//说明部分 /* 由于CTP API中和资金转账相关的函数太多， 同时也已经有大量的客户端支持这些功能， 因此在这个Python封装中暂时选择只支持交易功能 */ //系统 #include "stdafx.h" #include #include //Boost #define BOOST_PYTHON_STATIC_LIB #include //python封装 #include //python封装 #include //python封装 #include //python封装 #include //python封装 #include //任务队列的线程功能 #include //任务队列的线程功能 #include //任务队列的任务实现 //API #include "USTPFtdcTraderApi.h" //命名空间 using namespace std; using namespace boost::python; using namespace boost; //常量 #define ONFRONTCONNECTED 1 #define ONFRONTDISCONNECTED 2 #define ONHEARTBEATWARNING 3 #define ONPACKAGESTART 4 #define ONPACKAGEEND 5 #define ONRSPERROR 6 #define ONRSPUSERLOGIN 7 #define ONRSPUSERLOGOUT 8 #define ONRSPUSERPASSWORDUPDATE 9 #define ONRSPORDERINSERT 10 #define ONRSPORDERACTION 11 #define ONRTNFLOWMESSAGECANCEL 12 #define ONRTNTRADE 13 #define ONRTNORDER 14 #define ONERRRTNORDERINSERT 15 #define ONERRRTNORDERACTION 16 #define ONRTNINSTRUMENTSTATUS 17 #define ONRTNINVESTORACCOUNTDEPOSIT 18 #define ONRSPQRYORDER 19 #define ONRSPQRYTRADE 20 #define ONRSPQRYUSERINVESTOR 21 #define ONRSPQRYTRADINGCODE 22 #define ONRSPQRYINVESTORACCOUNT 23 #define ONRSPQRYINSTRUMENT 24 #define ONRSPQRYEXCHANGE 25 #define ONRSPQRYINVESTORPOSITION 26 #define ONRSPSUBSCRIBETOPIC 27 #define ONRSPQRYCOMPLIANCEPARAM 28 #define ONRSPQRYTOPIC 29 #define ONRSPQRYINVESTORFEE 30 #define ONRSPQRYINVESTORMARGIN 31 ///------------------------------------------------------------------------------------- ///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 class ConcurrentQueue { private: queue the_queue; //标准库队列 mutable mutex the_mutex; //boost互斥锁 condition_variable the_condition_variable; //boost条件变量 public: //存入新的任务 void push(Data const& data) { mutex::scoped_lock lock(the_mutex); //获取互斥锁 the_queue.push(data); //向队列中存入数据 lock.unlock(); //释放锁 the_condition_variable.notify_one(); //通知正在阻塞等待的线程 } //检查队列是否为空 bool empty() const { mutex::scoped_lock lock(the_mutex); return the_queue.empty(); } //取出 Data wait_and_pop() { mutex::scoped_lock lock(the_mutex); while (the_queue.empty()) //当队列为空时 { the_condition_variable.wait(lock); //等待条件变量通知 } Data popped_value = the_queue.front(); //获取队列中的最后一个任务 the_queue.pop(); //删除该任务 return popped_value; //返回该任务 } }; //从字典中获取某个建值对应的整数，并赋值到请求结构体对象的值上 void getInt(dict d, string key, int* value); //从字典中获取某个建值对应的浮点数，并赋值到请求结构体对象的值上 void getDouble(dict d, string key, double* value); //从字典中获取某个建值对应的字符串，并赋值到请求结构体对象的值上 void getChar(dict d, string key, char* value); ///------------------------------------------------------------------------------------- ///C++ SPI的回调函数方法实现 ///------------------------------------------------------------------------------------- //API的继承实现 class TdApi : public CUstpFtdcTraderSpi { private: CUstpFtdcTraderApi* api; //API对象 thread *task_thread; //工作线程指针（向python中推送数据） ConcurrentQueue task_queue; //任务队列 public: TdApi() { function0 f = boost::bind(&TdApi::processTask, this); thread t(f); this->task_thread = &t; }; ~TdApi() { }; //------------------------------------------------------------------------------------- //API回调函数 //------------------------------------------------------------------------------------- ///当客户端与交易后台建立起通信连接时（还未登录前），该方法被调用。 virtual void OnFrontConnected(); ///当客户端与交易后台通信连接断开时，该方法被调用。当发生这个情况后，API会自动重新连接，客户端可不做处理。 ///@param nReason 错误原因 /// 0x1001 网络读失败 /// 0x1002 网络写失败 /// 0x2001 接收心跳超时 /// 0x2002 发送心跳失败 /// 0x2003 收到错误报文 virtual void OnFrontDisconnected(int nReason); ///心跳超时警告。当长时间未收到报文时，该方法被调用。 ///@param nTimeLapse 距离上次接收报文的时间 virtual void OnHeartBeatWarning(int nTimeLapse); ///报文回调开始通知。当API收到一个报文后，首先调用本方法，然后是各数据域的回调，最后是报文回调结束通知。 ///@param nTopicID 主题代码（如私有流、公共流、行情流等） ///@param nSequenceNo 报文序号 virtual void OnPackageStart(int nTopicID, int nSequenceNo); ///报文回调结束通知。当API收到一个报文后，首先调用报文回调开始通知，然后是各数据域的回调，最后调用本方法。 ///@param nTopicID 主题代码（如私有流、公共流、行情流等） ///@param nSequenceNo 报文序号 virtual void OnPackageEnd(int nTopicID, int nSequenceNo); ///错误应答 virtual void OnRspError(CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///风控前置系统用户登录应答 virtual void OnRspUserLogin(CUstpFtdcRspUserLoginField *pRspUserLogin, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///用户退出应答 virtual void OnRspUserLogout(CUstpFtdcRspUserLogoutField *pRspUserLogout, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///用户密码修改应答 virtual void OnRspUserPasswordUpdate(CUstpFtdcUserPasswordUpdateField *pUserPasswordUpdate, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///报单录入应答 virtual void OnRspOrderInsert(CUstpFtdcInputOrderField *pInputOrder, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///报单操作应答 virtual void OnRspOrderAction(CUstpFtdcOrderActionField *pOrderAction, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///数据流回退通知 virtual void OnRtnFlowMessageCancel(CUstpFtdcFlowMessageCancelField *pFlowMessageCancel); ///成交回报 virtual void OnRtnTrade(CUstpFtdcTradeField *pTrade); ///报单回报 virtual void OnRtnOrder(CUstpFtdcOrderField *pOrder); ///报单录入错误回报 virtual void OnErrRtnOrderInsert(CUstpFtdcInputOrderField *pInputOrder, CUstpFtdcRspInfoField *pRspInfo); ///报单操作错误回报 virtual void OnErrRtnOrderAction(CUstpFtdcOrderActionField *pOrderAction, CUstpFtdcRspInfoField *pRspInfo); ///合约交易状态通知 virtual void OnRtnInstrumentStatus(CUstpFtdcInstrumentStatusField *pInstrumentStatus); ///账户出入金回报 virtual void OnRtnInvestorAccountDeposit(CUstpFtdcInvestorAccountDepositResField *pInvestorAccountDepositRes); ///报单查询应答 virtual void OnRspQryOrder(CUstpFtdcOrderField *pOrder, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///成交单查询应答 virtual void OnRspQryTrade(CUstpFtdcTradeField *pTrade, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///可用投资者账户查询应答 virtual void OnRspQryUserInvestor(CUstpFtdcRspUserInvestorField *pRspUserInvestor, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///交易编码查询应答 virtual void OnRspQryTradingCode(CUstpFtdcRspTradingCodeField *pRspTradingCode, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///投资者资金账户查询应答 virtual void OnRspQryInvestorAccount(CUstpFtdcRspInvestorAccountField *pRspInvestorAccount, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///合约查询应答 virtual void OnRspQryInstrument(CUstpFtdcRspInstrumentField *pRspInstrument, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///交易所查询应答 virtual void OnRspQryExchange(CUstpFtdcRspExchangeField *pRspExchange, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///投资者持仓查询应答 virtual void OnRspQryInvestorPosition(CUstpFtdcRspInvestorPositionField *pRspInvestorPosition, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///订阅主题应答 virtual void OnRspSubscribeTopic(CUstpFtdcDisseminationField *pDissemination, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///合规参数查询应答 virtual void OnRspQryComplianceParam(CUstpFtdcRspComplianceParamField *pRspComplianceParam, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///主题查询应答 virtual void OnRspQryTopic(CUstpFtdcDisseminationField *pDissemination, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///投资者手续费率查询应答 virtual void OnRspQryInvestorFee(CUstpFtdcInvestorFeeField *pInvestorFee, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///投资者保证金率查询应答 virtual void OnRspQryInvestorMargin(CUstpFtdcInvestorMarginField *pInvestorMargin, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); //------------------------------------------------------------------------------------- //task：任务 //------------------------------------------------------------------------------------- void processTask(); void processFrontConnected(Task task); void processFrontDisconnected(Task task); void processHeartBeatWarning(Task task); //void processPackageStart(Task task); //void processPackageEnd(Task task); void processRspError(Task task); void processRspUserLogin(Task task); void processRspUserLogout(Task task); void processRspUserPasswordUpdate(Task task); void processRspOrderInsert(Task task); void processRspOrderAction(Task task); void processRtnFlowMessageCancel(Task task); void processRtnTrade(Task task); void processRtnOrder(Task task); void processErrRtnOrderInsert(Task task); void processErrRtnOrderAction(Task task); void processRtnInstrumentStatus(Task task); void processRtnInvestorAccountDeposit(Task task); void processRspQryOrder(Task task); void processRspQryTrade(Task task); void processRspQryUserInvestor(Task task); void processRspQryTradingCode(Task task); void processRspQryInvestorAccount(Task task); void processRspQryInstrument(Task task); void processRspQryExchange(Task task); void processRspQryInvestorPosition(Task task); void processRspSubscribeTopic(Task task); void processRspQryComplianceParam(Task task); void processRspQryTopic(Task task); void processRspQryInvestorFee(Task task); void processRspQryInvestorMargin(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 onRspUserPasswordUpdate(dict data, dict error, int id, bool last) {}; virtual void onRspOrderInsert(dict data, dict error, int id, bool last) {}; virtual void onRspOrderAction(dict data, dict error, int id, bool last) {}; virtual void onRtnFlowMessageCancel(dict data) {}; virtual void onRtnTrade(dict data) {}; virtual void onRtnOrder(dict data) {}; virtual void onErrRtnOrderInsert(dict data, dict error) {}; virtual void onErrRtnOrderAction(dict data, dict error) {}; virtual void onRtnInstrumentStatus(dict data) {}; virtual void onRtnInvestorAccountDeposit(dict data) {}; virtual void onRspQryOrder(dict data, dict error, int id, bool last) {}; virtual void onRspQryTrade(dict data, dict error, int id, bool last) {}; virtual void onRspQryUserInvestor(dict data, dict error, int id, bool last) {}; virtual void onRspQryTradingCode(dict data, dict error, int id, bool last) {}; virtual void onRspQryInvestorAccount(dict data, dict error, int id, bool last) {}; virtual void onRspQryInstrument(dict data, dict error, int id, bool last) {}; virtual void onRspQryExchange(dict data, dict error, int id, bool last) {}; virtual void onRspQryInvestorPosition(dict data, dict error, int id, bool last) {}; virtual void onRspSubscribeTopic(dict data, dict error, int id, bool last) {}; virtual void onRspQryComplianceParam(dict data, dict error, int id, bool last) {}; virtual void onRspQryTopic(dict data, dict error, int id, bool last) {}; virtual void onRspQryInvestorFee(dict data, dict error, int id, bool last) {}; virtual void onRspQryInvestorMargin(dict data, dict error, int id, bool last) {}; //------------------------------------------------------------------------------------- //req:主动函数的请求字典 //------------------------------------------------------------------------------------- void createFtdcTraderApi(string pszFlowPath = ""); void release(); void init(); int join(); int exit(); string getTradingDay(); void registerFront(string pszFrontAddress); void registerNameServer(string pszNsAddress); int registerCertificateFile(string pszCertFileName, string pszKeyFileName, string pszCaFileName, string pszKeyFilePassword); void subscribePrivateTopic(int nType); void subscribePublicTopic(int nType); void subscribeUserTopic(int nType); void setHeartbeatTimeout(int timeout); int openRequestLog(string pszReqLogFileName); int openResponseLog(string pszReqLogFileName); int reqUserLogin(dict req, int nRequestID); int reqUserLogout(dict req, int nRequestID); int reqUserPasswordUpdate(dict req, int nRequestID); int reqOrderInsert(dict req, int nRequestID); int reqOrderAction(dict req, int nRequestID); int reqQryOrder(dict req, int nRequestID); int reqQryTrade(dict req, int nRequestID); int reqQryUserInvestor(dict req, int nRequestID); int reqQryTradingCode(dict req, int nRequestID); int reqQryInvestorAccount(dict req, int nRequestID); int reqQryInstrument(dict req, int nRequestID); int reqQryExchange(dict req, int nRequestID); int reqQryInvestorPosition(dict req, int nRequestID); int reqSubscribeTopic(dict req, int nRequestID); int reqQryComplianceParam(dict req, int nRequestID); int reqQryTopic(dict req, int nRequestID); int reqQryInvestorFee(dict req, int nRequestID); int reqQryInvestorMargin(dict req, int nRequestID); };