663 lines
17 KiB
C++
663 lines
17 KiB
C++
// MdApi.cpp : 定义 DLL 应用程序的导出函数。
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//
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#include "stdafx.h"
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#include "vnltsmd.h"
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///-------------------------------------------------------------------------------------
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///从Python对象到C++类型转换用的函数
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///-------------------------------------------------------------------------------------
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void getInt(dict d, string key, int *value)
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{
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if (d.has_key(key)) //检查字典中是否存在该键值
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{
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object o = d[key]; //获取该键值
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extract<int> x(o); //创建提取器
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if (x.check()) //如果可以提取
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{
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*value = x(); //对目标整数指针赋值
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}
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}
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};
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void getDouble(dict d, string key, double *value)
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{
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if (d.has_key(key))
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{
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object o = d[key];
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extract<double> x(o);
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if (x.check())
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{
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*value = x();
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}
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}
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};
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void getChar(dict d, string key, char *value)
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{
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if (d.has_key(key))
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{
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object o = d[key];
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extract<string> x(o);
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if (x.check())
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{
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string s = x();
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const char *buffer = s.c_str();
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//对字符串指针赋值必须使用strcpy_s, vs2013使用strcpy编译通不过
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//+1应该是因为C++字符串的结尾符号？不是特别确定，不加这个1会出错
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strcpy_s(value, strlen(buffer) + 1, buffer);
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}
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}
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};
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///-------------------------------------------------------------------------------------
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///C++的回调函数将数据保存到队列中
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///-------------------------------------------------------------------------------------
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void MdApi::OnFrontConnected()
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{
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Task task = Task();
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task.task_name = ONFRONTCONNECTED;
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this->task_queue.push(task);
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};
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void MdApi::OnFrontDisconnected(int nReason)
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{
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Task task = Task();
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task.task_name = ONFRONTDISCONNECTED;
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task.task_id = nReason;
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this->task_queue.push(task);
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};
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void MdApi::OnHeartBeatWarning(int nTimeLapse)
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{
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Task task = Task();
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task.task_name = ONHEARTBEATWARNING;
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task.task_id = nTimeLapse;
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this->task_queue.push(task);
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};
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void MdApi::OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
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{
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Task task = Task();
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task.task_name = ONRSPERROR;
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if (pRspInfo)
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{
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task.task_error = *pRspInfo;
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}
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else
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{
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CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
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memset(&empty_error, 0, sizeof(empty_error));
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task.task_error = empty_error;
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}
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task.task_id = nRequestID;
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task.task_last = bIsLast;
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this->task_queue.push(task);
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};
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void MdApi::OnRspUserLogin(CSecurityFtdcRspUserLoginField *pRspUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
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{
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Task task = Task();
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task.task_name = ONRSPUSERLOGIN;
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task.task_data = *pRspUserLogin;
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if (pRspInfo)
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{
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task.task_error = *pRspInfo;
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}
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else
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{
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CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
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memset(&empty_error, 0, sizeof(empty_error));
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task.task_error = empty_error;
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}
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task.task_id = nRequestID;
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task.task_last = bIsLast;
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this->task_queue.push(task);
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};
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void MdApi::OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
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{
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Task task = Task();
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task.task_name = ONRSPUSERLOGOUT;
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task.task_data = *pUserLogout;
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if (pRspInfo)
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{
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task.task_error = *pRspInfo;
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}
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else
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{
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CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
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memset(&empty_error, 0, sizeof(empty_error));
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task.task_error = empty_error;
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}
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task.task_id = nRequestID;
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task.task_last = bIsLast;
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this->task_queue.push(task);
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};
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void MdApi::OnRspSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
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{
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Task task = Task();
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task.task_name = ONRSPSUBMARKETDATA;
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task.task_data = *pSpecificInstrument;
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if (pRspInfo)
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{
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task.task_error = *pRspInfo;
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}
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else
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{
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CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
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memset(&empty_error, 0, sizeof(empty_error));
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task.task_error = empty_error;
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}
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task.task_id = nRequestID;
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task.task_last = bIsLast;
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this->task_queue.push(task);
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};
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void MdApi::OnRspUnSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
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{
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Task task = Task();
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task.task_name = ONRSPUNSUBMARKETDATA;
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task.task_data = *pSpecificInstrument;
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if (pRspInfo)
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{
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task.task_error = *pRspInfo;
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}
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else
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{
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CSecurityFtdcRspInfoField empty_error = CSecurityFtdcRspInfoField();
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memset(&empty_error, 0, sizeof(empty_error));
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task.task_error = empty_error;
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}
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task.task_id = nRequestID;
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task.task_last = bIsLast;
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this->task_queue.push(task);
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};
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void MdApi::OnRtnDepthMarketData(CSecurityFtdcDepthMarketDataField *pDepthMarketData)
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{
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Task task = Task();
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task.task_name = ONRTNDEPTHMARKETDATA;
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task.task_data = *pDepthMarketData;
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this->task_queue.push(task);
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};
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///-------------------------------------------------------------------------------------
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///工作线程从队列中取出数据，转化为python对象后，进行推送
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///-------------------------------------------------------------------------------------
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void MdApi::processTask()
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{
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while (1)
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{
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Task task = this->task_queue.wait_and_pop();
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switch (task.task_name)
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{
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case ONFRONTCONNECTED:
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{
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this->processFrontConnected(task);
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break;
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}
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case ONFRONTDISCONNECTED:
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{
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this->processFrontDisconnected(task);
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break;
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}
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case ONHEARTBEATWARNING:
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{
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this->processHeartBeatWarning(task);
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break;
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}
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case ONRSPERROR:
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{
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this->processRspError(task);
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break;
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}
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case ONRSPUSERLOGIN:
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{
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this->processRspUserLogin(task);
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break;
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}
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case ONRSPUSERLOGOUT:
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{
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this->processRspUserLogout(task);
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break;
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}
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case ONRSPSUBMARKETDATA:
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{
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this->processRspSubMarketData(task);
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break;
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}
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case ONRSPUNSUBMARKETDATA:
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{
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this->processRspUnSubMarketData(task);
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break;
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}
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case ONRTNDEPTHMARKETDATA:
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{
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this->processRtnDepthMarketData(task);
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break;
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}
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};
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}
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};
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void MdApi::processFrontConnected(Task task)
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{
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//在向python环境中调用回调函数推送数据前，需要先获取全局锁GIL，防止解释器崩溃
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PyLock lock;
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this->onFrontConnected();
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};
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void MdApi::processFrontDisconnected(Task task)
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{
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PyLock lock;
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this->onFrontDisconnected(task.task_id);
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};
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void MdApi::processHeartBeatWarning(Task task)
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{
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PyLock lock;
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this->onHeartBeatWarning(task.task_id);
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};
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void MdApi::processRspError(Task task)
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{
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PyLock lock;
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CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
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dict error;
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error["ErrorMsg"] = task_error.ErrorMsg;
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error["ErrorID"] = task_error.ErrorID;
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this->onRspError(error, task.task_id, task.task_last);
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};
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void MdApi::processRspUserLogin(Task task)
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{
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PyLock lock;
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CSecurityFtdcRspUserLoginField task_data = any_cast<CSecurityFtdcRspUserLoginField>(task.task_data);
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dict data;
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data["MaxOrderRef"] = task_data.MaxOrderRef;
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data["UserID"] = task_data.UserID;
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data["TradingDay"] = task_data.TradingDay;
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data["SessionID"] = task_data.SessionID;
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data["SystemName"] = task_data.SystemName;
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data["FrontID"] = task_data.FrontID;
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data["BrokerID"] = task_data.BrokerID;
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data["LoginTime"] = task_data.LoginTime;
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CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
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dict error;
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error["ErrorMsg"] = task_error.ErrorMsg;
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error["ErrorID"] = task_error.ErrorID;
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this->onRspUserLogin(data, error, task.task_id, task.task_last);
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};
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void MdApi::processRspUserLogout(Task task)
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{
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PyLock lock;
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CSecurityFtdcUserLogoutField task_data = any_cast<CSecurityFtdcUserLogoutField>(task.task_data);
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dict data;
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data["UserID"] = task_data.UserID;
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data["BrokerID"] = task_data.BrokerID;
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CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
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dict error;
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error["ErrorMsg"] = task_error.ErrorMsg;
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error["ErrorID"] = task_error.ErrorID;
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this->onRspUserLogout(data, error, task.task_id, task.task_last);
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};
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void MdApi::processRspSubMarketData(Task task)
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{
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PyLock lock;
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CSecurityFtdcSpecificInstrumentField task_data = any_cast<CSecurityFtdcSpecificInstrumentField>(task.task_data);
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dict data;
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data["InstrumentID"] = task_data.InstrumentID;
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data["ExchangeID"] = task_data.ExchangeID;
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CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
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dict error;
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error["ErrorMsg"] = task_error.ErrorMsg;
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error["ErrorID"] = task_error.ErrorID;
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this->onRspSubMarketData(data, error, task.task_id, task.task_last);
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};
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void MdApi::processRspUnSubMarketData(Task task)
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{
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PyLock lock;
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CSecurityFtdcSpecificInstrumentField task_data = any_cast<CSecurityFtdcSpecificInstrumentField>(task.task_data);
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dict data;
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data["InstrumentID"] = task_data.InstrumentID;
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data["ExchangeID"] = task_data.ExchangeID;
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CSecurityFtdcRspInfoField task_error = any_cast<CSecurityFtdcRspInfoField>(task.task_error);
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dict error;
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error["ErrorMsg"] = task_error.ErrorMsg;
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error["ErrorID"] = task_error.ErrorID;
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this->onRspUnSubMarketData(data, error, task.task_id, task.task_last);
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};
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void MdApi::processRtnDepthMarketData(Task task)
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{
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PyLock lock;
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CSecurityFtdcDepthMarketDataField task_data = any_cast<CSecurityFtdcDepthMarketDataField>(task.task_data);
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dict data;
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data["HighestPrice"] = task_data.HighestPrice;
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data["BidPrice5"] = task_data.BidPrice5;
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data["BidPrice4"] = task_data.BidPrice4;
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data["BidPrice1"] = task_data.BidPrice1;
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data["BidPrice3"] = task_data.BidPrice3;
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data["BidPrice2"] = task_data.BidPrice2;
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data["LowerLimitPrice"] = task_data.LowerLimitPrice;
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data["OpenPrice"] = task_data.OpenPrice;
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data["AskPrice5"] = task_data.AskPrice5;
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data["AskPrice4"] = task_data.AskPrice4;
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data["AskPrice3"] = task_data.AskPrice3;
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data["PreClosePrice"] = task_data.PreClosePrice;
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data["AskPrice1"] = task_data.AskPrice1;
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data["PreSettlementPrice"] = task_data.PreSettlementPrice;
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data["AskVolume1"] = task_data.AskVolume1;
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data["UpdateTime"] = task_data.UpdateTime;
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data["UpdateMillisec"] = task_data.UpdateMillisec;
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data["AveragePrice"] = task_data.AveragePrice;
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data["BidVolume5"] = task_data.BidVolume5;
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data["BidVolume4"] = task_data.BidVolume4;
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data["BidVolume3"] = task_data.BidVolume3;
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data["BidVolume2"] = task_data.BidVolume2;
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data["PreOpenInterest"] = task_data.PreOpenInterest;
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data["AskPrice2"] = task_data.AskPrice2;
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data["Volume"] = task_data.Volume;
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data["AskVolume3"] = task_data.AskVolume3;
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data["AskVolume2"] = task_data.AskVolume2;
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data["AskVolume5"] = task_data.AskVolume5;
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data["AskVolume4"] = task_data.AskVolume4;
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data["UpperLimitPrice"] = task_data.UpperLimitPrice;
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data["BidVolume1"] = task_data.BidVolume1;
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data["InstrumentID"] = task_data.InstrumentID;
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data["ClosePrice"] = task_data.ClosePrice;
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data["ExchangeID"] = task_data.ExchangeID;
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data["TradingDay"] = task_data.TradingDay;
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data["PreDelta"] = task_data.PreDelta;
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data["OpenInterest"] = task_data.OpenInterest;
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data["CurrDelta"] = task_data.CurrDelta;
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data["Turnover"] = task_data.Turnover;
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data["LastPrice"] = task_data.LastPrice;
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data["SettlementPrice"] = task_data.SettlementPrice;
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data["ExchangeInstID"] = task_data.ExchangeInstID;
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data["LowestPrice"] = task_data.LowestPrice;
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data["ActionDay"] = task_data.ActionDay;
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this->onRtnDepthMarketData(data);
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};
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///-------------------------------------------------------------------------------------
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///主动函数
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///-------------------------------------------------------------------------------------
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void MdApi::createFtdcMdApi(string pszFlowPath)
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{
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this->api = CSecurityFtdcMdApi::CreateFtdcMdApi(pszFlowPath.c_str());
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this->api->RegisterSpi(this);
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};
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void MdApi::release()
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{
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this->api->Release();
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};
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void MdApi::init()
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{
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this->api->Init();
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};
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int MdApi::join()
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{
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int i = this->api->Join();
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return i;
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};
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int MdApi::exit()
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{
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//该函数在原生API里没有，用于安全退出API用，原生的join似乎不太稳定
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this->api->RegisterSpi(NULL);
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this->api->Release();
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this->api = NULL;
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return 1;
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};
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string MdApi::getTradingDay()
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{
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string day = this->api->GetTradingDay();
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return day;
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};
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void MdApi::registerFront(string pszFrontAddress)
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{
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this->api->RegisterFront((char*)pszFrontAddress.c_str());
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};
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int MdApi::subscribeMarketData(dict req)
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{
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char instrumentID[256];
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char exchangeID[256];
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getChar(req, "InstrumentID", instrumentID);
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getChar(req, "ExchangeID", exchangeID);
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char* myreq[1] = { instrumentID };
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int i = this->api->SubscribeMarketData(myreq, 1, exchangeID);
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return i;
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};
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int MdApi::unSubscribeMarketData(dict req)
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{
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char instrumentID[256];
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char exchangeID[256];
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getChar(req, "InstrumentID", instrumentID);
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getChar(req, "ExchangeID", exchangeID);
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char* myreq[1] = { instrumentID };
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int i = this->api->UnSubscribeMarketData(myreq, 1, exchangeID);
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return i;
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};
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int MdApi::reqUserLogin(dict req, int nRequestID)
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{
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CSecurityFtdcReqUserLoginField myreq = CSecurityFtdcReqUserLoginField();
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memset(&myreq, 0, sizeof(myreq));
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getChar(req, "MacAddress", myreq.MacAddress);
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getChar(req, "UserProductInfo", myreq.UserProductInfo);
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getChar(req, "UserID", myreq.UserID);
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getChar(req, "AuthCode", myreq.AuthCode);
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getChar(req, "TradingDay", myreq.TradingDay);
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getChar(req, "InterfaceProductInfo", myreq.InterfaceProductInfo);
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getChar(req, "BrokerID", myreq.BrokerID);
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getChar(req, "ClientIPAddress", myreq.ClientIPAddress);
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getChar(req, "OneTimePassword", myreq.OneTimePassword);
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getChar(req, "ProtocolInfo", myreq.ProtocolInfo);
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getChar(req, "Password", myreq.Password);
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int i = this->api->ReqUserLogin(&myreq, nRequestID);
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return i;
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};
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int MdApi::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;
|
||
};
|
||
|
||
|
||
|
||
///-------------------------------------------------------------------------------------
|
||
///Boost.Python封装
|
||
///-------------------------------------------------------------------------------------
|
||
|
||
struct MdApiWrap : MdApi, wrapper < MdApi >
|
||
{
|
||
virtual void onFrontConnected()
|
||
{
|
||
//以下的try...catch...可以实现捕捉python环境中错误的功能，防止C++直接出现原因未知的崩溃
|
||
try
|
||
{
|
||
this->get_override("onFrontConnected")();
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void onFrontDisconnected(int i)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onFrontDisconnected")(i);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void onHeartBeatWarning(int i)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onHeartBeatWarning")(i);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void onRspError(dict data, int id, bool last)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onRspError")(data, id, last);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void onRspUserLogin(dict data, dict error, int id, bool last)
|
||
{
|
||
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)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onRspUserLogout")(data, error, id, last);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void onRspSubMarketData(dict data, dict error, int id, bool last)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onRspSubMarketData")(data, error, id, last);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void onRspUnSubMarketData(dict data, dict error, int id, bool last)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onRspUnSubMarketData")(data, error, id, last);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void onRtnDepthMarketData(dict data)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onRtnDepthMarketData")(data);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
};
|
||
|
||
|
||
BOOST_PYTHON_MODULE(vnltsmd)
|
||
{
|
||
PyEval_InitThreads(); //导入时运行，保证先创建GIL
|
||
|
||
class_<MdApiWrap, boost::noncopyable>("MdApi")
|
||
.def("createFtdcMdApi", &MdApiWrap::createFtdcMdApi)
|
||
.def("release", &MdApiWrap::release)
|
||
.def("init", &MdApiWrap::init)
|
||
.def("join", &MdApiWrap::join)
|
||
.def("exit", &MdApiWrap::exit)
|
||
.def("getTradingDay", &MdApiWrap::getTradingDay)
|
||
.def("registerFront", &MdApiWrap::registerFront)
|
||
.def("subscribeMarketData", &MdApiWrap::subscribeMarketData)
|
||
.def("unSubscribeMarketData", &MdApiWrap::unSubscribeMarketData)
|
||
.def("reqUserLogin", &MdApiWrap::reqUserLogin)
|
||
.def("reqUserLogout", &MdApiWrap::reqUserLogout)
|
||
|
||
.def("onFrontConnected", pure_virtual(&MdApiWrap::onFrontConnected))
|
||
.def("onFrontDisconnected", pure_virtual(&MdApiWrap::onFrontDisconnected))
|
||
.def("onHeartBeatWarning", pure_virtual(&MdApiWrap::onHeartBeatWarning))
|
||
.def("onRspError", pure_virtual(&MdApiWrap::onRspError))
|
||
.def("onRspUserLogin", pure_virtual(&MdApiWrap::onRspUserLogin))
|
||
.def("onRspUserLogout", pure_virtual(&MdApiWrap::onRspUserLogout))
|
||
.def("onRspSubMarketData", pure_virtual(&MdApiWrap::onRspSubMarketData))
|
||
.def("onRspUnSubMarketData", pure_virtual(&MdApiWrap::onRspUnSubMarketData))
|
||
.def("onRtnDepthMarketData", pure_virtual(&MdApiWrap::onRtnDepthMarketData))
|
||
;
|
||
}; |