1021 lines
24 KiB
C++
1021 lines
24 KiB
C++
// MdApi.cpp : 定义 DLL 应用程序的导出函数。
|
||
//
|
||
|
||
#include "stdafx.h"
|
||
#include "vnsgitmd.h"
|
||
|
||
|
||
|
||
///-------------------------------------------------------------------------------------
|
||
///从Python对象到C++类型转换用的函数
|
||
///-------------------------------------------------------------------------------------
|
||
|
||
void getInt(dict d, string key, int *value)
|
||
{
|
||
if (d.has_key(key)) //检查字典中是否存在该键值
|
||
{
|
||
object o = d[key]; //获取该键值
|
||
extract<int> x(o); //创建提取器
|
||
if (x.check()) //如果可以提取
|
||
{
|
||
*value = x(); //对目标整数指针赋值
|
||
}
|
||
}
|
||
};
|
||
|
||
void getLong(dict d, string key, long *value)
|
||
{
|
||
if (d.has_key(key)) //检查字典中是否存在该键值
|
||
{
|
||
object o = d[key]; //获取该键值
|
||
extract<int> x(o); //创建提取器
|
||
if (x.check()) //如果可以提取
|
||
{
|
||
*value = x(); //对目标整数指针赋值
|
||
}
|
||
}
|
||
};
|
||
|
||
void getShort(dict d, string key, short *value)
|
||
{
|
||
if (d.has_key(key)) //检查字典中是否存在该键值
|
||
{
|
||
object o = d[key]; //获取该键值
|
||
extract<int> x(o); //创建提取器
|
||
if (x.check()) //如果可以提取
|
||
{
|
||
*value = x(); //对目标整数指针赋值
|
||
}
|
||
}
|
||
};
|
||
|
||
void getDouble(dict d, string key, double *value)
|
||
{
|
||
if (d.has_key(key))
|
||
{
|
||
object o = d[key];
|
||
extract<double> x(o);
|
||
if (x.check())
|
||
{
|
||
*value = x();
|
||
}
|
||
}
|
||
};
|
||
|
||
void getChar(dict d, string key, char *value)
|
||
{
|
||
if (d.has_key(key))
|
||
{
|
||
object o = d[key];
|
||
extract<string> x(o);
|
||
if (x.check())
|
||
{
|
||
string s = x();
|
||
const char *buffer = s.c_str();
|
||
*value = *buffer;
|
||
}
|
||
}
|
||
};
|
||
|
||
void getStr(dict d, string key, char *value)
|
||
{
|
||
if (d.has_key(key))
|
||
{
|
||
object o = d[key];
|
||
extract<string> x(o);
|
||
if (x.check())
|
||
{
|
||
string s = x();
|
||
const char *buffer = s.c_str();
|
||
//对字符串指针赋值必须使用strcpy_s, vs2013使用strcpy编译通不过
|
||
//+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
|
||
strcpy_s(value, strlen(buffer) + 1, buffer);
|
||
}
|
||
}
|
||
};
|
||
|
||
|
||
|
||
///-------------------------------------------------------------------------------------
|
||
///C++的回调函数将数据保存到队列中
|
||
///-------------------------------------------------------------------------------------
|
||
|
||
void MdApi::OnFrontConnected()
|
||
{
|
||
Task task = Task();
|
||
task.task_name = ONFRONTCONNECTED;
|
||
this->task_queue.push(task);
|
||
};
|
||
|
||
void MdApi::OnFrontDisconnected(int nReason)
|
||
{
|
||
Task task = Task();
|
||
task.task_name = ONFRONTDISCONNECTED;
|
||
task.task_id = nReason;
|
||
this->task_queue.push(task);
|
||
};
|
||
|
||
void MdApi::OnHeartBeatWarning(int nTimeLapse)
|
||
{
|
||
Task task = Task();
|
||
task.task_name = ONHEARTBEATWARNING;
|
||
task.task_id = nTimeLapse;
|
||
this->task_queue.push(task);
|
||
};
|
||
|
||
void MdApi::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
|
||
{
|
||
Task task = Task();
|
||
task.task_name = ONRSPUSERLOGIN;
|
||
|
||
if (pRspUserLogin)
|
||
{
|
||
task.task_data = *pRspUserLogin;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcRspUserLoginField empty_data = CThostFtdcRspUserLoginField();
|
||
memset(&empty_data, 0, sizeof(empty_data));
|
||
task.task_data = empty_data;
|
||
}
|
||
|
||
if (pRspInfo)
|
||
{
|
||
task.task_error = *pRspInfo;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcRspInfoField empty_error = CThostFtdcRspInfoField();
|
||
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 MdApi::OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
|
||
{
|
||
Task task = Task();
|
||
task.task_name = ONRSPUSERLOGOUT;
|
||
|
||
if (pUserLogout)
|
||
{
|
||
task.task_data = *pUserLogout;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcUserLogoutField empty_data = CThostFtdcUserLogoutField();
|
||
memset(&empty_data, 0, sizeof(empty_data));
|
||
task.task_data = empty_data;
|
||
}
|
||
|
||
if (pRspInfo)
|
||
{
|
||
task.task_error = *pRspInfo;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcRspInfoField empty_error = CThostFtdcRspInfoField();
|
||
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 MdApi::OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
|
||
{
|
||
Task task = Task();
|
||
task.task_name = ONRSPERROR;
|
||
|
||
if (pRspInfo)
|
||
{
|
||
task.task_error = *pRspInfo;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcRspInfoField empty_error = CThostFtdcRspInfoField();
|
||
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 MdApi::OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
|
||
{
|
||
Task task = Task();
|
||
task.task_name = ONRSPSUBMARKETDATA;
|
||
|
||
if (pSpecificInstrument)
|
||
{
|
||
task.task_data = *pSpecificInstrument;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcSpecificInstrumentField empty_data = CThostFtdcSpecificInstrumentField();
|
||
memset(&empty_data, 0, sizeof(empty_data));
|
||
task.task_data = empty_data;
|
||
}
|
||
|
||
if (pRspInfo)
|
||
{
|
||
task.task_error = *pRspInfo;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcRspInfoField empty_error = CThostFtdcRspInfoField();
|
||
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 MdApi::OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
|
||
{
|
||
Task task = Task();
|
||
task.task_name = ONRSPUNSUBMARKETDATA;
|
||
|
||
if (pSpecificInstrument)
|
||
{
|
||
task.task_data = *pSpecificInstrument;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcSpecificInstrumentField empty_data = CThostFtdcSpecificInstrumentField();
|
||
memset(&empty_data, 0, sizeof(empty_data));
|
||
task.task_data = empty_data;
|
||
}
|
||
|
||
if (pRspInfo)
|
||
{
|
||
task.task_error = *pRspInfo;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcRspInfoField empty_error = CThostFtdcRspInfoField();
|
||
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 MdApi::OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
|
||
{
|
||
Task task = Task();
|
||
task.task_name = ONRSPSUBFORQUOTERSP;
|
||
|
||
if (pSpecificInstrument)
|
||
{
|
||
task.task_data = *pSpecificInstrument;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcSpecificInstrumentField empty_data = CThostFtdcSpecificInstrumentField();
|
||
memset(&empty_data, 0, sizeof(empty_data));
|
||
task.task_data = empty_data;
|
||
}
|
||
|
||
if (pRspInfo)
|
||
{
|
||
task.task_error = *pRspInfo;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcRspInfoField empty_error = CThostFtdcRspInfoField();
|
||
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 MdApi::OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
|
||
{
|
||
Task task = Task();
|
||
task.task_name = ONRSPUNSUBFORQUOTERSP;
|
||
|
||
if (pSpecificInstrument)
|
||
{
|
||
task.task_data = *pSpecificInstrument;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcSpecificInstrumentField empty_data = CThostFtdcSpecificInstrumentField();
|
||
memset(&empty_data, 0, sizeof(empty_data));
|
||
task.task_data = empty_data;
|
||
}
|
||
|
||
if (pRspInfo)
|
||
{
|
||
task.task_error = *pRspInfo;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcRspInfoField empty_error = CThostFtdcRspInfoField();
|
||
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 MdApi::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData)
|
||
{
|
||
Task task = Task();
|
||
task.task_name = ONRTNDEPTHMARKETDATA;
|
||
|
||
if (pDepthMarketData)
|
||
{
|
||
task.task_data = *pDepthMarketData;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcDepthMarketDataField empty_data = CThostFtdcDepthMarketDataField();
|
||
memset(&empty_data, 0, sizeof(empty_data));
|
||
task.task_data = empty_data;
|
||
}
|
||
this->task_queue.push(task);
|
||
};
|
||
|
||
void MdApi::OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp)
|
||
{
|
||
Task task = Task();
|
||
task.task_name = ONRTNFORQUOTERSP;
|
||
|
||
if (pForQuoteRsp)
|
||
{
|
||
task.task_data = *pForQuoteRsp;
|
||
}
|
||
else
|
||
{
|
||
CThostFtdcForQuoteRspField empty_data = CThostFtdcForQuoteRspField();
|
||
memset(&empty_data, 0, sizeof(empty_data));
|
||
task.task_data = empty_data;
|
||
}
|
||
this->task_queue.push(task);
|
||
};
|
||
|
||
void MdApi::OnRtnDeferDeliveryQuot(CThostDeferDeliveryQuot *pQuot)
|
||
{
|
||
Task task = Task();
|
||
task.task_name = ONRTNDEFERDELIVERYQUOT;
|
||
|
||
if (pQuot)
|
||
{
|
||
task.task_data = pQuot;
|
||
}
|
||
else
|
||
{
|
||
CThostDeferDeliveryQuot empty_data = CThostDeferDeliveryQuot();
|
||
memset(&empty_data, 0, sizeof(empty_data));
|
||
task.task_data = empty_data;
|
||
}
|
||
this->task_queue.push(task);
|
||
};
|
||
|
||
|
||
///-------------------------------------------------------------------------------------
|
||
///工作线程从队列中取出数据，转化为python对象后，进行推送
|
||
///-------------------------------------------------------------------------------------
|
||
|
||
void MdApi::processTask()
|
||
{
|
||
while (1)
|
||
{
|
||
Task task = this->task_queue.wait_and_pop();
|
||
|
||
switch (task.task_name)
|
||
{
|
||
case ONFRONTCONNECTED:
|
||
{
|
||
this->processFrontConnected(task);
|
||
break;
|
||
}
|
||
|
||
case ONFRONTDISCONNECTED:
|
||
{
|
||
this->processFrontDisconnected(task);
|
||
break;
|
||
}
|
||
|
||
case ONHEARTBEATWARNING:
|
||
{
|
||
this->processHeartBeatWarning(task);
|
||
break;
|
||
}
|
||
|
||
case ONRSPUSERLOGIN:
|
||
{
|
||
this->processRspUserLogin(task);
|
||
break;
|
||
}
|
||
|
||
case ONRSPUSERLOGOUT:
|
||
{
|
||
this->processRspUserLogout(task);
|
||
break;
|
||
}
|
||
|
||
case ONRSPERROR:
|
||
{
|
||
this->processRspError(task);
|
||
break;
|
||
}
|
||
|
||
case ONRSPSUBMARKETDATA:
|
||
{
|
||
this->processRspSubMarketData(task);
|
||
break;
|
||
}
|
||
|
||
case ONRSPUNSUBMARKETDATA:
|
||
{
|
||
this->processRspUnSubMarketData(task);
|
||
break;
|
||
}
|
||
|
||
case ONRSPSUBFORQUOTERSP:
|
||
{
|
||
this->processRspSubForQuoteRsp(task);
|
||
break;
|
||
}
|
||
|
||
case ONRSPUNSUBFORQUOTERSP:
|
||
{
|
||
this->processRspUnSubForQuoteRsp(task);
|
||
break;
|
||
}
|
||
|
||
case ONRTNDEPTHMARKETDATA:
|
||
{
|
||
this->processRtnDepthMarketData(task);
|
||
break;
|
||
}
|
||
|
||
case ONRTNFORQUOTERSP:
|
||
{
|
||
this->processRtnForQuoteRsp(task);
|
||
break;
|
||
}
|
||
|
||
case ONRTNDEFERDELIVERYQUOT:
|
||
{
|
||
this->processRtnDeferDeliveryQuot(task);
|
||
break;
|
||
}
|
||
};
|
||
}
|
||
};
|
||
|
||
void MdApi::processFrontConnected(Task task)
|
||
{
|
||
PyLock lock;
|
||
this->onFrontConnected();
|
||
};
|
||
|
||
void MdApi::processFrontDisconnected(Task task)
|
||
{
|
||
PyLock lock;
|
||
this->onFrontDisconnected(task.task_id);
|
||
};
|
||
|
||
void MdApi::processHeartBeatWarning(Task task)
|
||
{
|
||
PyLock lock;
|
||
this->onHeartBeatWarning(task.task_id);
|
||
};
|
||
|
||
void MdApi::processRspUserLogin(Task task)
|
||
{
|
||
PyLock lock;
|
||
CThostFtdcRspUserLoginField task_data = any_cast<CThostFtdcRspUserLoginField>(task.task_data);
|
||
dict data;
|
||
data["CZCETime"] = task_data.CZCETime;
|
||
data["SHFETime"] = task_data.SHFETime;
|
||
data["MaxOrderRef"] = task_data.MaxOrderRef;
|
||
data["INETime"] = task_data.INETime;
|
||
data["UserID"] = task_data.UserID;
|
||
data["TradingDay"] = task_data.TradingDay;
|
||
data["SessionID"] = task_data.SessionID;
|
||
data["SystemName"] = task_data.SystemName;
|
||
data["FrontID"] = task_data.FrontID;
|
||
data["FFEXTime"] = task_data.FFEXTime;
|
||
data["BrokerID"] = task_data.BrokerID;
|
||
data["DCETime"] = task_data.DCETime;
|
||
data["LoginTime"] = task_data.LoginTime;
|
||
|
||
CThostFtdcRspInfoField task_error = any_cast<CThostFtdcRspInfoField>(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 MdApi::processRspUserLogout(Task task)
|
||
{
|
||
PyLock lock;
|
||
CThostFtdcUserLogoutField task_data = any_cast<CThostFtdcUserLogoutField>(task.task_data);
|
||
dict data;
|
||
data["UserID"] = task_data.UserID;
|
||
data["BrokerID"] = task_data.BrokerID;
|
||
|
||
CThostFtdcRspInfoField task_error = any_cast<CThostFtdcRspInfoField>(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 MdApi::processRspError(Task task)
|
||
{
|
||
PyLock lock;
|
||
CThostFtdcRspInfoField task_error = any_cast<CThostFtdcRspInfoField>(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 MdApi::processRspSubMarketData(Task task)
|
||
{
|
||
PyLock lock;
|
||
CThostFtdcSpecificInstrumentField task_data = any_cast<CThostFtdcSpecificInstrumentField>(task.task_data);
|
||
dict data;
|
||
data["InstrumentID"] = task_data.InstrumentID;
|
||
|
||
CThostFtdcRspInfoField task_error = any_cast<CThostFtdcRspInfoField>(task.task_error);
|
||
dict error;
|
||
error["ErrorMsg"] = task_error.ErrorMsg;
|
||
error["ErrorID"] = task_error.ErrorID;
|
||
|
||
this->onRspSubMarketData(data, error, task.task_id, task.task_last);
|
||
};
|
||
|
||
void MdApi::processRspUnSubMarketData(Task task)
|
||
{
|
||
PyLock lock;
|
||
CThostFtdcSpecificInstrumentField task_data = any_cast<CThostFtdcSpecificInstrumentField>(task.task_data);
|
||
dict data;
|
||
data["InstrumentID"] = task_data.InstrumentID;
|
||
|
||
CThostFtdcRspInfoField task_error = any_cast<CThostFtdcRspInfoField>(task.task_error);
|
||
dict error;
|
||
error["ErrorMsg"] = task_error.ErrorMsg;
|
||
error["ErrorID"] = task_error.ErrorID;
|
||
|
||
this->onRspUnSubMarketData(data, error, task.task_id, task.task_last);
|
||
};
|
||
|
||
void MdApi::processRspSubForQuoteRsp(Task task)
|
||
{
|
||
PyLock lock;
|
||
CThostFtdcSpecificInstrumentField task_data = any_cast<CThostFtdcSpecificInstrumentField>(task.task_data);
|
||
dict data;
|
||
data["InstrumentID"] = task_data.InstrumentID;
|
||
|
||
CThostFtdcRspInfoField task_error = any_cast<CThostFtdcRspInfoField>(task.task_error);
|
||
dict error;
|
||
error["ErrorMsg"] = task_error.ErrorMsg;
|
||
error["ErrorID"] = task_error.ErrorID;
|
||
|
||
this->onRspSubForQuoteRsp(data, error, task.task_id, task.task_last);
|
||
};
|
||
|
||
void MdApi::processRspUnSubForQuoteRsp(Task task)
|
||
{
|
||
PyLock lock;
|
||
CThostFtdcSpecificInstrumentField task_data = any_cast<CThostFtdcSpecificInstrumentField>(task.task_data);
|
||
dict data;
|
||
data["InstrumentID"] = task_data.InstrumentID;
|
||
|
||
CThostFtdcRspInfoField task_error = any_cast<CThostFtdcRspInfoField>(task.task_error);
|
||
dict error;
|
||
error["ErrorMsg"] = task_error.ErrorMsg;
|
||
error["ErrorID"] = task_error.ErrorID;
|
||
|
||
this->onRspUnSubForQuoteRsp(data, error, task.task_id, task.task_last);
|
||
};
|
||
|
||
void MdApi::processRtnDepthMarketData(Task task)
|
||
{
|
||
PyLock lock;
|
||
CThostFtdcDepthMarketDataField task_data = any_cast<CThostFtdcDepthMarketDataField>(task.task_data);
|
||
dict data;
|
||
data["HighestPrice"] = task_data.HighestPrice;
|
||
data["BidPrice5"] = task_data.BidPrice5;
|
||
data["BidPrice4"] = task_data.BidPrice4;
|
||
data["BidPrice1"] = task_data.BidPrice1;
|
||
data["BidPrice3"] = task_data.BidPrice3;
|
||
data["BidPrice2"] = task_data.BidPrice2;
|
||
data["LowerLimitPrice"] = task_data.LowerLimitPrice;
|
||
data["OpenPrice"] = task_data.OpenPrice;
|
||
data["AskPrice5"] = task_data.AskPrice5;
|
||
data["AskPrice4"] = task_data.AskPrice4;
|
||
data["AskPrice3"] = task_data.AskPrice3;
|
||
data["PreClosePrice"] = task_data.PreClosePrice;
|
||
data["AskPrice1"] = task_data.AskPrice1;
|
||
data["PreSettlementPrice"] = task_data.PreSettlementPrice;
|
||
data["AskVolume1"] = task_data.AskVolume1;
|
||
data["UpdateTime"] = task_data.UpdateTime;
|
||
data["UpdateMillisec"] = task_data.UpdateMillisec;
|
||
data["AveragePrice"] = task_data.AveragePrice;
|
||
data["BidVolume5"] = task_data.BidVolume5;
|
||
data["BidVolume4"] = task_data.BidVolume4;
|
||
data["BidVolume3"] = task_data.BidVolume3;
|
||
data["BidVolume2"] = task_data.BidVolume2;
|
||
data["PreOpenInterest"] = task_data.PreOpenInterest;
|
||
data["AskPrice2"] = task_data.AskPrice2;
|
||
data["Volume"] = task_data.Volume;
|
||
data["AskVolume3"] = task_data.AskVolume3;
|
||
data["AskVolume2"] = task_data.AskVolume2;
|
||
data["AskVolume5"] = task_data.AskVolume5;
|
||
data["AskVolume4"] = task_data.AskVolume4;
|
||
data["UpperLimitPrice"] = task_data.UpperLimitPrice;
|
||
data["BidVolume1"] = task_data.BidVolume1;
|
||
data["InstrumentID"] = task_data.InstrumentID;
|
||
data["ClosePrice"] = task_data.ClosePrice;
|
||
data["ExchangeID"] = task_data.ExchangeID;
|
||
data["TradingDay"] = task_data.TradingDay;
|
||
data["PreDelta"] = task_data.PreDelta;
|
||
data["OpenInterest"] = task_data.OpenInterest;
|
||
data["CurrDelta"] = task_data.CurrDelta;
|
||
data["Turnover"] = task_data.Turnover;
|
||
data["LastPrice"] = task_data.LastPrice;
|
||
data["SettlementPrice"] = task_data.SettlementPrice;
|
||
data["ExchangeInstID"] = task_data.ExchangeInstID;
|
||
data["LowestPrice"] = task_data.LowestPrice;
|
||
data["ActionDay"] = task_data.ActionDay;
|
||
|
||
this->onRtnDepthMarketData(data);
|
||
};
|
||
|
||
void MdApi::processRtnForQuoteRsp(Task task)
|
||
{
|
||
PyLock lock;
|
||
CThostFtdcForQuoteRspField task_data = any_cast<CThostFtdcForQuoteRspField>(task.task_data);
|
||
dict data;
|
||
data["InstrumentID"] = task_data.InstrumentID;
|
||
data["ActionDay"] = task_data.ActionDay;
|
||
data["ExchangeID"] = task_data.ExchangeID;
|
||
data["TradingDay"] = task_data.TradingDay;
|
||
data["ForQuoteSysID"] = task_data.ForQuoteSysID;
|
||
data["ForQuoteTime"] = task_data.ForQuoteTime;
|
||
|
||
this->onRtnForQuoteRsp(data);
|
||
};
|
||
|
||
void MdApi::processRtnDeferDeliveryQuot(Task task)
|
||
{
|
||
PyLock lock;
|
||
CThostDeferDeliveryQuot task_data = any_cast<CThostDeferDeliveryQuot>(task.task_data);
|
||
dict data;
|
||
data["InstrumentID"] = task_data.InstrumentID;
|
||
data["AskVolume"] = task_data.AskVolume;
|
||
data["MidBidVolume"] = task_data.MidBidVolume;
|
||
data["BidVolume"] = task_data.BidVolume;
|
||
data["MidAskVolume"] = task_data.MidAskVolume;
|
||
|
||
this->onRtnDeferDeliveryQuot(data);
|
||
};
|
||
|
||
|
||
///-------------------------------------------------------------------------------------
|
||
///主动函数
|
||
///-------------------------------------------------------------------------------------
|
||
|
||
void MdApi::createFtdcMdApi(string pszFlowPath)
|
||
{
|
||
//该函数为手动编写
|
||
this->api = CThostFtdcMdApi::CreateFtdcMdApi(pszFlowPath.c_str());
|
||
this->api->RegisterSpi(this);
|
||
};
|
||
|
||
string MdApi::getApiVersion()
|
||
{
|
||
string version = this->api->GetApiVersion();
|
||
return version;
|
||
};
|
||
|
||
void MdApi::release()
|
||
{
|
||
//该函数为手动编写
|
||
this->api->Release();
|
||
};
|
||
|
||
void MdApi::init()
|
||
{
|
||
//该函数为手动编写
|
||
this->api->Init();
|
||
};
|
||
|
||
int MdApi::exit()
|
||
{
|
||
//该函数为手动编写
|
||
this->api->Release();
|
||
this->api = NULL;
|
||
return 1;
|
||
};
|
||
|
||
int MdApi::join()
|
||
{
|
||
//该函数为手动编写
|
||
int i = this->api->Join();
|
||
return i;
|
||
}
|
||
|
||
string MdApi::getTradingDay()
|
||
{
|
||
//该函数为手动编写
|
||
string day = this->api->GetTradingDay();
|
||
return day;
|
||
};
|
||
|
||
void MdApi::registerFront(string pszFrontAddress)
|
||
{
|
||
//该函数为手动编写
|
||
this->api->RegisterFront((char*)pszFrontAddress.c_str());
|
||
};
|
||
|
||
void MdApi::registerNameServer(string pszNsAddress)
|
||
{
|
||
//该函数为手动编写
|
||
this->api->RegisterNameServer((char*)pszNsAddress.c_str());
|
||
};
|
||
|
||
int MdApi::subscribeMarketData(string instrumentID)
|
||
{
|
||
char* buffer = (char*)instrumentID.c_str();
|
||
char* myreq[1] = { buffer };
|
||
int i = this->api->SubscribeMarketData(myreq, 1);
|
||
return i;
|
||
};
|
||
|
||
int MdApi::unSubscribeMarketData(string instrumentID)
|
||
{
|
||
char* buffer = (char*)instrumentID.c_str();
|
||
char* myreq[1] = { buffer };;
|
||
int i = this->api->UnSubscribeMarketData(myreq, 1);
|
||
return i;
|
||
};
|
||
|
||
int MdApi::subscribeForQuoteRsp(string instrumentID)
|
||
{
|
||
char* buffer = (char*)instrumentID.c_str();
|
||
char* myreq[1] = { buffer };
|
||
int i = this->api->SubscribeForQuoteRsp(myreq, 1);
|
||
return i;
|
||
};
|
||
|
||
int MdApi::unSubscribeForQuoteRsp(string instrumentID)
|
||
{
|
||
char* buffer = (char*)instrumentID.c_str();
|
||
char* myreq[1] = { buffer };;
|
||
int i = this->api->UnSubscribeForQuoteRsp(myreq, 1);
|
||
return i;
|
||
};
|
||
|
||
|
||
int MdApi::reqUserLogin(dict req, int nRequestID)
|
||
{
|
||
CThostFtdcReqUserLoginField myreq = CThostFtdcReqUserLoginField();
|
||
memset(&myreq, 0, sizeof(myreq));
|
||
getStr(req, "MacAddress", myreq.MacAddress);
|
||
getStr(req, "UserProductInfo", myreq.UserProductInfo);
|
||
getStr(req, "UserID", myreq.UserID);
|
||
getStr(req, "TradingDay", myreq.TradingDay);
|
||
getStr(req, "InterfaceProductInfo", myreq.InterfaceProductInfo);
|
||
getStr(req, "BrokerID", myreq.BrokerID);
|
||
getStr(req, "ClientIPAddress", myreq.ClientIPAddress);
|
||
getStr(req, "OneTimePassword", myreq.OneTimePassword);
|
||
getStr(req, "ProtocolInfo", myreq.ProtocolInfo);
|
||
getStr(req, "Password", myreq.Password);
|
||
int i = this->api->ReqUserLogin(&myreq, nRequestID);
|
||
return i;
|
||
};
|
||
|
||
int MdApi::reqUserLogout(dict req, int nRequestID)
|
||
{
|
||
CThostFtdcUserLogoutField myreq = CThostFtdcUserLogoutField();
|
||
memset(&myreq, 0, sizeof(myreq));
|
||
getStr(req, "UserID", myreq.UserID);
|
||
getStr(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 reason)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onFrontDisconnected")(reason);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void onHeartBeatWarning(int timeLapse)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onHeartBeatWarning")(timeLapse);
|
||
}
|
||
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 onRspError(dict error, int id, bool last)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onRspError")(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 onRspSubForQuoteRsp(dict data, dict error, int id, bool last)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onRspSubForQuoteRsp")(data, error, id, last);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void onRspUnSubForQuoteRsp(dict data, dict error, int id, bool last)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onRspUnSubForQuoteRsp")(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();
|
||
}
|
||
};
|
||
|
||
virtual void onRtnForQuoteRsp(dict data)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onRtnForQuoteRsp")(data);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void onRtnDeferDeliveryQuot(dict data)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onRtnDeferDeliveryQuot")(data);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
};
|
||
|
||
|
||
BOOST_PYTHON_MODULE(vnsgitmd)
|
||
{
|
||
PyEval_InitThreads(); //导入时运行，保证先创建GIL
|
||
|
||
class_<MdApiWrap, boost::noncopyable>("MdApi")
|
||
.def("createFtdcMdApi", &MdApiWrap::createFtdcMdApi)
|
||
.def("getApiVersion", &MdApiWrap::getApiVersion)
|
||
.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("registerNameServer", &MdApiWrap::registerNameServer)
|
||
.def("subscribeMarketData", &MdApiWrap::subscribeMarketData)
|
||
.def("unSubscribeMarketData", &MdApiWrap::unSubscribeMarketData)
|
||
.def("subscribeForQuoteRsp", &MdApiWrap::subscribeForQuoteRsp)
|
||
.def("unSubscribeForQuoteRsp", &MdApiWrap::unSubscribeForQuoteRsp)
|
||
.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("onRspUserLogin", pure_virtual(&MdApiWrap::onRspUserLogin))
|
||
.def("onRspUserLogout", pure_virtual(&MdApiWrap::onRspUserLogout))
|
||
.def("onRspError", pure_virtual(&MdApiWrap::onRspError))
|
||
.def("onRspSubMarketData", pure_virtual(&MdApiWrap::onRspSubMarketData))
|
||
.def("onRspUnSubMarketData", pure_virtual(&MdApiWrap::onRspUnSubMarketData))
|
||
.def("onRspSubForQuoteRsp", pure_virtual(&MdApiWrap::onRspSubForQuoteRsp))
|
||
.def("onRspUnSubForQuoteRsp", pure_virtual(&MdApiWrap::onRspUnSubForQuoteRsp))
|
||
.def("onRtnDepthMarketData", pure_virtual(&MdApiWrap::onRtnDepthMarketData))
|
||
.def("onRtnForQuoteRsp", pure_virtual(&MdApiWrap::onRtnForQuoteRsp))
|
||
.def("onRtnDeferDeliveryQuot", pure_virtual(&MdApiWrap::onRtnDeferDeliveryQuot))
|
||
;
|
||
}; |