vnpy/vn.femas/vnfemastd/vnfemastd/vnfemastd.h

//说明部分
/*
由于CTP API中和资金转账相关的函数太多，
同时也已经有大量的客户端支持这些功能，
因此在这个Python封装中暂时选择只支持交易功能
*/


//系统
#include "stdafx.h"
#include <string>
#include <queue>

//Boost
#define BOOST_PYTHON_STATIC_LIB
#include <boost/python/module.hpp>	//python封装
#include <boost/python/def.hpp>		//python封装
#include <boost/python/dict.hpp>	//python封装
#include <boost/python/object.hpp>	//python封装
#include <boost/python.hpp>			//python封装
#include <boost/thread.hpp>			//任务队列的线程功能
#include <boost/bind.hpp>			//任务队列的线程功能
#include <boost/any.hpp>			//任务队列的任务实现

//API
#include "USTPFtdcTraderApi.h"

//命名空间
using namespace std;
using namespace boost::python;
using namespace boost;

//常量
#define ONFRONTCONNECTED 1
#define ONFRONTDISCONNECTED 2
#define ONHEARTBEATWARNING 3
#define ONPACKAGESTART 4
#define ONPACKAGEEND 5
#define ONRSPERROR 6
#define ONRSPUSERLOGIN 7
#define ONRSPUSERLOGOUT 8
#define ONRSPUSERPASSWORDUPDATE 9
#define ONRSPORDERINSERT 10
#define ONRSPORDERACTION 11
#define ONRTNFLOWMESSAGECANCEL 12
#define ONRTNTRADE 13
#define ONRTNORDER 14
#define ONERRRTNORDERINSERT 15
#define ONERRRTNORDERACTION 16
#define ONRTNINSTRUMENTSTATUS 17
#define ONRTNINVESTORACCOUNTDEPOSIT 18
#define ONRSPQRYORDER 19
#define ONRSPQRYTRADE 20
#define ONRSPQRYUSERINVESTOR 21
#define ONRSPQRYTRADINGCODE 22
#define ONRSPQRYINVESTORACCOUNT 23
#define ONRSPQRYINSTRUMENT 24
#define ONRSPQRYEXCHANGE 25
#define ONRSPQRYINVESTORPOSITION 26
#define ONRSPSUBSCRIBETOPIC 27
#define ONRSPQRYCOMPLIANCEPARAM 28
#define ONRSPQRYTOPIC 29
#define ONRSPQRYINVESTORFEE 30
#define ONRSPQRYINVESTORMARGIN 31


///-------------------------------------------------------------------------------------
///API中的部分组件
///-------------------------------------------------------------------------------------

//GIL全局锁简化获取用，
//用于帮助C++线程获得GIL锁，从而防止python崩溃
class PyLock
{
private:
	PyGILState_STATE gil_state;

public:
	//在某个函数方法中创建该对象时，获得GIL锁
	PyLock()
	{
		gil_state = PyGILState_Ensure();
	}

	//在某个函数完成后销毁该对象时，解放GIL锁
	~PyLock()
	{
		PyGILState_Release(gil_state);
	}
};


//任务结构体
struct Task
{
	int task_name;		//回调函数名称对应的常量
	any task_data;		//数据结构体
	any task_error;		//错误结构体
	int task_id;		//请求id
	bool task_last;		//是否为最后返回
};


///线程安全的队列
template<typename Data>

class ConcurrentQueue
{
private:
	queue<Data> the_queue;								//标准库队列
	mutable mutex the_mutex;							//boost互斥锁
	condition_variable the_condition_variable;			//boost条件变量

public:

	//存入新的任务
	void push(Data const& data)
	{
		mutex::scoped_lock lock(the_mutex);				//获取互斥锁
		the_queue.push(data);							//向队列中存入数据
		lock.unlock();									//释放锁
		the_condition_variable.notify_one();			//通知正在阻塞等待的线程
	}

	//检查队列是否为空
	bool empty() const
	{
		mutex::scoped_lock lock(the_mutex);
		return the_queue.empty();
	}

	//取出
	Data wait_and_pop()
	{
		mutex::scoped_lock lock(the_mutex);

		while (the_queue.empty())						//当队列为空时
		{
			the_condition_variable.wait(lock);			//等待条件变量通知
		}

		Data popped_value = the_queue.front();			//获取队列中的最后一个任务
		the_queue.pop();								//删除该任务
		return popped_value;							//返回该任务
	}

};


//从字典中获取某个建值对应的整数，并赋值到请求结构体对象的值上
void getInt(dict d, string key, int* value);


//从字典中获取某个建值对应的浮点数，并赋值到请求结构体对象的值上
void getDouble(dict d, string key, double* value);


//从字典中获取某个建值对应的字符串，并赋值到请求结构体对象的值上
void getChar(dict d, string key, char* value);



///-------------------------------------------------------------------------------------
///C++ SPI的回调函数方法实现
///-------------------------------------------------------------------------------------

//API的继承实现
class TdApi : public CUstpFtdcTraderSpi
{
private:
	CUstpFtdcTraderApi* api;			//API对象
	thread *task_thread;				//工作线程指针（向python中推送数据）
	ConcurrentQueue<Task> task_queue;	//任务队列

public:
	TdApi()
	{
		function0<void> f = boost::bind(&TdApi::processTask, this);
		thread t(f);
		this->task_thread = &t;
	};

	~TdApi()
	{
	};

	//-------------------------------------------------------------------------------------
	//API回调函数
	//-------------------------------------------------------------------------------------

	///当客户端与交易后台建立起通信连接时（还未登录前），该方法被调用。
	virtual void OnFrontConnected();

	///当客户端与交易后台通信连接断开时，该方法被调用。当发生这个情况后，API会自动重新连接，客户端可不做处理。
	///@param nReason 错误原因
	///        0x1001 网络读失败
	///        0x1002 网络写失败
	///        0x2001 接收心跳超时
	///        0x2002 发送心跳失败
	///        0x2003 收到错误报文
	virtual void OnFrontDisconnected(int nReason);

	///心跳超时警告。当长时间未收到报文时，该方法被调用。
	///@param nTimeLapse 距离上次接收报文的时间
	virtual void OnHeartBeatWarning(int nTimeLapse);

	///报文回调开始通知。当API收到一个报文后，首先调用本方法，然后是各数据域的回调，最后是报文回调结束通知。
	///@param nTopicID 主题代码（如私有流、公共流、行情流等）
	///@param nSequenceNo 报文序号
	virtual void OnPackageStart(int nTopicID, int nSequenceNo);

	///报文回调结束通知。当API收到一个报文后，首先调用报文回调开始通知，然后是各数据域的回调，最后调用本方法。
	///@param nTopicID 主题代码（如私有流、公共流、行情流等）
	///@param nSequenceNo 报文序号
	virtual void OnPackageEnd(int nTopicID, int nSequenceNo);

	///错误应答
	virtual void OnRspError(CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///风控前置系统用户登录应答
	virtual void OnRspUserLogin(CUstpFtdcRspUserLoginField *pRspUserLogin, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///用户退出应答
	virtual void OnRspUserLogout(CUstpFtdcRspUserLogoutField *pRspUserLogout, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///用户密码修改应答
	virtual void OnRspUserPasswordUpdate(CUstpFtdcUserPasswordUpdateField *pUserPasswordUpdate, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///报单录入应答
	virtual void OnRspOrderInsert(CUstpFtdcInputOrderField *pInputOrder, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///报单操作应答
	virtual void OnRspOrderAction(CUstpFtdcOrderActionField *pOrderAction, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///数据流回退通知
	virtual void OnRtnFlowMessageCancel(CUstpFtdcFlowMessageCancelField *pFlowMessageCancel);

	///成交回报
	virtual void OnRtnTrade(CUstpFtdcTradeField *pTrade);

	///报单回报
	virtual void OnRtnOrder(CUstpFtdcOrderField *pOrder);

	///报单录入错误回报
	virtual void OnErrRtnOrderInsert(CUstpFtdcInputOrderField *pInputOrder, CUstpFtdcRspInfoField *pRspInfo);

	///报单操作错误回报
	virtual void OnErrRtnOrderAction(CUstpFtdcOrderActionField *pOrderAction, CUstpFtdcRspInfoField *pRspInfo);

	///合约交易状态通知
	virtual void OnRtnInstrumentStatus(CUstpFtdcInstrumentStatusField *pInstrumentStatus);

	///账户出入金回报
	virtual void OnRtnInvestorAccountDeposit(CUstpFtdcInvestorAccountDepositResField *pInvestorAccountDepositRes);

	///报单查询应答
	virtual void OnRspQryOrder(CUstpFtdcOrderField *pOrder, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///成交单查询应答
	virtual void OnRspQryTrade(CUstpFtdcTradeField *pTrade, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///可用投资者账户查询应答
	virtual void OnRspQryUserInvestor(CUstpFtdcRspUserInvestorField *pRspUserInvestor, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///交易编码查询应答
	virtual void OnRspQryTradingCode(CUstpFtdcRspTradingCodeField *pRspTradingCode, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///投资者资金账户查询应答
	virtual void OnRspQryInvestorAccount(CUstpFtdcRspInvestorAccountField *pRspInvestorAccount, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///合约查询应答
	virtual void OnRspQryInstrument(CUstpFtdcRspInstrumentField *pRspInstrument, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///交易所查询应答
	virtual void OnRspQryExchange(CUstpFtdcRspExchangeField *pRspExchange, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///投资者持仓查询应答
	virtual void OnRspQryInvestorPosition(CUstpFtdcRspInvestorPositionField *pRspInvestorPosition, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///订阅主题应答
	virtual void OnRspSubscribeTopic(CUstpFtdcDisseminationField *pDissemination, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///合规参数查询应答
	virtual void OnRspQryComplianceParam(CUstpFtdcRspComplianceParamField *pRspComplianceParam, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///主题查询应答
	virtual void OnRspQryTopic(CUstpFtdcDisseminationField *pDissemination, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///投资者手续费率查询应答
	virtual void OnRspQryInvestorFee(CUstpFtdcInvestorFeeField *pInvestorFee, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///投资者保证金率查询应答
	virtual void OnRspQryInvestorMargin(CUstpFtdcInvestorMarginField *pInvestorMargin, CUstpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	//-------------------------------------------------------------------------------------
	//task：任务
	//-------------------------------------------------------------------------------------

	void processTask();

	void processFrontConnected(Task task);

	void processFrontDisconnected(Task task);

	void processHeartBeatWarning(Task task);

	//void processPackageStart(Task task);

	//void processPackageEnd(Task task);

	void processRspError(Task task);

	void processRspUserLogin(Task task);

	void processRspUserLogout(Task task);

	void processRspUserPasswordUpdate(Task task);

	void processRspOrderInsert(Task task);

	void processRspOrderAction(Task task);

	void processRtnFlowMessageCancel(Task task);

	void processRtnTrade(Task task);

	void processRtnOrder(Task task);

	void processErrRtnOrderInsert(Task task);

	void processErrRtnOrderAction(Task task);

	void processRtnInstrumentStatus(Task task);

	void processRtnInvestorAccountDeposit(Task task);

	void processRspQryOrder(Task task);

	void processRspQryTrade(Task task);

	void processRspQryUserInvestor(Task task);

	void processRspQryTradingCode(Task task);

	void processRspQryInvestorAccount(Task task);

	void processRspQryInstrument(Task task);

	void processRspQryExchange(Task task);

	void processRspQryInvestorPosition(Task task);

	void processRspSubscribeTopic(Task task);

	void processRspQryComplianceParam(Task task);

	void processRspQryTopic(Task task);

	void processRspQryInvestorFee(Task task);

	void processRspQryInvestorMargin(Task task);

	//-------------------------------------------------------------------------------------
	//data：回调函数的数据字典
	//error：回调函数的错误字典
	//id：请求id
	//last：是否为最后返回
	//i：整数
	//-------------------------------------------------------------------------------------

	virtual void onFrontConnected(){};

	virtual void onFrontDisconnected(int i){};

	virtual void onHeartBeatWarning(int i){};

	virtual void onRspError(dict error, int id, bool last) {};

	virtual void onRspUserLogin(dict data, dict error, int id, bool last) {};

	virtual void onRspUserLogout(dict data, dict error, int id, bool last) {};

	virtual void onRspUserPasswordUpdate(dict data, dict error, int id, bool last) {};

	virtual void onRspOrderInsert(dict data, dict error, int id, bool last) {};

	virtual void onRspOrderAction(dict data, dict error, int id, bool last) {};

	virtual void onRtnFlowMessageCancel(dict data) {};

	virtual void onRtnTrade(dict data) {};

	virtual void onRtnOrder(dict data) {};

	virtual void onErrRtnOrderInsert(dict data, dict error) {};

	virtual void onErrRtnOrderAction(dict data, dict error) {};

	virtual void onRtnInstrumentStatus(dict data) {};

	virtual void onRtnInvestorAccountDeposit(dict data) {};

	virtual void onRspQryOrder(dict data, dict error, int id, bool last) {};

	virtual void onRspQryTrade(dict data, dict error, int id, bool last) {};

	virtual void onRspQryUserInvestor(dict data, dict error, int id, bool last) {};

	virtual void onRspQryTradingCode(dict data, dict error, int id, bool last) {};

	virtual void onRspQryInvestorAccount(dict data, dict error, int id, bool last) {};

	virtual void onRspQryInstrument(dict data, dict error, int id, bool last) {};

	virtual void onRspQryExchange(dict data, dict error, int id, bool last) {};

	virtual void onRspQryInvestorPosition(dict data, dict error, int id, bool last) {};

	virtual void onRspSubscribeTopic(dict data, dict error, int id, bool last) {};

	virtual void onRspQryComplianceParam(dict data, dict error, int id, bool last) {};

	virtual void onRspQryTopic(dict data, dict error, int id, bool last) {};

	virtual void onRspQryInvestorFee(dict data, dict error, int id, bool last) {};

	virtual void onRspQryInvestorMargin(dict data, dict error, int id, bool last) {};

	//-------------------------------------------------------------------------------------
	//req:主动函数的请求字典
	//-------------------------------------------------------------------------------------

	void createFtdcTraderApi(string pszFlowPath = "");

	void release();

	void init();

	int join();

	int exit();

	string getTradingDay();

	void registerFront(string pszFrontAddress);

	void registerNameServer(string pszNsAddress);

	int registerCertificateFile(string pszCertFileName, string pszKeyFileName, string pszCaFileName, string pszKeyFilePassword);

	void subscribePrivateTopic(int nType);

	void subscribePublicTopic(int nType);

	void subscribeUserTopic(int nType);

	void setHeartbeatTimeout(int timeout);

	int openRequestLog(string pszReqLogFileName);

	int openResponseLog(string pszReqLogFileName);

	int reqUserLogin(dict req, int nRequestID);

	int reqUserLogout(dict req, int nRequestID);

	int reqUserPasswordUpdate(dict req, int nRequestID);

	int reqOrderInsert(dict req, int nRequestID);

	int reqOrderAction(dict req, int nRequestID);

	int reqQryOrder(dict req, int nRequestID);

	int reqQryTrade(dict req, int nRequestID);

	int reqQryUserInvestor(dict req, int nRequestID);

	int reqQryTradingCode(dict req, int nRequestID);

	int reqQryInvestorAccount(dict req, int nRequestID);

	int reqQryInstrument(dict req, int nRequestID);

	int reqQryExchange(dict req, int nRequestID);

	int reqQryInvestorPosition(dict req, int nRequestID);

	int reqSubscribeTopic(dict req, int nRequestID);

	int reqQryComplianceParam(dict req, int nRequestID);

	int reqQryTopic(dict req, int nRequestID);

	int reqQryInvestorFee(dict req, int nRequestID);

	int reqQryInvestorMargin(dict req, int nRequestID);
};