273 lines
7.0 KiB
C++
273 lines
7.0 KiB
C++
//说明部分
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//系统
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#include "stdafx.h"
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#include <string>
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#include <queue>
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//Boost
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#define BOOST_PYTHON_STATIC_LIB
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#include <boost/python/module.hpp> //python封装
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#include <boost/python/def.hpp> //python封装
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#include <boost/python/dict.hpp> //python封装
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#include <boost/python/object.hpp> //python封装
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#include <boost/python.hpp> //python封装
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#include <boost/thread.hpp> //任务队列的线程功能
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#include <boost/bind.hpp> //任务队列的线程功能
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#include <boost/any.hpp> //任务队列的任务实现
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//API
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#include "SecurityFtdcMdApi.h"
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//命名空间
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using namespace std;
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using namespace boost::python;
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using namespace boost;
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//常量
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#define ONFRONTCONNECTED 0
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#define ONFRONTDISCONNECTED 1
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#define ONHEARTBEATWARNING 2
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#define ONRSPERROR 3
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#define ONRSPUSERLOGIN 4
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#define ONRSPUSERLOGOUT 5
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#define ONRSPSUBMARKETDATA 6
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#define ONRSPUNSUBMARKETDATA 7
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#define ONRTNDEPTHMARKETDATA 8
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#define EXIT 0
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///-------------------------------------------------------------------------------------
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///API中的部分组件
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///-------------------------------------------------------------------------------------
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//GIL全局锁简化获取用，
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//用于帮助C++线程获得GIL锁，从而防止python崩溃
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class PyLock
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{
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private:
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PyGILState_STATE gil_state;
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public:
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//在某个函数方法中创建该对象时，获得GIL锁
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PyLock()
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{
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gil_state = PyGILState_Ensure();
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}
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//在某个函数完成后销毁该对象时，解放GIL锁
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~PyLock()
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{
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PyGILState_Release(gil_state);
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}
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};
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//任务结构体
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struct Task
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{
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int task_name; //回调函数名称对应的常量
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any task_data; //数据结构体
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any task_error; //错误结构体
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int task_id; //请求id
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bool task_last; //是否为最后返回
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};
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///线程安全的队列
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template<typename Data>
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class ConcurrentQueue
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{
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private:
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queue<Data> the_queue; //标准库队列
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mutable mutex the_mutex; //boost互斥锁
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condition_variable the_condition_variable; //boost条件变量
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public:
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//存入新的任务
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void push(Data const& data)
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{
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mutex::scoped_lock lock(the_mutex); //获取互斥锁
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the_queue.push(data); //向队列中存入数据
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lock.unlock(); //释放锁
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the_condition_variable.notify_one(); //通知正在阻塞等待的线程
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}
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//检查队列是否为空
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bool empty() const
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{
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mutex::scoped_lock lock(the_mutex);
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return the_queue.empty();
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}
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//取出
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Data wait_and_pop()
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{
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mutex::scoped_lock lock(the_mutex);
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while (the_queue.empty()) //当队列为空时
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{
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the_condition_variable.wait(lock); //等待条件变量通知
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}
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Data popped_value = the_queue.front(); //获取队列中的最后一个任务
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the_queue.pop(); //删除该任务
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return popped_value; //返回该任务
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}
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};
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//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
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void getInt(dict d, string key, int* value);
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//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
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void getDouble(dict d, string key, double* value);
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//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
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void getChar(dict d, string key, char* value);
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///-------------------------------------------------------------------------------------
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///C++ SPI的回调函数方法实现
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///-------------------------------------------------------------------------------------
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//API的继承实现
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class MdApi : public CSecurityFtdcMdSpi
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{
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private:
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CSecurityFtdcMdApi* api; //API对象
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thread *task_thread; //工作线程指针（向python中推送数据）
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ConcurrentQueue<Task> task_queue; //任务队列
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public:
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MdApi()
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{
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function0<void> f = boost::bind(&MdApi::processTask, this);
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thread t(f);
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this->task_thread = &t;
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};
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~MdApi()
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{
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};
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//-------------------------------------------------------------------------------------
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//API回调函数
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//-------------------------------------------------------------------------------------
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//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。
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virtual void OnFrontConnected();
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//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。
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//@param nReason 错误原因
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// 0x1001 网络读失败
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// 0x1002 网络写失败
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// 0x2001 接收心跳超时
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// 0x2002 发送心跳失败
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// 0x2003 收到错误报文
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virtual void OnFrontDisconnected(int nReason);
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//心跳超时警告。当长时间未收到报文时，该方法被调用。
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//@param nTimeLapse 距离上次接收报文的时间
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virtual void OnHeartBeatWarning(int nTimeLapse);
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//错误应答
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virtual void OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
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//登录请求响应
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virtual void OnRspUserLogin(CSecurityFtdcRspUserLoginField *pRspUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
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//登出请求响应
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virtual void OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
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//订阅行情应答
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virtual void OnRspSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
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//取消订阅行情应答
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virtual void OnRspUnSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
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//深度行情通知
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virtual void OnRtnDepthMarketData(CSecurityFtdcDepthMarketDataField *pDepthMarketData);
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//-------------------------------------------------------------------------------------
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//task：任务
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//-------------------------------------------------------------------------------------
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void processTask();
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void processFrontConnected(Task task);
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void processFrontDisconnected(Task task);
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void processHeartBeatWarning(Task task);
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void processRspError(Task task);
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void processRspUserLogin(Task task);
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void processRspUserLogout(Task task);
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void processRspSubMarketData(Task task);
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void processRspUnSubMarketData(Task task);
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void processRtnDepthMarketData(Task task);
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//-------------------------------------------------------------------------------------
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//data：回调函数的数据字典
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//error：回调函数的错误字典
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//id：请求id
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//last：是否为最后返回
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//i：整数
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//-------------------------------------------------------------------------------------
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virtual void onFrontConnected(){};
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virtual void onFrontDisconnected(int i){};
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virtual void onHeartBeatWarning(int i){};
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virtual void onRspError(dict data, int id, bool last) {};
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virtual void onRspUserLogin(dict data, dict error, int id, bool last) {};
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virtual void onRspUserLogout(dict data, dict error, int id, bool last) {};
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virtual void onRspSubMarketData(dict data, dict error, int id, bool last) {};
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virtual void onRspUnSubMarketData(dict data, dict error, int id, bool last) {};
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virtual void onRtnDepthMarketData(dict data) {};
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//-------------------------------------------------------------------------------------
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//req:主动函数的请求字典
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//-------------------------------------------------------------------------------------
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void createFtdcMdApi(string pszFlowPath = "");
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void release();
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void init();
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int join();
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string getTradingDay();
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void registerFront(string pszFrontAddress);
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int subscribeMarketData(dict req);
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int unSubscribeMarketData(dict req);
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int reqUserLogin(dict req, int nRequestID);
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int reqUserLogout(dict req, int nRequestID);
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};
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