添加对LTS柜台L2行情API的支持

vn.lts/ltsl2/LTS_ns.h

@@ -0,0 +1,9 @@
+#ifndef _LTS_NAMESPACE_H
+#define _LTS_NAMESPACE_H
+
+#define _LTS_NS_	_LTS_
+#define _LTS_NS_BEGIN_ namespace _LTS_{
+#define _LTS_NS_END_	}
+#define _USING_LTS_NS_	using namespace _LTS_;
+
+#endif

vn.lts/ltsl2/SecurityFtdcL2MDUserApi.h

@@ -0,0 +1,150 @@
+/////////////////////////////////////////////////////////////////////////
+///@company shanghai liber information Technology Co.,Ltd
+///@file SecurityFtdcL2MDUserApi.h
+///@brief 定义客户端接口
+/////////////////////////////////////////////////////////////////////////
+
+#if !defined(SECURITY_L2MD_FTDCUSERAPI_H)
+#define SECURITY_L2MD_FTDCUSERAPI_H
+
+#if _MSC_VER > 1000
+#pragma once
+#endif // _MSC_VER > 1000
+
+#include "SecurityFtdcL2MDUserApiStruct.h"
+
+_LTS_NS_BEGIN_
+#if defined(L2MD_USERAPI_IS_LIB) && defined(WINDOWS)
+#ifdef LIB_L2MD_USER_API_EXPORT
+#define L2MD_USER_API_EXPORT __declspec(dllexport)
+#else
+#define L2MD_USER_API_EXPORT __declspec(dllimport)
+#endif
+#else
+#define L2MD_USER_API_EXPORT 
+#endif
+
+class CSecurityFtdcL2MDUserSpi
+{
+public:
+	///当客户端与交易后台建立起通信连接时（还未登录前），该方法被调用。
+	virtual void OnFrontConnected(){};
+	
+	///当客户端与交易后台通信连接断开时，该方法被调用。当发生这个情况后，API会自动重新连接，客户端可不做处理。
+	///@param nReason 错误原因
+	///        0x1001 网络读失败
+	///        0x1002 网络写失败
+	///        0x2001 接收心跳超时
+	///        0x2002 发送心跳失败
+	///        0x2003 收到错误报文
+	virtual void OnFrontDisconnected(int nReason){};
+		
+	///心跳超时警告
+	virtual void OnHeartBeatWarning(int nTimeLapse){};
+
+	///错误应答
+	virtual void OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///登录请求响应
+	virtual void OnRspUserLogin(CSecurityFtdcUserLoginField *pUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///登出请求响应
+	virtual void OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///订阅Level2行情应答
+	virtual void OnRspSubL2MarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///取消订阅Level2行情应答
+	virtual void OnRspUnSubL2MarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///订阅Level2指数行情应答
+	virtual void OnRspSubL2Index(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///取消订阅Level2指数行情应答
+	virtual void OnRspUnSubL2Index(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///Level2行情通知
+	virtual void OnRtnL2MarketData(CSecurityFtdcL2MarketDataField *pL2MarketData) {};
+
+	///Level2指数行情通知
+	virtual void OnRtnL2Index(CSecurityFtdcL2IndexField *pL2Index) {};
+
+	///订阅逐笔委托及成交应答
+	virtual void OnRspSubL2OrderAndTrade(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///取消订阅逐笔委托及成交应答
+	virtual void OnRspUnSubL2OrderAndTrade(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///Level2委托通知
+	virtual void OnRtnL2Order(CSecurityFtdcL2OrderField *pL2Order) {};
+
+	///Level2成交通知
+	virtual void OnRtnL2Trade(CSecurityFtdcL2TradeField *pL2Trade) {};
+
+	///通知清理SSE买卖一队列中数量为0的报单
+	virtual void OnNtfCheckOrderList(TSecurityFtdcInstrumentIDType InstrumentID, TSecurityFtdcFunctionCodeType FunctionCode) {};
+};
+
+#ifndef WINDOWS
+	#if __GNUC__ >= 4
+		#pragma GCC visibility push(default)
+	#endif
+#endif
+class L2MD_USER_API_EXPORT CSecurityFtdcL2MDUserApi
+{
+public:
+	///创建UserApi
+	static CSecurityFtdcL2MDUserApi *CreateFtdcL2MDUserApi(const bool bIsMulticast=false);
+	
+	///删除接口对象本身
+	///@remark 不再使用本接口对象时,调用该函数删除接口对象
+	virtual void Release() = 0;
+	
+	///初始化
+	///@remark 初始化运行环境,只有调用后,接口才开始工作
+	virtual void Init() = 0;
+	
+	///等待接口线程结束运行
+	virtual int Join() = 0;
+	
+	///获取当前交易日
+	///@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(CSecurityFtdcL2MDUserSpi *pSpi) = 0;
+	
+	virtual int SubscribeL2MarketData(char *ppInstrumentID[], int nCount, char* pExchageID) = 0;
+
+	virtual int UnSubscribeL2MarketData(char *ppInstrumentID[], int nCount, char* pExchageID) = 0;
+	
+	virtual int SubscribeL2Index(char *ppInstrumentID[], int nCount, char* pExchageID) = 0;
+
+	virtual int UnSubscribeL2Index(char *ppInstrumentID[], int nCount, char* pExchageID) = 0;	
+	
+	virtual int SubscribeL2OrderAndTrade() = 0;
+	
+	virtual int UnSubscribeL2OrderAndTrade() = 0;
+
+	///登录请求
+	virtual int ReqUserLogin(CSecurityFtdcUserLoginField *pUserLogin, int nRequestID) = 0;
+
+	///登出请求
+	virtual int ReqUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, int nRequestID) = 0;
+protected:
+	~CSecurityFtdcL2MDUserApi(){};
+};
+#ifndef WINDOWS
+	#if __GNUC__ >= 4
+		#pragma GCC visibility pop
+	#endif
+#endif
+_LTS_NS_END_
+#endif

vn.lts/ltsl2/SecurityFtdcL2MDUserApiDataType.h

@@ -0,0 +1,213 @@
+/////////////////////////////////////////////////////////////////////////
+///@company shanghai liber information Technology Co.,Ltd
+///@file SecurityFtdcL2MDUserApiDataType.h
+///@brief 定义业务数据类型
+/////////////////////////////////////////////////////////////////////////
+
+#ifndef SECURITY_L2MD_FTDCDATATYPE_H
+#define SECURITY_L2MD_FTDCDATATYPE_H
+
+#include "LTS_ns.h"
+
+_LTS_NS_BEGIN_
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcErrorIDType是一个错误代码类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcErrorIDType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcErrorMsgType是一个错误信息类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcErrorMsgType[81];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcBrokerIDType是一个经纪公司代码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcBrokerIDType[11];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcUserIDType是一个用户代码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcUserIDType[16];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcUserNameType是一个用户名称类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcUserNameType[81];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcPasswordType是一个密码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcPasswordType[41];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcExchangeIDType是一个交易所代码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcExchangeIDType[9];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcInstrumentIDType是一个合约代码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcInstrumentIDType[31];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcDateType是一个日期类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcDateType[9];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcTimeType是一个时间类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcTimeType[9];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcPriceType是一个价格类型
+/////////////////////////////////////////////////////////////////////////
+typedef double TSecurityFtdcPriceType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcVolumeType是一个数量类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcVolumeType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcLargeVolumeType是一个大额数量类型
+/////////////////////////////////////////////////////////////////////////
+typedef double TSecurityFtdcLargeVolumeType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcRatioType是一个比率类型
+/////////////////////////////////////////////////////////////////////////
+typedef double TSecurityFtdcRatioType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcMoneyType是一个资金类型
+/////////////////////////////////////////////////////////////////////////
+typedef double TSecurityFtdcMoneyType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcPriceLevelType是一个价格深度类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcPriceLevelType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcBoolType是一个布尔型类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcBoolType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcIndexType是一个指数类型
+/////////////////////////////////////////////////////////////////////////
+typedef double TSecurityFtdcIndexType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcDataLevelType是一个行情数据等级类型
+/////////////////////////////////////////////////////////////////////////
+///全量行情
+#define SECURITY_FTDC_DL_FULL '0'
+///L10行情
+#define SECURITY_FTDC_DL_L10 '1'
+///L5行情
+#define SECURITY_FTDC_DL_L5 '2'
+
+typedef char TSecurityFtdcDataLevelType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcIPAddressType是一个IP地址类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcIPAddressType[16];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcIPPortType是一个IP端口类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcIPPortType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcBeginStringType是一个step起始串类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcBeginStringType[17];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcBodyLengthType是一个消息体长度类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcBodyLengthType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcMsgTypeType是一个消息类型类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcMsgTypeType[9];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcSenderCompIDType是一个发送方代码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcSenderCompIDType[33];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcTargetCompIDType是一个接收方代码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcTargetCompIDType[33];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcMsgSeqNumType是一个头消息序号标签34类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcMsgSeqNumType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcSendingTimeType是一个发送时间类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcSendingTimeType[21];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcMessageEncodingType是一个消息中Encoded域的字符编码类型类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcMessageEncodingType[21];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcCheckSumType是一个校验和类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcCheckSumType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcEncryptMethodType是一个加密方法类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcEncryptMethodType[9];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcHeartBtIntType是一个心跳间隔类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcHeartBtIntType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcInterfaceVersionType是一个行情数据接口版本号类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcInterfaceVersionType[9];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcMsgSeqIDType是一个消息序号标签10072类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcMsgSeqIDType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcGroupIDType是一个组号类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcGroupIDType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcGroupNoType是一个组序类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcGroupNoType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcOrderKindType是一个报单类型类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcOrderKindType[2];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcFunctionCodeType是一个功能码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcFunctionCodeType[2];
+
+_LTS_NS_END_
+
+#endif

vn.lts/ltsl2/SecurityFtdcL2MDUserApiStruct.h

@@ -0,0 +1,786 @@
+/////////////////////////////////////////////////////////////////////////
+///@company shanghai liber information Technology Co.,Ltd
+///@file SecurityFtdcL2MDUserApiStruct.h
+///@brief 定义业务数据结构
+/////////////////////////////////////////////////////////////////////////
+
+#if !defined(SECURITY_L2MD_FTDCSTRUCT_H)
+#define SECURITY_L2MD_FTDCSTRUCT_H
+
+#if _MSC_VER > 1000
+#pragma once
+#endif // _MSC_VER > 1000
+
+#include "SecurityFtdcL2MDUserApiDataType.h"
+
+_LTS_NS_BEGIN_
+
+///响应信息
+struct CSecurityFtdcRspInfoField
+{
+	///错误代码
+	TSecurityFtdcErrorIDType	ErrorID;
+	///错误信息
+	TSecurityFtdcErrorMsgType	ErrorMsg;
+};
+
+///用户登录信息
+struct CSecurityFtdcUserLoginField
+{
+	///交易日
+	TSecurityFtdcDateType	TradingDay;
+	///经纪公司代码
+	TSecurityFtdcBrokerIDType	BrokerID;
+	///用户代码
+	TSecurityFtdcUserIDType	UserID;
+	///密码
+	TSecurityFtdcPasswordType	Password;
+	///行情数据等级
+	TSecurityFtdcDataLevelType	DataLevel;
+};
+
+///用户登出信息
+struct CSecurityFtdcUserLogoutField
+{
+	///经纪公司代码
+	TSecurityFtdcBrokerIDType	BrokerID;
+	///用户代码
+	TSecurityFtdcUserIDType	UserID;
+};
+
+///指定的合约
+struct CSecurityFtdcSpecificInstrumentField
+{
+	///合约代码
+	TSecurityFtdcInstrumentIDType	InstrumentID;
+	///交易所代码
+	TSecurityFtdcExchangeIDType	ExchangeID;
+};
+
+///Level2行情
+struct CSecurityFtdcL2MarketDataField
+{
+	///交易日
+	TSecurityFtdcDateType	TradingDay;
+	///时间戳
+	TSecurityFtdcTimeType	TimeStamp;
+	///交易所代码
+	TSecurityFtdcExchangeIDType	ExchangeID;
+	///合约代码
+	TSecurityFtdcInstrumentIDType	InstrumentID;
+	///昨收盘价
+	TSecurityFtdcPriceType	PreClosePrice;
+	///今开盘价
+	TSecurityFtdcPriceType	OpenPrice;
+	///收盘价
+	TSecurityFtdcPriceType	ClosePrice;
+	///净值估值
+	TSecurityFtdcPriceType	IOPV;
+	///到期收益率
+	TSecurityFtdcRatioType	YieldToMaturity;
+	///最高价
+	TSecurityFtdcPriceType	HighPrice;
+	///最低价
+	TSecurityFtdcPriceType	LowPrice;
+	///最新价
+	TSecurityFtdcPriceType	LastPrice;
+	///成交笔数
+	TSecurityFtdcVolumeType	TradeCount;
+	///成交总量
+	TSecurityFtdcLargeVolumeType	TotalTradeVolume;
+	///成交总金额
+	TSecurityFtdcMoneyType	TotalTradeValue;
+	///委托买入总量
+	TSecurityFtdcLargeVolumeType	TotalBidVolume;
+	///加权平均委买价
+	TSecurityFtdcPriceType	WeightedAvgBidPrice;
+	///债券加权平均委买价
+	TSecurityFtdcPriceType	AltWeightedAvgBidPrice;
+	///委托卖出总量
+	TSecurityFtdcLargeVolumeType	TotalOfferVolume;
+	///加权平均委卖价
+	TSecurityFtdcPriceType	WeightedAvgOfferPrice;
+	///债券加权平均委卖价格
+	TSecurityFtdcPriceType	AltWeightedAvgOfferPrice;
+	///买价深度
+	TSecurityFtdcPriceLevelType	BidPriceLevel;
+	///卖价深度
+	TSecurityFtdcPriceLevelType	OfferPriceLevel;
+	///申买价一
+	TSecurityFtdcPriceType	BidPrice1;
+	///申买量一
+	TSecurityFtdcVolumeType	BidVolume1;
+	///实际买总委托笔数一
+	TSecurityFtdcVolumeType	BidCount1;
+	///申买价二
+	TSecurityFtdcPriceType	BidPrice2;
+	///申买量二
+	TSecurityFtdcVolumeType	BidVolume2;
+	///实际买总委托笔数二
+	TSecurityFtdcVolumeType	BidCount2;
+	///申买价三
+	TSecurityFtdcPriceType	BidPrice3;
+	///申买量三
+	TSecurityFtdcVolumeType	BidVolume3;
+	///实际买总委托笔数三
+	TSecurityFtdcVolumeType	BidCount3;
+	///申买价四
+	TSecurityFtdcPriceType	BidPrice4;
+	///申买量四
+	TSecurityFtdcVolumeType	BidVolume4;
+	///实际买总委托笔数四
+	TSecurityFtdcVolumeType	BidCount4;
+	///申买价五
+	TSecurityFtdcPriceType	BidPrice5;
+	///申买量五
+	TSecurityFtdcVolumeType	BidVolume5;
+	///实际买总委托笔数五
+	TSecurityFtdcVolumeType	BidCount5;
+	///申买价六
+	TSecurityFtdcPriceType	BidPrice6;
+	///申买量六
+	TSecurityFtdcVolumeType	BidVolume6;
+	///实际买总委托笔数六
+	TSecurityFtdcVolumeType	BidCount6;
+	///申买价七
+	TSecurityFtdcPriceType	BidPrice7;
+	///申买量七
+	TSecurityFtdcVolumeType	BidVolume7;
+	///实际买总委托笔数七
+	TSecurityFtdcVolumeType	BidCount7;
+	///申买价八
+	TSecurityFtdcPriceType	BidPrice8;
+	///申买量八
+	TSecurityFtdcVolumeType	BidVolume8;
+	///实际买总委托笔数八
+	TSecurityFtdcVolumeType	BidCount8;
+	///申买价九
+	TSecurityFtdcPriceType	BidPrice9;
+	///申买量九
+	TSecurityFtdcVolumeType	BidVolume9;
+	///实际买总委托笔数九
+	TSecurityFtdcVolumeType	BidCount9;
+	///申买价十
+	TSecurityFtdcPriceType	BidPriceA;
+	///申买量十
+	TSecurityFtdcVolumeType	BidVolumeA;
+	///实际买总委托笔数十
+	TSecurityFtdcVolumeType	BidCountA;
+	///申卖价一
+	TSecurityFtdcPriceType	OfferPrice1;
+	///申卖量一
+	TSecurityFtdcVolumeType	OfferVolume1;
+	///实际卖总委托笔数一
+	TSecurityFtdcVolumeType	OfferCount1;
+	///申卖价二
+	TSecurityFtdcPriceType	OfferPrice2;
+	///申卖量二
+	TSecurityFtdcVolumeType	OfferVolume2;
+	///实际卖总委托笔数二
+	TSecurityFtdcVolumeType	OfferCount2;
+	///申卖价三
+	TSecurityFtdcPriceType	OfferPrice3;
+	///申卖量三
+	TSecurityFtdcVolumeType	OfferVolume3;
+	///实际卖总委托笔数三
+	TSecurityFtdcVolumeType	OfferCount3;
+	///申卖价四
+	TSecurityFtdcPriceType	OfferPrice4;
+	///申卖量四
+	TSecurityFtdcVolumeType	OfferVolume4;
+	///实际卖总委托笔数四
+	TSecurityFtdcVolumeType	OfferCount4;
+	///申卖价五
+	TSecurityFtdcPriceType	OfferPrice5;
+	///申卖量五
+	TSecurityFtdcVolumeType	OfferVolume5;
+	///实际卖总委托笔数五
+	TSecurityFtdcVolumeType	OfferCount5;
+	///申卖价六
+	TSecurityFtdcPriceType	OfferPrice6;
+	///申卖量六
+	TSecurityFtdcVolumeType	OfferVolume6;
+	///实际卖总委托笔数六
+	TSecurityFtdcVolumeType	OfferCount6;
+	///申卖价七
+	TSecurityFtdcPriceType	OfferPrice7;
+	///申卖量七
+	TSecurityFtdcVolumeType	OfferVolume7;
+	///实际卖总委托笔数七
+	TSecurityFtdcVolumeType	OfferCount7;
+	///申卖价八
+	TSecurityFtdcPriceType	OfferPrice8;
+	///申卖量八
+	TSecurityFtdcVolumeType	OfferVolume8;
+	///实际卖总委托笔数八
+	TSecurityFtdcVolumeType	OfferCount8;
+	///申卖价九
+	TSecurityFtdcPriceType	OfferPrice9;
+	///申卖量九
+	TSecurityFtdcVolumeType	OfferVolume9;
+	///实际卖总委托笔数九
+	TSecurityFtdcVolumeType	OfferCount9;
+	///申卖价十
+	TSecurityFtdcPriceType	OfferPriceA;
+	///申卖量十
+	TSecurityFtdcVolumeType	OfferVolumeA;
+	///实际卖总委托笔数十
+	TSecurityFtdcVolumeType	OfferCountA;
+};
+
+///Level2行情更新时间属性
+struct CSecurityFtdcL2UpdateTimeField
+{
+	///交易日
+	TSecurityFtdcDateType	TradingDay;
+	///时间戳
+	TSecurityFtdcTimeType	TimeStamp;
+	///交易所代码
+	TSecurityFtdcExchangeIDType	ExchangeID;
+	///合约代码
+	TSecurityFtdcInstrumentIDType	InstrumentID;
+};
+
+///Level2行情静态属性
+struct CSecurityFtdcL2StaticField
+{
+	///昨收盘价
+	TSecurityFtdcPriceType	PreClosePrice;
+	///今开盘价
+	TSecurityFtdcPriceType	OpenPrice;
+	///收盘价
+	TSecurityFtdcPriceType	ClosePrice;
+	///净值估值
+	TSecurityFtdcPriceType	IOPV;
+	///到期收益率
+	TSecurityFtdcRatioType	YieldToMaturity;
+};
+
+///Level2行情价格区间属性
+struct CSecurityFtdcL2PriceIntervalField
+{
+	///最高价
+	TSecurityFtdcPriceType	HighPrice;
+	///最低价
+	TSecurityFtdcPriceType	LowPrice;
+};
+
+///Level2行情基本信息
+struct CSecurityFtdcL2BaseField
+{
+	///最新价
+	TSecurityFtdcPriceType	LastPrice;
+};
+
+///Level2成交信息
+struct CSecurityFtdcL2TradedField
+{
+	///成交笔数
+	TSecurityFtdcVolumeType	TradeCount;
+	///成交总量
+	TSecurityFtdcLargeVolumeType	TotalTradeVolume;
+	///成交总金额
+	TSecurityFtdcMoneyType	TotalTradeValue;
+};
+
+///Level2行情数据属性
+struct CSecurityFtdcL2DataLevelField
+{
+	///价格
+	TSecurityFtdcPriceType	Price;
+	///数量
+	TSecurityFtdcVolumeType	Volume;
+	///实际总委托笔数
+	TSecurityFtdcVolumeType	Count;
+};
+
+///Level2委买信息
+struct CSecurityFtdcL2BidOrderField
+{
+	///委托买入总量
+	TSecurityFtdcLargeVolumeType	TotalBidVolume;
+	///加权平均委买价
+	TSecurityFtdcPriceType	WeightedAvgBidPrice;
+	///债券加权平均委买价
+	TSecurityFtdcPriceType	AltWeightedAvgBidPrice;
+};
+
+///Level2委卖信息
+struct CSecurityFtdcL2OfferOrderField
+{
+	///委托卖出总量
+	TSecurityFtdcLargeVolumeType	TotalOfferVolume;
+	///加权平均委卖价
+	TSecurityFtdcPriceType	WeightedAvgOfferPrice;
+	///债券加权平均委卖价格
+	TSecurityFtdcPriceType	AltWeightedAvgOfferPrice;
+};
+
+///Level2价格深度属性
+struct CSecurityFtdcL2PriceLevelField
+{
+	///买价深度
+	TSecurityFtdcPriceLevelType	BidPriceLevel;
+	///卖价深度
+	TSecurityFtdcPriceLevelType	OfferPriceLevel;
+};
+
+///Level2行情申买一属性
+struct CSecurityFtdcL2Bid1Field
+{
+	///申买价一
+	TSecurityFtdcPriceType	BidPrice1;
+	///申买量一
+	TSecurityFtdcVolumeType	BidVolume1;
+	///实际买总委托笔数一
+	TSecurityFtdcVolumeType	BidCount1;
+};
+
+///Level2行情申卖一属性
+struct CSecurityFtdcL2Offer1Field
+{
+	///申卖价一
+	TSecurityFtdcPriceType	OfferPrice1;
+	///申卖量一
+	TSecurityFtdcVolumeType	OfferVolume1;
+	///实际卖总委托笔数一
+	TSecurityFtdcVolumeType	OfferCount1;
+};
+
+///Level2行情申买二属性
+struct CSecurityFtdcL2Bid2Field
+{
+	///申买价二
+	TSecurityFtdcPriceType	BidPrice2;
+	///申买量二
+	TSecurityFtdcVolumeType	BidVolume2;
+	///实际买总委托笔数二
+	TSecurityFtdcVolumeType	BidCount2;
+};
+
+///Level2行情申卖二属性
+struct CSecurityFtdcL2Offer2Field
+{
+	///申卖价二
+	TSecurityFtdcPriceType	OfferPrice2;
+	///申卖量二
+	TSecurityFtdcVolumeType	OfferVolume2;
+	///实际卖总委托笔数二
+	TSecurityFtdcVolumeType	OfferCount2;
+};
+
+///Level2行情申买三属性
+struct CSecurityFtdcL2Bid3Field
+{
+	///申买价三
+	TSecurityFtdcPriceType	BidPrice3;
+	///申买量三
+	TSecurityFtdcVolumeType	BidVolume3;
+	///实际买总委托笔数三
+	TSecurityFtdcVolumeType	BidCount3;
+};
+
+///Level2行情申卖三属性
+struct CSecurityFtdcL2Offer3Field
+{
+	///申卖价三
+	TSecurityFtdcPriceType	OfferPrice3;
+	///申卖量三
+	TSecurityFtdcVolumeType	OfferVolume3;
+	///实际卖总委托笔数三
+	TSecurityFtdcVolumeType	OfferCount3;
+};
+
+///Level2行情申买四属性
+struct CSecurityFtdcL2Bid4Field
+{
+	///申买价四
+	TSecurityFtdcPriceType	BidPrice4;
+	///申买量四
+	TSecurityFtdcVolumeType	BidVolume4;
+	///实际买总委托笔数四
+	TSecurityFtdcVolumeType	BidCount4;
+};
+
+///Level2行情申卖四属性
+struct CSecurityFtdcL2Offer4Field
+{
+	///申卖价四
+	TSecurityFtdcPriceType	OfferPrice4;
+	///申卖量四
+	TSecurityFtdcVolumeType	OfferVolume4;
+	///实际卖总委托笔数四
+	TSecurityFtdcVolumeType	OfferCount4;
+};
+
+///Level2行情申买五属性
+struct CSecurityFtdcL2Bid5Field
+{
+	///申买价五
+	TSecurityFtdcPriceType	BidPrice5;
+	///申买量五
+	TSecurityFtdcVolumeType	BidVolume5;
+	///实际买总委托笔数五
+	TSecurityFtdcVolumeType	BidCount5;
+};
+
+///Level2行情申卖五属性
+struct CSecurityFtdcL2Offer5Field
+{
+	///申卖价五
+	TSecurityFtdcPriceType	OfferPrice5;
+	///申卖量五
+	TSecurityFtdcVolumeType	OfferVolume5;
+	///实际卖总委托笔数五
+	TSecurityFtdcVolumeType	OfferCount5;
+};
+
+///Level2行情申买六属性
+struct CSecurityFtdcL2Bid6Field
+{
+	///申买价六
+	TSecurityFtdcPriceType	BidPrice6;
+	///申买量六
+	TSecurityFtdcVolumeType	BidVolume6;
+	///实际买总委托笔数六
+	TSecurityFtdcVolumeType	BidCount6;
+};
+
+///Level2行情申卖六属性
+struct CSecurityFtdcL2Offer6Field
+{
+	///申卖价六
+	TSecurityFtdcPriceType	OfferPrice6;
+	///申卖量六
+	TSecurityFtdcVolumeType	OfferVolume6;
+	///实际卖总委托笔数六
+	TSecurityFtdcVolumeType	OfferCount6;
+};
+
+///Level2行情申买七属性
+struct CSecurityFtdcL2Bid7Field
+{
+	///申买价七
+	TSecurityFtdcPriceType	BidPrice7;
+	///申买量七
+	TSecurityFtdcVolumeType	BidVolume7;
+	///实际买总委托笔数七
+	TSecurityFtdcVolumeType	BidCount7;
+};
+
+///Level2行情申卖七属性
+struct CSecurityFtdcL2Offer7Field
+{
+	///申卖价七
+	TSecurityFtdcPriceType	OfferPrice7;
+	///申卖量七
+	TSecurityFtdcVolumeType	OfferVolume7;
+	///实际卖总委托笔数七
+	TSecurityFtdcVolumeType	OfferCount7;
+};
+
+///Level2行情申买八属性
+struct CSecurityFtdcL2Bid8Field
+{
+	///申买价八
+	TSecurityFtdcPriceType	BidPrice8;
+	///申买量八
+	TSecurityFtdcVolumeType	BidVolume8;
+	///实际买总委托笔数八
+	TSecurityFtdcVolumeType	BidCount8;
+};
+
+///Level2行情申卖八属性
+struct CSecurityFtdcL2Offer8Field
+{
+	///申卖价八
+	TSecurityFtdcPriceType	OfferPrice8;
+	///申卖量八
+	TSecurityFtdcVolumeType	OfferVolume8;
+	///实际卖总委托笔数八
+	TSecurityFtdcVolumeType	OfferCount8;
+};
+
+///Level2行情申买九属性
+struct CSecurityFtdcL2Bid9Field
+{
+	///申买价九
+	TSecurityFtdcPriceType	BidPrice9;
+	///申买量九
+	TSecurityFtdcVolumeType	BidVolume9;
+	///实际买总委托笔数九
+	TSecurityFtdcVolumeType	BidCount9;
+};
+
+///Level2行情申卖九属性
+struct CSecurityFtdcL2Offer9Field
+{
+	///申卖价九
+	TSecurityFtdcPriceType	OfferPrice9;
+	///申卖量九
+	TSecurityFtdcVolumeType	OfferVolume9;
+	///实际卖总委托笔数九
+	TSecurityFtdcVolumeType	OfferCount9;
+};
+
+///Level2行情申买十属性
+struct CSecurityFtdcL2BidAField
+{
+	///申买价十
+	TSecurityFtdcPriceType	BidPriceA;
+	///申买量十
+	TSecurityFtdcVolumeType	BidVolumeA;
+	///实际买总委托笔数十
+	TSecurityFtdcVolumeType	BidCountA;
+};
+
+///Level2行情申卖十属性
+struct CSecurityFtdcL2OfferAField
+{
+	///申卖价十
+	TSecurityFtdcPriceType	OfferPriceA;
+	///申卖量十
+	TSecurityFtdcVolumeType	OfferVolumeA;
+	///实际卖总委托笔数十
+	TSecurityFtdcVolumeType	OfferCountA;
+};
+
+///Level2行情申买属性
+struct CSecurityFtdcL2BidField
+{
+	///申买价一
+	TSecurityFtdcPriceType	BidPrice1;
+	///申买量一
+	TSecurityFtdcVolumeType	BidVolume1;
+	///实际买总委托笔数一
+	TSecurityFtdcVolumeType	BidCount1;
+	///申买价二
+	TSecurityFtdcPriceType	BidPrice2;
+	///申买量二
+	TSecurityFtdcVolumeType	BidVolume2;
+	///实际买总委托笔数二
+	TSecurityFtdcVolumeType	BidCount2;
+	///申买价三
+	TSecurityFtdcPriceType	BidPrice3;
+	///申买量三
+	TSecurityFtdcVolumeType	BidVolume3;
+	///实际买总委托笔数三
+	TSecurityFtdcVolumeType	BidCount3;
+	///申买价四
+	TSecurityFtdcPriceType	BidPrice4;
+	///申买量四
+	TSecurityFtdcVolumeType	BidVolume4;
+	///实际买总委托笔数四
+	TSecurityFtdcVolumeType	BidCount4;
+	///申买价五
+	TSecurityFtdcPriceType	BidPrice5;
+	///申买量五
+	TSecurityFtdcVolumeType	BidVolume5;
+	///实际买总委托笔数五
+	TSecurityFtdcVolumeType	BidCount5;
+	///申买价六
+	TSecurityFtdcPriceType	BidPrice6;
+	///申买量六
+	TSecurityFtdcVolumeType	BidVolume6;
+	///实际买总委托笔数六
+	TSecurityFtdcVolumeType	BidCount6;
+	///申买价七
+	TSecurityFtdcPriceType	BidPrice7;
+	///申买量七
+	TSecurityFtdcVolumeType	BidVolume7;
+	///实际买总委托笔数七
+	TSecurityFtdcVolumeType	BidCount7;
+	///申买价八
+	TSecurityFtdcPriceType	BidPrice8;
+	///申买量八
+	TSecurityFtdcVolumeType	BidVolume8;
+	///实际买总委托笔数八
+	TSecurityFtdcVolumeType	BidCount8;
+	///申买价九
+	TSecurityFtdcPriceType	BidPrice9;
+	///申买量九
+	TSecurityFtdcVolumeType	BidVolume9;
+	///实际买总委托笔数九
+	TSecurityFtdcVolumeType	BidCount9;
+	///申买价十
+	TSecurityFtdcPriceType	BidPriceA;
+	///申买量十
+	TSecurityFtdcVolumeType	BidVolumeA;
+	///实际买总委托笔数十
+	TSecurityFtdcVolumeType	BidCountA;
+};
+
+///Level2行情申卖属性
+struct CSecurityFtdcL2OfferField
+{
+	///申卖价一
+	TSecurityFtdcPriceType	OfferPrice1;
+	///申卖量一
+	TSecurityFtdcVolumeType	OfferVolume1;
+	///实际卖总委托笔数一
+	TSecurityFtdcVolumeType	OfferCount1;
+	///申卖价二
+	TSecurityFtdcPriceType	OfferPrice2;
+	///申卖量二
+	TSecurityFtdcVolumeType	OfferVolume2;
+	///实际卖总委托笔数二
+	TSecurityFtdcVolumeType	OfferCount2;
+	///申卖价三
+	TSecurityFtdcPriceType	OfferPrice3;
+	///申卖量三
+	TSecurityFtdcVolumeType	OfferVolume3;
+	///实际卖总委托笔数三
+	TSecurityFtdcVolumeType	OfferCount3;
+	///申卖价四
+	TSecurityFtdcPriceType	OfferPrice4;
+	///申卖量四
+	TSecurityFtdcVolumeType	OfferVolume4;
+	///实际卖总委托笔数四
+	TSecurityFtdcVolumeType	OfferCount4;
+	///申卖价五
+	TSecurityFtdcPriceType	OfferPrice5;
+	///申卖量五
+	TSecurityFtdcVolumeType	OfferVolume5;
+	///实际卖总委托笔数五
+	TSecurityFtdcVolumeType	OfferCount5;
+	///申卖价六
+	TSecurityFtdcPriceType	OfferPrice6;
+	///申卖量六
+	TSecurityFtdcVolumeType	OfferVolume6;
+	///实际卖总委托笔数六
+	TSecurityFtdcVolumeType	OfferCount6;
+	///申卖价七
+	TSecurityFtdcPriceType	OfferPrice7;
+	///申卖量七
+	TSecurityFtdcVolumeType	OfferVolume7;
+	///实际卖总委托笔数七
+	TSecurityFtdcVolumeType	OfferCount7;
+	///申卖价八
+	TSecurityFtdcPriceType	OfferPrice8;
+	///申卖量八
+	TSecurityFtdcVolumeType	OfferVolume8;
+	///实际卖总委托笔数八
+	TSecurityFtdcVolumeType	OfferCount8;
+	///申卖价九
+	TSecurityFtdcPriceType	OfferPrice9;
+	///申卖量九
+	TSecurityFtdcVolumeType	OfferVolume9;
+	///实际卖总委托笔数九
+	TSecurityFtdcVolumeType	OfferCount9;
+	///申卖价十
+	TSecurityFtdcPriceType	OfferPriceA;
+	///申卖量十
+	TSecurityFtdcVolumeType	OfferVolumeA;
+	///实际卖总委托笔数十
+	TSecurityFtdcVolumeType	OfferCountA;
+};
+
+///Level2指数行情
+struct CSecurityFtdcL2IndexField
+{
+	///交易日
+	TSecurityFtdcDateType	TradingDay;
+	///行情时间（秒）
+	TSecurityFtdcTimeType	TimeStamp;
+	///交易所代码
+	TSecurityFtdcExchangeIDType	ExchangeID;
+	///指数代码
+	TSecurityFtdcInstrumentIDType	InstrumentID;
+	///前收盘指数
+	TSecurityFtdcIndexType	PreCloseIndex;
+	///今开盘指数
+	TSecurityFtdcIndexType	OpenIndex;
+	///今日收盘指数
+	TSecurityFtdcIndexType	CloseIndex;
+	///最高指数
+	TSecurityFtdcIndexType	HighIndex;
+	///最低指数
+	TSecurityFtdcIndexType	LowIndex;
+	///最新指数
+	TSecurityFtdcIndexType	LastIndex;
+	///参与计算相应指数的成交金额（元）
+	TSecurityFtdcMoneyType	TurnOver;
+	///参与计算相应指数的交易数量（手）
+	TSecurityFtdcLargeVolumeType	TotalVolume;
+};
+
+///Level2行情用户信息
+struct CSecurityFtdcL2UserInfoField
+{
+	///经纪公司代码
+	TSecurityFtdcBrokerIDType	BrokerID;
+	///用户代码
+	TSecurityFtdcUserIDType	UserID;
+	///用户名称
+	TSecurityFtdcUserNameType	UserName;
+	///密码
+	TSecurityFtdcPasswordType	Password;
+	///行情数据等级
+	TSecurityFtdcDataLevelType	DataLevel;
+};
+
+///UDP组播组信息
+struct CSecurityFtdcMulticastGroupInfoField
+{
+	///组播组IP地址
+	TSecurityFtdcIPAddressType	GroupIP;
+	///组播组IP端口
+	TSecurityFtdcIPPortType	GroupPort;
+	///源地址
+	TSecurityFtdcIPAddressType	SourceIP;
+};
+
+///Level2逐笔委托
+struct CSecurityFtdcL2OrderField
+{
+	///委托组
+	TSecurityFtdcGroupIDType	OrderGroupID;
+	///委托序号
+	TSecurityFtdcGroupNoType	OrderIndex;
+	///委托时间（秒）
+	TSecurityFtdcTimeType	OrderTime;
+	///交易所代码
+	TSecurityFtdcExchangeIDType	ExchangeID;
+	///合约代码
+	TSecurityFtdcInstrumentIDType	InstrumentID;
+	///委托价格
+	TSecurityFtdcPriceType	Price;
+	///委托数量
+	TSecurityFtdcVolumeType	Volume;
+	///报单类型
+	TSecurityFtdcOrderKindType	OrderKind;
+	///功能码
+	TSecurityFtdcFunctionCodeType	FunctionCode;
+};
+
+///Level2逐笔成交
+struct CSecurityFtdcL2TradeField
+{
+	///成交组
+	TSecurityFtdcGroupIDType	TradeGroupID;
+	///成交序号
+	TSecurityFtdcGroupNoType	TradeIndex;
+	///买方委托序号
+	TSecurityFtdcGroupNoType	BuyIndex;
+	///卖方委托序号
+	TSecurityFtdcGroupNoType	SellIndex;
+	///成交时间（秒）
+	TSecurityFtdcTimeType	TradeTime;
+	///交易所代码
+	TSecurityFtdcExchangeIDType	ExchangeID;
+	///合约代码
+	TSecurityFtdcInstrumentIDType	InstrumentID;
+	///成交价格
+	TSecurityFtdcPriceType	Price;
+	///成交数量
+	TSecurityFtdcVolumeType	Volume;
+	///报单类型
+	TSecurityFtdcOrderKindType	OrderKind;
+	///功能码
+	TSecurityFtdcFunctionCodeType	FunctionCode;
+};
+
+
+_LTS_NS_END_
+
+#endif

vn.lts/pyscript/l2/SecurityFtdcL2MDUserApi.h

@@ -0,0 +1,150 @@
+/////////////////////////////////////////////////////////////////////////
+///@company shanghai liber information Technology Co.,Ltd
+///@file SecurityFtdcL2MDUserApi.h
+///@brief 定义客户端接口
+/////////////////////////////////////////////////////////////////////////
+
+#if !defined(SECURITY_L2MD_FTDCUSERAPI_H)
+#define SECURITY_L2MD_FTDCUSERAPI_H
+
+#if _MSC_VER > 1000
+#pragma once
+#endif // _MSC_VER > 1000
+
+#include "SecurityFtdcL2MDUserApiStruct.h"
+
+_LTS_NS_BEGIN_
+#if defined(L2MD_USERAPI_IS_LIB) && defined(WINDOWS)
+#ifdef LIB_L2MD_USER_API_EXPORT
+#define L2MD_USER_API_EXPORT __declspec(dllexport)
+#else
+#define L2MD_USER_API_EXPORT __declspec(dllimport)
+#endif
+#else
+#define L2MD_USER_API_EXPORT 
+#endif
+
+class CSecurityFtdcL2MDUserSpi
+{
+public:
+	///当客户端与交易后台建立起通信连接时（还未登录前），该方法被调用。
+	virtual void OnFrontConnected(){};
+	
+	///当客户端与交易后台通信连接断开时，该方法被调用。当发生这个情况后，API会自动重新连接，客户端可不做处理。
+	///@param nReason 错误原因
+	///        0x1001 网络读失败
+	///        0x1002 网络写失败
+	///        0x2001 接收心跳超时
+	///        0x2002 发送心跳失败
+	///        0x2003 收到错误报文
+	virtual void OnFrontDisconnected(int nReason){};
+		
+	///心跳超时警告
+	virtual void OnHeartBeatWarning(int nTimeLapse){};
+
+	///错误应答
+	virtual void OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///登录请求响应
+	virtual void OnRspUserLogin(CSecurityFtdcUserLoginField *pUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///登出请求响应
+	virtual void OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///订阅Level2行情应答
+	virtual void OnRspSubL2MarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///取消订阅Level2行情应答
+	virtual void OnRspUnSubL2MarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///订阅Level2指数行情应答
+	virtual void OnRspSubL2Index(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///取消订阅Level2指数行情应答
+	virtual void OnRspUnSubL2Index(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///Level2行情通知
+	virtual void OnRtnL2MarketData(CSecurityFtdcL2MarketDataField *pL2MarketData) {};
+
+	///Level2指数行情通知
+	virtual void OnRtnL2Index(CSecurityFtdcL2IndexField *pL2Index) {};
+
+	///订阅逐笔委托及成交应答
+	virtual void OnRspSubL2OrderAndTrade(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///取消订阅逐笔委托及成交应答
+	virtual void OnRspUnSubL2OrderAndTrade(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
+
+	///Level2委托通知
+	virtual void OnRtnL2Order(CSecurityFtdcL2OrderField *pL2Order) {};
+
+	///Level2成交通知
+	virtual void OnRtnL2Trade(CSecurityFtdcL2TradeField *pL2Trade) {};
+
+	///通知清理SSE买卖一队列中数量为0的报单
+	virtual void OnNtfCheckOrderList(TSecurityFtdcInstrumentIDType InstrumentID, TSecurityFtdcFunctionCodeType FunctionCode) {};
+};
+
+#ifndef WINDOWS
+	#if __GNUC__ >= 4
+		#pragma GCC visibility push(default)
+	#endif
+#endif
+class L2MD_USER_API_EXPORT CSecurityFtdcL2MDUserApi
+{
+public:
+	///创建UserApi
+	static CSecurityFtdcL2MDUserApi *CreateFtdcL2MDUserApi(const bool bIsMulticast=false);
+	
+	///删除接口对象本身
+	///@remark 不再使用本接口对象时,调用该函数删除接口对象
+	virtual void Release() = 0;
+	
+	///初始化
+	///@remark 初始化运行环境,只有调用后,接口才开始工作
+	virtual void Init() = 0;
+	
+	///等待接口线程结束运行
+	virtual int Join() = 0;
+	
+	///获取当前交易日
+	///@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(CSecurityFtdcL2MDUserSpi *pSpi) = 0;
+	
+	virtual int SubscribeL2MarketData(char *ppInstrumentID[], int nCount, char* pExchageID) = 0;
+
+	virtual int UnSubscribeL2MarketData(char *ppInstrumentID[], int nCount, char* pExchageID) = 0;
+	
+	virtual int SubscribeL2Index(char *ppInstrumentID[], int nCount, char* pExchageID) = 0;
+
+	virtual int UnSubscribeL2Index(char *ppInstrumentID[], int nCount, char* pExchageID) = 0;	
+	
+	virtual int SubscribeL2OrderAndTrade() = 0;
+	
+	virtual int UnSubscribeL2OrderAndTrade() = 0;
+
+	///登录请求
+	virtual int ReqUserLogin(CSecurityFtdcUserLoginField *pUserLogin, int nRequestID) = 0;
+
+	///登出请求
+	virtual int ReqUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, int nRequestID) = 0;
+protected:
+	~CSecurityFtdcL2MDUserApi(){};
+};
+#ifndef WINDOWS
+	#if __GNUC__ >= 4
+		#pragma GCC visibility pop
+	#endif
+#endif
+_LTS_NS_END_
+#endif

vn.lts/pyscript/l2/SecurityFtdcL2MDUserApiDataType.h

@@ -0,0 +1,213 @@
+/////////////////////////////////////////////////////////////////////////
+///@company shanghai liber information Technology Co.,Ltd
+///@file SecurityFtdcL2MDUserApiDataType.h
+///@brief 定义业务数据类型
+/////////////////////////////////////////////////////////////////////////
+
+#ifndef SECURITY_L2MD_FTDCDATATYPE_H
+#define SECURITY_L2MD_FTDCDATATYPE_H
+
+#include "LTS_ns.h"
+
+_LTS_NS_BEGIN_
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcErrorIDType是一个错误代码类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcErrorIDType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcErrorMsgType是一个错误信息类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcErrorMsgType[81];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcBrokerIDType是一个经纪公司代码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcBrokerIDType[11];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcUserIDType是一个用户代码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcUserIDType[16];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcUserNameType是一个用户名称类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcUserNameType[81];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcPasswordType是一个密码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcPasswordType[41];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcExchangeIDType是一个交易所代码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcExchangeIDType[9];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcInstrumentIDType是一个合约代码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcInstrumentIDType[31];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcDateType是一个日期类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcDateType[9];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcTimeType是一个时间类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcTimeType[9];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcPriceType是一个价格类型
+/////////////////////////////////////////////////////////////////////////
+typedef double TSecurityFtdcPriceType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcVolumeType是一个数量类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcVolumeType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcLargeVolumeType是一个大额数量类型
+/////////////////////////////////////////////////////////////////////////
+typedef double TSecurityFtdcLargeVolumeType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcRatioType是一个比率类型
+/////////////////////////////////////////////////////////////////////////
+typedef double TSecurityFtdcRatioType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcMoneyType是一个资金类型
+/////////////////////////////////////////////////////////////////////////
+typedef double TSecurityFtdcMoneyType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcPriceLevelType是一个价格深度类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcPriceLevelType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcBoolType是一个布尔型类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcBoolType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcIndexType是一个指数类型
+/////////////////////////////////////////////////////////////////////////
+typedef double TSecurityFtdcIndexType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcDataLevelType是一个行情数据等级类型
+/////////////////////////////////////////////////////////////////////////
+///全量行情
+#define SECURITY_FTDC_DL_FULL '0'
+///L10行情
+#define SECURITY_FTDC_DL_L10 '1'
+///L5行情
+#define SECURITY_FTDC_DL_L5 '2'
+
+typedef char TSecurityFtdcDataLevelType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcIPAddressType是一个IP地址类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcIPAddressType[16];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcIPPortType是一个IP端口类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcIPPortType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcBeginStringType是一个step起始串类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcBeginStringType[17];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcBodyLengthType是一个消息体长度类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcBodyLengthType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcMsgTypeType是一个消息类型类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcMsgTypeType[9];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcSenderCompIDType是一个发送方代码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcSenderCompIDType[33];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcTargetCompIDType是一个接收方代码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcTargetCompIDType[33];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcMsgSeqNumType是一个头消息序号标签34类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcMsgSeqNumType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcSendingTimeType是一个发送时间类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcSendingTimeType[21];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcMessageEncodingType是一个消息中Encoded域的字符编码类型类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcMessageEncodingType[21];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcCheckSumType是一个校验和类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcCheckSumType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcEncryptMethodType是一个加密方法类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcEncryptMethodType[9];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcHeartBtIntType是一个心跳间隔类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcHeartBtIntType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcInterfaceVersionType是一个行情数据接口版本号类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcInterfaceVersionType[9];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcMsgSeqIDType是一个消息序号标签10072类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcMsgSeqIDType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcGroupIDType是一个组号类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcGroupIDType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcGroupNoType是一个组序类型
+/////////////////////////////////////////////////////////////////////////
+typedef int TSecurityFtdcGroupNoType;
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcOrderKindType是一个报单类型类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcOrderKindType[2];
+
+/////////////////////////////////////////////////////////////////////////
+///TFtdcFunctionCodeType是一个功能码类型
+/////////////////////////////////////////////////////////////////////////
+typedef char TSecurityFtdcFunctionCodeType[2];
+
+_LTS_NS_END_
+
+#endif

vn.lts/pyscript/l2/SecurityFtdcL2MDUserApiStruct.h

@@ -0,0 +1,786 @@
+/////////////////////////////////////////////////////////////////////////
+///@company shanghai liber information Technology Co.,Ltd
+///@file SecurityFtdcL2MDUserApiStruct.h
+///@brief 定义业务数据结构
+/////////////////////////////////////////////////////////////////////////
+
+#if !defined(SECURITY_L2MD_FTDCSTRUCT_H)
+#define SECURITY_L2MD_FTDCSTRUCT_H
+
+#if _MSC_VER > 1000
+#pragma once
+#endif // _MSC_VER > 1000
+
+#include "SecurityFtdcL2MDUserApiDataType.h"
+
+_LTS_NS_BEGIN_
+
+///响应信息
+struct CSecurityFtdcRspInfoField
+{
+	///错误代码
+	TSecurityFtdcErrorIDType	ErrorID;
+	///错误信息
+	TSecurityFtdcErrorMsgType	ErrorMsg;
+};
+
+///用户登录信息
+struct CSecurityFtdcUserLoginField
+{
+	///交易日
+	TSecurityFtdcDateType	TradingDay;
+	///经纪公司代码
+	TSecurityFtdcBrokerIDType	BrokerID;
+	///用户代码
+	TSecurityFtdcUserIDType	UserID;
+	///密码
+	TSecurityFtdcPasswordType	Password;
+	///行情数据等级
+	TSecurityFtdcDataLevelType	DataLevel;
+};
+
+///用户登出信息
+struct CSecurityFtdcUserLogoutField
+{
+	///经纪公司代码
+	TSecurityFtdcBrokerIDType	BrokerID;
+	///用户代码
+	TSecurityFtdcUserIDType	UserID;
+};
+
+///指定的合约
+struct CSecurityFtdcSpecificInstrumentField
+{
+	///合约代码
+	TSecurityFtdcInstrumentIDType	InstrumentID;
+	///交易所代码
+	TSecurityFtdcExchangeIDType	ExchangeID;
+};
+
+///Level2行情
+struct CSecurityFtdcL2MarketDataField
+{
+	///交易日
+	TSecurityFtdcDateType	TradingDay;
+	///时间戳
+	TSecurityFtdcTimeType	TimeStamp;
+	///交易所代码
+	TSecurityFtdcExchangeIDType	ExchangeID;
+	///合约代码
+	TSecurityFtdcInstrumentIDType	InstrumentID;
+	///昨收盘价
+	TSecurityFtdcPriceType	PreClosePrice;
+	///今开盘价
+	TSecurityFtdcPriceType	OpenPrice;
+	///收盘价
+	TSecurityFtdcPriceType	ClosePrice;
+	///净值估值
+	TSecurityFtdcPriceType	IOPV;
+	///到期收益率
+	TSecurityFtdcRatioType	YieldToMaturity;
+	///最高价
+	TSecurityFtdcPriceType	HighPrice;
+	///最低价
+	TSecurityFtdcPriceType	LowPrice;
+	///最新价
+	TSecurityFtdcPriceType	LastPrice;
+	///成交笔数
+	TSecurityFtdcVolumeType	TradeCount;
+	///成交总量
+	TSecurityFtdcLargeVolumeType	TotalTradeVolume;
+	///成交总金额
+	TSecurityFtdcMoneyType	TotalTradeValue;
+	///委托买入总量
+	TSecurityFtdcLargeVolumeType	TotalBidVolume;
+	///加权平均委买价
+	TSecurityFtdcPriceType	WeightedAvgBidPrice;
+	///债券加权平均委买价
+	TSecurityFtdcPriceType	AltWeightedAvgBidPrice;
+	///委托卖出总量
+	TSecurityFtdcLargeVolumeType	TotalOfferVolume;
+	///加权平均委卖价
+	TSecurityFtdcPriceType	WeightedAvgOfferPrice;
+	///债券加权平均委卖价格
+	TSecurityFtdcPriceType	AltWeightedAvgOfferPrice;
+	///买价深度
+	TSecurityFtdcPriceLevelType	BidPriceLevel;
+	///卖价深度
+	TSecurityFtdcPriceLevelType	OfferPriceLevel;
+	///申买价一
+	TSecurityFtdcPriceType	BidPrice1;
+	///申买量一
+	TSecurityFtdcVolumeType	BidVolume1;
+	///实际买总委托笔数一
+	TSecurityFtdcVolumeType	BidCount1;
+	///申买价二
+	TSecurityFtdcPriceType	BidPrice2;
+	///申买量二
+	TSecurityFtdcVolumeType	BidVolume2;
+	///实际买总委托笔数二
+	TSecurityFtdcVolumeType	BidCount2;
+	///申买价三
+	TSecurityFtdcPriceType	BidPrice3;
+	///申买量三
+	TSecurityFtdcVolumeType	BidVolume3;
+	///实际买总委托笔数三
+	TSecurityFtdcVolumeType	BidCount3;
+	///申买价四
+	TSecurityFtdcPriceType	BidPrice4;
+	///申买量四
+	TSecurityFtdcVolumeType	BidVolume4;
+	///实际买总委托笔数四
+	TSecurityFtdcVolumeType	BidCount4;
+	///申买价五
+	TSecurityFtdcPriceType	BidPrice5;
+	///申买量五
+	TSecurityFtdcVolumeType	BidVolume5;
+	///实际买总委托笔数五
+	TSecurityFtdcVolumeType	BidCount5;
+	///申买价六
+	TSecurityFtdcPriceType	BidPrice6;
+	///申买量六
+	TSecurityFtdcVolumeType	BidVolume6;
+	///实际买总委托笔数六
+	TSecurityFtdcVolumeType	BidCount6;
+	///申买价七
+	TSecurityFtdcPriceType	BidPrice7;
+	///申买量七
+	TSecurityFtdcVolumeType	BidVolume7;
+	///实际买总委托笔数七
+	TSecurityFtdcVolumeType	BidCount7;
+	///申买价八
+	TSecurityFtdcPriceType	BidPrice8;
+	///申买量八
+	TSecurityFtdcVolumeType	BidVolume8;
+	///实际买总委托笔数八
+	TSecurityFtdcVolumeType	BidCount8;
+	///申买价九
+	TSecurityFtdcPriceType	BidPrice9;
+	///申买量九
+	TSecurityFtdcVolumeType	BidVolume9;
+	///实际买总委托笔数九
+	TSecurityFtdcVolumeType	BidCount9;
+	///申买价十
+	TSecurityFtdcPriceType	BidPriceA;
+	///申买量十
+	TSecurityFtdcVolumeType	BidVolumeA;
+	///实际买总委托笔数十
+	TSecurityFtdcVolumeType	BidCountA;
+	///申卖价一
+	TSecurityFtdcPriceType	OfferPrice1;
+	///申卖量一
+	TSecurityFtdcVolumeType	OfferVolume1;
+	///实际卖总委托笔数一
+	TSecurityFtdcVolumeType	OfferCount1;
+	///申卖价二
+	TSecurityFtdcPriceType	OfferPrice2;
+	///申卖量二
+	TSecurityFtdcVolumeType	OfferVolume2;
+	///实际卖总委托笔数二
+	TSecurityFtdcVolumeType	OfferCount2;
+	///申卖价三
+	TSecurityFtdcPriceType	OfferPrice3;
+	///申卖量三
+	TSecurityFtdcVolumeType	OfferVolume3;
+	///实际卖总委托笔数三
+	TSecurityFtdcVolumeType	OfferCount3;
+	///申卖价四
+	TSecurityFtdcPriceType	OfferPrice4;
+	///申卖量四
+	TSecurityFtdcVolumeType	OfferVolume4;
+	///实际卖总委托笔数四
+	TSecurityFtdcVolumeType	OfferCount4;
+	///申卖价五
+	TSecurityFtdcPriceType	OfferPrice5;
+	///申卖量五
+	TSecurityFtdcVolumeType	OfferVolume5;
+	///实际卖总委托笔数五
+	TSecurityFtdcVolumeType	OfferCount5;
+	///申卖价六
+	TSecurityFtdcPriceType	OfferPrice6;
+	///申卖量六
+	TSecurityFtdcVolumeType	OfferVolume6;
+	///实际卖总委托笔数六
+	TSecurityFtdcVolumeType	OfferCount6;
+	///申卖价七
+	TSecurityFtdcPriceType	OfferPrice7;
+	///申卖量七
+	TSecurityFtdcVolumeType	OfferVolume7;
+	///实际卖总委托笔数七
+	TSecurityFtdcVolumeType	OfferCount7;
+	///申卖价八
+	TSecurityFtdcPriceType	OfferPrice8;
+	///申卖量八
+	TSecurityFtdcVolumeType	OfferVolume8;
+	///实际卖总委托笔数八
+	TSecurityFtdcVolumeType	OfferCount8;
+	///申卖价九
+	TSecurityFtdcPriceType	OfferPrice9;
+	///申卖量九
+	TSecurityFtdcVolumeType	OfferVolume9;
+	///实际卖总委托笔数九
+	TSecurityFtdcVolumeType	OfferCount9;
+	///申卖价十
+	TSecurityFtdcPriceType	OfferPriceA;
+	///申卖量十
+	TSecurityFtdcVolumeType	OfferVolumeA;
+	///实际卖总委托笔数十
+	TSecurityFtdcVolumeType	OfferCountA;
+};
+
+///Level2行情更新时间属性
+struct CSecurityFtdcL2UpdateTimeField
+{
+	///交易日
+	TSecurityFtdcDateType	TradingDay;
+	///时间戳
+	TSecurityFtdcTimeType	TimeStamp;
+	///交易所代码
+	TSecurityFtdcExchangeIDType	ExchangeID;
+	///合约代码
+	TSecurityFtdcInstrumentIDType	InstrumentID;
+};
+
+///Level2行情静态属性
+struct CSecurityFtdcL2StaticField
+{
+	///昨收盘价
+	TSecurityFtdcPriceType	PreClosePrice;
+	///今开盘价
+	TSecurityFtdcPriceType	OpenPrice;
+	///收盘价
+	TSecurityFtdcPriceType	ClosePrice;
+	///净值估值
+	TSecurityFtdcPriceType	IOPV;
+	///到期收益率
+	TSecurityFtdcRatioType	YieldToMaturity;
+};
+
+///Level2行情价格区间属性
+struct CSecurityFtdcL2PriceIntervalField
+{
+	///最高价
+	TSecurityFtdcPriceType	HighPrice;
+	///最低价
+	TSecurityFtdcPriceType	LowPrice;
+};
+
+///Level2行情基本信息
+struct CSecurityFtdcL2BaseField
+{
+	///最新价
+	TSecurityFtdcPriceType	LastPrice;
+};
+
+///Level2成交信息
+struct CSecurityFtdcL2TradedField
+{
+	///成交笔数
+	TSecurityFtdcVolumeType	TradeCount;
+	///成交总量
+	TSecurityFtdcLargeVolumeType	TotalTradeVolume;
+	///成交总金额
+	TSecurityFtdcMoneyType	TotalTradeValue;
+};
+
+///Level2行情数据属性
+struct CSecurityFtdcL2DataLevelField
+{
+	///价格
+	TSecurityFtdcPriceType	Price;
+	///数量
+	TSecurityFtdcVolumeType	Volume;
+	///实际总委托笔数
+	TSecurityFtdcVolumeType	Count;
+};
+
+///Level2委买信息
+struct CSecurityFtdcL2BidOrderField
+{
+	///委托买入总量
+	TSecurityFtdcLargeVolumeType	TotalBidVolume;
+	///加权平均委买价
+	TSecurityFtdcPriceType	WeightedAvgBidPrice;
+	///债券加权平均委买价
+	TSecurityFtdcPriceType	AltWeightedAvgBidPrice;
+};
+
+///Level2委卖信息
+struct CSecurityFtdcL2OfferOrderField
+{
+	///委托卖出总量
+	TSecurityFtdcLargeVolumeType	TotalOfferVolume;
+	///加权平均委卖价
+	TSecurityFtdcPriceType	WeightedAvgOfferPrice;
+	///债券加权平均委卖价格
+	TSecurityFtdcPriceType	AltWeightedAvgOfferPrice;
+};
+
+///Level2价格深度属性
+struct CSecurityFtdcL2PriceLevelField
+{
+	///买价深度
+	TSecurityFtdcPriceLevelType	BidPriceLevel;
+	///卖价深度
+	TSecurityFtdcPriceLevelType	OfferPriceLevel;
+};
+
+///Level2行情申买一属性
+struct CSecurityFtdcL2Bid1Field
+{
+	///申买价一
+	TSecurityFtdcPriceType	BidPrice1;
+	///申买量一
+	TSecurityFtdcVolumeType	BidVolume1;
+	///实际买总委托笔数一
+	TSecurityFtdcVolumeType	BidCount1;
+};
+
+///Level2行情申卖一属性
+struct CSecurityFtdcL2Offer1Field
+{
+	///申卖价一
+	TSecurityFtdcPriceType	OfferPrice1;
+	///申卖量一
+	TSecurityFtdcVolumeType	OfferVolume1;
+	///实际卖总委托笔数一
+	TSecurityFtdcVolumeType	OfferCount1;
+};
+
+///Level2行情申买二属性
+struct CSecurityFtdcL2Bid2Field
+{
+	///申买价二
+	TSecurityFtdcPriceType	BidPrice2;
+	///申买量二
+	TSecurityFtdcVolumeType	BidVolume2;
+	///实际买总委托笔数二
+	TSecurityFtdcVolumeType	BidCount2;
+};
+
+///Level2行情申卖二属性
+struct CSecurityFtdcL2Offer2Field
+{
+	///申卖价二
+	TSecurityFtdcPriceType	OfferPrice2;
+	///申卖量二
+	TSecurityFtdcVolumeType	OfferVolume2;
+	///实际卖总委托笔数二
+	TSecurityFtdcVolumeType	OfferCount2;
+};
+
+///Level2行情申买三属性
+struct CSecurityFtdcL2Bid3Field
+{
+	///申买价三
+	TSecurityFtdcPriceType	BidPrice3;
+	///申买量三
+	TSecurityFtdcVolumeType	BidVolume3;
+	///实际买总委托笔数三
+	TSecurityFtdcVolumeType	BidCount3;
+};
+
+///Level2行情申卖三属性
+struct CSecurityFtdcL2Offer3Field
+{
+	///申卖价三
+	TSecurityFtdcPriceType	OfferPrice3;
+	///申卖量三
+	TSecurityFtdcVolumeType	OfferVolume3;
+	///实际卖总委托笔数三
+	TSecurityFtdcVolumeType	OfferCount3;
+};
+
+///Level2行情申买四属性
+struct CSecurityFtdcL2Bid4Field
+{
+	///申买价四
+	TSecurityFtdcPriceType	BidPrice4;
+	///申买量四
+	TSecurityFtdcVolumeType	BidVolume4;
+	///实际买总委托笔数四
+	TSecurityFtdcVolumeType	BidCount4;
+};
+
+///Level2行情申卖四属性
+struct CSecurityFtdcL2Offer4Field
+{
+	///申卖价四
+	TSecurityFtdcPriceType	OfferPrice4;
+	///申卖量四
+	TSecurityFtdcVolumeType	OfferVolume4;
+	///实际卖总委托笔数四
+	TSecurityFtdcVolumeType	OfferCount4;
+};
+
+///Level2行情申买五属性
+struct CSecurityFtdcL2Bid5Field
+{
+	///申买价五
+	TSecurityFtdcPriceType	BidPrice5;
+	///申买量五
+	TSecurityFtdcVolumeType	BidVolume5;
+	///实际买总委托笔数五
+	TSecurityFtdcVolumeType	BidCount5;
+};
+
+///Level2行情申卖五属性
+struct CSecurityFtdcL2Offer5Field
+{
+	///申卖价五
+	TSecurityFtdcPriceType	OfferPrice5;
+	///申卖量五
+	TSecurityFtdcVolumeType	OfferVolume5;
+	///实际卖总委托笔数五
+	TSecurityFtdcVolumeType	OfferCount5;
+};
+
+///Level2行情申买六属性
+struct CSecurityFtdcL2Bid6Field
+{
+	///申买价六
+	TSecurityFtdcPriceType	BidPrice6;
+	///申买量六
+	TSecurityFtdcVolumeType	BidVolume6;
+	///实际买总委托笔数六
+	TSecurityFtdcVolumeType	BidCount6;
+};
+
+///Level2行情申卖六属性
+struct CSecurityFtdcL2Offer6Field
+{
+	///申卖价六
+	TSecurityFtdcPriceType	OfferPrice6;
+	///申卖量六
+	TSecurityFtdcVolumeType	OfferVolume6;
+	///实际卖总委托笔数六
+	TSecurityFtdcVolumeType	OfferCount6;
+};
+
+///Level2行情申买七属性
+struct CSecurityFtdcL2Bid7Field
+{
+	///申买价七
+	TSecurityFtdcPriceType	BidPrice7;
+	///申买量七
+	TSecurityFtdcVolumeType	BidVolume7;
+	///实际买总委托笔数七
+	TSecurityFtdcVolumeType	BidCount7;
+};
+
+///Level2行情申卖七属性
+struct CSecurityFtdcL2Offer7Field
+{
+	///申卖价七
+	TSecurityFtdcPriceType	OfferPrice7;
+	///申卖量七
+	TSecurityFtdcVolumeType	OfferVolume7;
+	///实际卖总委托笔数七
+	TSecurityFtdcVolumeType	OfferCount7;
+};
+
+///Level2行情申买八属性
+struct CSecurityFtdcL2Bid8Field
+{
+	///申买价八
+	TSecurityFtdcPriceType	BidPrice8;
+	///申买量八
+	TSecurityFtdcVolumeType	BidVolume8;
+	///实际买总委托笔数八
+	TSecurityFtdcVolumeType	BidCount8;
+};
+
+///Level2行情申卖八属性
+struct CSecurityFtdcL2Offer8Field
+{
+	///申卖价八
+	TSecurityFtdcPriceType	OfferPrice8;
+	///申卖量八
+	TSecurityFtdcVolumeType	OfferVolume8;
+	///实际卖总委托笔数八
+	TSecurityFtdcVolumeType	OfferCount8;
+};
+
+///Level2行情申买九属性
+struct CSecurityFtdcL2Bid9Field
+{
+	///申买价九
+	TSecurityFtdcPriceType	BidPrice9;
+	///申买量九
+	TSecurityFtdcVolumeType	BidVolume9;
+	///实际买总委托笔数九
+	TSecurityFtdcVolumeType	BidCount9;
+};
+
+///Level2行情申卖九属性
+struct CSecurityFtdcL2Offer9Field
+{
+	///申卖价九
+	TSecurityFtdcPriceType	OfferPrice9;
+	///申卖量九
+	TSecurityFtdcVolumeType	OfferVolume9;
+	///实际卖总委托笔数九
+	TSecurityFtdcVolumeType	OfferCount9;
+};
+
+///Level2行情申买十属性
+struct CSecurityFtdcL2BidAField
+{
+	///申买价十
+	TSecurityFtdcPriceType	BidPriceA;
+	///申买量十
+	TSecurityFtdcVolumeType	BidVolumeA;
+	///实际买总委托笔数十
+	TSecurityFtdcVolumeType	BidCountA;
+};
+
+///Level2行情申卖十属性
+struct CSecurityFtdcL2OfferAField
+{
+	///申卖价十
+	TSecurityFtdcPriceType	OfferPriceA;
+	///申卖量十
+	TSecurityFtdcVolumeType	OfferVolumeA;
+	///实际卖总委托笔数十
+	TSecurityFtdcVolumeType	OfferCountA;
+};
+
+///Level2行情申买属性
+struct CSecurityFtdcL2BidField
+{
+	///申买价一
+	TSecurityFtdcPriceType	BidPrice1;
+	///申买量一
+	TSecurityFtdcVolumeType	BidVolume1;
+	///实际买总委托笔数一
+	TSecurityFtdcVolumeType	BidCount1;
+	///申买价二
+	TSecurityFtdcPriceType	BidPrice2;
+	///申买量二
+	TSecurityFtdcVolumeType	BidVolume2;
+	///实际买总委托笔数二
+	TSecurityFtdcVolumeType	BidCount2;
+	///申买价三
+	TSecurityFtdcPriceType	BidPrice3;
+	///申买量三
+	TSecurityFtdcVolumeType	BidVolume3;
+	///实际买总委托笔数三
+	TSecurityFtdcVolumeType	BidCount3;
+	///申买价四
+	TSecurityFtdcPriceType	BidPrice4;
+	///申买量四
+	TSecurityFtdcVolumeType	BidVolume4;
+	///实际买总委托笔数四
+	TSecurityFtdcVolumeType	BidCount4;
+	///申买价五
+	TSecurityFtdcPriceType	BidPrice5;
+	///申买量五
+	TSecurityFtdcVolumeType	BidVolume5;
+	///实际买总委托笔数五
+	TSecurityFtdcVolumeType	BidCount5;
+	///申买价六
+	TSecurityFtdcPriceType	BidPrice6;
+	///申买量六
+	TSecurityFtdcVolumeType	BidVolume6;
+	///实际买总委托笔数六
+	TSecurityFtdcVolumeType	BidCount6;
+	///申买价七
+	TSecurityFtdcPriceType	BidPrice7;
+	///申买量七
+	TSecurityFtdcVolumeType	BidVolume7;
+	///实际买总委托笔数七
+	TSecurityFtdcVolumeType	BidCount7;
+	///申买价八
+	TSecurityFtdcPriceType	BidPrice8;
+	///申买量八
+	TSecurityFtdcVolumeType	BidVolume8;
+	///实际买总委托笔数八
+	TSecurityFtdcVolumeType	BidCount8;
+	///申买价九
+	TSecurityFtdcPriceType	BidPrice9;
+	///申买量九
+	TSecurityFtdcVolumeType	BidVolume9;
+	///实际买总委托笔数九
+	TSecurityFtdcVolumeType	BidCount9;
+	///申买价十
+	TSecurityFtdcPriceType	BidPriceA;
+	///申买量十
+	TSecurityFtdcVolumeType	BidVolumeA;
+	///实际买总委托笔数十
+	TSecurityFtdcVolumeType	BidCountA;
+};
+
+///Level2行情申卖属性
+struct CSecurityFtdcL2OfferField
+{
+	///申卖价一
+	TSecurityFtdcPriceType	OfferPrice1;
+	///申卖量一
+	TSecurityFtdcVolumeType	OfferVolume1;
+	///实际卖总委托笔数一
+	TSecurityFtdcVolumeType	OfferCount1;
+	///申卖价二
+	TSecurityFtdcPriceType	OfferPrice2;
+	///申卖量二
+	TSecurityFtdcVolumeType	OfferVolume2;
+	///实际卖总委托笔数二
+	TSecurityFtdcVolumeType	OfferCount2;
+	///申卖价三
+	TSecurityFtdcPriceType	OfferPrice3;
+	///申卖量三
+	TSecurityFtdcVolumeType	OfferVolume3;
+	///实际卖总委托笔数三
+	TSecurityFtdcVolumeType	OfferCount3;
+	///申卖价四
+	TSecurityFtdcPriceType	OfferPrice4;
+	///申卖量四
+	TSecurityFtdcVolumeType	OfferVolume4;
+	///实际卖总委托笔数四
+	TSecurityFtdcVolumeType	OfferCount4;
+	///申卖价五
+	TSecurityFtdcPriceType	OfferPrice5;
+	///申卖量五
+	TSecurityFtdcVolumeType	OfferVolume5;
+	///实际卖总委托笔数五
+	TSecurityFtdcVolumeType	OfferCount5;
+	///申卖价六
+	TSecurityFtdcPriceType	OfferPrice6;
+	///申卖量六
+	TSecurityFtdcVolumeType	OfferVolume6;
+	///实际卖总委托笔数六
+	TSecurityFtdcVolumeType	OfferCount6;
+	///申卖价七
+	TSecurityFtdcPriceType	OfferPrice7;
+	///申卖量七
+	TSecurityFtdcVolumeType	OfferVolume7;
+	///实际卖总委托笔数七
+	TSecurityFtdcVolumeType	OfferCount7;
+	///申卖价八
+	TSecurityFtdcPriceType	OfferPrice8;
+	///申卖量八
+	TSecurityFtdcVolumeType	OfferVolume8;
+	///实际卖总委托笔数八
+	TSecurityFtdcVolumeType	OfferCount8;
+	///申卖价九
+	TSecurityFtdcPriceType	OfferPrice9;
+	///申卖量九
+	TSecurityFtdcVolumeType	OfferVolume9;
+	///实际卖总委托笔数九
+	TSecurityFtdcVolumeType	OfferCount9;
+	///申卖价十
+	TSecurityFtdcPriceType	OfferPriceA;
+	///申卖量十
+	TSecurityFtdcVolumeType	OfferVolumeA;
+	///实际卖总委托笔数十
+	TSecurityFtdcVolumeType	OfferCountA;
+};
+
+///Level2指数行情
+struct CSecurityFtdcL2IndexField
+{
+	///交易日
+	TSecurityFtdcDateType	TradingDay;
+	///行情时间（秒）
+	TSecurityFtdcTimeType	TimeStamp;
+	///交易所代码
+	TSecurityFtdcExchangeIDType	ExchangeID;
+	///指数代码
+	TSecurityFtdcInstrumentIDType	InstrumentID;
+	///前收盘指数
+	TSecurityFtdcIndexType	PreCloseIndex;
+	///今开盘指数
+	TSecurityFtdcIndexType	OpenIndex;
+	///今日收盘指数
+	TSecurityFtdcIndexType	CloseIndex;
+	///最高指数
+	TSecurityFtdcIndexType	HighIndex;
+	///最低指数
+	TSecurityFtdcIndexType	LowIndex;
+	///最新指数
+	TSecurityFtdcIndexType	LastIndex;
+	///参与计算相应指数的成交金额（元）
+	TSecurityFtdcMoneyType	TurnOver;
+	///参与计算相应指数的交易数量（手）
+	TSecurityFtdcLargeVolumeType	TotalVolume;
+};
+
+///Level2行情用户信息
+struct CSecurityFtdcL2UserInfoField
+{
+	///经纪公司代码
+	TSecurityFtdcBrokerIDType	BrokerID;
+	///用户代码
+	TSecurityFtdcUserIDType	UserID;
+	///用户名称
+	TSecurityFtdcUserNameType	UserName;
+	///密码
+	TSecurityFtdcPasswordType	Password;
+	///行情数据等级
+	TSecurityFtdcDataLevelType	DataLevel;
+};
+
+///UDP组播组信息
+struct CSecurityFtdcMulticastGroupInfoField
+{
+	///组播组IP地址
+	TSecurityFtdcIPAddressType	GroupIP;
+	///组播组IP端口
+	TSecurityFtdcIPPortType	GroupPort;
+	///源地址
+	TSecurityFtdcIPAddressType	SourceIP;
+};
+
+///Level2逐笔委托
+struct CSecurityFtdcL2OrderField
+{
+	///委托组
+	TSecurityFtdcGroupIDType	OrderGroupID;
+	///委托序号
+	TSecurityFtdcGroupNoType	OrderIndex;
+	///委托时间（秒）
+	TSecurityFtdcTimeType	OrderTime;
+	///交易所代码
+	TSecurityFtdcExchangeIDType	ExchangeID;
+	///合约代码
+	TSecurityFtdcInstrumentIDType	InstrumentID;
+	///委托价格
+	TSecurityFtdcPriceType	Price;
+	///委托数量
+	TSecurityFtdcVolumeType	Volume;
+	///报单类型
+	TSecurityFtdcOrderKindType	OrderKind;
+	///功能码
+	TSecurityFtdcFunctionCodeType	FunctionCode;
+};
+
+///Level2逐笔成交
+struct CSecurityFtdcL2TradeField
+{
+	///成交组
+	TSecurityFtdcGroupIDType	TradeGroupID;
+	///成交序号
+	TSecurityFtdcGroupNoType	TradeIndex;
+	///买方委托序号
+	TSecurityFtdcGroupNoType	BuyIndex;
+	///卖方委托序号
+	TSecurityFtdcGroupNoType	SellIndex;
+	///成交时间（秒）
+	TSecurityFtdcTimeType	TradeTime;
+	///交易所代码
+	TSecurityFtdcExchangeIDType	ExchangeID;
+	///合约代码
+	TSecurityFtdcInstrumentIDType	InstrumentID;
+	///成交价格
+	TSecurityFtdcPriceType	Price;
+	///成交数量
+	TSecurityFtdcVolumeType	Volume;
+	///报单类型
+	TSecurityFtdcOrderKindType	OrderKind;
+	///功能码
+	TSecurityFtdcFunctionCodeType	FunctionCode;
+};
+
+
+_LTS_NS_END_
+
+#endif

vn.lts/pyscript/l2/generate_data_type.py

@@ -0,0 +1,98 @@
+# encoding: UTF-8
+
+__author__ = 'CHENXY'
+
+# C++和python类型的映射字典
+type_dict = {
+    'int': 'int',
+    'char': 'string',
+    'double': 'float',
+    'short': 'int'
+}
+
+
+def process_line(line):
+    """处理每行"""
+    if '///' in line:           # 注释
+        py_line = process_comment(line)
+    elif 'typedef' in line:     # 类型申明
+        py_line = process_typedef(line)
+    elif '#define' in line:     # 定义常量
+        py_line = process_define(line)
+    elif line == '\n':          # 空行
+        py_line = line
+    else:
+        py_line = ''
+
+    return py_line
+
+
+def process_comment(line):
+    """处理注释"""
+    # if line[3] == '/':
+    #     py_line = ''
+    # else:
+    #     py_line = '#' + line[3:]
+    py_line = '#' + line[3:]
+    return py_line
+
+
+def process_typedef(line):
+    """处理类型申明"""
+    content = line.split(' ')
+    type_ = type_dict[content[1]]
+
+    keyword = content[2]
+    if '[' in keyword:
+        i = keyword.index('[')
+        keyword = keyword[:i]
+    else:
+        keyword = keyword.replace(';\n', '')  # 删除行末分号
+
+    py_line = 'typedefDict["%s"] = "%s"\n' % (keyword, type_)
+
+    return py_line
+
+
+def process_define(line):
+    """处理定义常量"""
+    content = line.split(' ')
+    constant = content[1]
+
+    if len(content)>2:
+        value = content[-1]
+        py_line = 'defineDict["%s"] = %s' % (constant, value)
+    else:
+        py_line = ''
+
+    return py_line
+
+
+def main():
+    """主函数"""
+    try:
+        fcpp = open('SecurityFtdcL2MDUserApiDataType.h','r')
+        fpy = open('l2_data_type.py', 'w')
+
+        fpy.write('# encoding: UTF-8\n')
+        fpy.write('\n')
+        fpy.write('defineDict = {}\n')
+        fpy.write('typedefDict = {}\n')
+        fpy.write('\n')
+
+        for line in fcpp:
+            py_line = process_line(line)
+            if py_line:
+                fpy.write(py_line.decode('gbk').encode('utf-8'))
+
+        fcpp.close()
+        fpy.close()
+
+        print u'data_type.py生成过程完成'
+    except:
+        print u'data_type.py生成过程出错'
+
+
+if __name__ == '__main__':
+    main()
+

vn.lts/pyscript/l2/generate_l2_functions.py

@@ -0,0 +1,291 @@
+# encoding: UTF-8
+
+__author__ = 'CHENXY'
+
+from string import join
+from l2_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('\t PyLock lock;\n')
+        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 = 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\ttask.task_error = " + cbArgsValueList[i] + ";\n")
+            ftask.write("\t}\n")
+            ftask.write("\telse\n")
+            ftask.write("\t{\n")
+            ftask.write("\t\tCSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();\n")
+            ftask.write("\t\tmemset(&empty_error, 0, sizeof(empty_error));\n")
+            ftask.write("\t\ttask.task_error = empty_error;\n")
+            ftask.write("\t}\n")
+        else:
+            ftask.write("\n")
+            ftask.write("\tif (" + cbArgsValueList[i][1:] + ")\n")
+            ftask.write("\t{\n")
+            ftask.write("\t\ttask.task_data = " + cbArgsValueList[i] + ";\n")
+            ftask.write("\t}\n")
+            ftask.write("\telse\n")
+            ftask.write("\t{\n")
+            ftask.write("\t\t" + type_ + " empty_data = " + type_ + "();\n")
+            ftask.write("\t\tmemset(&empty_data, 0, sizeof(empty_data));\n")
+            ftask.write("\t\ttask.task_data = empty_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")
+
+    onArgsList = []
+
+    for i, type_ in enumerate(cbArgsTypeList):
+        if 'RspInfoField' in type_:
+            fprocess.write("\t"+ type_ + ' task_error = any_cast<' + type_ + '>(task.task_error);\n')
+            fprocess.write("\t"+ "dict error;\n")
+
+            struct = structDict[type_]
+            for key in struct.keys():
+                fprocess.write("\t"+ 'error["' + key + '"] = task_error.' + key + ';\n')
+
+            fprocess.write("\n")
+
+            onArgsList.append('error')
+
+        elif type_ in structDict:
+            fprocess.write("\t"+ type_ + ' task_data = any_cast<' + type_ + '>(task.task_data);\n')
+            fprocess.write("\t"+ "dict data;\n")
+
+            struct = structDict[type_]
+            for key in struct.keys():
+                fprocess.write("\t"+ 'data["' + key + '"] = task_data.' + key + ';\n')
+
+            fprocess.write("\n")
+
+            onArgsList.append('data')
+
+        elif type_ == 'bool':
+            onArgsList.append('task.task_last')
+
+        elif type_ == 'int':
+            onArgsList.append('task.task_id')
+
+    onArgs = join(onArgsList, ', ')
+    fprocess.write('\tthis->' + cbName.replace('On', 'on') + '(' + onArgs +');\n')
+
+    fprocess.write("};\n")
+    fprocess.write("\n")
+
+
+def processFunction(line):
+    line = line.replace('\tvirtual int ', '')       # 删除行首的无效内容
+    line = line.replace(') = 0;\n', '')                # 删除行尾的无效内容
+
+    content = line.split('(')
+    fcName = content[0]                             # 回调函数名称
+
+    fcArgs = content[1]                             # 回调函数参数
+    fcArgs = fcArgs.replace(')', '')
+
+    fcArgsList = fcArgs.split(', ')                 # 将每个参数转化为列表
+
+    fcArgsTypeList = []
+    fcArgsValueList = []
+
+    for arg in fcArgsList:                          # 开始处理参数
+        content = arg.split(' ')
+        if len(content) > 1:
+            fcArgsTypeList.append(content[0])           # 参数类型列表
+            fcArgsValueList.append(content[1])          # 参数数据列表
+
+    if len(fcArgsTypeList)>0 and fcArgsTypeList[0] in structDict:
+        createFunction(fcName, fcArgsTypeList, fcArgsValueList)
+        
+    # 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 = '\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('SecurityFtdcL2MDUserApi.h', 'r')
+ftask = open('lts_l2_task.cpp', 'w')
+fprocess = open('lts_l2_process.cpp', 'w')
+ffunction = open('lts_l2_function.cpp', 'w')
+fdefine = open('lts_l2_define.cpp', 'w')
+fswitch = open('lts_l2_switch.cpp', 'w')
+fheaderprocess = open('lts_l2_header_process.h', 'w')
+fheaderon = open('lts_l2_header_on.h', 'w')
+fheaderfunction = open('lts_l2_header_function.h', 'w')
+fwrap = open('lts_l2_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()

vn.lts/pyscript/l2/generate_struct.py

@@ -0,0 +1,56 @@
+# encoding: UTF-8
+
+__author__ = 'CHENXY'
+
+from l2_data_type import *
+
+def main():
+    """主函数"""
+    fcpp = open('SecurityFtdcL2MDUserApiStruct.h', 'r')
+    fpy = open('l2_struct.py', 'w')
+
+    fpy.write('# encoding: UTF-8\n')
+    fpy.write('\n')
+    fpy.write('structDict = {}\n')
+    fpy.write('\n')
+
+    for line in fcpp:
+        # 结构体申明注释
+        if '///' in line and '\t' not in line:
+            py_line = '#' + line[3:]
+
+        # 结构体变量注释
+        elif '\t///' in line:
+            py_line = '#' + line[4:]
+
+        # 结构体申明
+        elif 'struct' in line:
+            content = line.split(' ')
+            name = content[1].replace('\n','')
+            py_line = '%s = {}\n' % name
+
+        # 结构体变量
+        elif '\t' in line:
+            content = line.split('\t')
+            typedef = content[1]
+            type_ = typedefDict[typedef]
+            variable = content[2].replace(';\n', "")
+            py_line = '%s["%s"] = "%s"\n' % (name, variable, type_)
+
+        # 结构体结束
+        elif '}' in line:
+            py_line = "structDict['%s'] = %s\n\n" % (name, name)
+
+        # 结构体开始
+        elif '{' in line:
+            py_line = ''
+
+        # 其他
+        else:
+            py_line = '\n'
+
+        fpy.write(py_line.decode('gbk').encode('utf-8'))
+
+
+if __name__ == '__main__':
+    main()

vn.lts/pyscript/l2/l2_data_type.py

@@ -0,0 +1,212 @@
+# encoding: UTF-8
+
+defineDict = {}
+typedefDict = {}
+
+#//////////////////////////////////////////////////////////////////////
+#@company shanghai liber information Technology Co.,Ltd
+#@file SecurityFtdcL2MDUserApiDataType.h
+#@brief 定义业务数据类型
+#//////////////////////////////////////////////////////////////////////
+
+
+
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcErrorIDType是一个错误代码类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcErrorIDType"] = "int"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcErrorMsgType是一个错误信息类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcErrorMsgType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcBrokerIDType是一个经纪公司代码类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcBrokerIDType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcUserIDType是一个用户代码类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcUserIDType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcUserNameType是一个用户名称类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcUserNameType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcPasswordType是一个密码类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcPasswordType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcExchangeIDType是一个交易所代码类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcExchangeIDType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcInstrumentIDType是一个合约代码类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcInstrumentIDType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcDateType是一个日期类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcDateType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcTimeType是一个时间类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcTimeType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcPriceType是一个价格类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcPriceType"] = "float"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcVolumeType是一个数量类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcVolumeType"] = "int"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcLargeVolumeType是一个大额数量类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcLargeVolumeType"] = "float"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcRatioType是一个比率类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcRatioType"] = "float"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcMoneyType是一个资金类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcMoneyType"] = "float"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcPriceLevelType是一个价格深度类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcPriceLevelType"] = "int"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcBoolType是一个布尔型类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcBoolType"] = "int"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcIndexType是一个指数类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcIndexType"] = "float"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcDataLevelType是一个行情数据等级类型
+#//////////////////////////////////////////////////////////////////////
+#全量行情
+defineDict["SECURITY_FTDC_DL_FULL"] = '0'
+#L10行情
+defineDict["SECURITY_FTDC_DL_L10"] = '1'
+#L5行情
+defineDict["SECURITY_FTDC_DL_L5"] = '2'
+
+typedefDict["TSecurityFtdcDataLevelType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcIPAddressType是一个IP地址类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcIPAddressType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcIPPortType是一个IP端口类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcIPPortType"] = "int"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcBeginStringType是一个step起始串类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcBeginStringType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcBodyLengthType是一个消息体长度类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcBodyLengthType"] = "int"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcMsgTypeType是一个消息类型类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcMsgTypeType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcSenderCompIDType是一个发送方代码类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcSenderCompIDType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcTargetCompIDType是一个接收方代码类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcTargetCompIDType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcMsgSeqNumType是一个头消息序号标签34类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcMsgSeqNumType"] = "int"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcSendingTimeType是一个发送时间类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcSendingTimeType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcMessageEncodingType是一个消息中Encoded域的字符编码类型类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcMessageEncodingType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcCheckSumType是一个校验和类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcCheckSumType"] = "int"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcEncryptMethodType是一个加密方法类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcEncryptMethodType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcHeartBtIntType是一个心跳间隔类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcHeartBtIntType"] = "int"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcInterfaceVersionType是一个行情数据接口版本号类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcInterfaceVersionType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcMsgSeqIDType是一个消息序号标签10072类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcMsgSeqIDType"] = "int"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcGroupIDType是一个组号类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcGroupIDType"] = "int"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcGroupNoType是一个组序类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcGroupNoType"] = "int"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcOrderKindType是一个报单类型类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcOrderKindType"] = "string"
+
+#//////////////////////////////////////////////////////////////////////
+#TFtdcFunctionCodeType是一个功能码类型
+#//////////////////////////////////////////////////////////////////////
+typedefDict["TSecurityFtdcFunctionCodeType"] = "string"
+
+

vn.lts/pyscript/l2/l2_struct.py

@@ -0,0 +1,790 @@
+# encoding: UTF-8
+
+structDict = {}
+
+#//////////////////////////////////////////////////////////////////////
+#@company shanghai liber information Technology Co.,Ltd
+#@file SecurityFtdcL2MDUserApiStruct.h
+#@brief 定义业务数据结构
+#//////////////////////////////////////////////////////////////////////
+
+
+
+
+
+
+
+
+
+
+
+
+#响应信息
+CSecurityFtdcRspInfoField = {}
+#错误代码
+CSecurityFtdcRspInfoField["ErrorID"] = "int"
+#错误信息
+CSecurityFtdcRspInfoField["ErrorMsg"] = "string"
+structDict['CSecurityFtdcRspInfoField'] = CSecurityFtdcRspInfoField
+
+
+#用户登录信息
+CSecurityFtdcUserLoginField = {}
+#交易日
+CSecurityFtdcUserLoginField["TradingDay"] = "string"
+#经纪公司代码
+CSecurityFtdcUserLoginField["BrokerID"] = "string"
+#用户代码
+CSecurityFtdcUserLoginField["UserID"] = "string"
+#密码
+CSecurityFtdcUserLoginField["Password"] = "string"
+#行情数据等级
+CSecurityFtdcUserLoginField["DataLevel"] = "string"
+structDict['CSecurityFtdcUserLoginField'] = CSecurityFtdcUserLoginField
+
+
+#用户登出信息
+CSecurityFtdcUserLogoutField = {}
+#经纪公司代码
+CSecurityFtdcUserLogoutField["BrokerID"] = "string"
+#用户代码
+CSecurityFtdcUserLogoutField["UserID"] = "string"
+structDict['CSecurityFtdcUserLogoutField'] = CSecurityFtdcUserLogoutField
+
+
+#指定的合约
+CSecurityFtdcSpecificInstrumentField = {}
+#合约代码
+CSecurityFtdcSpecificInstrumentField["InstrumentID"] = "string"
+#交易所代码
+CSecurityFtdcSpecificInstrumentField["ExchangeID"] = "string"
+structDict['CSecurityFtdcSpecificInstrumentField'] = CSecurityFtdcSpecificInstrumentField
+
+
+#Level2行情
+CSecurityFtdcL2MarketDataField = {}
+#交易日
+CSecurityFtdcL2MarketDataField["TradingDay"] = "string"
+#时间戳
+CSecurityFtdcL2MarketDataField["TimeStamp"] = "string"
+#交易所代码
+CSecurityFtdcL2MarketDataField["ExchangeID"] = "string"
+#合约代码
+CSecurityFtdcL2MarketDataField["InstrumentID"] = "string"
+#昨收盘价
+CSecurityFtdcL2MarketDataField["PreClosePrice"] = "float"
+#今开盘价
+CSecurityFtdcL2MarketDataField["OpenPrice"] = "float"
+#收盘价
+CSecurityFtdcL2MarketDataField["ClosePrice"] = "float"
+#净值估值
+CSecurityFtdcL2MarketDataField["IOPV"] = "float"
+#到期收益率
+CSecurityFtdcL2MarketDataField["YieldToMaturity"] = "float"
+#最高价
+CSecurityFtdcL2MarketDataField["HighPrice"] = "float"
+#最低价
+CSecurityFtdcL2MarketDataField["LowPrice"] = "float"
+#最新价
+CSecurityFtdcL2MarketDataField["LastPrice"] = "float"
+#成交笔数
+CSecurityFtdcL2MarketDataField["TradeCount"] = "int"
+#成交总量
+CSecurityFtdcL2MarketDataField["TotalTradeVolume"] = "float"
+#成交总金额
+CSecurityFtdcL2MarketDataField["TotalTradeValue"] = "float"
+#委托买入总量
+CSecurityFtdcL2MarketDataField["TotalBidVolume"] = "float"
+#加权平均委买价
+CSecurityFtdcL2MarketDataField["WeightedAvgBidPrice"] = "float"
+#债券加权平均委买价
+CSecurityFtdcL2MarketDataField["AltWeightedAvgBidPrice"] = "float"
+#委托卖出总量
+CSecurityFtdcL2MarketDataField["TotalOfferVolume"] = "float"
+#加权平均委卖价
+CSecurityFtdcL2MarketDataField["WeightedAvgOfferPrice"] = "float"
+#债券加权平均委卖价格
+CSecurityFtdcL2MarketDataField["AltWeightedAvgOfferPrice"] = "float"
+#买价深度
+CSecurityFtdcL2MarketDataField["BidPriceLevel"] = "int"
+#卖价深度
+CSecurityFtdcL2MarketDataField["OfferPriceLevel"] = "int"
+#申买价一
+CSecurityFtdcL2MarketDataField["BidPrice1"] = "float"
+#申买量一
+CSecurityFtdcL2MarketDataField["BidVolume1"] = "int"
+#实际买总委托笔数一
+CSecurityFtdcL2MarketDataField["BidCount1"] = "int"
+#申买价二
+CSecurityFtdcL2MarketDataField["BidPrice2"] = "float"
+#申买量二
+CSecurityFtdcL2MarketDataField["BidVolume2"] = "int"
+#实际买总委托笔数二
+CSecurityFtdcL2MarketDataField["BidCount2"] = "int"
+#申买价三
+CSecurityFtdcL2MarketDataField["BidPrice3"] = "float"
+#申买量三
+CSecurityFtdcL2MarketDataField["BidVolume3"] = "int"
+#实际买总委托笔数三
+CSecurityFtdcL2MarketDataField["BidCount3"] = "int"
+#申买价四
+CSecurityFtdcL2MarketDataField["BidPrice4"] = "float"
+#申买量四
+CSecurityFtdcL2MarketDataField["BidVolume4"] = "int"
+#实际买总委托笔数四
+CSecurityFtdcL2MarketDataField["BidCount4"] = "int"
+#申买价五
+CSecurityFtdcL2MarketDataField["BidPrice5"] = "float"
+#申买量五
+CSecurityFtdcL2MarketDataField["BidVolume5"] = "int"
+#实际买总委托笔数五
+CSecurityFtdcL2MarketDataField["BidCount5"] = "int"
+#申买价六
+CSecurityFtdcL2MarketDataField["BidPrice6"] = "float"
+#申买量六
+CSecurityFtdcL2MarketDataField["BidVolume6"] = "int"
+#实际买总委托笔数六
+CSecurityFtdcL2MarketDataField["BidCount6"] = "int"
+#申买价七
+CSecurityFtdcL2MarketDataField["BidPrice7"] = "float"
+#申买量七
+CSecurityFtdcL2MarketDataField["BidVolume7"] = "int"
+#实际买总委托笔数七
+CSecurityFtdcL2MarketDataField["BidCount7"] = "int"
+#申买价八
+CSecurityFtdcL2MarketDataField["BidPrice8"] = "float"
+#申买量八
+CSecurityFtdcL2MarketDataField["BidVolume8"] = "int"
+#实际买总委托笔数八
+CSecurityFtdcL2MarketDataField["BidCount8"] = "int"
+#申买价九
+CSecurityFtdcL2MarketDataField["BidPrice9"] = "float"
+#申买量九
+CSecurityFtdcL2MarketDataField["BidVolume9"] = "int"
+#实际买总委托笔数九
+CSecurityFtdcL2MarketDataField["BidCount9"] = "int"
+#申买价十
+CSecurityFtdcL2MarketDataField["BidPriceA"] = "float"
+#申买量十
+CSecurityFtdcL2MarketDataField["BidVolumeA"] = "int"
+#实际买总委托笔数十
+CSecurityFtdcL2MarketDataField["BidCountA"] = "int"
+#申卖价一
+CSecurityFtdcL2MarketDataField["OfferPrice1"] = "float"
+#申卖量一
+CSecurityFtdcL2MarketDataField["OfferVolume1"] = "int"
+#实际卖总委托笔数一
+CSecurityFtdcL2MarketDataField["OfferCount1"] = "int"
+#申卖价二
+CSecurityFtdcL2MarketDataField["OfferPrice2"] = "float"
+#申卖量二
+CSecurityFtdcL2MarketDataField["OfferVolume2"] = "int"
+#实际卖总委托笔数二
+CSecurityFtdcL2MarketDataField["OfferCount2"] = "int"
+#申卖价三
+CSecurityFtdcL2MarketDataField["OfferPrice3"] = "float"
+#申卖量三
+CSecurityFtdcL2MarketDataField["OfferVolume3"] = "int"
+#实际卖总委托笔数三
+CSecurityFtdcL2MarketDataField["OfferCount3"] = "int"
+#申卖价四
+CSecurityFtdcL2MarketDataField["OfferPrice4"] = "float"
+#申卖量四
+CSecurityFtdcL2MarketDataField["OfferVolume4"] = "int"
+#实际卖总委托笔数四
+CSecurityFtdcL2MarketDataField["OfferCount4"] = "int"
+#申卖价五
+CSecurityFtdcL2MarketDataField["OfferPrice5"] = "float"
+#申卖量五
+CSecurityFtdcL2MarketDataField["OfferVolume5"] = "int"
+#实际卖总委托笔数五
+CSecurityFtdcL2MarketDataField["OfferCount5"] = "int"
+#申卖价六
+CSecurityFtdcL2MarketDataField["OfferPrice6"] = "float"
+#申卖量六
+CSecurityFtdcL2MarketDataField["OfferVolume6"] = "int"
+#实际卖总委托笔数六
+CSecurityFtdcL2MarketDataField["OfferCount6"] = "int"
+#申卖价七
+CSecurityFtdcL2MarketDataField["OfferPrice7"] = "float"
+#申卖量七
+CSecurityFtdcL2MarketDataField["OfferVolume7"] = "int"
+#实际卖总委托笔数七
+CSecurityFtdcL2MarketDataField["OfferCount7"] = "int"
+#申卖价八
+CSecurityFtdcL2MarketDataField["OfferPrice8"] = "float"
+#申卖量八
+CSecurityFtdcL2MarketDataField["OfferVolume8"] = "int"
+#实际卖总委托笔数八
+CSecurityFtdcL2MarketDataField["OfferCount8"] = "int"
+#申卖价九
+CSecurityFtdcL2MarketDataField["OfferPrice9"] = "float"
+#申卖量九
+CSecurityFtdcL2MarketDataField["OfferVolume9"] = "int"
+#实际卖总委托笔数九
+CSecurityFtdcL2MarketDataField["OfferCount9"] = "int"
+#申卖价十
+CSecurityFtdcL2MarketDataField["OfferPriceA"] = "float"
+#申卖量十
+CSecurityFtdcL2MarketDataField["OfferVolumeA"] = "int"
+#实际卖总委托笔数十
+CSecurityFtdcL2MarketDataField["OfferCountA"] = "int"
+structDict['CSecurityFtdcL2MarketDataField'] = CSecurityFtdcL2MarketDataField
+
+
+#Level2行情更新时间属性
+CSecurityFtdcL2UpdateTimeField = {}
+#交易日
+CSecurityFtdcL2UpdateTimeField["TradingDay"] = "string"
+#时间戳
+CSecurityFtdcL2UpdateTimeField["TimeStamp"] = "string"
+#交易所代码
+CSecurityFtdcL2UpdateTimeField["ExchangeID"] = "string"
+#合约代码
+CSecurityFtdcL2UpdateTimeField["InstrumentID"] = "string"
+structDict['CSecurityFtdcL2UpdateTimeField'] = CSecurityFtdcL2UpdateTimeField
+
+
+#Level2行情静态属性
+CSecurityFtdcL2StaticField = {}
+#昨收盘价
+CSecurityFtdcL2StaticField["PreClosePrice"] = "float"
+#今开盘价
+CSecurityFtdcL2StaticField["OpenPrice"] = "float"
+#收盘价
+CSecurityFtdcL2StaticField["ClosePrice"] = "float"
+#净值估值
+CSecurityFtdcL2StaticField["IOPV"] = "float"
+#到期收益率
+CSecurityFtdcL2StaticField["YieldToMaturity"] = "float"
+structDict['CSecurityFtdcL2StaticField'] = CSecurityFtdcL2StaticField
+
+
+#Level2行情价格区间属性
+CSecurityFtdcL2PriceIntervalField = {}
+#最高价
+CSecurityFtdcL2PriceIntervalField["HighPrice"] = "float"
+#最低价
+CSecurityFtdcL2PriceIntervalField["LowPrice"] = "float"
+structDict['CSecurityFtdcL2PriceIntervalField'] = CSecurityFtdcL2PriceIntervalField
+
+
+#Level2行情基本信息
+CSecurityFtdcL2BaseField = {}
+#最新价
+CSecurityFtdcL2BaseField["LastPrice"] = "float"
+structDict['CSecurityFtdcL2BaseField'] = CSecurityFtdcL2BaseField
+
+
+#Level2成交信息
+CSecurityFtdcL2TradedField = {}
+#成交笔数
+CSecurityFtdcL2TradedField["TradeCount"] = "int"
+#成交总量
+CSecurityFtdcL2TradedField["TotalTradeVolume"] = "float"
+#成交总金额
+CSecurityFtdcL2TradedField["TotalTradeValue"] = "float"
+structDict['CSecurityFtdcL2TradedField'] = CSecurityFtdcL2TradedField
+
+
+#Level2行情数据属性
+CSecurityFtdcL2DataLevelField = {}
+#价格
+CSecurityFtdcL2DataLevelField["Price"] = "float"
+#数量
+CSecurityFtdcL2DataLevelField["Volume"] = "int"
+#实际总委托笔数
+CSecurityFtdcL2DataLevelField["Count"] = "int"
+structDict['CSecurityFtdcL2DataLevelField'] = CSecurityFtdcL2DataLevelField
+
+
+#Level2委买信息
+CSecurityFtdcL2BidOrderField = {}
+#委托买入总量
+CSecurityFtdcL2BidOrderField["TotalBidVolume"] = "float"
+#加权平均委买价
+CSecurityFtdcL2BidOrderField["WeightedAvgBidPrice"] = "float"
+#债券加权平均委买价
+CSecurityFtdcL2BidOrderField["AltWeightedAvgBidPrice"] = "float"
+structDict['CSecurityFtdcL2BidOrderField'] = CSecurityFtdcL2BidOrderField
+
+
+#Level2委卖信息
+CSecurityFtdcL2OfferOrderField = {}
+#委托卖出总量
+CSecurityFtdcL2OfferOrderField["TotalOfferVolume"] = "float"
+#加权平均委卖价
+CSecurityFtdcL2OfferOrderField["WeightedAvgOfferPrice"] = "float"
+#债券加权平均委卖价格
+CSecurityFtdcL2OfferOrderField["AltWeightedAvgOfferPrice"] = "float"
+structDict['CSecurityFtdcL2OfferOrderField'] = CSecurityFtdcL2OfferOrderField
+
+
+#Level2价格深度属性
+CSecurityFtdcL2PriceLevelField = {}
+#买价深度
+CSecurityFtdcL2PriceLevelField["BidPriceLevel"] = "int"
+#卖价深度
+CSecurityFtdcL2PriceLevelField["OfferPriceLevel"] = "int"
+structDict['CSecurityFtdcL2PriceLevelField'] = CSecurityFtdcL2PriceLevelField
+
+
+#Level2行情申买一属性
+CSecurityFtdcL2Bid1Field = {}
+#申买价一
+CSecurityFtdcL2Bid1Field["BidPrice1"] = "float"
+#申买量一
+CSecurityFtdcL2Bid1Field["BidVolume1"] = "int"
+#实际买总委托笔数一
+CSecurityFtdcL2Bid1Field["BidCount1"] = "int"
+structDict['CSecurityFtdcL2Bid1Field'] = CSecurityFtdcL2Bid1Field
+
+
+#Level2行情申卖一属性
+CSecurityFtdcL2Offer1Field = {}
+#申卖价一
+CSecurityFtdcL2Offer1Field["OfferPrice1"] = "float"
+#申卖量一
+CSecurityFtdcL2Offer1Field["OfferVolume1"] = "int"
+#实际卖总委托笔数一
+CSecurityFtdcL2Offer1Field["OfferCount1"] = "int"
+structDict['CSecurityFtdcL2Offer1Field'] = CSecurityFtdcL2Offer1Field
+
+
+#Level2行情申买二属性
+CSecurityFtdcL2Bid2Field = {}
+#申买价二
+CSecurityFtdcL2Bid2Field["BidPrice2"] = "float"
+#申买量二
+CSecurityFtdcL2Bid2Field["BidVolume2"] = "int"
+#实际买总委托笔数二
+CSecurityFtdcL2Bid2Field["BidCount2"] = "int"
+structDict['CSecurityFtdcL2Bid2Field'] = CSecurityFtdcL2Bid2Field
+
+
+#Level2行情申卖二属性
+CSecurityFtdcL2Offer2Field = {}
+#申卖价二
+CSecurityFtdcL2Offer2Field["OfferPrice2"] = "float"
+#申卖量二
+CSecurityFtdcL2Offer2Field["OfferVolume2"] = "int"
+#实际卖总委托笔数二
+CSecurityFtdcL2Offer2Field["OfferCount2"] = "int"
+structDict['CSecurityFtdcL2Offer2Field'] = CSecurityFtdcL2Offer2Field
+
+
+#Level2行情申买三属性
+CSecurityFtdcL2Bid3Field = {}
+#申买价三
+CSecurityFtdcL2Bid3Field["BidPrice3"] = "float"
+#申买量三
+CSecurityFtdcL2Bid3Field["BidVolume3"] = "int"
+#实际买总委托笔数三
+CSecurityFtdcL2Bid3Field["BidCount3"] = "int"
+structDict['CSecurityFtdcL2Bid3Field'] = CSecurityFtdcL2Bid3Field
+
+
+#Level2行情申卖三属性
+CSecurityFtdcL2Offer3Field = {}
+#申卖价三
+CSecurityFtdcL2Offer3Field["OfferPrice3"] = "float"
+#申卖量三
+CSecurityFtdcL2Offer3Field["OfferVolume3"] = "int"
+#实际卖总委托笔数三
+CSecurityFtdcL2Offer3Field["OfferCount3"] = "int"
+structDict['CSecurityFtdcL2Offer3Field'] = CSecurityFtdcL2Offer3Field
+
+
+#Level2行情申买四属性
+CSecurityFtdcL2Bid4Field = {}
+#申买价四
+CSecurityFtdcL2Bid4Field["BidPrice4"] = "float"
+#申买量四
+CSecurityFtdcL2Bid4Field["BidVolume4"] = "int"
+#实际买总委托笔数四
+CSecurityFtdcL2Bid4Field["BidCount4"] = "int"
+structDict['CSecurityFtdcL2Bid4Field'] = CSecurityFtdcL2Bid4Field
+
+
+#Level2行情申卖四属性
+CSecurityFtdcL2Offer4Field = {}
+#申卖价四
+CSecurityFtdcL2Offer4Field["OfferPrice4"] = "float"
+#申卖量四
+CSecurityFtdcL2Offer4Field["OfferVolume4"] = "int"
+#实际卖总委托笔数四
+CSecurityFtdcL2Offer4Field["OfferCount4"] = "int"
+structDict['CSecurityFtdcL2Offer4Field'] = CSecurityFtdcL2Offer4Field
+
+
+#Level2行情申买五属性
+CSecurityFtdcL2Bid5Field = {}
+#申买价五
+CSecurityFtdcL2Bid5Field["BidPrice5"] = "float"
+#申买量五
+CSecurityFtdcL2Bid5Field["BidVolume5"] = "int"
+#实际买总委托笔数五
+CSecurityFtdcL2Bid5Field["BidCount5"] = "int"
+structDict['CSecurityFtdcL2Bid5Field'] = CSecurityFtdcL2Bid5Field
+
+
+#Level2行情申卖五属性
+CSecurityFtdcL2Offer5Field = {}
+#申卖价五
+CSecurityFtdcL2Offer5Field["OfferPrice5"] = "float"
+#申卖量五
+CSecurityFtdcL2Offer5Field["OfferVolume5"] = "int"
+#实际卖总委托笔数五
+CSecurityFtdcL2Offer5Field["OfferCount5"] = "int"
+structDict['CSecurityFtdcL2Offer5Field'] = CSecurityFtdcL2Offer5Field
+
+
+#Level2行情申买六属性
+CSecurityFtdcL2Bid6Field = {}
+#申买价六
+CSecurityFtdcL2Bid6Field["BidPrice6"] = "float"
+#申买量六
+CSecurityFtdcL2Bid6Field["BidVolume6"] = "int"
+#实际买总委托笔数六
+CSecurityFtdcL2Bid6Field["BidCount6"] = "int"
+structDict['CSecurityFtdcL2Bid6Field'] = CSecurityFtdcL2Bid6Field
+
+
+#Level2行情申卖六属性
+CSecurityFtdcL2Offer6Field = {}
+#申卖价六
+CSecurityFtdcL2Offer6Field["OfferPrice6"] = "float"
+#申卖量六
+CSecurityFtdcL2Offer6Field["OfferVolume6"] = "int"
+#实际卖总委托笔数六
+CSecurityFtdcL2Offer6Field["OfferCount6"] = "int"
+structDict['CSecurityFtdcL2Offer6Field'] = CSecurityFtdcL2Offer6Field
+
+
+#Level2行情申买七属性
+CSecurityFtdcL2Bid7Field = {}
+#申买价七
+CSecurityFtdcL2Bid7Field["BidPrice7"] = "float"
+#申买量七
+CSecurityFtdcL2Bid7Field["BidVolume7"] = "int"
+#实际买总委托笔数七
+CSecurityFtdcL2Bid7Field["BidCount7"] = "int"
+structDict['CSecurityFtdcL2Bid7Field'] = CSecurityFtdcL2Bid7Field
+
+
+#Level2行情申卖七属性
+CSecurityFtdcL2Offer7Field = {}
+#申卖价七
+CSecurityFtdcL2Offer7Field["OfferPrice7"] = "float"
+#申卖量七
+CSecurityFtdcL2Offer7Field["OfferVolume7"] = "int"
+#实际卖总委托笔数七
+CSecurityFtdcL2Offer7Field["OfferCount7"] = "int"
+structDict['CSecurityFtdcL2Offer7Field'] = CSecurityFtdcL2Offer7Field
+
+
+#Level2行情申买八属性
+CSecurityFtdcL2Bid8Field = {}
+#申买价八
+CSecurityFtdcL2Bid8Field["BidPrice8"] = "float"
+#申买量八
+CSecurityFtdcL2Bid8Field["BidVolume8"] = "int"
+#实际买总委托笔数八
+CSecurityFtdcL2Bid8Field["BidCount8"] = "int"
+structDict['CSecurityFtdcL2Bid8Field'] = CSecurityFtdcL2Bid8Field
+
+
+#Level2行情申卖八属性
+CSecurityFtdcL2Offer8Field = {}
+#申卖价八
+CSecurityFtdcL2Offer8Field["OfferPrice8"] = "float"
+#申卖量八
+CSecurityFtdcL2Offer8Field["OfferVolume8"] = "int"
+#实际卖总委托笔数八
+CSecurityFtdcL2Offer8Field["OfferCount8"] = "int"
+structDict['CSecurityFtdcL2Offer8Field'] = CSecurityFtdcL2Offer8Field
+
+
+#Level2行情申买九属性
+CSecurityFtdcL2Bid9Field = {}
+#申买价九
+CSecurityFtdcL2Bid9Field["BidPrice9"] = "float"
+#申买量九
+CSecurityFtdcL2Bid9Field["BidVolume9"] = "int"
+#实际买总委托笔数九
+CSecurityFtdcL2Bid9Field["BidCount9"] = "int"
+structDict['CSecurityFtdcL2Bid9Field'] = CSecurityFtdcL2Bid9Field
+
+
+#Level2行情申卖九属性
+CSecurityFtdcL2Offer9Field = {}
+#申卖价九
+CSecurityFtdcL2Offer9Field["OfferPrice9"] = "float"
+#申卖量九
+CSecurityFtdcL2Offer9Field["OfferVolume9"] = "int"
+#实际卖总委托笔数九
+CSecurityFtdcL2Offer9Field["OfferCount9"] = "int"
+structDict['CSecurityFtdcL2Offer9Field'] = CSecurityFtdcL2Offer9Field
+
+
+#Level2行情申买十属性
+CSecurityFtdcL2BidAField = {}
+#申买价十
+CSecurityFtdcL2BidAField["BidPriceA"] = "float"
+#申买量十
+CSecurityFtdcL2BidAField["BidVolumeA"] = "int"
+#实际买总委托笔数十
+CSecurityFtdcL2BidAField["BidCountA"] = "int"
+structDict['CSecurityFtdcL2BidAField'] = CSecurityFtdcL2BidAField
+
+
+#Level2行情申卖十属性
+CSecurityFtdcL2OfferAField = {}
+#申卖价十
+CSecurityFtdcL2OfferAField["OfferPriceA"] = "float"
+#申卖量十
+CSecurityFtdcL2OfferAField["OfferVolumeA"] = "int"
+#实际卖总委托笔数十
+CSecurityFtdcL2OfferAField["OfferCountA"] = "int"
+structDict['CSecurityFtdcL2OfferAField'] = CSecurityFtdcL2OfferAField
+
+
+#Level2行情申买属性
+CSecurityFtdcL2BidField = {}
+#申买价一
+CSecurityFtdcL2BidField["BidPrice1"] = "float"
+#申买量一
+CSecurityFtdcL2BidField["BidVolume1"] = "int"
+#实际买总委托笔数一
+CSecurityFtdcL2BidField["BidCount1"] = "int"
+#申买价二
+CSecurityFtdcL2BidField["BidPrice2"] = "float"
+#申买量二
+CSecurityFtdcL2BidField["BidVolume2"] = "int"
+#实际买总委托笔数二
+CSecurityFtdcL2BidField["BidCount2"] = "int"
+#申买价三
+CSecurityFtdcL2BidField["BidPrice3"] = "float"
+#申买量三
+CSecurityFtdcL2BidField["BidVolume3"] = "int"
+#实际买总委托笔数三
+CSecurityFtdcL2BidField["BidCount3"] = "int"
+#申买价四
+CSecurityFtdcL2BidField["BidPrice4"] = "float"
+#申买量四
+CSecurityFtdcL2BidField["BidVolume4"] = "int"
+#实际买总委托笔数四
+CSecurityFtdcL2BidField["BidCount4"] = "int"
+#申买价五
+CSecurityFtdcL2BidField["BidPrice5"] = "float"
+#申买量五
+CSecurityFtdcL2BidField["BidVolume5"] = "int"
+#实际买总委托笔数五
+CSecurityFtdcL2BidField["BidCount5"] = "int"
+#申买价六
+CSecurityFtdcL2BidField["BidPrice6"] = "float"
+#申买量六
+CSecurityFtdcL2BidField["BidVolume6"] = "int"
+#实际买总委托笔数六
+CSecurityFtdcL2BidField["BidCount6"] = "int"
+#申买价七
+CSecurityFtdcL2BidField["BidPrice7"] = "float"
+#申买量七
+CSecurityFtdcL2BidField["BidVolume7"] = "int"
+#实际买总委托笔数七
+CSecurityFtdcL2BidField["BidCount7"] = "int"
+#申买价八
+CSecurityFtdcL2BidField["BidPrice8"] = "float"
+#申买量八
+CSecurityFtdcL2BidField["BidVolume8"] = "int"
+#实际买总委托笔数八
+CSecurityFtdcL2BidField["BidCount8"] = "int"
+#申买价九
+CSecurityFtdcL2BidField["BidPrice9"] = "float"
+#申买量九
+CSecurityFtdcL2BidField["BidVolume9"] = "int"
+#实际买总委托笔数九
+CSecurityFtdcL2BidField["BidCount9"] = "int"
+#申买价十
+CSecurityFtdcL2BidField["BidPriceA"] = "float"
+#申买量十
+CSecurityFtdcL2BidField["BidVolumeA"] = "int"
+#实际买总委托笔数十
+CSecurityFtdcL2BidField["BidCountA"] = "int"
+structDict['CSecurityFtdcL2BidField'] = CSecurityFtdcL2BidField
+
+
+#Level2行情申卖属性
+CSecurityFtdcL2OfferField = {}
+#申卖价一
+CSecurityFtdcL2OfferField["OfferPrice1"] = "float"
+#申卖量一
+CSecurityFtdcL2OfferField["OfferVolume1"] = "int"
+#实际卖总委托笔数一
+CSecurityFtdcL2OfferField["OfferCount1"] = "int"
+#申卖价二
+CSecurityFtdcL2OfferField["OfferPrice2"] = "float"
+#申卖量二
+CSecurityFtdcL2OfferField["OfferVolume2"] = "int"
+#实际卖总委托笔数二
+CSecurityFtdcL2OfferField["OfferCount2"] = "int"
+#申卖价三
+CSecurityFtdcL2OfferField["OfferPrice3"] = "float"
+#申卖量三
+CSecurityFtdcL2OfferField["OfferVolume3"] = "int"
+#实际卖总委托笔数三
+CSecurityFtdcL2OfferField["OfferCount3"] = "int"
+#申卖价四
+CSecurityFtdcL2OfferField["OfferPrice4"] = "float"
+#申卖量四
+CSecurityFtdcL2OfferField["OfferVolume4"] = "int"
+#实际卖总委托笔数四
+CSecurityFtdcL2OfferField["OfferCount4"] = "int"
+#申卖价五
+CSecurityFtdcL2OfferField["OfferPrice5"] = "float"
+#申卖量五
+CSecurityFtdcL2OfferField["OfferVolume5"] = "int"
+#实际卖总委托笔数五
+CSecurityFtdcL2OfferField["OfferCount5"] = "int"
+#申卖价六
+CSecurityFtdcL2OfferField["OfferPrice6"] = "float"
+#申卖量六
+CSecurityFtdcL2OfferField["OfferVolume6"] = "int"
+#实际卖总委托笔数六
+CSecurityFtdcL2OfferField["OfferCount6"] = "int"
+#申卖价七
+CSecurityFtdcL2OfferField["OfferPrice7"] = "float"
+#申卖量七
+CSecurityFtdcL2OfferField["OfferVolume7"] = "int"
+#实际卖总委托笔数七
+CSecurityFtdcL2OfferField["OfferCount7"] = "int"
+#申卖价八
+CSecurityFtdcL2OfferField["OfferPrice8"] = "float"
+#申卖量八
+CSecurityFtdcL2OfferField["OfferVolume8"] = "int"
+#实际卖总委托笔数八
+CSecurityFtdcL2OfferField["OfferCount8"] = "int"
+#申卖价九
+CSecurityFtdcL2OfferField["OfferPrice9"] = "float"
+#申卖量九
+CSecurityFtdcL2OfferField["OfferVolume9"] = "int"
+#实际卖总委托笔数九
+CSecurityFtdcL2OfferField["OfferCount9"] = "int"
+#申卖价十
+CSecurityFtdcL2OfferField["OfferPriceA"] = "float"
+#申卖量十
+CSecurityFtdcL2OfferField["OfferVolumeA"] = "int"
+#实际卖总委托笔数十
+CSecurityFtdcL2OfferField["OfferCountA"] = "int"
+structDict['CSecurityFtdcL2OfferField'] = CSecurityFtdcL2OfferField
+
+
+#Level2指数行情
+CSecurityFtdcL2IndexField = {}
+#交易日
+CSecurityFtdcL2IndexField["TradingDay"] = "string"
+#行情时间（秒）
+CSecurityFtdcL2IndexField["TimeStamp"] = "string"
+#交易所代码
+CSecurityFtdcL2IndexField["ExchangeID"] = "string"
+#指数代码
+CSecurityFtdcL2IndexField["InstrumentID"] = "string"
+#前收盘指数
+CSecurityFtdcL2IndexField["PreCloseIndex"] = "float"
+#今开盘指数
+CSecurityFtdcL2IndexField["OpenIndex"] = "float"
+#今日收盘指数
+CSecurityFtdcL2IndexField["CloseIndex"] = "float"
+#最高指数
+CSecurityFtdcL2IndexField["HighIndex"] = "float"
+#最低指数
+CSecurityFtdcL2IndexField["LowIndex"] = "float"
+#最新指数
+CSecurityFtdcL2IndexField["LastIndex"] = "float"
+#参与计算相应指数的成交金额（元）
+CSecurityFtdcL2IndexField["TurnOver"] = "float"
+#参与计算相应指数的交易数量（手）
+CSecurityFtdcL2IndexField["TotalVolume"] = "float"
+structDict['CSecurityFtdcL2IndexField'] = CSecurityFtdcL2IndexField
+
+
+#Level2行情用户信息
+CSecurityFtdcL2UserInfoField = {}
+#经纪公司代码
+CSecurityFtdcL2UserInfoField["BrokerID"] = "string"
+#用户代码
+CSecurityFtdcL2UserInfoField["UserID"] = "string"
+#用户名称
+CSecurityFtdcL2UserInfoField["UserName"] = "string"
+#密码
+CSecurityFtdcL2UserInfoField["Password"] = "string"
+#行情数据等级
+CSecurityFtdcL2UserInfoField["DataLevel"] = "string"
+structDict['CSecurityFtdcL2UserInfoField'] = CSecurityFtdcL2UserInfoField
+
+
+#UDP组播组信息
+CSecurityFtdcMulticastGroupInfoField = {}
+#组播组IP地址
+CSecurityFtdcMulticastGroupInfoField["GroupIP"] = "string"
+#组播组IP端口
+CSecurityFtdcMulticastGroupInfoField["GroupPort"] = "int"
+#源地址
+CSecurityFtdcMulticastGroupInfoField["SourceIP"] = "string"
+structDict['CSecurityFtdcMulticastGroupInfoField'] = CSecurityFtdcMulticastGroupInfoField
+
+
+#Level2逐笔委托
+CSecurityFtdcL2OrderField = {}
+#委托组
+CSecurityFtdcL2OrderField["OrderGroupID"] = "int"
+#委托序号
+CSecurityFtdcL2OrderField["OrderIndex"] = "int"
+#委托时间（秒）
+CSecurityFtdcL2OrderField["OrderTime"] = "string"
+#交易所代码
+CSecurityFtdcL2OrderField["ExchangeID"] = "string"
+#合约代码
+CSecurityFtdcL2OrderField["InstrumentID"] = "string"
+#委托价格
+CSecurityFtdcL2OrderField["Price"] = "float"
+#委托数量
+CSecurityFtdcL2OrderField["Volume"] = "int"
+#报单类型
+CSecurityFtdcL2OrderField["OrderKind"] = "string"
+#功能码
+CSecurityFtdcL2OrderField["FunctionCode"] = "string"
+structDict['CSecurityFtdcL2OrderField'] = CSecurityFtdcL2OrderField
+
+
+#Level2逐笔成交
+CSecurityFtdcL2TradeField = {}
+#成交组
+CSecurityFtdcL2TradeField["TradeGroupID"] = "int"
+#成交序号
+CSecurityFtdcL2TradeField["TradeIndex"] = "int"
+#买方委托序号
+CSecurityFtdcL2TradeField["BuyIndex"] = "int"
+#卖方委托序号
+CSecurityFtdcL2TradeField["SellIndex"] = "int"
+#成交时间（秒）
+CSecurityFtdcL2TradeField["TradeTime"] = "string"
+#交易所代码
+CSecurityFtdcL2TradeField["ExchangeID"] = "string"
+#合约代码
+CSecurityFtdcL2TradeField["InstrumentID"] = "string"
+#成交价格
+CSecurityFtdcL2TradeField["Price"] = "float"
+#成交数量
+CSecurityFtdcL2TradeField["Volume"] = "int"
+#报单类型
+CSecurityFtdcL2TradeField["OrderKind"] = "string"
+#功能码
+CSecurityFtdcL2TradeField["FunctionCode"] = "string"
+structDict['CSecurityFtdcL2TradeField'] = CSecurityFtdcL2TradeField
+
+
+
+
+
+

vn.lts/pyscript/l2/lts_l2_define.cpp

@@ -0,0 +1,17 @@
+#define ONFRONTCONNECTED 1
+#define ONFRONTDISCONNECTED 2
+#define ONHEARTBEATWARNING 3
+#define ONRSPERROR 4
+#define ONRSPUSERLOGIN 5
+#define ONRSPUSERLOGOUT 6
+#define ONRSPSUBL2MARKETDATA 7
+#define ONRSPUNSUBL2MARKETDATA 8
+#define ONRSPSUBL2INDEX 9
+#define ONRSPUNSUBL2INDEX 10
+#define ONRTNL2MARKETDATA 11
+#define ONRTNL2INDEX 12
+#define ONRSPSUBL2ORDERANDTRADE 13
+#define ONRSPUNSUBL2ORDERANDTRADE 14
+#define ONRTNL2ORDER 15
+#define ONRTNL2TRADE 16
+#define ONNTFCHECKORDERLIST 17

vn.lts/pyscript/l2/lts_l2_function.cpp

@@ -0,0 +1,23 @@
+int TdApi::reqUserLogin(dict req, int nRequestID)
+{
+	CSecurityFtdcUserLoginField myreq = CSecurityFtdcUserLoginField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "TradingDay", myreq.TradingDay);
+	getChar(req, "Password", myreq.Password);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	getChar(req, "DataLevel", myreq.DataLevel);
+	getChar(req, "UserID", myreq.UserID);
+	int i = this->api->ReqUserLogin(&myreq, nRequestID);
+	return i;
+};
+
+int TdApi::reqUserLogout(dict req, int nRequestID)
+{
+	CSecurityFtdcUserLogoutField myreq = CSecurityFtdcUserLogoutField();
+	memset(&myreq, 0, sizeof(myreq));
+	getChar(req, "UserID", myreq.UserID);
+	getChar(req, "BrokerID", myreq.BrokerID);
+	int i = this->api->ReqUserLogout(&myreq, nRequestID);
+	return i;
+};
+

vn.lts/pyscript/l2/lts_l2_header_function.h

@@ -0,0 +1,4 @@
+int reqUserLogin(dict req, int nRequestID);
+
+int reqUserLogout(dict req, int nRequestID);
+

vn.lts/pyscript/l2/lts_l2_header_on.h

@@ -0,0 +1,30 @@
+
+
+
+virtual void onRspError(dict error, int id, bool last) {};
+
+virtual void onRspUserLogin(dict data, dict error, int id, bool last) {};
+
+virtual void onRspUserLogout(dict data, dict error, int id, bool last) {};
+
+virtual void onRspSubL2MarketData(dict data, dict error, int id, bool last) {};
+
+virtual void onRspUnSubL2MarketData(dict data, dict error, int id, bool last) {};
+
+virtual void onRspSubL2Index(dict data, dict error, int id, bool last) {};
+
+virtual void onRspUnSubL2Index(dict data, dict error, int id, bool last) {};
+
+virtual void onRtnL2MarketData(dict data) {};
+
+virtual void onRtnL2Index(dict data) {};
+
+virtual void onRspSubL2OrderAndTrade(dict data, dict error, int id, bool last) {};
+
+virtual void onRspUnSubL2OrderAndTrade(dict data, dict error, int id, bool last) {};
+
+virtual void onRtnL2Order(dict data) {};
+
+virtual void onRtnL2Trade(dict data) {};
+
+

vn.lts/pyscript/l2/lts_l2_header_process.h

@@ -0,0 +1,34 @@
+void processFrontConnected(Task task);
+
+void processFrontDisconnected(Task task);
+
+void processHeartBeatWarning(Task task);
+
+void processRspError(Task task);
+
+void processRspUserLogin(Task task);
+
+void processRspUserLogout(Task task);
+
+void processRspSubL2MarketData(Task task);
+
+void processRspUnSubL2MarketData(Task task);
+
+void processRspSubL2Index(Task task);
+
+void processRspUnSubL2Index(Task task);
+
+void processRtnL2MarketData(Task task);
+
+void processRtnL2Index(Task task);
+
+void processRspSubL2OrderAndTrade(Task task);
+
+void processRspUnSubL2OrderAndTrade(Task task);
+
+void processRtnL2Order(Task task);
+
+void processRtnL2Trade(Task task);
+
+void processNtfCheckOrderList(Task task);
+

vn.lts/pyscript/l2/lts_l2_process.cpp

@@ -0,0 +1,290 @@
+void TdApi::processFrontConnected(Task task)
+{
+	this->onFrontConnected();
+};
+
+void TdApi::processFrontDisconnected(Task task)
+{
+	this->onFrontDisconnected(task.task_id);
+};
+
+void TdApi::processHeartBeatWarning(Task task)
+{
+	this->onHeartBeatWarning(task.task_id);
+};
+
+void TdApi::processRspError(Task task)
+{
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspError(error, task.task_id, task.task_last);
+};
+
+void TdApi::processRspUserLogin(Task task)
+{
+	CSecurityFtdcUserLoginField task_data = any_cast<CSecurityFtdcUserLoginField>(task.task_data);
+	dict data;
+	data["TradingDay"] = task_data.TradingDay;
+	data["Password"] = task_data.Password;
+	data["BrokerID"] = task_data.BrokerID;
+	data["DataLevel"] = task_data.DataLevel;
+	data["UserID"] = task_data.UserID;
+
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspUserLogin(data, error, task.task_id, task.task_last);
+};
+
+void TdApi::processRspUserLogout(Task task)
+{
+	CSecurityFtdcUserLogoutField task_data = any_cast<CSecurityFtdcUserLogoutField>(task.task_data);
+	dict data;
+	data["UserID"] = task_data.UserID;
+	data["BrokerID"] = task_data.BrokerID;
+
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspUserLogout(data, error, task.task_id, task.task_last);
+};
+
+void TdApi::processRspSubL2MarketData(Task task)
+{
+	CSecurityFtdcSpecificInstrumentField task_data = any_cast<CSecurityFtdcSpecificInstrumentField>(task.task_data);
+	dict data;
+	data["InstrumentID"] = task_data.InstrumentID;
+	data["ExchangeID"] = task_data.ExchangeID;
+
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspSubL2MarketData(data, error, task.task_id, task.task_last);
+};
+
+void TdApi::processRspUnSubL2MarketData(Task task)
+{
+	CSecurityFtdcSpecificInstrumentField task_data = any_cast<CSecurityFtdcSpecificInstrumentField>(task.task_data);
+	dict data;
+	data["InstrumentID"] = task_data.InstrumentID;
+	data["ExchangeID"] = task_data.ExchangeID;
+
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspUnSubL2MarketData(data, error, task.task_id, task.task_last);
+};
+
+void TdApi::processRspSubL2Index(Task task)
+{
+	CSecurityFtdcSpecificInstrumentField task_data = any_cast<CSecurityFtdcSpecificInstrumentField>(task.task_data);
+	dict data;
+	data["InstrumentID"] = task_data.InstrumentID;
+	data["ExchangeID"] = task_data.ExchangeID;
+
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspSubL2Index(data, error, task.task_id, task.task_last);
+};
+
+void TdApi::processRspUnSubL2Index(Task task)
+{
+	CSecurityFtdcSpecificInstrumentField task_data = any_cast<CSecurityFtdcSpecificInstrumentField>(task.task_data);
+	dict data;
+	data["InstrumentID"] = task_data.InstrumentID;
+	data["ExchangeID"] = task_data.ExchangeID;
+
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspUnSubL2Index(data, error, task.task_id, task.task_last);
+};
+
+void TdApi::processRtnL2MarketData(Task task)
+{
+	CSecurityFtdcL2MarketDataField task_data = any_cast<CSecurityFtdcL2MarketDataField>(task.task_data);
+	dict data;
+	data["BidCount8"] = task_data.BidCount8;
+	data["BidVolume4"] = task_data.BidVolume4;
+	data["BidPrice9"] = task_data.BidPrice9;
+	data["BidPrice8"] = task_data.BidPrice8;
+	data["OfferVolume8"] = task_data.OfferVolume8;
+	data["OfferCount9"] = task_data.OfferCount9;
+	data["BidPrice5"] = task_data.BidPrice5;
+	data["LowPrice"] = task_data.LowPrice;
+	data["BidPrice7"] = task_data.BidPrice7;
+	data["AltWeightedAvgOfferPrice"] = task_data.AltWeightedAvgOfferPrice;
+	data["BidPrice1"] = task_data.BidPrice1;
+	data["OfferCount3"] = task_data.OfferCount3;
+	data["TotalTradeVolume"] = task_data.TotalTradeVolume;
+	data["BidPrice2"] = task_data.BidPrice2;
+	data["BidVolume1"] = task_data.BidVolume1;
+	data["OfferVolume3"] = task_data.OfferVolume3;
+	data["PreClosePrice"] = task_data.PreClosePrice;
+	data["OfferVolumeA"] = task_data.OfferVolumeA;
+	data["BidCount3"] = task_data.BidCount3;
+	data["BidCount2"] = task_data.BidCount2;
+	data["BidCount1"] = task_data.BidCount1;
+	data["BidPriceLevel"] = task_data.BidPriceLevel;
+	data["BidCount7"] = task_data.BidCount7;
+	data["BidCount6"] = task_data.BidCount6;
+	data["BidCount5"] = task_data.BidCount5;
+	data["BidCount4"] = task_data.BidCount4;
+	data["BidVolume7"] = task_data.BidVolume7;
+	data["BidVolume6"] = task_data.BidVolume6;
+	data["TotalOfferVolume"] = task_data.TotalOfferVolume;
+	data["TotalBidVolume"] = task_data.TotalBidVolume;
+	data["BidVolume3"] = task_data.BidVolume3;
+	data["BidVolume2"] = task_data.BidVolume2;
+	data["OpenPrice"] = task_data.OpenPrice;
+	data["OfferPriceA"] = task_data.OfferPriceA;
+	data["OfferCount7"] = task_data.OfferCount7;
+	data["OfferCount6"] = task_data.OfferCount6;
+	data["TradeCount"] = task_data.TradeCount;
+	data["BidPrice4"] = task_data.BidPrice4;
+	data["WeightedAvgOfferPrice"] = task_data.WeightedAvgOfferPrice;
+	data["OfferVolume6"] = task_data.OfferVolume6;
+	data["HighPrice"] = task_data.HighPrice;
+	data["OfferVolume9"] = task_data.OfferVolume9;
+	data["InstrumentID"] = task_data.InstrumentID;
+	data["ClosePrice"] = task_data.ClosePrice;
+	data["ExchangeID"] = task_data.ExchangeID;
+	data["BidPrice6"] = task_data.BidPrice6;
+	data["OfferPrice7"] = task_data.OfferPrice7;
+	data["AltWeightedAvgBidPrice"] = task_data.AltWeightedAvgBidPrice;
+	data["TimeStamp"] = task_data.TimeStamp;
+	data["WeightedAvgBidPrice"] = task_data.WeightedAvgBidPrice;
+	data["BidVolume9"] = task_data.BidVolume9;
+	data["TotalTradeValue"] = task_data.TotalTradeValue;
+	data["OfferCount4"] = task_data.OfferCount4;
+	data["TradingDay"] = task_data.TradingDay;
+	data["BidCountA"] = task_data.BidCountA;
+	data["BidPrice3"] = task_data.BidPrice3;
+	data["IOPV"] = task_data.IOPV;
+	data["OfferCount1"] = task_data.OfferCount1;
+	data["BidVolumeA"] = task_data.BidVolumeA;
+	data["OfferPrice9"] = task_data.OfferPrice9;
+	data["BidCount9"] = task_data.BidCount9;
+	data["OfferPrice8"] = task_data.OfferPrice8;
+	data["YieldToMaturity"] = task_data.YieldToMaturity;
+	data["LastPrice"] = task_data.LastPrice;
+	data["OfferCount8"] = task_data.OfferCount8;
+	data["OfferPrice4"] = task_data.OfferPrice4;
+	data["OfferPrice5"] = task_data.OfferPrice5;
+	data["OfferPrice6"] = task_data.OfferPrice6;
+	data["BidVolume8"] = task_data.BidVolume8;
+	data["OfferCount5"] = task_data.OfferCount5;
+	data["OfferPrice1"] = task_data.OfferPrice1;
+	data["OfferPrice2"] = task_data.OfferPrice2;
+	data["OfferPrice3"] = task_data.OfferPrice3;
+	data["OfferVolume4"] = task_data.OfferVolume4;
+	data["OfferVolume5"] = task_data.OfferVolume5;
+	data["OfferPriceLevel"] = task_data.OfferPriceLevel;
+	data["OfferVolume7"] = task_data.OfferVolume7;
+	data["OfferVolume1"] = task_data.OfferVolume1;
+	data["OfferVolume2"] = task_data.OfferVolume2;
+	data["OfferCount2"] = task_data.OfferCount2;
+	data["BidPriceA"] = task_data.BidPriceA;
+	data["BidVolume5"] = task_data.BidVolume5;
+	data["OfferCountA"] = task_data.OfferCountA;
+
+	this->onRtnL2MarketData(data);
+};
+
+void TdApi::processRtnL2Index(Task task)
+{
+	CSecurityFtdcL2IndexField task_data = any_cast<CSecurityFtdcL2IndexField>(task.task_data);
+	dict data;
+	data["InstrumentID"] = task_data.InstrumentID;
+	data["ExchangeID"] = task_data.ExchangeID;
+	data["HighIndex"] = task_data.HighIndex;
+	data["TimeStamp"] = task_data.TimeStamp;
+	data["CloseIndex"] = task_data.CloseIndex;
+	data["PreCloseIndex"] = task_data.PreCloseIndex;
+	data["LastIndex"] = task_data.LastIndex;
+	data["TradingDay"] = task_data.TradingDay;
+	data["OpenIndex"] = task_data.OpenIndex;
+	data["TotalVolume"] = task_data.TotalVolume;
+	data["LowIndex"] = task_data.LowIndex;
+	data["TurnOver"] = task_data.TurnOver;
+
+	this->onRtnL2Index(data);
+};
+
+void TdApi::processRspSubL2OrderAndTrade(Task task)
+{
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspSubL2OrderAndTrade(error, task.task_id, task.task_last);
+};
+
+void TdApi::processRspUnSubL2OrderAndTrade(Task task)
+{
+	CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
+	dict error;
+	error["ErrorMsg"] = task_error.ErrorMsg;
+	error["ErrorID"] = task_error.ErrorID;
+
+	this->onRspUnSubL2OrderAndTrade(error, task.task_id, task.task_last);
+};
+
+void TdApi::processRtnL2Order(Task task)
+{
+	CSecurityFtdcL2OrderField task_data = any_cast<CSecurityFtdcL2OrderField>(task.task_data);
+	dict data;
+	data["InstrumentID"] = task_data.InstrumentID;
+	data["OrderTime"] = task_data.OrderTime;
+	data["OrderKind"] = task_data.OrderKind;
+	data["Price"] = task_data.Price;
+	data["ExchangeID"] = task_data.ExchangeID;
+	data["OrderGroupID"] = task_data.OrderGroupID;
+	data["Volume"] = task_data.Volume;
+	data["FunctionCode"] = task_data.FunctionCode;
+	data["OrderIndex"] = task_data.OrderIndex;
+
+	this->onRtnL2Order(data);
+};
+
+void TdApi::processRtnL2Trade(Task task)
+{
+	CSecurityFtdcL2TradeField task_data = any_cast<CSecurityFtdcL2TradeField>(task.task_data);
+	dict data;
+	data["TradeGroupID"] = task_data.TradeGroupID;
+	data["SellIndex"] = task_data.SellIndex;
+	data["ExchangeID"] = task_data.ExchangeID;
+	data["OrderKind"] = task_data.OrderKind;
+	data["TradeIndex"] = task_data.TradeIndex;
+	data["Price"] = task_data.Price;
+	data["InstrumentID"] = task_data.InstrumentID;
+	data["BuyIndex"] = task_data.BuyIndex;
+	data["Volume"] = task_data.Volume;
+	data["FunctionCode"] = task_data.FunctionCode;
+	data["TradeTime"] = task_data.TradeTime;
+
+	this->onRtnL2Trade(data);
+};
+
+void TdApi::processNtfCheckOrderList(Task task)
+{
+	this->onNtfCheckOrderList();
+};
+

vn.lts/pyscript/l2/lts_l2_switch.cpp

@@ -0,0 +1,102 @@
+case ONFRONTCONNECTED:
+{
+	this->processFrontConnected(task);
+	break;
+}
+
+case ONFRONTDISCONNECTED:
+{
+	this->processFrontDisconnected(task);
+	break;
+}
+
+case ONHEARTBEATWARNING:
+{
+	this->processHeartBeatWarning(task);
+	break;
+}
+
+case ONRSPERROR:
+{
+	this->processRspError(task);
+	break;
+}
+
+case ONRSPUSERLOGIN:
+{
+	this->processRspUserLogin(task);
+	break;
+}
+
+case ONRSPUSERLOGOUT:
+{
+	this->processRspUserLogout(task);
+	break;
+}
+
+case ONRSPSUBL2MARKETDATA:
+{
+	this->processRspSubL2MarketData(task);
+	break;
+}
+
+case ONRSPUNSUBL2MARKETDATA:
+{
+	this->processRspUnSubL2MarketData(task);
+	break;
+}
+
+case ONRSPSUBL2INDEX:
+{
+	this->processRspSubL2Index(task);
+	break;
+}
+
+case ONRSPUNSUBL2INDEX:
+{
+	this->processRspUnSubL2Index(task);
+	break;
+}
+
+case ONRTNL2MARKETDATA:
+{
+	this->processRtnL2MarketData(task);
+	break;
+}
+
+case ONRTNL2INDEX:
+{
+	this->processRtnL2Index(task);
+	break;
+}
+
+case ONRSPSUBL2ORDERANDTRADE:
+{
+	this->processRspSubL2OrderAndTrade(task);
+	break;
+}
+
+case ONRSPUNSUBL2ORDERANDTRADE:
+{
+	this->processRspUnSubL2OrderAndTrade(task);
+	break;
+}
+
+case ONRTNL2ORDER:
+{
+	this->processRtnL2Order(task);
+	break;
+}
+
+case ONRTNL2TRADE:
+{
+	this->processRtnL2Trade(task);
+	break;
+}
+
+case ONNTFCHECKORDERLIST:
+{
+	this->processNtfCheckOrderList(task);
+	break;
+}
+

vn.lts/pyscript/l2/lts_l2_task.cpp

@@ -0,0 +1,370 @@
+void TdApi::OnFrontConnected()
+{
+	Task task = Task();
+	task.task_name = ONFRONTCONNECTED;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnFrontDisconnected(int nReason)
+{
+	Task task = Task();
+	task.task_name = ONFRONTDISCONNECTED;
+	task.task_id = nReason;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnHeartBeatWarning(int nTimeLapse)
+{
+	Task task = Task();
+	task.task_name = ONHEARTBEATWARNING;
+	task.task_id = nTimeLapse;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPERROR;
+
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspUserLogin(CSecurityFtdcUserLoginField *pUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPUSERLOGIN;
+
+	if (pUserLogin)
+	{
+		task.task_data = *pUserLogin;
+	}
+	else
+	{
+		CSecurityFtdcUserLoginField empty_data = CSecurityFtdcUserLoginField();
+		memset(&empty_data, 0, sizeof(empty_data));
+		task.task_data = empty_data;
+	}
+
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPUSERLOGOUT;
+
+	if (pUserLogout)
+	{
+		task.task_data = *pUserLogout;
+	}
+	else
+	{
+		CSecurityFtdcUserLogoutField empty_data = CSecurityFtdcUserLogoutField();
+		memset(&empty_data, 0, sizeof(empty_data));
+		task.task_data = empty_data;
+	}
+
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspSubL2MarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPSUBL2MARKETDATA;
+
+	if (pSpecificInstrument)
+	{
+		task.task_data = *pSpecificInstrument;
+	}
+	else
+	{
+		CSecurityFtdcSpecificInstrumentField empty_data = CSecurityFtdcSpecificInstrumentField();
+		memset(&empty_data, 0, sizeof(empty_data));
+		task.task_data = empty_data;
+	}
+
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspUnSubL2MarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPUNSUBL2MARKETDATA;
+
+	if (pSpecificInstrument)
+	{
+		task.task_data = *pSpecificInstrument;
+	}
+	else
+	{
+		CSecurityFtdcSpecificInstrumentField empty_data = CSecurityFtdcSpecificInstrumentField();
+		memset(&empty_data, 0, sizeof(empty_data));
+		task.task_data = empty_data;
+	}
+
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspSubL2Index(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPSUBL2INDEX;
+
+	if (pSpecificInstrument)
+	{
+		task.task_data = *pSpecificInstrument;
+	}
+	else
+	{
+		CSecurityFtdcSpecificInstrumentField empty_data = CSecurityFtdcSpecificInstrumentField();
+		memset(&empty_data, 0, sizeof(empty_data));
+		task.task_data = empty_data;
+	}
+
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspUnSubL2Index(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPUNSUBL2INDEX;
+
+	if (pSpecificInstrument)
+	{
+		task.task_data = *pSpecificInstrument;
+	}
+	else
+	{
+		CSecurityFtdcSpecificInstrumentField empty_data = CSecurityFtdcSpecificInstrumentField();
+		memset(&empty_data, 0, sizeof(empty_data));
+		task.task_data = empty_data;
+	}
+
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRtnL2MarketData(CSecurityFtdcL2MarketDataField *pL2MarketData) 
+{
+	Task task = Task();
+	task.task_name = ONRTNL2MARKETDATA;
+
+	if (pL2MarketData)
+	{
+		task.task_data = *pL2MarketData;
+	}
+	else
+	{
+		CSecurityFtdcL2MarketDataField empty_data = CSecurityFtdcL2MarketDataField();
+		memset(&empty_data, 0, sizeof(empty_data));
+		task.task_data = empty_data;
+	}
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRtnL2Index(CSecurityFtdcL2IndexField *pL2Index) 
+{
+	Task task = Task();
+	task.task_name = ONRTNL2INDEX;
+
+	if (pL2Index)
+	{
+		task.task_data = *pL2Index;
+	}
+	else
+	{
+		CSecurityFtdcL2IndexField empty_data = CSecurityFtdcL2IndexField();
+		memset(&empty_data, 0, sizeof(empty_data));
+		task.task_data = empty_data;
+	}
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspSubL2OrderAndTrade(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPSUBL2ORDERANDTRADE;
+
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRspUnSubL2OrderAndTrade(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
+{
+	Task task = Task();
+	task.task_name = ONRSPUNSUBL2ORDERANDTRADE;
+
+	if (pRspInfo)
+	{
+		task.task_error = *pRspInfo;
+	}
+	else
+	{
+		CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
+		memset(&empty_error, 0, sizeof(empty_error));
+		task.task_error = empty_error;
+	}
+	task.task_id = nRequestID;
+	task.task_last = bIsLast;
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRtnL2Order(CSecurityFtdcL2OrderField *pL2Order) 
+{
+	Task task = Task();
+	task.task_name = ONRTNL2ORDER;
+
+	if (pL2Order)
+	{
+		task.task_data = *pL2Order;
+	}
+	else
+	{
+		CSecurityFtdcL2OrderField empty_data = CSecurityFtdcL2OrderField();
+		memset(&empty_data, 0, sizeof(empty_data));
+		task.task_data = empty_data;
+	}
+	this->task_queue.push(task);
+};
+
+void TdApi::OnRtnL2Trade(CSecurityFtdcL2TradeField *pL2Trade) 
+{
+	Task task = Task();
+	task.task_name = ONRTNL2TRADE;
+
+	if (pL2Trade)
+	{
+		task.task_data = *pL2Trade;
+	}
+	else
+	{
+		CSecurityFtdcL2TradeField empty_data = CSecurityFtdcL2TradeField();
+		memset(&empty_data, 0, sizeof(empty_data));
+		task.task_data = empty_data;
+	}
+	this->task_queue.push(task);
+};
+
+void TdApi::OnNtfCheckOrderList(TSecurityFtdcInstrumentIDType InstrumentID, TSecurityFtdcFunctionCodeType FunctionCode) 
+{
+	Task task = Task();
+	task.task_name = ONNTFCHECKORDERLIST;
+
+	if (nstrumentID)
+	{
+		task.task_data = InstrumentID;
+	}
+	else
+	{
+		TSecurityFtdcInstrumentIDType empty_data = TSecurityFtdcInstrumentIDType();
+		memset(&empty_data, 0, sizeof(empty_data));
+		task.task_data = empty_data;
+	}
+
+	if (unctionCode)
+	{
+		task.task_data = FunctionCode;
+	}
+	else
+	{
+		TSecurityFtdcFunctionCodeType empty_data = TSecurityFtdcFunctionCodeType();
+		memset(&empty_data, 0, sizeof(empty_data));
+		task.task_data = empty_data;
+	}
+	this->task_queue.push(task);
+};
+

vn.lts/pyscript/l2/lts_l2_wrap.cpp

@@ -0,0 +1,182 @@
+virtual void onRspError(dict error, int id, bool last)
+{
+	 PyLock lock;
+
+	try
+	{
+		this->get_override("onRspError")(error, id, last);
+	}
+	catch (error_already_set const &)
+	{
+		PyErr_Print();
+	}
+};
+
+virtual void onRspUserLogin(dict data, dict error, int id, bool last)
+{
+	 PyLock lock;
+
+	try
+	{
+		this->get_override("onRspUserLogin")(data, error, id, last);
+	}
+	catch (error_already_set const &)
+	{
+		PyErr_Print();
+	}
+};
+
+virtual void onRspUserLogout(dict data, dict error, int id, bool last)
+{
+	 PyLock lock;
+
+	try
+	{
+		this->get_override("onRspUserLogout")(data, error, id, last);
+	}
+	catch (error_already_set const &)
+	{
+		PyErr_Print();
+	}
+};
+
+virtual void onRspSubL2MarketData(dict data, dict error, int id, bool last)
+{
+	 PyLock lock;
+
+	try
+	{
+		this->get_override("onRspSubL2MarketData")(data, error, id, last);
+	}
+	catch (error_already_set const &)
+	{
+		PyErr_Print();
+	}
+};
+
+virtual void onRspUnSubL2MarketData(dict data, dict error, int id, bool last)
+{
+	 PyLock lock;
+
+	try
+	{
+		this->get_override("onRspUnSubL2MarketData")(data, error, id, last);
+	}
+	catch (error_already_set const &)
+	{
+		PyErr_Print();
+	}
+};
+
+virtual void onRspSubL2Index(dict data, dict error, int id, bool last)
+{
+	 PyLock lock;
+
+	try
+	{
+		this->get_override("onRspSubL2Index")(data, error, id, last);
+	}
+	catch (error_already_set const &)
+	{
+		PyErr_Print();
+	}
+};
+
+virtual void onRspUnSubL2Index(dict data, dict error, int id, bool last)
+{
+	 PyLock lock;
+
+	try
+	{
+		this->get_override("onRspUnSubL2Index")(data, error, id, last);
+	}
+	catch (error_already_set const &)
+	{
+		PyErr_Print();
+	}
+};
+
+virtual void onRtnL2MarketData(dict data)
+{
+	 PyLock lock;
+
+	try
+	{
+		this->get_override("onRtnL2MarketData")(data);
+	}
+	catch (error_already_set const &)
+	{
+		PyErr_Print();
+	}
+};
+
+virtual void onRtnL2Index(dict data)
+{
+	 PyLock lock;
+
+	try
+	{
+		this->get_override("onRtnL2Index")(data);
+	}
+	catch (error_already_set const &)
+	{
+		PyErr_Print();
+	}
+};
+
+virtual void onRspSubL2OrderAndTrade(dict data, dict error, int id, bool last)
+{
+	 PyLock lock;
+
+	try
+	{
+		this->get_override("onRspSubL2OrderAndTrade")(data, error, id, last);
+	}
+	catch (error_already_set const &)
+	{
+		PyErr_Print();
+	}
+};
+
+virtual void onRspUnSubL2OrderAndTrade(dict data, dict error, int id, bool last)
+{
+	 PyLock lock;
+
+	try
+	{
+		this->get_override("onRspUnSubL2OrderAndTrade")(data, error, id, last);
+	}
+	catch (error_already_set const &)
+	{
+		PyErr_Print();
+	}
+};
+
+virtual void onRtnL2Order(dict data)
+{
+	 PyLock lock;
+
+	try
+	{
+		this->get_override("onRtnL2Order")(data);
+	}
+	catch (error_already_set const &)
+	{
+		PyErr_Print();
+	}
+};
+
+virtual void onRtnL2Trade(dict data)
+{
+	 PyLock lock;
+
+	try
+	{
+		this->get_override("onRtnL2Trade")(data);
+	}
+	catch (error_already_set const &)
+	{
+		PyErr_Print();
+	}
+};
+

vn.lts/vnltsl2/test/l2test.py

@@ -0,0 +1,226 @@
+# encoding: UTF-8
+
+import sys
+from time import sleep
+
+from PyQt4 import QtGui
+
+from vnltsl2 import *
+
+
+#----------------------------------------------------------------------
+def print_dict(d):
+    """按照键值打印一个字典"""
+    for key,value in d.items():
+        print key + ':' + str(value)
+        
+        
+#----------------------------------------------------------------------
+def simple_log(func):
+    """简单装饰器用于输出函数名"""
+    def wrapper(*args, **kw):
+        print ""
+        print str(func.__name__)
+        return func(*args, **kw)
+    return wrapper
+
+
+########################################################################
+class TestL2MdApi(L2MdApi):
+    """测试用实例"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(TestL2MdApi, self).__init__()
+        self.brokerID = None
+        self.userID = None
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onFrontConnected(self):
+        """服务器连接"""
+        pass
+    
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onFrontDisconnected(self, n):
+        """服务器断开"""
+        print n
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onHeartBeatWarning(self, n):
+        """心跳报警"""
+        print n
+    
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRspError(self, error, n, last):
+        """错误"""
+        print_dict(error)
+    
+    #----------------------------------------------------------------------
+    def onRspUserLogin(self, data, error, n, last):
+        """登陆回报"""
+        self.brokerID = data['BrokerID']
+        self.userID = data['UserID']
+        print_dict(data)
+        print_dict(error)
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRspUserLogout(self, data, error, n, last):
+        """登出回报"""
+        print_dict(data)
+        print_dict(error)
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRspSubL2MarketData(self, data, error, n, last):
+        """订阅L2合约回报"""
+        print_dict(data)
+        print_dict(error)
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRspUnSubL2MarketData(self, data, error, n, last):
+        """退订L2合约回报"""
+        print_dict(data)
+        print_dict(error)    
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRspSubL2Index(self, data, error, n, last):
+        """订阅L2指数回报"""
+        print_dict(data)
+        print_dict(error)
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRspUnSubL2Index(self, data, error, n, last):
+        """退订L2指数回报"""
+        print_dict(data)
+        print_dict(error)       
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRtnL2MarketData(self, data):
+        """L2行情推送"""
+        print_dict(data)
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRtnL2Index(self, data):
+        """L2指数行情推送"""
+        print_dict(data)    
+    
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRtnL2Order(self, data):
+        """L2订单推送"""
+        print_dict(data)
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRtnL2Trade(self, data):
+        """L2成交推送"""
+        print_dict(data)        
+
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRspSubL2OrderAndTrade(self, error, n, last):
+        """订阅L2订单、成交回报"""
+        print_dict(error)    
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onRspUnSubL2OrderAndTrade(self, error, n, last):
+        """退订L2订单、成交回报"""
+        print_dict(error)    
+        
+    #----------------------------------------------------------------------
+    @simple_log    
+    def onNtfCheckOrderList(self, instrumentID, functionID):
+        """通知清理SSE买卖一队列中数量为0的报单"""
+        print 'instrumentID: %s' % instrumentID
+        print 'functionID: %s' % functionID
+
+#----------------------------------------------------------------------
+def main():
+    """主测试函数，出现堵塞时可以考虑使用sleep"""
+    reqid = 0
+    
+    # 创建Qt应用对象，用于事件循环
+    app = QtGui.QApplication(sys.argv)
+
+    # 创建API对象
+    api = TestL2MdApi()
+    
+    # 在C++环境中创建MdApi对象，传入参数是希望用来保存.con文件的地址
+    api.createFtdcL2MDUserApi('')
+    
+    # 注册前置机地址
+    api.registerFront("tcp://101.231.210.2:8900")   # 另一个地址tcp://222.66.55.171:8900
+    
+    # 初始化api，连接前置机
+    api.init()
+    sleep(0.5)
+    
+    # 登陆，测试通过
+    loginReq = {}                           # 创建一个空字典
+    loginReq['UserID'] = ''                 # 参数作为字典键值的方式传入
+    loginReq['Password'] = ''               # 键名和C++中的结构体成员名对应
+    loginReq['BrokerID'] = '2011'    
+    loginReq['DataLevel'] = '1'             # '0'全量行情  '1'10档  '2'5档
+    reqid = reqid + 1                       # 请求数必须保持唯一性
+    i = api.reqUserLogin(loginReq, 1)
+    sleep(0.5)
+    
+    ## 登出，测试失败
+    #reqid = reqid + 1
+    #logoutReq = {}
+    #logoutReq['UserID'] = api.userID
+    #loginReq['BrokerID'] = api.brokerID
+    #i = api.reqUserLogout(logoutReq, 1)
+    #sleep(0.5)
+    
+    ## 安全退出，测试通过
+    #i = api.exit()
+    
+    # 获取交易日，测试通过
+    #day = api.getTradingDay()
+    #print 'Trading Day is:' + str(day)
+    #sleep(0.5)
+    
+    # 订阅L2合约，测试通过
+    subReq = {}
+    subReq['InstrumentID'] = '510050'
+    subReq['ExchangeID'] = 'SSE'
+    i = api.subscribeL2MarketData(subReq)
+    
+    ## 退订L2合约，测试通过
+    #i = api.unSubscribeL2MarketData(subReq)
+    
+    ## 订阅L2指数，测试通过
+    #subReq = {}
+    #subReq['InstrumentID'] = '000300'
+    #subReq['ExchangeID'] = 'SSE'
+    #i = api.subscribeL2Index(subReq)
+    
+    ## 退订L2合约，测试通过
+    #i = api.unSubscribeL2Index(subReq)    
+    
+    # 订阅L2报单和成交，测试提示无此权限
+    i = api.subscribeL2OrderAndTrade()
+    
+    # 退订L2报单和成交，测试通过
+    i = api.unSubscribeL2OrderAndTrade()
+    
+    # 连续运行，用于输出行情
+    app.exec_()
+    
+    
+    
+if __name__ == '__main__':
+    main()

vn.lts/vnltsl2/vnltsl2/ReadMe.txt

@@ -0,0 +1,32 @@
+========================================================================
+    动态链接库：vnltsl2 项目概述
+========================================================================
+
+应用程序向导已为您创建了此 vnltsl2 DLL。
+
+本文件概要介绍组成 vnltsl2 应用程序的每个文件的内容。
+
+
+vnltsl2.vcxproj
+    这是使用应用程序向导生成的 VC++ 项目的主项目文件，其中包含生成该文件的 Visual C++ 的版本信息，以及有关使用应用程序向导选择的平台、配置和项目功能的信息。
+
+vnltsl2.vcxproj.filters
+    这是使用“应用程序向导”生成的 VC++ 项目筛选器文件。它包含有关项目文件与筛选器之间的关联信息。在 IDE 中，通过这种关联，在特定节点下以分组形式显示具有相似扩展名的文件。例如，“.cpp”文件与“源文件”筛选器关联。
+
+vnltsl2.cpp
+    这是主 DLL 源文件。
+
+	此 DLL 在创建时不导出任何符号。因此，生成时不会产生 .lib 文件。如果希望此项目成为其他某个项目的项目依赖项，则需要添加代码以从 DLL 导出某些符号，以便产生一个导出库，或者，也可以在项目“属性页”对话框中的“链接器”文件夹中，将“常规”属性页上的“忽略输入库”属性设置为“是”。
+
+/////////////////////////////////////////////////////////////////////////////
+其他标准文件:
+
+StdAfx.h, StdAfx.cpp
+    这些文件用于生成名为 vnltsl2.pch 的预编译头 (PCH) 文件和名为 StdAfx.obj 的预编译类型文件。
+
+/////////////////////////////////////////////////////////////////////////////
+其他注释:
+
+应用程序向导使用“TODO:”注释来指示应添加或自定义的源代码部分。
+
+/////////////////////////////////////////////////////////////////////////////

vn.lts/vnltsl2/vnltsl2/dllmain.cpp

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

vn.lts/vnltsl2/vnltsl2/stdafx.cpp

@@ -0,0 +1,8 @@
+// stdafx.cpp : 只包括标准包含文件的源文件
+// vnltsl2.pch 将作为预编译头
+// stdafx.obj 将包含预编译类型信息
+
+#include "stdafx.h"
+
+// TODO:  在 STDAFX.H 中
+// 引用任何所需的附加头文件，而不是在此文件中引用

vn.lts/vnltsl2/vnltsl2/stdafx.h

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

vn.lts/vnltsl2/vnltsl2/targetver.h

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

vn.lts/vnltsl2/vnltsl2/vnltsl2.h

@@ -0,0 +1,347 @@
+//说明部分
+
+//系统
+#include "stdafx.h"
+#include <string>
+#include <queue>
+
+//Boost
+#define BOOST_PYTHON_STATIC_LIB
+#include <boost/python/module.hpp>	//python封装
+#include <boost/python/def.hpp>		//python封装
+#include <boost/python/dict.hpp>	//python封装
+#include <boost/python/object.hpp>	//python封装
+#include <boost/python.hpp>			//python封装
+#include <boost/thread.hpp>			//任务队列的线程功能
+#include <boost/bind.hpp>			//任务队列的线程功能
+#include <boost/any.hpp>			//任务队列的任务实现
+
+//API
+#include "SecurityFtdcL2MDUserApi.h"
+_USING_LTS_NS_
+
+//命名空间
+using namespace std;
+using namespace boost::python;
+using namespace boost;
+
+//常量
+#define ONFRONTCONNECTED 1
+#define ONFRONTDISCONNECTED 2
+#define ONHEARTBEATWARNING 3
+#define ONRSPERROR 4
+#define ONRSPUSERLOGIN 5
+#define ONRSPUSERLOGOUT 6
+#define ONRSPSUBL2MARKETDATA 7
+#define ONRSPUNSUBL2MARKETDATA 8
+#define ONRSPSUBL2INDEX 9
+#define ONRSPUNSUBL2INDEX 10
+#define ONRTNL2MARKETDATA 11
+#define ONRTNL2INDEX 12
+#define ONRSPSUBL2ORDERANDTRADE 13
+#define ONRSPUNSUBL2ORDERANDTRADE 14
+#define ONRTNL2ORDER 15
+#define ONRTNL2TRADE 16
+#define ONNTFCHECKORDERLIST 17
+
+
+
+///-------------------------------------------------------------------------------------
+///API中的部分组件
+///-------------------------------------------------------------------------------------
+
+//GIL全局锁简化获取用，
+//用于帮助C++线程获得GIL锁，从而防止python崩溃
+class PyLock
+{
+private:
+	PyGILState_STATE gil_state;
+
+public:
+	//在某个函数方法中创建该对象时，获得GIL锁
+	PyLock()
+	{
+		gil_state = PyGILState_Ensure();
+	}
+
+	//在某个函数完成后销毁该对象时，解放GIL锁
+	~PyLock()
+	{
+		PyGILState_Release(gil_state);
+	}
+};
+
+
+//任务结构体
+struct Task
+{
+	int task_name;		//回调函数名称对应的常量
+	any task_data;		//数据结构体
+	any task_error;		//错误结构体
+	int task_id;		//请求id
+	bool task_last;		//是否为最后返回
+};
+
+
+///线程安全的队列
+template<typename Data>
+
+class ConcurrentQueue
+{
+private:
+	queue<Data> the_queue;								//标准库队列
+	mutable mutex the_mutex;							//boost互斥锁
+	condition_variable the_condition_variable;			//boost条件变量
+
+public:
+
+	//存入新的任务
+	void push(Data const& data)
+	{
+		mutex::scoped_lock lock(the_mutex);				//获取互斥锁
+		the_queue.push(data);							//向队列中存入数据
+		lock.unlock();									//释放锁
+		the_condition_variable.notify_one();			//通知正在阻塞等待的线程
+	}
+
+	//检查队列是否为空
+	bool empty() const
+	{
+		mutex::scoped_lock lock(the_mutex);
+		return the_queue.empty();
+	}
+
+	//取出
+	Data wait_and_pop()
+	{
+		mutex::scoped_lock lock(the_mutex);
+
+		while (the_queue.empty())						//当队列为空时
+		{
+			the_condition_variable.wait(lock);			//等待条件变量通知
+		}
+
+		Data popped_value = the_queue.front();			//获取队列中的最后一个任务
+		the_queue.pop();								//删除该任务
+		return popped_value;							//返回该任务
+	}
+
+};
+
+
+//从字典中获取某个建值对应的整数，并赋值到请求结构体对象的值上
+void getInt(dict d, string key, int* value);
+
+
+//从字典中获取某个建值对应的浮点数，并赋值到请求结构体对象的值上
+void getDouble(dict d, string key, double* value);
+
+
+//从字典中获取某个建值对应的字符串，并赋值到请求结构体对象的值上
+void getChar(dict d, string key, char* value);
+
+///-------------------------------------------------------------------------------------
+///C++ SPI的回调函数方法实现
+///-------------------------------------------------------------------------------------
+
+//API的继承实现
+class L2MdApi : public CSecurityFtdcL2MDUserSpi
+{
+private:
+	CSecurityFtdcL2MDUserApi* 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:
+	L2MdApi()
+	{
+		function0<void> f = boost::bind(&L2MdApi::processTask, this);
+		thread t(f);
+		this->task_thread = &t;
+	};
+
+	~L2MdApi()
+	{
+	};
+
+	//-------------------------------------------------------------------------------------
+	//API回调函数
+	//-------------------------------------------------------------------------------------
+
+	///当客户端与交易后台建立起通信连接时（还未登录前），该方法被调用。
+	virtual void OnFrontConnected();
+
+	///当客户端与交易后台通信连接断开时，该方法被调用。当发生这个情况后，API会自动重新连接，客户端可不做处理。
+	///@param nReason 错误原因
+	///        0x1001 网络读失败
+	///        0x1002 网络写失败
+	///        0x2001 接收心跳超时
+	///        0x2002 发送心跳失败
+	///        0x2003 收到错误报文
+	virtual void OnFrontDisconnected(int nReason);
+
+	///心跳超时警告
+	virtual void OnHeartBeatWarning(int nTimeLapse);
+
+	///错误应答
+	virtual void OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) ;
+
+	///登录请求响应
+	virtual void OnRspUserLogin(CSecurityFtdcUserLoginField *pUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) ;
+
+	///登出请求响应
+	virtual void OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) ;
+
+	///订阅Level2行情应答
+	virtual void OnRspSubL2MarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) ;
+
+	///取消订阅Level2行情应答
+	virtual void OnRspUnSubL2MarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) ;
+
+	///订阅Level2指数行情应答
+	virtual void OnRspSubL2Index(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) ;
+
+	///取消订阅Level2指数行情应答
+	virtual void OnRspUnSubL2Index(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) ;
+
+	///Level2行情通知
+	virtual void OnRtnL2MarketData(CSecurityFtdcL2MarketDataField *pL2MarketData) ;
+
+	///Level2指数行情通知
+	virtual void OnRtnL2Index(CSecurityFtdcL2IndexField *pL2Index) ;
+
+	///订阅逐笔委托及成交应答
+	virtual void OnRspSubL2OrderAndTrade(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) ;
+
+	///取消订阅逐笔委托及成交应答
+	virtual void OnRspUnSubL2OrderAndTrade(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) ;
+
+	///Level2委托通知
+	virtual void OnRtnL2Order(CSecurityFtdcL2OrderField *pL2Order) ;
+
+	///Level2成交通知
+	virtual void OnRtnL2Trade(CSecurityFtdcL2TradeField *pL2Trade) ;
+
+	///通知清理SSE买卖一队列中数量为0的报单
+	virtual void OnNtfCheckOrderList(TSecurityFtdcInstrumentIDType InstrumentID, TSecurityFtdcFunctionCodeType FunctionCode) ;
+
+
+	//-------------------------------------------------------------------------------------
+	//task：任务
+	//-------------------------------------------------------------------------------------
+
+	void processTask();
+
+	void processFrontConnected(Task task);
+
+	void processFrontDisconnected(Task task);
+
+	void processHeartBeatWarning(Task task);
+
+	void processRspError(Task task);
+
+	void processRspUserLogin(Task task);
+
+	void processRspUserLogout(Task task);
+
+	void processRspSubL2MarketData(Task task);
+
+	void processRspUnSubL2MarketData(Task task);
+
+	void processRspSubL2Index(Task task);
+
+	void processRspUnSubL2Index(Task task);
+
+	void processRtnL2MarketData(Task task);
+
+	void processRtnL2Index(Task task);
+
+	void processRspSubL2OrderAndTrade(Task task);
+
+	void processRspUnSubL2OrderAndTrade(Task task);
+
+	void processRtnL2Order(Task task);
+
+	void processRtnL2Trade(Task task);
+
+	void processNtfCheckOrderList(Task task);
+
+
+	//-------------------------------------------------------------------------------------
+	//data：回调函数的数据字典
+	//error：回调函数的错误字典
+	//id：请求id
+	//last：是否为最后返回
+	//i：整数
+	//-------------------------------------------------------------------------------------
+
+	virtual void onFrontConnected(){};
+
+	virtual void onFrontDisconnected(int i){};
+
+	virtual void onHeartBeatWarning(int i){};
+
+	virtual void onRspError(dict error, int id, bool last) {};
+
+	virtual void onRspUserLogin(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspUserLogout(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspSubL2MarketData(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspUnSubL2MarketData(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspSubL2Index(dict data, dict error, int id, bool last) {};
+
+	virtual void onRspUnSubL2Index(dict data, dict error, int id, bool last) {};
+
+	virtual void onRtnL2MarketData(dict data) {};
+
+	virtual void onRtnL2Index(dict data) {};
+
+	virtual void onRspSubL2OrderAndTrade(dict error, int id, bool last) {};
+
+	virtual void onRspUnSubL2OrderAndTrade(dict error, int id, bool last) {};
+
+	virtual void onRtnL2Order(dict data) {};
+
+	virtual void onRtnL2Trade(dict data) {};
+
+	virtual void onNtfCheckOrderList(string instrumentID, string functionCode) {};
+
+
+	//-------------------------------------------------------------------------------------
+	//req:主动函数的请求字典
+	//-------------------------------------------------------------------------------------
+
+	void createFtdcL2MDUserApi(string pszFlowPath = "");
+
+	void release();
+
+	void init();
+
+	int join();
+
+	int exit();
+
+	string getTradingDay();
+
+	void registerFront(string pszFrontAddress);
+
+	int subscribeL2MarketData(dict req);
+
+	int unSubscribeL2MarketData(dict req);
+
+	int subscribeL2Index(dict req);
+
+	int unSubscribeL2Index(dict req);
+
+	int subscribeL2OrderAndTrade();
+
+	int unSubscribeL2OrderAndTrade();
+
+	int reqUserLogin(dict req, int nRequestID);
+
+	int reqUserLogout(dict req, int nRequestID);
+};
+