格
|
||||
char ticker[XTP_API_TICKER_LEN];
|
||||
///交易市场
|
||||
XTP_MARKET_TYPE market;
|
||||
///价格
|
||||
double price;
|
||||
///止损价（保留字段）
|
||||
double stop_price;
|
||||
///数量
|
||||
int64_t quantity;
|
||||
///报单价格
|
||||
XTP_PRICE_TYPE price_type;
|
||||
///买卖方向
|
||||
XTP_SIDE_TYPE side;
|
||||
};
|
||||
|
||||
///撤单
|
||||
struct XTPOrderCancel
|
||||
{
|
||||
///XTP系统订单ID
|
||||
uint64_t order_cancel_xtp_id;
|
||||
///报单操作引用
|
||||
uint32_t order_cancel_client_id;
|
||||
///合约代码
|
||||
char ticker[XTP_API_TICKER_LEN];
|
||||
///交易市场
|
||||
XTP_MARKET_TYPE market;
|
||||
///操作时间
|
||||
int64_t action_time;
|
||||
///报单引用
|
||||
uint32_t order_client_id;
|
||||
///操作对象订单的序号
|
||||
uint64_t order_xtp_id;
|
||||
};
|
||||
|
||||
|
||||
///撤单失败响应消息
|
||||
struct XTPOrderCancelInfo
|
||||
{
|
||||
///撤单XTPID
|
||||
uint64_t order_cancel_xtp_id;
|
||||
///原始订单XTPID
|
||||
uint64_t order_xtp_id;
|
||||
};
|
||||
|
||||
|
||||
///报单响应结构体
|
||||
struct XTPOrderInfo
|
||||
{
|
||||
///XTP系统订单ID
|
||||
uint64_t order_xtp_id;
|
||||
///报单引用，用户自定义
|
||||
uint32_t order_client_id;
|
||||
///报单操作引用，用户自定义
|
||||
uint32_t order_cancel_client_id;
|
||||
///撤单在XTP系统中的id
|
||||
uint64_t order_cancel_xtp_id;
|
||||
///合约代码
|
||||
char ticker[XTP_API_TICKER_LEN];
|
||||
///交易市场
|
||||
XTP_MARKET_TYPE market;
|
||||
///价格
|
||||
double price;
|
||||
///数量
|
||||
int64_t quantity;
|
||||
///报单价格条件
|
||||
XTP_PRICE_TYPE price_type;
|
||||
///买卖方向
|
||||
XTP_SIDE_TYPE side;
|
||||
///今成交数量
|
||||
int64_t qty_traded;
|
||||
///剩余数量
|
||||
int64_t qty_left;
|
||||
///委托时间
|
||||
int64_t insert_time;
|
||||
///最后修改时间
|
||||
int64_t update_time;
|
||||
///撤销时间
|
||||
int64_t cancel_time;
|
||||
///成交金额
|
||||
double trade_amount;
|
||||
///本地报单编号 OMS生成的单号
|
||||
char order_local_id[XTP_LOCAL_ORDER_LEN];
|
||||
///报单状态
|
||||
XTP_ORDER_STATUS_TYPE order_status;
|
||||
///报单提交状态
|
||||
XTP_ORDER_SUBMIT_STATUS_TYPE order_submit_status;
|
||||
///报单类型
|
||||
TXTPOrderTypeType order_type;
|
||||
};
|
||||
|
||||
|
||||
|
||||
///报单成交结构体
|
||||
struct XTPTradeReport
|
||||
{
|
||||
///XTP系统订单ID
|
||||
uint64_t order_xtp_id;
|
||||
///报单引用
|
||||
uint32_t order_client_id;
|
||||
///合约代码
|
||||
char ticker[XTP_API_TICKER_LEN];
|
||||
///交易市场
|
||||
XTP_MARKET_TYPE market;
|
||||
///订单号
|
||||
uint64_t local_order_id;
|
||||
///成交编号
|
||||
uint64_t exec_id;
|
||||
///价格
|
||||
double price;
|
||||
///数量
|
||||
int64_t quantity;
|
||||
///成交时间
|
||||
int64_t trade_time;
|
||||
///成交金额
|
||||
double trade_amount;
|
||||
///成交序号 --回报记录号
|
||||
uint64_t report_index;
|
||||
///报单编号 --交易所单号
|
||||
char order_exch_id[XTP_ORDER_EXCH_LEN];
|
||||
///成交类型 --成交回报中的执行类型
|
||||
TXTPTradeTypeType trade_type;
|
||||
///买卖方向
|
||||
XTP_SIDE_TYPE side;
|
||||
///交易所交易员代码
|
||||
char branch_pbu[XTP_BRANCH_PBU_LEN];
|
||||
};
|
||||
|
||||
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
///报单查询
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
///报单查询请求-条件查询
|
||||
struct XTPQueryOrderReq
|
||||
{
|
||||
///证券代码，可以为空，如果为空，则默认查询时间段内的所有成交回报
|
||||
char ticker[XTP_API_TICKER_LEN];
|
||||
///格式为YYYYMMDDHHMMSSsss，为0则默认当前交易日0点
|
||||
int64_t begin_time;
|
||||
///格式为YYYYMMDDHHMMSSsss，为0则默认当前时间
|
||||
int64_t end_time;
|
||||
};
|
||||
|
||||
///报单查询响应结构体
|
||||
typedef XTPOrderInfo XTPQueryOrderRsp;
|
||||
|
||||
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
///成交回报查询
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
///查询成交报告请求-根据执行编号查询（保留字段）
|
||||
struct XTPQueryReportByExecIdReq
|
||||
{
|
||||
///XTP订单系统ID
|
||||
uint64_t order_xtp_id;
|
||||
///成交执行编号
|
||||
uint64_t exec_id;
|
||||
};
|
||||
|
||||
///查询成交回报请求-查询条件
|
||||
struct XTPQueryTraderReq
|
||||
{
|
||||
///证券代码，可以为空，如果为空，则默认查询时间段内的所有成交回报
|
||||
char ticker[XTP_API_TICKER_LEN];
|
||||
///开始时间，格式为YYYYMMDDHHMMSSsss，为0则默认当前交易日0点
|
||||
int64_t begin_time;
|
||||
///结束时间，格式为YYYYMMDDHHMMSSsss，为0则默认当前时间
|
||||
int64_t end_time;
|
||||
};
|
||||
|
||||
///成交回报查询响应结构体
|
||||
typedef XTPTradeReport XTPQueryTradeRsp;
|
||||
|
||||
|
||||
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
///账户资金查询响应结构体
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
struct XTPQueryAssetRsp
|
||||
{
|
||||
///总资产
|
||||
double total_asset;
|
||||
///可用资金
|
||||
double buying_power;
|
||||
///证券资产
|
||||
double security_asset;
|
||||
///累计买入成交证券占用资金（保留字段）
|
||||
double fund_buy_amount;
|
||||
///累计买入成交交易费用（保留字段）
|
||||
double fund_buy_fee;
|
||||
///累计卖出成交证券所得资金（保留字段）
|
||||
double fund_sell_amount;
|
||||
///累计卖出成交交易费用（保留字段）
|
||||
double fund_sell_fee;
|
||||
};
|
||||
|
||||
|
||||
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
///查询股票持仓情况
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
struct XTPQueryStkPositionRsp
|
||||
{
|
||||
///证券代码
|
||||
char ticker[XTP_API_TICKER_LEN];
|
||||
///证券名称
|
||||
char ticker_name[XTP_API_TICKER_NAME_LEN];
|
||||
///当前持仓
|
||||
int64_t total_qty;
|
||||
///可用股份数
|
||||
int64_t sellable_qty;
|
||||
///持仓成本
|
||||
double avg_price;
|
||||
///浮动盈亏
|
||||
double unrealized_pnl;
|
||||
};
|
||||
|
||||
|
||||
|
||||
|
||||
#endif //_XOMS_API_STRUCT_H_
|
||||
|
||||
160
vn.xtp/pyscript/xquote_api_struct.h
Normal file
160
vn.xtp/pyscript/xquote_api_struct.h
Normal file
@ -0,0 +1,160 @@
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
///@author 中泰证券股份有限公司
|
||||
///@file xquote_api_struct.h
|
||||
///@brief 定义行情类相关数据结构
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
#ifndef _XQUOTE_API_STRUCT_H_
|
||||
#define _XQUOTE_API_STRUCT_H_
|
||||
|
||||
#include <stdint.h>
|
||||
#include "xtp_api_data_type.h"
|
||||
|
||||
///指定的合约
|
||||
typedef struct XTPSpecificTickerStruct
|
||||
{
|
||||
///交易所代码
|
||||
XTP_EXCHANGE_TYPE exchange_id;
|
||||
///合约代码（不包含交易所信息）例如"600000 "
|
||||
char ticker[XTP_TICKER_LEN];
|
||||
} XTPST;
|
||||
|
||||
|
||||
///行情
|
||||
typedef struct XTPMarketDataStruct
|
||||
{
|
||||
// 代码
|
||||
///交易所代码
|
||||
XTP_EXCHANGE_TYPE exchange_id;
|
||||
///合约代码（不包含交易所信息）
|
||||
char ticker[XTP_TICKER_LEN];
|
||||
|
||||
// 股票等价格
|
||||
///最新价
|
||||
double last_price;
|
||||
///昨收盘
|
||||
double pre_close_price;
|
||||
///今开盘
|
||||
double open_price;
|
||||
///最高价
|
||||
double high_price;
|
||||
///最低价
|
||||
double low_price;
|
||||
///今收盘
|
||||
double close_price;
|
||||
|
||||
// 期货等数据
|
||||
///昨持仓量（目前未填写）
|
||||
double pre_open_interest;
|
||||
///持仓量（目前未填写）
|
||||
double open_interest;
|
||||
///上次结算价（目前未填写）
|
||||
double pre_settlement_price;
|
||||
///本次结算价（目前未填写）
|
||||
double settlement_price;
|
||||
|
||||
///涨停板价（目前未填写）
|
||||
double upper_limit_price;
|
||||
///跌停板价（目前未填写）
|
||||
double lower_limit_price;
|
||||
///昨虚实度（目前未填写）
|
||||
double pre_delta;
|
||||
///今虚实度（目前未填写）
|
||||
double curr_delta;
|
||||
|
||||
/// 时间类
|
||||
int64_t data_time;
|
||||
|
||||
// 量额数据
|
||||
///数量
|
||||
int32_t qty;
|
||||
///成交金额
|
||||
double turnover;
|
||||
///当日均价
|
||||
double avg_price;
|
||||
|
||||
// 买卖盘
|
||||
///十档申买价
|
||||
double bid[10];
|
||||
///十档申卖价
|
||||
double ask[10];
|
||||
///十档申买量
|
||||
int32_t bid_qty[10];
|
||||
///十档申卖量
|
||||
int32_t ask_qty[10];
|
||||
|
||||
// lts没有包含的数据（目前未填写）
|
||||
///成交笔数
|
||||
int32_t trades_count;
|
||||
///当前交易状态说明
|
||||
char ticker_status[8];
|
||||
///委托买入总量
|
||||
int32_t total_bid_qty;
|
||||
///委托卖出总量
|
||||
int32_t total_ask_qty;
|
||||
///加权平均委买价格
|
||||
double ma_bid_price;
|
||||
///加权平均委卖价格
|
||||
double ma_ask_price;
|
||||
///债券加权平均委买价格
|
||||
double ma_bond_bid_price;
|
||||
///债券加权平均委卖价格
|
||||
double ma_bond_ask_price;
|
||||
///债券到期收益率
|
||||
double yield_to_maturity;
|
||||
///ETF净值估值
|
||||
double iopv;
|
||||
///ETF申购笔数
|
||||
int32_t etf_buy_count;
|
||||
///ETF赎回笔数
|
||||
int32_t etf_sell_count;
|
||||
///ETF申购数量
|
||||
double etf_buy_qty;
|
||||
///ETF申购金额
|
||||
double etf_buy_money;
|
||||
///ETF赎回数量
|
||||
double etf_sell_qty;
|
||||
///ETF赎回金额
|
||||
double etf_sell_money;
|
||||
///权证执行的总数量
|
||||
double total_warrant_exec_qty;
|
||||
///权证跌停价格（元）
|
||||
double warrant_lower_price;
|
||||
///权证涨停价格（元）
|
||||
double warrant_upper_price;
|
||||
///买入撤单笔数
|
||||
int32_t cancel_buy_count;
|
||||
///卖出撤单笔数
|
||||
int32_t cancel_sell_count;
|
||||
///买入撤单数量
|
||||
double cancel_buy_qty;
|
||||
///卖出撤单数量
|
||||
double cancel_sell_qty;
|
||||
///买入撤单金额
|
||||
double cancel_buy_money;
|
||||
///卖出撤单金额
|
||||
double cancel_sell_money;
|
||||
///买入总笔数
|
||||
int32_t total_buy_count;
|
||||
///卖出总笔数
|
||||
int32_t total_sell_count;
|
||||
///买入委托成交最大等待时间
|
||||
int32_t duration_after_buy;
|
||||
///卖出委托成交最大等待时间
|
||||
int32_t duration_after_sell;
|
||||
///买方委托价位数
|
||||
int32_t num_bid_orders;
|
||||
///卖方委托价位数
|
||||
int32_t num_ask_orders;
|
||||
///成交时间（UA3113）
|
||||
int32_t exec_time;
|
||||
///闭市标志（UA103/UA104）
|
||||
char is_market_closed[4];
|
||||
///合约持仓量（UA103）
|
||||
double total_position;
|
||||
///市盈率1（UA103）
|
||||
double pe_ratio1;
|
||||
///市盈率2（UA103）
|
||||
double pe_ratio2;
|
||||
} XTPMD;
|
||||
|
||||
#endif
|
||||
4736
vn.xtp/pyscript/xtp_api_data_type.h
Normal file
4736
vn.xtp/pyscript/xtp_api_data_type.h
Normal file
File diff suppressed because it is too large
Load Diff
15
vn.xtp/pyscript/xtp_api_struct.h
Normal file
15
vn.xtp/pyscript/xtp_api_struct.h
Normal file
@ -0,0 +1,15 @@
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
///@author 中泰证券股份有限公司
|
||||
///@file xtp_api_struct.h
|
||||
///@brief 定义业务数据结构
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
#ifndef _XTP_API_STRUCT_H_
|
||||
#define _XTP_API_STRUCT_H_
|
||||
|
||||
#include "xtp_api_struct_common.h"
|
||||
#include "xquote_api_struct.h"
|
||||
#include "xoms_api_struct.h"
|
||||
|
||||
|
||||
#endif // !_XTP_API_STRUCT_H_
|
||||
|
||||
23
vn.xtp/pyscript/xtp_api_struct_common.h
Normal file
23
vn.xtp/pyscript/xtp_api_struct_common.h
Normal file
@ -0,0 +1,23 @@
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
///@author 中泰证券股份有限公司
|
||||
///@file xtp_api_struct_common.h
|
||||
///@brief 定义业务公共数据结构
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
|
||||
#ifndef _XTP_API_STRUCT_COMMON_H_
|
||||
#define _XTP_API_STRUCT_COMMON_H_
|
||||
|
||||
#include <stdint.h>
|
||||
#include "xtp_api_data_type.h"
|
||||
|
||||
///响应信息
|
||||
#define XTP_ERR_MSG_LEN 76
|
||||
typedef struct XTPRspInfoStruct
|
||||
{
|
||||
///错误代码
|
||||
int32_t error_id;
|
||||
///错误信息
|
||||
char error_msg[XTP_ERR_MSG_LEN];
|
||||
} XTPRI;
|
||||
|
||||
#endif // !_XTP_API_STRUCT_COMMON_H_
|
||||
2301
vn.xtp/pyscript/xtp_data_type.py
Normal file
2301
vn.xtp/pyscript/xtp_data_type.py
Normal file
File diff suppressed because it is too large
Load Diff
158
vn.xtp/pyscript/xtp_quote_api.h
Normal file
158
vn.xtp/pyscript/xtp_quote_api.h
Normal file
@ -0,0 +1,158 @@
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
///@author 中泰证券股份有限公司
|
||||
///@file xtp_quote_api.h
|
||||
///@brief 定义行情订阅客户端接口
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
|
||||
#ifndef _XTP_QUOTE_API_H_
|
||||
#define _XTP_QUOTE_API_H_
|
||||
|
||||
#if _MSC_VER > 1000
|
||||
#pragma once
|
||||
#endif // _MSC_VER > 1000
|
||||
|
||||
#include "xtp_api_struct.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 XTP::API::QuoteSpi
|
||||
*
|
||||
* \brief 行情回调类
|
||||
*
|
||||
* \author 中泰证券股份有限公司
|
||||
* \date 十月 2015
|
||||
*/
|
||||
namespace XTP {
|
||||
namespace API {
|
||||
class QuoteSpi
|
||||
{
|
||||
public:
|
||||
|
||||
///当客户端与交易后台通信连接断开时，该方法被调用。
|
||||
///@remark 保留函数，暂未支持
|
||||
///@param reason 错误原因
|
||||
virtual void OnDisconnected(int reason) {};
|
||||
|
||||
|
||||
///错误应答
|
||||
///@param error_info 错误信息
|
||||
virtual void OnError(XTPRI *error_info) {};
|
||||
|
||||
///订阅行情应答
|
||||
///@param ticker 详细的合约订阅情况
|
||||
///@param error_info 订阅合约发生错误时的错误信息
|
||||
///@param is_last 是否此次订阅的最后一个应答
|
||||
///@remark 每条订阅的合约均对应一条订阅应答
|
||||
virtual void OnSubMarketData(XTPST *ticker, XTPRI *error_info, bool is_last) {};
|
||||
|
||||
///取消订阅行情应答
|
||||
///@param ticker 详细的合约取消订阅情况
|
||||
///@param error_info 错误信息
|
||||
///@param is_last 是否此次取消订阅的最后一个应答
|
||||
///@remark 每条取消订阅的合约均对应一条取消订阅应答
|
||||
virtual void OnUnSubMarketData(XTPST *ticker, XTPRI *error_info, bool is_last) {};
|
||||
|
||||
///行情通知
|
||||
///@param market_data 行情数据
|
||||
virtual void OnMarketData(XTPMD *market_data) {};
|
||||
|
||||
|
||||
///查询可交易合约应答
|
||||
///@remark 保留函数，此函数暂未支持
|
||||
virtual void OnQueryAllTickers() {};
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
/*!
|
||||
* \class XTP::API::QuoteApi
|
||||
*
|
||||
* \brief 行情订阅接口类
|
||||
*
|
||||
* \author 中泰证券股份有限公司
|
||||
* \date 十月 2015
|
||||
*/
|
||||
namespace XTP {
|
||||
namespace API {
|
||||
class MD_API_EXPORT QuoteApi
|
||||
{
|
||||
public:
|
||||
///创建QuoteApi
|
||||
///@param save_file_path （保留字段）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 QuoteApi *CreateQuoteApi(const char *save_file_path = "");
|
||||
|
||||
///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;
|
||||
|
||||
|
||||
///获取当前交易日
|
||||
///@return 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;
|
||||
|
||||
|
||||
///注册回调接口
|
||||
///@param spi 派生自回调接口类的实例
|
||||
virtual void RegisterSpi(QuoteSpi *spi) = 0;
|
||||
|
||||
///订阅行情。
|
||||
///@return 订阅接口调用是否成功，“0”表示接口调用成功，非“0”表示接口调用出错
|
||||
///@param ticker 合约ID数组
|
||||
///@param count 要订阅/退订行情的合约个数
|
||||
///@param exchage_id 交易所代码
|
||||
///@remark 可以一次性订阅同一证券交易所的多个合约
|
||||
virtual int SubscribeMarketData(char *ticker[], int count, XTP_EXCHANGE_TYPE exchage_id) = 0;
|
||||
|
||||
///退订行情。
|
||||
///@return 取消订阅接口调用是否成功，“0”表示接口调用成功，非“0”表示接口调用出错
|
||||
///@param ticker 合约ID数组
|
||||
///@param count 要订阅/退订行情的合约个数
|
||||
///@param exchage_id 交易所代码
|
||||
///@remark 可以一次性取消订阅同一证券交易所的多个合约
|
||||
virtual int UnSubscribeMarketData(char *ticker[], int count, XTP_EXCHANGE_TYPE exchage_id) = 0;
|
||||
|
||||
///用户登录请求
|
||||
///@return 登录是否成功，“0”表示登录成功，“-1”表示连接服务器出错，“-2”表示已存在连接，不允许重复登录，如果需要重连，请先logout，“-3”表示输入有错误
|
||||
///@param ip 服务器地址
|
||||
///@param port 服务器端口号
|
||||
///@param user 登陆用户名
|
||||
///@param password 登陆密码
|
||||
///@param sock_type “1”代表TCP，“2”代表UDP，目前暂时只支持TCP
|
||||
///@remark 此函数为同步阻塞式，不需要异步等待登录成功，当函数返回即可进行后续操作
|
||||
virtual int Login(const char* ip, int port, const char* user, const char* password, XTP_PROTOCOL_TYPE sock_type) = 0;
|
||||
|
||||
|
||||
///登出请求
|
||||
///@return 登出是否成功，“0”表示登出成功，非“0”表示登出出错
|
||||
///@remark 此函数为同步阻塞式，不需要异步等待登出，当函数返回即可进行后续操作
|
||||
virtual int Logout() = 0;
|
||||
|
||||
///获取当前交易日可交易合约
|
||||
///@return 查询是否成功，“0”表示查询成功，非“0”表示查询不成功
|
||||
///@param exchage_id 交易所代码
|
||||
///@remark 此函数暂未支持
|
||||
virtual int QueryAllTickers(XTP_EXCHANGE_TYPE exchage_id) = 0;
|
||||
|
||||
|
||||
protected:
|
||||
~QuoteApi() {};
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
|
||||
|
||||
#endif
|
||||
262
vn.xtp/pyscript/xtp_struct_oms.py
Normal file
262
vn.xtp/pyscript/xtp_struct_oms.py
Normal file
@ -0,0 +1,262 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
structDict = {}
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
#新订单请求
|
||||
XTPOrderInsertInfo = {}
|
||||
# ///XTP系统订单ID
|
||||
XTPOrderInsertInfo["order_xtp_id"] = "int"
|
||||
# ///报单引用,由客户自定义
|
||||
XTPOrderInsertInfo["order_client_id"] = "int"
|
||||
# ///合约代码 客户端请求不带空格
|
||||
XTPOrderInsertInfo["ticker"] = "string"
|
||||
# ///交易市场
|
||||
XTPOrderInsertInfo["market"] = "int"
|
||||
# ///价格
|
||||
XTPOrderInsertInfo["price"] = "float"
|
||||
# ///止损价（保留字段）
|
||||
XTPOrderInsertInfo["stop_price"] = "float"
|
||||
# ///数量
|
||||
XTPOrderInsertInfo["quantity"] = "int"
|
||||
# ///报单价格
|
||||
XTPOrderInsertInfo["price_type"] = "int"
|
||||
# ///买卖方向
|
||||
XTPOrderInsertInfo["side"] = "int"
|
||||
structDict['XTPOrderInsertInfo'] = XTPOrderInsertInfo
|
||||
|
||||
|
||||
#撤单
|
||||
XTPOrderCancel = {}
|
||||
# ///XTP系统订单ID
|
||||
XTPOrderCancel["order_cancel_xtp_id"] = "int"
|
||||
# ///报单操作引用
|
||||
XTPOrderCancel["order_cancel_client_id"] = "int"
|
||||
# ///合约代码
|
||||
XTPOrderCancel["ticker"] = "string"
|
||||
# ///交易市场
|
||||
XTPOrderCancel["market"] = "int"
|
||||
# ///操作时间
|
||||
XTPOrderCancel["action_time"] = "int"
|
||||
# ///报单引用
|
||||
XTPOrderCancel["order_client_id"] = "int"
|
||||
# ///操作对象订单的序号
|
||||
XTPOrderCancel["order_xtp_id"] = "int"
|
||||
structDict['XTPOrderCancel'] = XTPOrderCancel
|
||||
|
||||
|
||||
|
||||
#撤单失败响应消息
|
||||
XTPOrderCancelInfo = {}
|
||||
# ///撤单XTPID
|
||||
XTPOrderCancelInfo["order_cancel_xtp_id"] = "int"
|
||||
# ///原始订单XTPID
|
||||
XTPOrderCancelInfo["order_xtp_id"] = "int"
|
||||
structDict['XTPOrderCancelInfo'] = XTPOrderCancelInfo
|
||||
|
||||
|
||||
|
||||
#报单响应结构体
|
||||
XTPOrderInfo = {}
|
||||
# ///XTP系统订单ID
|
||||
XTPOrderInfo["order_xtp_id"] = "int"
|
||||
#报单引用，用户自定义
|
||||
XTPOrderInfo["order_client_id"] = "int"
|
||||
# ///报单操作引用，用户自定义
|
||||
XTPOrderInfo["order_cancel_client_id"] = "int"
|
||||
# ///撤单在XTP系统中的id
|
||||
XTPOrderInfo["order_cancel_xtp_id"] = "int"
|
||||
#合约代码
|
||||
XTPOrderInfo["ticker"] = "string"
|
||||
#交易市场
|
||||
XTPOrderInfo["market"] = "int"
|
||||
#价格
|
||||
XTPOrderInfo["price"] = "float"
|
||||
#数量
|
||||
XTPOrderInfo["quantity"] = "int"
|
||||
#报单价格条件
|
||||
XTPOrderInfo["price_type"] = "int"
|
||||
#买卖方向
|
||||
XTPOrderInfo["side"] = "int"
|
||||
#今成交数量
|
||||
XTPOrderInfo["qty_traded"] = "int"
|
||||
#剩余数量
|
||||
XTPOrderInfo["qty_left"] = "int"
|
||||
#委托时间
|
||||
XTPOrderInfo["insert_time"] = "int"
|
||||
#最后修改时间
|
||||
XTPOrderInfo["update_time"] = "int"
|
||||
#撤销时间
|
||||
XTPOrderInfo["cancel_time"] = "int"
|
||||
#成交金额
|
||||
XTPOrderInfo["trade_amount"] = "float"
|
||||
#本地报单编号 OMS生成的单号
|
||||
XTPOrderInfo["order_local_id"] = "string"
|
||||
#报单状态
|
||||
XTPOrderInfo["order_status"] = "int"
|
||||
#报单提交状态
|
||||
XTPOrderInfo["order_submit_status"] = "int"
|
||||
#报单类型
|
||||
XTPOrderInfo["order_type"] = "char"
|
||||
structDict['XTPOrderInfo'] = XTPOrderInfo
|
||||
|
||||
|
||||
|
||||
|
||||
#报单成交结构体
|
||||
XTPTradeReport = {}
|
||||
# ///XTP系统订单ID
|
||||
XTPTradeReport["order_xtp_id"] = "int"
|
||||
# ///报单引用
|
||||
XTPTradeReport["order_client_id"] = "int"
|
||||
# ///合约代码
|
||||
XTPTradeReport["ticker"] = "string"
|
||||
# ///交易市场
|
||||
XTPTradeReport["market"] = "int"
|
||||
# ///订单号
|
||||
XTPTradeReport["local_order_id"] = "int"
|
||||
# ///成交编号
|
||||
XTPTradeReport["exec_id"] = "int"
|
||||
# ///价格
|
||||
XTPTradeReport["price"] = "float"
|
||||
# ///数量
|
||||
XTPTradeReport["quantity"] = "int"
|
||||
# ///成交时间
|
||||
XTPTradeReport["trade_time"] = "int"
|
||||
# ///成交金额
|
||||
XTPTradeReport["trade_amount"] = "float"
|
||||
# ///成交序号 --回报记录号
|
||||
XTPTradeReport["report_index"] = "int"
|
||||
# ///报单编号 --交易所单号
|
||||
XTPTradeReport["order_exch_id"] = "string"
|
||||
# ///成交类型 --成交回报中的执行类型
|
||||
XTPTradeReport["trade_type"] = "char"
|
||||
# ///买卖方向
|
||||
XTPTradeReport["side"] = "int"
|
||||
# ///交易所交易员代码
|
||||
XTPTradeReport["branch_pbu"] = "string"
|
||||
structDict['XTPTradeReport'] = XTPTradeReport
|
||||
|
||||
|
||||
|
||||
#///////////////////////////////////////////////////////////////////////
|
||||
#报单查询
|
||||
#///////////////////////////////////////////////////////////////////////
|
||||
#报单查询请求-条件查询
|
||||
XTPQueryOrderReq = {}
|
||||
# ///证券代码，可以为空，如果为空，则默认查询时间段内的所有成交回报
|
||||
XTPQueryOrderReq["ticker"] = "string"
|
||||
# ///格式为YYYYMMDDHHMMSSsss，为0则默认当前交易日0点
|
||||
XTPQueryOrderReq["begin_time"] = "int"
|
||||
# ///格式为YYYYMMDDHHMMSSsss，为0则默认当前时间
|
||||
XTPQueryOrderReq["end_time"] = "int"
|
||||
structDict['XTPQueryOrderReq'] = XTPQueryOrderReq
|
||||
|
||||
|
||||
#报单查询响应结构体
|
||||
|
||||
|
||||
|
||||
#///////////////////////////////////////////////////////////////////////
|
||||
#成交回报查询
|
||||
#///////////////////////////////////////////////////////////////////////
|
||||
#查询成交报告请求-根据执行编号查询（保留字段）
|
||||
XTPQueryReportByExecIdReq = {}
|
||||
# ///XTP订单系统ID
|
||||
XTPQueryReportByExecIdReq["order_xtp_id"] = "int"
|
||||
# ///成交执行编号
|
||||
XTPQueryReportByExecIdReq["exec_id"] = "int"
|
||||
structDict['XTPQueryReportByExecIdReq'] = XTPQueryReportByExecIdReq
|
||||
|
||||
|
||||
#查询成交回报请求-查询条件
|
||||
XTPQueryTraderReq = {}
|
||||
# ///证券代码，可以为空，如果为空，则默认查询时间段内的所有成交回报
|
||||
XTPQueryTraderReq["ticker"] = "string"
|
||||
# ///开始时间，格式为YYYYMMDDHHMMSSsss，为0则默认当前交易日0点
|
||||
XTPQueryTraderReq["begin_time"] = "int"
|
||||
# ///结束时间，格式为YYYYMMDDHHMMSSsss，为0则默认当前时间
|
||||
XTPQueryTraderReq["end_time"] = "int"
|
||||
structDict['XTPQueryTraderReq'] = XTPQueryTraderReq
|
||||
|
||||
|
||||
#成交回报查询响应结构体
|
||||
|
||||
|
||||
|
||||
|
||||
#///////////////////////////////////////////////////////////////////////
|
||||
#账户资金查询响应结构体
|
||||
#///////////////////////////////////////////////////////////////////////
|
||||
XTPQueryAssetRsp = {}
|
||||
#总资产
|
||||
XTPQueryAssetRsp["total_asset"] = "float"
|
||||
# ///可用资金
|
||||
XTPQueryAssetRsp["buying_power"] = "float"
|
||||
#证券资产
|
||||
XTPQueryAssetRsp["security_asset"] = "float"
|
||||
# ///累计买入成交证券占用资金（保留字段）
|
||||
XTPQueryAssetRsp["fund_buy_amount"] = "float"
|
||||
# ///累计买入成交交易费用（保留字段）
|
||||
XTPQueryAssetRsp["fund_buy_fee"] = "float"
|
||||
# ///累计卖出成交证券所得资金（保留字段）
|
||||
XTPQueryAssetRsp["fund_sell_amount"] = "float"
|
||||
# ///累计卖出成交交易费用（保留字段）
|
||||
XTPQueryAssetRsp["fund_sell_fee"] = "float"
|
||||
structDict['XTPQueryAssetRsp'] = XTPQueryAssetRsp
|
||||
|
||||
|
||||
|
||||
|
||||
#///////////////////////////////////////////////////////////////////////
|
||||
#查询股票持仓情况
|
||||
#///////////////////////////////////////////////////////////////////////
|
||||
XTPQueryStkPositionRsp = {}
|
||||
# ///证券代码
|
||||
XTPQueryStkPositionRsp["ticker"] = "string"
|
||||
# ///证券名称
|
||||
XTPQueryStkPositionRsp["ticker_name"] = "string"
|
||||
# ///当前持仓
|
||||
XTPQueryStkPositionRsp["total_qty"] = "int"
|
||||
# ///可用股份数
|
||||
XTPQueryStkPositionRsp["sellable_qty"] = "int"
|
||||
# ///持仓成本
|
||||
XTPQueryStkPositionRsp["avg_price"] = "float"
|
||||
# ///浮动盈亏
|
||||
XTPQueryStkPositionRsp["unrealized_pnl"] = "float"
|
||||
structDict['XTPQueryStkPositionRsp'] = XTPQueryStkPositionRsp
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
20
vn.xtp/pyscript/xtp_struct_quote.py
Normal file
20
vn.xtp/pyscript/xtp_struct_quote.py
Normal file
@ -0,0 +1,20 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
structDict = {}
|
||||
|
||||
#//////////////////////////////////////////////////////////////////////
|
||||
#@author 中泰证券股份有限公司
|
||||
#@file xquote_api_struct.h
|
||||
#@brief 定义行情类相关数据结构
|
||||
#//////////////////////////////////////////////////////////////////////
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
#指定的合约
|
||||
struct = {}
|
||||
# ///交易所代码
|
||||
struct["exchange_id"] = "int"
|
||||
# ///合约代码（不包含交易所信息）例如"600000 "
|
||||
206
vn.xtp/pyscript/xtp_trader_api.h
Normal file
206
vn.xtp/pyscript/xtp_trader_api.h
Normal file
@ -0,0 +1,206 @@
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
///@author 中泰证券股份有限公司
|
||||
///@file xtp_trader_api.h
|
||||
///@brief 定义客户端交易接口
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
|
||||
#ifndef _XTP_TRADER_API_H_
|
||||
#define _XTP_TRADER_API_H_
|
||||
|
||||
#if _MSC_VER > 1000
|
||||
#pragma once
|
||||
#endif // _MSC_VER > 1000
|
||||
|
||||
#include "xtp_api_struct.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 XTP::API::TraderSpi
|
||||
*
|
||||
* \brief 交易接口响应类
|
||||
*
|
||||
* \author 中泰证券股份有限公司
|
||||
* \date 十月 2015
|
||||
*/
|
||||
namespace XTP {
|
||||
namespace API {
|
||||
|
||||
class TraderSpi
|
||||
{
|
||||
public:
|
||||
|
||||
///当客户端与交易后台通信连接断开时，该方法被调用。
|
||||
///@remark 保留函数，暂未支持
|
||||
///@param reason 错误原因
|
||||
virtual void OnDisconnected(int reason) {};
|
||||
|
||||
///错误应答
|
||||
///@param error_info 具体的错误代码和错误信息
|
||||
virtual void OnError(XTPRI *error_info) {};
|
||||
|
||||
///报单通知
|
||||
///@param order_info 订单响应具体信息
|
||||
///@param error_info 订单被拒绝或者发生错误时错误代码和错误信息
|
||||
///@remark 每次订单状态更新时，都会被调用
|
||||
virtual void OnOrderEvent(XTPOrderInfo *order_info, XTPRI *error_info) {};
|
||||
|
||||
///成交通知
|
||||
///@param trade_info 成交回报的具体信息
|
||||
///@remark 订单有成交发生的时候，会被调用
|
||||
virtual void OnTradeEvent(XTPTradeReport *trade_info) {};
|
||||
|
||||
///撤单出错响应
|
||||
///@param cancel_info 撤单具体信息，包括撤单单和待撤单的order_xtp_id
|
||||
///@param error_info 撤单被拒绝或者发生错误时错误代码和错误信息
|
||||
virtual void OnCancelOrderError(XTPOrderCancelInfo *cancel_info, XTPRI *error_info) {};
|
||||
|
||||
///请求查询报单响应
|
||||
///@param order_info 查询到的报单
|
||||
///@param error_info 错误信息
|
||||
///@param request_id 此消息响应函数对应的请求ID
|
||||
///@param is_last 此消息响应函数是否为request_id这条请求所对应的最后一个响应
|
||||
///@remark 由于支持分时段查询，一个查询请求可能对应多个响应
|
||||
virtual void OnQueryOrder(XTPQueryOrderRsp *order_info, XTPRI *error_info, int request_id, bool is_last) {};
|
||||
|
||||
///请求查询成交响应
|
||||
///@param trade_info 查询到的成交回报
|
||||
///@param error_info 错误信息
|
||||
///@param request_id 此消息响应函数对应的请求ID
|
||||
///@param is_last 此消息响应函数是否为request_id这条请求所对应的最后一个响应
|
||||
///@remark 由于支持分时段查询，一个查询请求可能对应多个响应
|
||||
virtual void OnQueryTrade(XTPQueryTradeRsp *trade_info, XTPRI *error_info, int request_id, bool is_last) {};
|
||||
|
||||
///请求查询投资者持仓响应
|
||||
///@param position 查询到的持仓情况
|
||||
///@param error_info 错误信息
|
||||
///@param request_id 此消息响应函数对应的请求ID
|
||||
///@param is_last 此消息响应函数是否为request_id这条请求所对应的最后一个响应
|
||||
///@remark 由于用户可能持有多个股票，一个查询请求可能对应多个响应
|
||||
virtual void OnQueryPosition(XTPQueryStkPositionRsp *position, XTPRI *error_info, int request_id, bool is_last) {};
|
||||
|
||||
///请求查询资金账户响应
|
||||
virtual void OnQueryAsset(XTPQueryAssetRsp *asset, XTPRI *error_info, int request_id, bool is_last) {};
|
||||
|
||||
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
/*!
|
||||
* \class XTP::API::TraderApi
|
||||
*
|
||||
* \brief 交易接口类
|
||||
*
|
||||
* \author 中泰证券股份有限公司
|
||||
* \date 十月 2015
|
||||
*/
|
||||
namespace XTP {
|
||||
namespace API {
|
||||
|
||||
class TRADER_API_EXPORT TraderApi
|
||||
{
|
||||
public:
|
||||
///创建TraderApi
|
||||
///@param save_file_path （保留字段）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 TraderApi *CreateTraderApi(const char *save_file_path = "");
|
||||
|
||||
///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;
|
||||
|
||||
///获取当前交易日
|
||||
///@return 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;
|
||||
|
||||
///注册回调接口
|
||||
///@param spi 派生自回调接口类的实例
|
||||
virtual void RegisterSpi(TraderSpi *spi) = 0;
|
||||
|
||||
///用户登录请求
|
||||
///@return 登录是否成功，“0”表示登录成功，“-1”表示连接服务器出错，“-2”表示已存在连接，不允许重复登录，如果需要重连，请先logout
|
||||
///@param ip 服务器地址
|
||||
///@param port 服务器端口号
|
||||
///@param user 登录用户名
|
||||
///@param password 登录密码
|
||||
///@param sock_type “1”代表TCP，“2”代表UDP，目前暂时只支持TCP
|
||||
///@param client_id （保留字段）客户端id，用于区分同一用户的不同连接
|
||||
///@remark 此函数为同步阻塞式，不需要异步等待登录成功，当函数返回即可进行后续操作
|
||||
virtual int Login(const char* ip, int port, const char* user, const char* password, XTP_PROTOCOL_TYPE sock_type, int client_id = 0) = 0;
|
||||
|
||||
|
||||
///登出请求
|
||||
///@return 登出是否成功，“0”表示登出成功，“-1”表示登出失败
|
||||
virtual int Logout() = 0;
|
||||
|
||||
///报单录入请求
|
||||
///@return 报单在XTP系统中的ID,如果为‘0’表示报单失败，用户需要记录下返回的order_xtp_id
|
||||
///@param order 报单录入信息
|
||||
virtual uint64_t InsertOrder(XTPOrderInsertInfo *order) = 0;
|
||||
|
||||
///报单操作请求
|
||||
///@return 撤单单在XTP系统中的ID,如果为‘0’表示撤单失败，用户需要记录下返回的order_cancel_xtp_id
|
||||
///@param order_xtp_id 需要撤销的委托单在XTP系统中的ID
|
||||
virtual uint64_t CancelOrder(const uint64_t order_xtp_id) = 0;
|
||||
|
||||
///根据报单ID请求查询报单
|
||||
///@return 查询是否成功，“0”表示成功，非“0”表示出错
|
||||
///@param order_xtp_id 需要查询的报单在xtp系统中的ID
|
||||
///@param request_id 用于用户定位查询响应的ID，由用户自定义
|
||||
virtual int QueryOrderByXTPID(const uint64_t order_xtp_id, int request_id) = 0;
|
||||
|
||||
///请求查询报单
|
||||
///@return 查询是否成功，“0”表示成功，非“0”表示出错
|
||||
///@param query_param 需要查询的订单相关筛选条件
|
||||
///@param request_id 用于用户定位查询响应的ID，由用户自定义
|
||||
///@remark 该方法支持分时段查询，如果股票代码为空，则默认查询时间段内的所有报单，否则查询时间段内所有跟股票代码相关的报单
|
||||
virtual int QueryOrders(const XTPQueryOrderReq *query_param, int request_id) = 0;
|
||||
|
||||
///根据委托编号请求查询相关成交
|
||||
///@return 查询是否成功，“0”表示成功，非“0”表示出错
|
||||
///@param order_xtp_id 需要查询的委托编号
|
||||
///@param request_id 用于用户定位查询响应的ID，由用户自定义
|
||||
///@remark 此函数查询出的结果可能对应多个响应
|
||||
virtual int QueryTradesByXTPID(const uint64_t order_xtp_id, int request_id) = 0;
|
||||
|
||||
///请求查询已成交
|
||||
///@return 查询是否成功，“0”表示成功，非“0”表示出错
|
||||
///@param query_param 需要查询的成交回报筛选条件
|
||||
///@param request_id 用于用户定位查询响应的ID，由用户自定义
|
||||
///@remark 该方法支持分时段查询，如果股票代码为空，则默认查询时间段内的所有成交回报，否则查询时间段内所有跟股票代码相关的成交回报
|
||||
virtual int QueryTrades(XTPQueryTraderReq *query_param, int request_id) = 0;
|
||||
|
||||
///请求查询投资者持仓
|
||||
///@return 查询是否成功，“0”表示成功，非“0”表示出错
|
||||
///@param ticker 需要查询的持仓股票，可以为空
|
||||
///@param request_id 用于用户定位查询响应的ID，由用户自定义
|
||||
///@remark 该方法如果用户提供了股票代码，则会查询此股票的持仓信息，如果股票代码为空，则默认查询所有持仓信息
|
||||
virtual int QueryPosition(const char *ticker, int request_id) = 0;
|
||||
|
||||
///请求查询资产
|
||||
///@return 查询是否成功，“0”表示成功，非“0”表示出错
|
||||
///@param request_id 用于用户定位查询响应的ID，由用户自定义
|
||||
virtual int QueryAsset(int request_id) = 0;
|
||||
|
||||
protected:
|
||||
~TraderApi() {};
|
||||
};
|
||||
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
|
||||
|
||||
#endif
|
||||
24492
vn.xtp/xtpapi/doc/quote_api.pdf
Normal file
24492
vn.xtp/xtpapi/doc/quote_api.pdf
Normal file
File diff suppressed because it is too large
Load Diff
25334
vn.xtp/xtpapi/doc/trade_api.pdf
Normal file
25334
vn.xtp/xtpapi/doc/trade_api.pdf
Normal file
File diff suppressed because it is too large
Load Diff
BIN
vn.xtp/xtpapi/libxbaseD.so
Normal file
BIN
vn.xtp/xtpapi/libxbaseD.so
Normal file
Binary file not shown.
BIN
vn.xtp/xtpapi/libxtpquoteapicompD.a
Normal file
BIN
vn.xtp/xtpapi/libxtpquoteapicompD.a
Normal file
Binary file not shown.
BIN
vn.xtp/xtpapi/libxtpquoteapicompD.so
Normal file
BIN
vn.xtp/xtpapi/libxtpquoteapicompD.so
Normal file
Binary file not shown.
BIN
vn.xtp/xtpapi/libxtptraderapiD.a
Normal file
BIN
vn.xtp/xtpapi/libxtptraderapiD.a
Normal file
Binary file not shown.
BIN
vn.xtp/xtpapi/libxtptraderapiD.so
Normal file
BIN
vn.xtp/xtpapi/libxtptraderapiD.so
Normal file
Binary file not shown.
BIN
vn.xtp/xtpapi/xbaseD.dll
Normal file
BIN
vn.xtp/xtpapi/xbaseD.dll
Normal file
Binary file not shown.
BIN
vn.xtp/xtpapi/xbaseD.lib
Normal file
BIN
vn.xtp/xtpapi/xbaseD.lib
Normal file
Binary file not shown.
258
vn.xtp/xtpapi/xoms_api_struct.h
Normal file
258
vn.xtp/xtpapi/xoms_api_struct.h
Normal file
@ -0,0 +1,258 @@
|
||||
/*!
|
||||
* \file xoms_api_struct.h
|
||||
* \date 2015/10/23 16:45
|
||||
*
|
||||
* \author howellxu
|
||||
* Contact: user@company.com
|
||||
*
|
||||
* \brief 定义订单管理系统外部交互接口数据结构
|
||||
*
|
||||
* TODO: long description
|
||||
*
|
||||
* \note
|
||||
*/
|
||||
#ifndef _XOMS_API_STRUCT_H_
|
||||
#define _XOMS_API_STRUCT_H_
|
||||
|
||||
#include "xtp_api_data_type.h"
|
||||
|
||||
#define XTP_API_TICKER_LEN 13
|
||||
#define XTP_API_TICKER_NAME_LEN 48
|
||||
#define XTP_LOCAL_ORDER_LEN 11
|
||||
#define XTP_ORDER_EXCH_LEN 17
|
||||
#define XTP_ORDER_RES_LEN 4
|
||||
#define XTP_SUBPBUID_LEN 7
|
||||
#define XTP_BRANCH_PBU_LEN 7
|
||||
#define XTP_SYS_INSTRUMENT_LEN 24
|
||||
|
||||
|
||||
//=====================客户端接口定义=================================
|
||||
///新订单请求
|
||||
struct XTPOrderInsertInfo
|
||||
{
|
||||
///XTP系统订单ID
|
||||
uint64_t order_xtp_id;
|
||||
///报单引用,由客户自定义
|
||||
uint32_t order_client_id;
|
||||
///合约代码 客户端请求不带空格
|
||||
char ticker[XTP_API_TICKER_LEN];
|
||||
///交易市场
|
||||
XTP_MARKET_TYPE market;
|
||||
///价格
|
||||
double price;
|
||||
///止损价（保留字段）
|
||||
double stop_price;
|
||||
///数量
|
||||
int64_t quantity;
|
||||
///报单价格
|
||||
XTP_PRICE_TYPE price_type;
|
||||
///买卖方向
|
||||
XTP_SIDE_TYPE side;
|
||||
};
|
||||
|
||||
///撤单
|
||||
struct XTPOrderCancel
|
||||
{
|
||||
///XTP系统订单ID
|
||||
uint64_t order_cancel_xtp_id;
|
||||
///报单操作引用
|
||||
uint32_t order_cancel_client_id;
|
||||
///合约代码
|
||||
char ticker[XTP_API_TICKER_LEN];
|
||||
///交易市场
|
||||
XTP_MARKET_TYPE market;
|
||||
///操作时间
|
||||
int64_t action_time;
|
||||
///报单引用
|
||||
uint32_t order_client_id;
|
||||
///操作对象订单的序号
|
||||
uint64_t order_xtp_id;
|
||||
};
|
||||
|
||||
|
||||
///撤单失败响应消息
|
||||
struct XTPOrderCancelInfo
|
||||
{
|
||||
///撤单XTPID
|
||||
uint64_t order_cancel_xtp_id;
|
||||
///原始订单XTPID
|
||||
uint64_t order_xtp_id;
|
||||
};
|
||||
|
||||
|
||||
///报单响应结构体
|
||||
struct XTPOrderInfo
|
||||
{
|
||||
///XTP系统订单ID
|
||||
uint64_t order_xtp_id;
|
||||
///报单引用，用户自定义
|
||||
uint32_t order_client_id;
|
||||
///报单操作引用，用户自定义
|
||||
uint32_t order_cancel_client_id;
|
||||
///撤单在XTP系统中的id
|
||||
uint64_t order_cancel_xtp_id;
|
||||
///合约代码
|
||||
char ticker[XTP_API_TICKER_LEN];
|
||||
///交易市场
|
||||
XTP_MARKET_TYPE market;
|
||||
///价格
|
||||
double price;
|
||||
///数量
|
||||
int64_t quantity;
|
||||
///报单价格条件
|
||||
XTP_PRICE_TYPE price_type;
|
||||
///买卖方向
|
||||
XTP_SIDE_TYPE side;
|
||||
///今成交数量
|
||||
int64_t qty_traded;
|
||||
///剩余数量
|
||||
int64_t qty_left;
|
||||
///委托时间
|
||||
int64_t insert_time;
|
||||
///最后修改时间
|
||||
int64_t update_time;
|
||||
///撤销时间
|
||||
int64_t cancel_time;
|
||||
///成交金额
|
||||
double trade_amount;
|
||||
///本地报单编号 OMS生成的单号
|
||||
char order_local_id[XTP_LOCAL_ORDER_LEN];
|
||||
///报单状态
|
||||
XTP_ORDER_STATUS_TYPE order_status;
|
||||
///报单提交状态
|
||||
XTP_ORDER_SUBMIT_STATUS_TYPE order_submit_status;
|
||||
///报单类型
|
||||
TXTPOrderTypeType order_type;
|
||||
};
|
||||
|
||||
|
||||
|
||||
///报单成交结构体
|
||||
struct XTPTradeReport
|
||||
{
|
||||
///XTP系统订单ID
|
||||
uint64_t order_xtp_id;
|
||||
///报单引用
|
||||
uint32_t order_client_id;
|
||||
///合约代码
|
||||
char ticker[XTP_API_TICKER_LEN];
|
||||
///交易市场
|
||||
XTP_MARKET_TYPE market;
|
||||
///订单号
|
||||
uint64_t local_order_id;
|
||||
///成交编号
|
||||
uint64_t exec_id;
|
||||
///价格
|
||||
double price;
|
||||
///数量
|
||||
int64_t quantity;
|
||||
///成交时间
|
||||
int64_t trade_time;
|
||||
///成交金额
|
||||
double trade_amount;
|
||||
///成交序号 --回报记录号
|
||||
uint64_t report_index;
|
||||
///报单编号 --交易所单号
|
||||
char order_exch_id[XTP_ORDER_EXCH_LEN];
|
||||
///成交类型 --成交回报中的执行类型
|
||||
TXTPTradeTypeType trade_type;
|
||||
///买卖方向
|
||||
XTP_SIDE_TYPE side;
|
||||
///交易所交易员代码
|
||||
char branch_pbu[XTP_BRANCH_PBU_LEN];
|
||||
};
|
||||
|
||||
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
///报单查询
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
///报单查询请求-条件查询
|
||||
struct XTPQueryOrderReq
|
||||
{
|
||||
///证券代码，可以为空，如果为空，则默认查询时间段内的所有成交回报
|
||||
char ticker[XTP_API_TICKER_LEN];
|
||||
///格式为YYYYMMDDHHMMSSsss，为0则默认当前交易日0点
|
||||
int64_t begin_time;
|
||||
///格式为YYYYMMDDHHMMSSsss，为0则默认当前时间
|
||||
int64_t end_time;
|
||||
};
|
||||
|
||||
///报单查询响应结构体
|
||||
typedef XTPOrderInfo XTPQueryOrderRsp;
|
||||
|
||||
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
///成交回报查询
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
///查询成交报告请求-根据执行编号查询（保留字段）
|
||||
struct XTPQueryReportByExecIdReq
|
||||
{
|
||||
///XTP订单系统ID
|
||||
uint64_t order_xtp_id;
|
||||
///成交执行编号
|
||||
uint64_t exec_id;
|
||||
};
|
||||
|
||||
///查询成交回报请求-查询条件
|
||||
struct XTPQueryTraderReq
|
||||
{
|
||||
///证券代码，可以为空，如果为空，则默认查询时间段内的所有成交回报
|
||||
char ticker[XTP_API_TICKER_LEN];
|
||||
///开始时间，格式为YYYYMMDDHHMMSSsss，为0则默认当前交易日0点
|
||||
int64_t begin_time;
|
||||
///结束时间，格式为YYYYMMDDHHMMSSsss，为0则默认当前时间
|
||||
int64_t end_time;
|
||||
};
|
||||
|
||||
///成交回报查询响应结构体
|
||||
typedef XTPTradeReport XTPQueryTradeRsp;
|
||||
|
||||
|
||||
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
///账户资金查询响应结构体
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
struct XTPQueryAssetRsp
|
||||
{
|
||||
///总资产
|
||||
double total_asset;
|
||||
///可用资金
|
||||
double buying_power;
|
||||
///证券资产
|
||||
double security_asset;
|
||||
///累计买入成交证券占用资金（保留字段）
|
||||
double fund_buy_amount;
|
||||
///累计买入成交交易费用（保留字段）
|
||||
double fund_buy_fee;
|
||||
///累计卖出成交证券所得资金（保留字段）
|
||||
double fund_sell_amount;
|
||||
///累计卖出成交交易费用（保留字段）
|
||||
double fund_sell_fee;
|
||||
};
|
||||
|
||||
|
||||
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
///查询股票持仓情况
|
||||
//////////////////////////////////////////////////////////////////////////
|
||||
struct XTPQueryStkPositionRsp
|
||||
{
|
||||
///证券代码
|
||||
char ticker[XTP_API_TICKER_LEN];
|
||||
///证券名称
|
||||
char ticker_name[XTP_API_TICKER_NAME_LEN];
|
||||
///当前持仓
|
||||
int64_t total_qty;
|
||||
///可用股份数
|
||||
int64_t sellable_qty;
|
||||
///持仓成本
|
||||
double avg_price;
|
||||
///浮动盈亏
|
||||
double unrealized_pnl;
|
||||
};
|
||||
|
||||
|
||||
|
||||
|
||||
#endif //_XOMS_API_STRUCT_H_
|
||||
|
||||
160
vn.xtp/xtpapi/xquote_api_struct.h
Normal file
160
vn.xtp/xtpapi/xquote_api_struct.h
Normal file
@ -0,0 +1,160 @@
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
///@author 中泰证券股份有限公司
|
||||
///@file xquote_api_struct.h
|
||||
///@brief 定义行情类相关数据结构
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
#ifndef _XQUOTE_API_STRUCT_H_
|
||||
#define _XQUOTE_API_STRUCT_H_
|
||||
|
||||
#include <stdint.h>
|
||||
#include "xtp_api_data_type.h"
|
||||
|
||||
///指定的合约
|
||||
typedef struct XTPSpecificTickerStruct
|
||||
{
|
||||
///交易所代码
|
||||
XTP_EXCHANGE_TYPE exchange_id;
|
||||
///合约代码（不包含交易所信息）例如"600000 "
|
||||
char ticker[XTP_TICKER_LEN];
|
||||
} XTPST;
|
||||
|
||||
|
||||
///行情
|
||||
typedef struct XTPMarketDataStruct
|
||||
{
|
||||
// 代码
|
||||
///交易所代码
|
||||
XTP_EXCHANGE_TYPE exchange_id;
|
||||
///合约代码（不包含交易所信息）
|
||||
char ticker[XTP_TICKER_LEN];
|
||||
|
||||
// 股票等价格
|
||||
///最新价
|
||||
double last_price;
|
||||
///昨收盘
|
||||
double pre_close_price;
|
||||
///今开盘
|
||||
double open_price;
|
||||
///最高价
|
||||
double high_price;
|
||||
///最低价
|
||||
double low_price;
|
||||
///今收盘
|
||||
double close_price;
|
||||
|
||||
// 期货等数据
|
||||
///昨持仓量（目前未填写）
|
||||
double pre_open_interest;
|
||||
///持仓量（目前未填写）
|
||||
double open_interest;
|
||||
///上次结算价（目前未填写）
|
||||
double pre_settlement_price;
|
||||
///本次结算价（目前未填写）
|
||||
double settlement_price;
|
||||
|
||||
///涨停板价（目前未填写）
|
||||
double upper_limit_price;
|
||||
///跌停板价（目前未填写）
|
||||
double lower_limit_price;
|
||||
///昨虚实度（目前未填写）
|
||||
double pre_delta;
|
||||
///今虚实度（目前未填写）
|
||||
double curr_delta;
|
||||
|
||||
/// 时间类
|
||||
int64_t data_time;
|
||||
|
||||
// 量额数据
|
||||
///数量
|
||||
int32_t qty;
|
||||
///成交金额
|
||||
double turnover;
|
||||
///当日均价
|
||||
double avg_price;
|
||||
|
||||
// 买卖盘
|
||||
///十档申买价
|
||||
double bid[10];
|
||||
///十档申卖价
|
||||
double ask[10];
|
||||
///十档申买量
|
||||
int32_t bid_qty[10];
|
||||
///十档申卖量
|
||||
int32_t ask_qty[10];
|
||||
|
||||
// lts没有包含的数据（目前未填写）
|
||||
///成交笔数
|
||||
int32_t trades_count;
|
||||
///当前交易状态说明
|
||||
char ticker_status[8];
|
||||
///委托买入总量
|
||||
int32_t total_bid_qty;
|
||||
///委托卖出总量
|
||||
int32_t total_ask_qty;
|
||||
///加权平均委买价格
|
||||
double ma_bid_price;
|
||||
///加权平均委卖价格
|
||||
double ma_ask_price;
|
||||
///债券加权平均委买价格
|
||||
double ma_bond_bid_price;
|
||||
///债券加权平均委卖价格
|
||||
double ma_bond_ask_price;
|
||||
///债券到期收益率
|
||||
double yield_to_maturity;
|
||||
///ETF净值估值
|
||||
double iopv;
|
||||
///ETF申购笔数
|
||||
int32_t etf_buy_count;
|
||||
///ETF赎回笔数
|
||||
int32_t etf_sell_count;
|
||||
///ETF申购数量
|
||||
double etf_buy_qty;
|
||||
///ETF申购金额
|
||||
double etf_buy_money;
|
||||
///ETF赎回数量
|
||||
double etf_sell_qty;
|
||||
///ETF赎回金额
|
||||
double etf_sell_money;
|
||||
///权证执行的总数量
|
||||
double total_warrant_exec_qty;
|
||||
///权证跌停价格（元）
|
||||
double warrant_lower_price;
|
||||
///权证涨停价格（元）
|
||||
double warrant_upper_price;
|
||||
///买入撤单笔数
|
||||
int32_t cancel_buy_count;
|
||||
///卖出撤单笔数
|
||||
int32_t cancel_sell_count;
|
||||
///买入撤单数量
|
||||
double cancel_buy_qty;
|
||||
///卖出撤单数量
|
||||
double cancel_sell_qty;
|
||||
///买入撤单金额
|
||||
double cancel_buy_money;
|
||||
///卖出撤单金额
|
||||
double cancel_sell_money;
|
||||
///买入总笔数
|
||||
int32_t total_buy_count;
|
||||
///卖出总笔数
|
||||
int32_t total_sell_count;
|
||||
///买入委托成交最大等待时间
|
||||
int32_t duration_after_buy;
|
||||
///卖出委托成交最大等待时间
|
||||
int32_t duration_after_sell;
|
||||
///买方委托价位数
|
||||
int32_t num_bid_orders;
|
||||
///卖方委托价位数
|
||||
int32_t num_ask_orders;
|
||||
///成交时间（UA3113）
|
||||
int32_t exec_time;
|
||||
///闭市标志（UA103/UA104）
|
||||
char is_market_closed[4];
|
||||
///合约持仓量（UA103）
|
||||
double total_position;
|
||||
///市盈率1（UA103）
|
||||
double pe_ratio1;
|
||||
///市盈率2（UA103）
|
||||
double pe_ratio2;
|
||||
} XTPMD;
|
||||
|
||||
#endif
|
||||
2368
vn.xtp/xtpapi/xtp_api_data_type.h
Normal file
2368
vn.xtp/xtpapi/xtp_api_data_type.h
Normal file
File diff suppressed because it is too large
Load Diff
15
vn.xtp/xtpapi/xtp_api_struct.h
Normal file
15
vn.xtp/xtpapi/xtp_api_struct.h
Normal file
@ -0,0 +1,15 @@
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
///@author 中泰证券股份有限公司
|
||||
///@file xtp_api_struct.h
|
||||
///@brief 定义业务数据结构
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
#ifndef _XTP_API_STRUCT_H_
|
||||
#define _XTP_API_STRUCT_H_
|
||||
|
||||
#include "xtp_api_struct_common.h"
|
||||
#include "xquote_api_struct.h"
|
||||
#include "xoms_api_struct.h"
|
||||
|
||||
|
||||
#endif // !_XTP_API_STRUCT_H_
|
||||
|
||||
23
vn.xtp/xtpapi/xtp_api_struct_common.h
Normal file
23
vn.xtp/xtpapi/xtp_api_struct_common.h
Normal file
@ -0,0 +1,23 @@
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
///@author 中泰证券股份有限公司
|
||||
///@file xtp_api_struct_common.h
|
||||
///@brief 定义业务公共数据结构
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
|
||||
#ifndef _XTP_API_STRUCT_COMMON_H_
|
||||
#define _XTP_API_STRUCT_COMMON_H_
|
||||
|
||||
#include <stdint.h>
|
||||
#include "xtp_api_data_type.h"
|
||||
|
||||
///响应信息
|
||||
#define XTP_ERR_MSG_LEN 76
|
||||
typedef struct XTPRspInfoStruct
|
||||
{
|
||||
///错误代码
|
||||
int32_t error_id;
|
||||
///错误信息
|
||||
char error_msg[XTP_ERR_MSG_LEN];
|
||||
} XTPRI;
|
||||
|
||||
#endif // !_XTP_API_STRUCT_COMMON_H_
|
||||
158
vn.xtp/xtpapi/xtp_quote_api.h
Normal file
158
vn.xtp/xtpapi/xtp_quote_api.h
Normal file
@ -0,0 +1,158 @@
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
///@author 中泰证券股份有限公司
|
||||
///@file xtp_quote_api.h
|
||||
///@brief 定义行情订阅客户端接口
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
|
||||
#ifndef _XTP_QUOTE_API_H_
|
||||
#define _XTP_QUOTE_API_H_
|
||||
|
||||
#if _MSC_VER > 1000
|
||||
#pragma once
|
||||
#endif // _MSC_VER > 1000
|
||||
|
||||
#include "xtp_api_struct.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 XTP::API::QuoteSpi
|
||||
*
|
||||
* \brief 行情回调类
|
||||
*
|
||||
* \author 中泰证券股份有限公司
|
||||
* \date 十月 2015
|
||||
*/
|
||||
namespace XTP {
|
||||
namespace API {
|
||||
class QuoteSpi
|
||||
{
|
||||
public:
|
||||
|
||||
///当客户端与交易后台通信连接断开时，该方法被调用。
|
||||
///@remark 保留函数，暂未支持
|
||||
///@param reason 错误原因
|
||||
virtual void OnDisconnected(int reason) {};
|
||||
|
||||
|
||||
///错误应答
|
||||
///@param error_info 错误信息
|
||||
virtual void OnError(XTPRI *error_info) {};
|
||||
|
||||
///订阅行情应答
|
||||
///@param ticker 详细的合约订阅情况
|
||||
///@param error_info 订阅合约发生错误时的错误信息
|
||||
///@param is_last 是否此次订阅的最后一个应答
|
||||
///@remark 每条订阅的合约均对应一条订阅应答
|
||||
virtual void OnSubMarketData(XTPST *ticker, XTPRI *error_info, bool is_last) {};
|
||||
|
||||
///取消订阅行情应答
|
||||
///@param ticker 详细的合约取消订阅情况
|
||||
///@param error_info 错误信息
|
||||
///@param is_last 是否此次取消订阅的最后一个应答
|
||||
///@remark 每条取消订阅的合约均对应一条取消订阅应答
|
||||
virtual void OnUnSubMarketData(XTPST *ticker, XTPRI *error_info, bool is_last) {};
|
||||
|
||||
///行情通知
|
||||
///@param market_data 行情数据
|
||||
virtual void OnMarketData(XTPMD *market_data) {};
|
||||
|
||||
|
||||
///查询可交易合约应答
|
||||
///@remark 保留函数，此函数暂未支持
|
||||
virtual void OnQueryAllTickers() {};
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
/*!
|
||||
* \class XTP::API::QuoteApi
|
||||
*
|
||||
* \brief 行情订阅接口类
|
||||
*
|
||||
* \author 中泰证券股份有限公司
|
||||
* \date 十月 2015
|
||||
*/
|
||||
namespace XTP {
|
||||
namespace API {
|
||||
class MD_API_EXPORT QuoteApi
|
||||
{
|
||||
public:
|
||||
///创建QuoteApi
|
||||
///@param save_file_path （保留字段）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 QuoteApi *CreateQuoteApi(const char *save_file_path = "");
|
||||
|
||||
///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;
|
||||
|
||||
|
||||
///获取当前交易日
|
||||
///@return 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;
|
||||
|
||||
|
||||
///注册回调接口
|
||||
///@param spi 派生自回调接口类的实例
|
||||
virtual void RegisterSpi(QuoteSpi *spi) = 0;
|
||||
|
||||
///订阅行情。
|
||||
///@return 订阅接口调用是否成功，“0”表示接口调用成功，非“0”表示接口调用出错
|
||||
///@param ticker 合约ID数组
|
||||
///@param count 要订阅/退订行情的合约个数
|
||||
///@param exchage_id 交易所代码
|
||||
///@remark 可以一次性订阅同一证券交易所的多个合约
|
||||
virtual int SubscribeMarketData(char *ticker[], int count, XTP_EXCHANGE_TYPE exchage_id) = 0;
|
||||
|
||||
///退订行情。
|
||||
///@return 取消订阅接口调用是否成功，“0”表示接口调用成功，非“0”表示接口调用出错
|
||||
///@param ticker 合约ID数组
|
||||
///@param count 要订阅/退订行情的合约个数
|
||||
///@param exchage_id 交易所代码
|
||||
///@remark 可以一次性取消订阅同一证券交易所的多个合约
|
||||
virtual int UnSubscribeMarketData(char *ticker[], int count, XTP_EXCHANGE_TYPE exchage_id) = 0;
|
||||
|
||||
///用户登录请求
|
||||
///@return 登录是否成功，“0”表示登录成功，“-1”表示连接服务器出错，“-2”表示已存在连接，不允许重复登录，如果需要重连，请先logout，“-3”表示输入有错误
|
||||
///@param ip 服务器地址
|
||||
///@param port 服务器端口号
|
||||
///@param user 登陆用户名
|
||||
///@param password 登陆密码
|
||||
///@param sock_type “1”代表TCP，“2”代表UDP，目前暂时只支持TCP
|
||||
///@remark 此函数为同步阻塞式，不需要异步等待登录成功，当函数返回即可进行后续操作
|
||||
virtual int Login(const char* ip, int port, const char* user, const char* password, XTP_PROTOCOL_TYPE sock_type) = 0;
|
||||
|
||||
|
||||
///登出请求
|
||||
///@return 登出是否成功，“0”表示登出成功，非“0”表示登出出错
|
||||
///@remark 此函数为同步阻塞式，不需要异步等待登出，当函数返回即可进行后续操作
|
||||
virtual int Logout() = 0;
|
||||
|
||||
///获取当前交易日可交易合约
|
||||
///@return 查询是否成功，“0”表示查询成功，非“0”表示查询不成功
|
||||
///@param exchage_id 交易所代码
|
||||
///@remark 此函数暂未支持
|
||||
virtual int QueryAllTickers(XTP_EXCHANGE_TYPE exchage_id) = 0;
|
||||
|
||||
|
||||
protected:
|
||||
~QuoteApi() {};
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
|
||||
|
||||
#endif
|
||||
206
vn.xtp/xtpapi/xtp_trader_api.h
Normal file
206
vn.xtp/xtpapi/xtp_trader_api.h
Normal file
@ -0,0 +1,206 @@
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
///@author 中泰证券股份有限公司
|
||||
///@file xtp_trader_api.h
|
||||
///@brief 定义客户端交易接口
|
||||
/////////////////////////////////////////////////////////////////////////
|
||||
|
||||
#ifndef _XTP_TRADER_API_H_
|
||||
#define _XTP_TRADER_API_H_
|
||||
|
||||
#if _MSC_VER > 1000
|
||||
#pragma once
|
||||
#endif // _MSC_VER > 1000
|
||||
|
||||
#include "xtp_api_struct.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 XTP::API::TraderSpi
|
||||
*
|
||||
* \brief 交易接口响应类
|
||||
*
|
||||
* \author 中泰证券股份有限公司
|
||||
* \date 十月 2015
|
||||
*/
|
||||
namespace XTP {
|
||||
namespace API {
|
||||
|
||||
class TraderSpi
|
||||
{
|
||||
public:
|
||||
|
||||
///当客户端与交易后台通信连接断开时，该方法被调用。
|
||||
///@remark 保留函数，暂未支持
|
||||
///@param reason 错误原因
|
||||
virtual void OnDisconnected(int reason) {};
|
||||
|
||||
///错误应答
|
||||
///@param error_info 具体的错误代码和错误信息
|
||||
virtual void OnError(XTPRI *error_info) {};
|
||||
|
||||
///报单通知
|
||||
///@param order_info 订单响应具体信息
|
||||
///@param error_info 订单被拒绝或者发生错误时错误代码和错误信息
|
||||
///@remark 每次订单状态更新时，都会被调用
|
||||
virtual void OnOrderEvent(XTPOrderInfo *order_info, XTPRI *error_info) {};
|
||||
|
||||
///成交通知
|
||||
///@param trade_info 成交回报的具体信息
|
||||
///@remark 订单有成交发生的时候，会被调用
|
||||
virtual void OnTradeEvent(XTPTradeReport *trade_info) {};
|
||||
|
||||
///撤单出错响应
|
||||
///@param cancel_info 撤单具体信息，包括撤单单和待撤单的order_xtp_id
|
||||
///@param error_info 撤单被拒绝或者发生错误时错误代码和错误信息
|
||||
virtual void OnCancelOrderError(XTPOrderCancelInfo *cancel_info, XTPRI *error_info) {};
|
||||
|
||||
///请求查询报单响应
|
||||
///@param order_info 查询到的报单
|
||||
///@param error_info 错误信息
|
||||
///@param request_id 此消息响应函数对应的请求ID
|
||||
///@param is_last 此消息响应函数是否为request_id这条请求所对应的最后一个响应
|
||||
///@remark 由于支持分时段查询，一个查询请求可能对应多个响应
|
||||
virtual void OnQueryOrder(XTPQueryOrderRsp *order_info, XTPRI *error_info, int request_id, bool is_last) {};
|
||||
|
||||
///请求查询成交响应
|
||||
///@param trade_info 查询到的成交回报
|
||||
///@param error_info 错误信息
|
||||
///@param request_id 此消息响应函数对应的请求ID
|
||||
///@param is_last 此消息响应函数是否为request_id这条请求所对应的最后一个响应
|
||||
///@remark 由于支持分时段查询，一个查询请求可能对应多个响应
|
||||
virtual void OnQueryTrade(XTPQueryTradeRsp *trade_info, XTPRI *error_info, int request_id, bool is_last) {};
|
||||
|
||||
///请求查询投资者持仓响应
|
||||
///@param position 查询到的持仓情况
|
||||
///@param error_info 错误信息
|
||||
///@param request_id 此消息响应函数对应的请求ID
|
||||
///@param is_last 此消息响应函数是否为request_id这条请求所对应的最后一个响应
|
||||
///@remark 由于用户可能持有多个股票，一个查询请求可能对应多个响应
|
||||
virtual void OnQueryPosition(XTPQueryStkPositionRsp *position, XTPRI *error_info, int request_id, bool is_last) {};
|
||||
|
||||
///请求查询资金账户响应
|
||||
virtual void OnQueryAsset(XTPQueryAssetRsp *asset, XTPRI *error_info, int request_id, bool is_last) {};
|
||||
|
||||
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
/*!
|
||||
* \class XTP::API::TraderApi
|
||||
*
|
||||
* \brief 交易接口类
|
||||
*
|
||||
* \author 中泰证券股份有限公司
|
||||
* \date 十月 2015
|
||||
*/
|
||||
namespace XTP {
|
||||
namespace API {
|
||||
|
||||
class TRADER_API_EXPORT TraderApi
|
||||
{
|
||||
public:
|
||||
///创建TraderApi
|
||||
///@param save_file_path （保留字段）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 TraderApi *CreateTraderApi(const char *save_file_path = "");
|
||||
|
||||
///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;
|
||||
|
||||
///获取当前交易日
|
||||
///@return 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;
|
||||
|
||||
///注册回调接口
|
||||
///@param spi 派生自回调接口类的实例
|
||||
virtual void RegisterSpi(TraderSpi *spi) = 0;
|
||||
|
||||
///用户登录请求
|
||||
///@return 登录是否成功，“0”表示登录成功，“-1”表示连接服务器出错，“-2”表示已存在连接，不允许重复登录，如果需要重连，请先logout
|
||||
///@param ip 服务器地址
|
||||
///@param port 服务器端口号
|
||||
///@param user 登录用户名
|
||||
///@param password 登录密码
|
||||
///@param sock_type “1”代表TCP，“2”代表UDP，目前暂时只支持TCP
|
||||
///@param client_id （保留字段）客户端id，用于区分同一用户的不同连接
|
||||
///@remark 此函数为同步阻塞式，不需要异步等待登录成功，当函数返回即可进行后续操作
|
||||
virtual int Login(const char* ip, int port, const char* user, const char* password, XTP_PROTOCOL_TYPE sock_type, int client_id = 0) = 0;
|
||||
|
||||
|
||||
///登出请求
|
||||
///@return 登出是否成功，“0”表示登出成功，“-1”表示登出失败
|
||||
virtual int Logout() = 0;
|
||||
|
||||
///报单录入请求
|
||||
///@return 报单在XTP系统中的ID,如果为‘0’表示报单失败，用户需要记录下返回的order_xtp_id
|
||||
///@param order 报单录入信息
|
||||
virtual uint64_t InsertOrder(XTPOrderInsertInfo *order) = 0;
|
||||
|
||||
///报单操作请求
|
||||
///@return 撤单单在XTP系统中的ID,如果为‘0’表示撤单失败，用户需要记录下返回的order_cancel_xtp_id
|
||||
///@param order_xtp_id 需要撤销的委托单在XTP系统中的ID
|
||||
virtual uint64_t CancelOrder(const uint64_t order_xtp_id) = 0;
|
||||
|
||||
///根据报单ID请求查询报单
|
||||
///@return 查询是否成功，“0”表示成功，非“0”表示出错
|
||||
///@param order_xtp_id 需要查询的报单在xtp系统中的ID
|
||||
///@param request_id 用于用户定位查询响应的ID，由用户自定义
|
||||
virtual int QueryOrderByXTPID(const uint64_t order_xtp_id, int request_id) = 0;
|
||||
|
||||
///请求查询报单
|
||||
///@return 查询是否成功，“0”表示成功，非“0”表示出错
|
||||
///@param query_param 需要查询的订单相关筛选条件
|
||||
///@param request_id 用于用户定位查询响应的ID，由用户自定义
|
||||
///@remark 该方法支持分时段查询，如果股票代码为空，则默认查询时间段内的所有报单，否则查询时间段内所有跟股票代码相关的报单
|
||||
virtual int QueryOrders(const XTPQueryOrderReq *query_param, int request_id) = 0;
|
||||
|
||||
///根据委托编号请求查询相关成交
|
||||
///@return 查询是否成功，“0”表示成功，非“0”表示出错
|
||||
///@param order_xtp_id 需要查询的委托编号
|
||||
///@param request_id 用于用户定位查询响应的ID，由用户自定义
|
||||
///@remark 此函数查询出的结果可能对应多个响应
|
||||
virtual int QueryTradesByXTPID(const uint64_t order_xtp_id, int request_id) = 0;
|
||||
|
||||
///请求查询已成交
|
||||
///@return 查询是否成功，“0”表示成功，非“0”表示出错
|
||||
///@param query_param 需要查询的成交回报筛选条件
|
||||
///@param request_id 用于用户定位查询响应的ID，由用户自定义
|
||||
///@remark 该方法支持分时段查询，如果股票代码为空，则默认查询时间段内的所有成交回报，否则查询时间段内所有跟股票代码相关的成交回报
|
||||
virtual int QueryTrades(XTPQueryTraderReq *query_param, int request_id) = 0;
|
||||
|
||||
///请求查询投资者持仓
|
||||
///@return 查询是否成功，“0”表示成功，非“0”表示出错
|
||||
///@param ticker 需要查询的持仓股票，可以为空
|
||||
///@param request_id 用于用户定位查询响应的ID，由用户自定义
|
||||
///@remark 该方法如果用户提供了股票代码，则会查询此股票的持仓信息，如果股票代码为空，则默认查询所有持仓信息
|
||||
virtual int QueryPosition(const char *ticker, int request_id) = 0;
|
||||
|
||||
///请求查询资产
|
||||
///@return 查询是否成功，“0”表示成功，非“0”表示出错
|
||||
///@param request_id 用于用户定位查询响应的ID，由用户自定义
|
||||
virtual int QueryAsset(int request_id) = 0;
|
||||
|
||||
protected:
|
||||
~TraderApi() {};
|
||||
};
|
||||
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
|
||||
|
||||
#endif
|
||||
BIN
vn.xtp/xtpapi/xtpquoteapicompD.dll
Normal file
BIN
vn.xtp/xtpapi/xtpquoteapicompD.dll
Normal file
Binary file not shown.
BIN
vn.xtp/xtpapi/xtpquoteapicompD.lib
Normal file
BIN
vn.xtp/xtpapi/xtpquoteapicompD.lib
Normal file
Binary file not shown.
BIN
vn.xtp/xtpapi/xtptraderapiD.dll
Normal file
BIN
vn.xtp/xtpapi/xtptraderapiD.dll
Normal file
Binary file not shown.
BIN
vn.xtp/xtpapi/xtptraderapiD.lib
Normal file
BIN
vn.xtp/xtpapi/xtptraderapiD.lib
Normal file
Binary file not shown.
Loading…
Reference in New Issue
Block a user