347 lines
9.5 KiB
C++
347 lines
9.5 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 "DFITCMdApi.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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using namespace DFITCXSPEEDMDAPI;
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//常量
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#define ONFRONTCONNECTED 1
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#define ONFRONTDISCONNECTED 2
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#define ONRSPUSERLOGIN 3
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#define ONRSPUSERLOGOUT 4
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#define ONRSPERROR 5
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#define ONRSPSUBMARKETDATA 6
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#define ONRSPUNSUBMARKETDATA 7
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#define ONRSPSUBFORQUOTERSP 8
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#define ONRSPUNSUBFORQUOTERSP 9
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#define ONMARKETDATA 10
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#define ONCUSTOMMARKETDATA 11
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#define ONRTNFORQUOTERSP 12
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#define ONRSPTRADINGDAY 13
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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单字符，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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//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 getString(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 DFITCMdSpi
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{
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private:
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DFITCMdApi* 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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/**
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* 网络连接正常响应
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*/
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virtual void OnFrontConnected();
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/**
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* 网络连接不正常响应
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*/
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virtual void OnFrontDisconnected(int nReason);
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/**
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* 登陆请求响应:当用户发出登录请求后，前置机返回响应时此方法会被调用，通知用户登录是否成功。
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* @param pRspUserLogin:用户登录信息结构地址。
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* @param pRspInfo:若请求失败，返回错误信息地址，该结构含有错误信息。
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*/
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virtual void OnRspUserLogin(struct DFITCUserLoginInfoRtnField * pRspUserLogin, struct DFITCErrorRtnField * pRspInfo);
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/**
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* 登出请求响应:当用户发出退出请求后，前置机返回响应此方法会被调用，通知用户退出状态。
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* @param pRspUsrLogout:返回用户退出信息结构地址。
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* @param pRspInfo:若请求失败，返回错误信息地址。
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*/
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virtual void OnRspUserLogout(struct DFITCUserLogoutInfoRtnField * pRspUsrLogout, struct DFITCErrorRtnField * pRspInfo);
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/**
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* 错误应答
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* @param pRspInfo:错误信息地址。
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*/
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virtual void OnRspError(struct DFITCErrorRtnField *pRspInfo);
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/**
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* 行情订阅应答:当用户发出行情订阅该方法会被调用。
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* @param pSpecificInstrument:指向合约响应结构，该结构包含合约的相关信息。
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* @param pRspInfo:错误信息，如果发生错误，该结构含有错误信息。
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*/
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virtual void OnRspSubMarketData(struct DFITCSpecificInstrumentField * pSpecificInstrument, struct DFITCErrorRtnField * pRspInfo);
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/**
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* 取消订阅行情应答:当用户发出退订请求后该方法会被调用。
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* @param pSpecificInstrument:指向合约响应结构，该结构包含合约的相关信息。
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* @param pRspInfo:错误信息，如果发生错误，该结构含有错误信息。
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*/
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virtual void OnRspUnSubMarketData(struct DFITCSpecificInstrumentField * pSpecificInstrument, struct DFITCErrorRtnField * pRspInfo);
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/**
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* 订阅询价应答
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* @param pSpecificInstrument:指向合约响应结构，该结构包含合约的相关信息。
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* @param pRspInfo:错误信息，如果发生错误，该结构含有错误信息。
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*/
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virtual void OnRspSubForQuoteRsp(struct DFITCSpecificInstrumentField * pSpecificInstrument, struct DFITCErrorRtnField * pRspInfo);
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/**
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* 取消订阅询价应答
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* @param pSpecificInstrument:指向合约响应结构，该结构包含合约的相关信息。
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* @param pRspInfo:错误信息，如果发生错误，该结构含有错误信息。
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*/
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virtual void OnRspUnSubForQuoteRsp(struct DFITCSpecificInstrumentField * pSpecificInstrument, struct DFITCErrorRtnField * pRspInfo);
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/**
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* 行情消息应答:如果订阅行情成功且有行情返回时，该方法会被调用。
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* @param pMarketDataField:指向行情信息结构的指针，结构体中包含具体的行情信息。
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*/
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virtual void OnMarketData(struct DFITCDepthMarketDataField * pMarketDataField);
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/**
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* 自定义组合行情消息应答:如果订阅行情成功且有行情返回时，该方法会被调用。
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* @param pMarketDataField:指向行情信息结构的指针，结构体中包含具体的行情信息。
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*/
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virtual void OnCustomMarketData(struct DFITCCustomMarketDataField * pMarketDataField);
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/**
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* 询价通知
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* @param pForQuoteField:指向询价信息结构的指针，结构体中包含具体的询价信息。
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*/
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virtual void OnRtnForQuoteRsp(struct DFITCQuoteSubscribeRtnField * pForQuoteField);
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/**
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* 交易日确认响应:用于接收交易日信息。
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* @param pTradingDayRtnData: 返回交易日请求确认响应结构的地址。
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*/
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virtual void OnRspTradingDay(struct DFITCTradingDayRtnField * pTradingDayRtnData);
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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 processRspUserLogin(Task task);
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void processRspUserLogout(Task task);
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void processRspError(Task task);
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void processRspSubMarketData(Task task);
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void processRspUnSubMarketData(Task task);
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void processRspSubForQuoteRsp(Task task);
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void processRspUnSubForQuoteRsp(Task task);
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void processMarketData(Task task);
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void processCustomMarketData(Task task);
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void processRtnForQuoteRsp(Task task);
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void processRspTradingDay(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 onRspUserLogin(dict data, dict error) {};
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virtual void onRspUserLogout(dict data, dict error) {};
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virtual void onRspError(dict error) {};
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virtual void onRspSubMarketData(dict data, dict error) {};
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virtual void onRspUnSubMarketData(dict data, dict error) {};
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virtual void onRspSubForQuoteRsp(dict data, dict error) {};
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virtual void onRspUnSubForQuoteRsp(dict data, dict error) {};
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virtual void onMarketData(dict data) {};
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virtual void onCustomMarketData(dict data) {};
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virtual void onRtnForQuoteRsp(dict data) {};
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virtual void onRspTradingDay(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 createDFITCMdApi();
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void release();
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void init(string pszSvrAddr);
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int exit();
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int subscribeMarketData(string instrumentID, int nRequestID);
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int unSubscribeMarketData(string instrumentID, int nRequestID);
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int subscribeForQuoteRsp(string instrumentID, int nRequestID);
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int unSubscribeForQuoteRsp(string instrumentID, int nRequestID);
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int reqUserLogin(dict req);
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int reqUserLogout(dict req);
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int reqTradingDay(dict req);
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};
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