1318 lines
33 KiB
C++
1318 lines
33 KiB
C++
// vnqdpmd.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 "vnqdpmd.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 getStr(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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#ifdef _MSC_VER //WIN32
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strcpy_s(value, strlen(buffer) + 1, buffer);
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#elif __GNUC__
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strncpy(value, buffer, strlen(buffer) + 1);
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#endif
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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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*value = *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::OnPackageStart(int nTopicID, int nSequenceNo)
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{
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//手动修改
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Task task = Task();
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task.task_name = ONPACKAGESTART;
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task.task_id = nTopicID;
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task.additional_int = nSequenceNo;
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this->task_queue.push(task);
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};
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void MdApi::OnPackageEnd(int nTopicID, int nSequenceNo)
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{
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//手动修改
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Task task = Task();
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task.task_name = ONPACKAGEEND;
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task.task_id = nTopicID;
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task.additional_int = nSequenceNo;
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this->task_queue.push(task);
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};
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void MdApi::OnMultiHeartbeat(char *CurrTime, char *MultiCastIP)
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{
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//手动修改
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Task task = Task();
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task.task_name = ONMULTIHEARTBEAT;
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task.additional_str1 = *CurrTime;
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task.additional_str2 = *MultiCastIP;
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this->task_queue.push(task);
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};
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void MdApi::UdpMarketData(CQdpFtdcDepthMarketDataField *qmdata)
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{
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//手动修改
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Task task = Task();
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task.task_name = UDPMARKETDATA;
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if (qmdata)
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{
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task.task_data = *qmdata;
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}
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else
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{
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CQdpFtdcDepthMarketDataField empty_data = CQdpFtdcDepthMarketDataField();
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memset(&empty_data, 0, sizeof(empty_data));
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task.task_data = empty_data;
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}
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this->task_queue.push(task);
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};
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void MdApi::OnRspError(CQdpFtdcRspInfoField *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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CQdpFtdcRspInfoField empty_error = CQdpFtdcRspInfoField();
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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(CQdpFtdcRspUserLoginField *pRspUserLogin, CQdpFtdcRspInfoField *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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if (pRspUserLogin)
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{
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task.task_data = *pRspUserLogin;
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}
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else
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{
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CQdpFtdcRspUserLoginField empty_data = CQdpFtdcRspUserLoginField();
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memset(&empty_data, 0, sizeof(empty_data));
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task.task_data = empty_data;
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}
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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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CQdpFtdcRspInfoField empty_error = CQdpFtdcRspInfoField();
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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(CQdpFtdcRspUserLogoutField *pRspUserLogout, CQdpFtdcRspInfoField *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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if (pRspUserLogout)
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{
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task.task_data = *pRspUserLogout;
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}
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else
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{
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CQdpFtdcRspUserLogoutField empty_data = CQdpFtdcRspUserLogoutField();
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memset(&empty_data, 0, sizeof(empty_data));
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task.task_data = empty_data;
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}
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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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CQdpFtdcRspInfoField empty_error = CQdpFtdcRspInfoField();
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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::OnRtnQmdInstrumentStatu(CQdpFtdcQmdInstrumentStateField *pQmdInstrumentState)
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{
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Task task = Task();
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task.task_name = ONRTNQMDINSTRUMENTSTATU;
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if (pQmdInstrumentState)
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{
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task.task_data = *pQmdInstrumentState;
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}
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else
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{
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CQdpFtdcQmdInstrumentStateField empty_data = CQdpFtdcQmdInstrumentStateField();
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memset(&empty_data, 0, sizeof(empty_data));
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task.task_data = empty_data;
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}
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this->task_queue.push(task);
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};
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void MdApi::OnRspSubscribeTopic(CQdpFtdcDisseminationField *pDissemination, CQdpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
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{
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Task task = Task();
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task.task_name = ONRSPSUBSCRIBETOPIC;
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if (pDissemination)
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{
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task.task_data = *pDissemination;
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}
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else
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{
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CQdpFtdcDisseminationField empty_data = CQdpFtdcDisseminationField();
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memset(&empty_data, 0, sizeof(empty_data));
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task.task_data = empty_data;
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}
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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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CQdpFtdcRspInfoField empty_error = CQdpFtdcRspInfoField();
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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::OnRspQryTopic(CQdpFtdcDisseminationField *pDissemination, CQdpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
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{
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Task task = Task();
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task.task_name = ONRSPQRYTOPIC;
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if (pDissemination)
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{
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task.task_data = *pDissemination;
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}
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else
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{
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CQdpFtdcDisseminationField empty_data = CQdpFtdcDisseminationField();
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memset(&empty_data, 0, sizeof(empty_data));
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task.task_data = empty_data;
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}
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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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CQdpFtdcRspInfoField empty_error = CQdpFtdcRspInfoField();
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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(CQdpFtdcDepthMarketDataField *pDepthMarketData)
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{
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Task task = Task();
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task.task_name = ONRTNDEPTHMARKETDATA;
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if (pDepthMarketData)
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{
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task.task_data = *pDepthMarketData;
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}
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else
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{
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CQdpFtdcDepthMarketDataField empty_data = CQdpFtdcDepthMarketDataField();
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memset(&empty_data, 0, sizeof(empty_data));
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task.task_data = empty_data;
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}
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this->task_queue.push(task);
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};
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void MdApi::OnRspSubMarketData(CQdpFtdcSpecificInstrumentField *pSpecificInstrument, CQdpFtdcRspInfoField *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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if (pSpecificInstrument)
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{
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task.task_data = *pSpecificInstrument;
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}
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else
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{
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CQdpFtdcSpecificInstrumentField empty_data = CQdpFtdcSpecificInstrumentField();
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memset(&empty_data, 0, sizeof(empty_data));
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task.task_data = empty_data;
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}
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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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CQdpFtdcRspInfoField empty_error = CQdpFtdcRspInfoField();
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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(CQdpFtdcSpecificInstrumentField *pSpecificInstrument, CQdpFtdcRspInfoField *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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if (pSpecificInstrument)
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{
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task.task_data = *pSpecificInstrument;
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}
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else
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{
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CQdpFtdcSpecificInstrumentField empty_data = CQdpFtdcSpecificInstrumentField();
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memset(&empty_data, 0, sizeof(empty_data));
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task.task_data = empty_data;
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}
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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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CQdpFtdcRspInfoField empty_error = CQdpFtdcRspInfoField();
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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::OnRspQryDepthMarketData(CQdpFtdcRspMarketDataField *pRspMarketData, CQdpFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
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{
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Task task = Task();
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task.task_name = ONRSPQRYDEPTHMARKETDATA;
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if (pRspMarketData)
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{
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task.task_data = *pRspMarketData;
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}
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else
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{
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CQdpFtdcRspMarketDataField empty_data = CQdpFtdcRspMarketDataField();
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memset(&empty_data, 0, sizeof(empty_data));
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task.task_data = empty_data;
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}
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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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CQdpFtdcRspInfoField empty_error = CQdpFtdcRspInfoField();
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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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///-------------------------------------------------------------------------------------
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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 ONPACKAGESTART:
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{
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this->processPackageStart(task);
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break;
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}
|
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case ONPACKAGEEND:
|
||
{
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this->processPackageEnd(task);
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break;
|
||
}
|
||
|
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//手动修改
|
||
case ONMULTIHEARTBEAT:
|
||
{
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||
this->processMultiHeartbeat(task);
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break;
|
||
}
|
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//手动修改
|
||
case UDPMARKETDATA:
|
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{
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||
this->processUdpMarketData(task);
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break;
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}
|
||
|
||
case ONRSPERROR:
|
||
{
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||
this->processRspError(task);
|
||
break;
|
||
}
|
||
|
||
case ONRSPUSERLOGIN:
|
||
{
|
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this->processRspUserLogin(task);
|
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break;
|
||
}
|
||
|
||
case ONRSPUSERLOGOUT:
|
||
{
|
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this->processRspUserLogout(task);
|
||
break;
|
||
}
|
||
|
||
case ONRTNQMDINSTRUMENTSTATU:
|
||
{
|
||
this->processRtnQmdInstrumentStatu(task);
|
||
break;
|
||
}
|
||
|
||
case ONRSPSUBSCRIBETOPIC:
|
||
{
|
||
this->processRspSubscribeTopic(task);
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||
break;
|
||
}
|
||
|
||
case ONRSPQRYTOPIC:
|
||
{
|
||
this->processRspQryTopic(task);
|
||
break;
|
||
}
|
||
|
||
case ONRTNDEPTHMARKETDATA:
|
||
{
|
||
this->processRtnDepthMarketData(task);
|
||
break;
|
||
}
|
||
|
||
case ONRSPSUBMARKETDATA:
|
||
{
|
||
this->processRspSubMarketData(task);
|
||
break;
|
||
}
|
||
|
||
case ONRSPUNSUBMARKETDATA:
|
||
{
|
||
this->processRspUnSubMarketData(task);
|
||
break;
|
||
}
|
||
|
||
case ONRSPQRYDEPTHMARKETDATA:
|
||
{
|
||
this->processRspQryDepthMarketData(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::processPackageStart(Task task)
|
||
{
|
||
//手动修改
|
||
PyLock lock;
|
||
this->onPackageStart(task.task_id, task.additional_int);
|
||
};
|
||
|
||
void MdApi::processPackageEnd(Task task)
|
||
{
|
||
//手动修改
|
||
PyLock lock;
|
||
this->onPackageEnd(task.task_id, task.additional_int);
|
||
};
|
||
|
||
void MdApi::processMultiHeartbeat(Task task)
|
||
{
|
||
//手动修改
|
||
PyLock lock;
|
||
this->onMultiHeartbeat(task.additional_str1, task.additional_str2);
|
||
};
|
||
|
||
void MdApi::processUdpMarketData(Task task)
|
||
{
|
||
//手动修改
|
||
PyLock lock;
|
||
CQdpFtdcDepthMarketDataField task_data = any_cast<CQdpFtdcDepthMarketDataField>(task.task_data);
|
||
dict data;
|
||
data["HighestPrice"] = task_data.HighestPrice;
|
||
data["BidPrice5"] = task_data.BidPrice5;
|
||
data["BidVolume3"] = task_data.BidVolume3;
|
||
data["BidPrice1"] = task_data.BidPrice1;
|
||
data["BidPrice3"] = task_data.BidPrice3;
|
||
data["BidPrice2"] = task_data.BidPrice2;
|
||
data["LowerLimitPrice"] = task_data.LowerLimitPrice;
|
||
data["PreOpenInterest"] = task_data.PreOpenInterest;
|
||
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["BidVolume5"] = task_data.BidVolume5;
|
||
data["BidVolume4"] = task_data.BidVolume4;
|
||
data["SettlementGroupID"] = task_data.SettlementGroupID;
|
||
data["BidVolume2"] = task_data.BidVolume2;
|
||
data["BidVolume1"] = task_data.BidVolume1;
|
||
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["BidPrice4"] = task_data.BidPrice4;
|
||
data["InstrumentID"] = task_data.InstrumentID;
|
||
data["ClosePrice"] = task_data.ClosePrice;
|
||
data["ExchangeID"] = task_data.ExchangeID;
|
||
data["SettlementID"] = task_data.SettlementID;
|
||
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["OpenPrice"] = task_data.OpenPrice;
|
||
data["LowestPrice"] = task_data.LowestPrice;
|
||
|
||
this->udpMarketData(data);
|
||
};
|
||
|
||
void MdApi::processRspError(Task task)
|
||
{
|
||
PyLock lock;
|
||
CQdpFtdcRspInfoField task_error = any_cast<CQdpFtdcRspInfoField>(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::processRspUserLogin(Task task)
|
||
{
|
||
PyLock lock;
|
||
CQdpFtdcRspUserLoginField task_data = any_cast<CQdpFtdcRspUserLoginField>(task.task_data);
|
||
dict data;
|
||
data["PrivateFlowSize"] = task_data.PrivateFlowSize;
|
||
data["UserID"] = task_data.UserID;
|
||
data["DataCenterID"] = task_data.DataCenterID;
|
||
data["TradingDay"] = task_data.TradingDay;
|
||
data["SessionID"] = task_data.SessionID;
|
||
data["BrokerID"] = task_data.BrokerID;
|
||
data["MaxOrderLocalID"] = task_data.MaxOrderLocalID;
|
||
data["TradingSystemName"] = task_data.TradingSystemName;
|
||
data["FrontID"] = task_data.FrontID;
|
||
data["LoginTime"] = task_data.LoginTime;
|
||
data["UserFlowSize"] = task_data.UserFlowSize;
|
||
|
||
CQdpFtdcRspInfoField task_error = any_cast<CQdpFtdcRspInfoField>(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;
|
||
CQdpFtdcRspUserLogoutField task_data = any_cast<CQdpFtdcRspUserLogoutField>(task.task_data);
|
||
dict data;
|
||
data["UserID"] = task_data.UserID;
|
||
data["BrokerID"] = task_data.BrokerID;
|
||
|
||
CQdpFtdcRspInfoField task_error = any_cast<CQdpFtdcRspInfoField>(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::processRtnQmdInstrumentStatu(Task task)
|
||
{
|
||
PyLock lock;
|
||
CQdpFtdcQmdInstrumentStateField task_data = any_cast<CQdpFtdcQmdInstrumentStateField>(task.task_data);
|
||
dict data;
|
||
data["InstrumentID"] = task_data.InstrumentID;
|
||
data["InstrumentStatus"] = task_data.InstrumentStatus;
|
||
data["ExchangeID"] = task_data.ExchangeID;
|
||
|
||
this->onRtnQmdInstrumentStatu(data);
|
||
};
|
||
|
||
void MdApi::processRspSubscribeTopic(Task task)
|
||
{
|
||
PyLock lock;
|
||
CQdpFtdcDisseminationField task_data = any_cast<CQdpFtdcDisseminationField>(task.task_data);
|
||
dict data;
|
||
data["SequenceNo"] = task_data.SequenceNo;
|
||
data["SequenceSeries"] = task_data.SequenceSeries;
|
||
|
||
CQdpFtdcRspInfoField task_error = any_cast<CQdpFtdcRspInfoField>(task.task_error);
|
||
dict error;
|
||
error["ErrorMsg"] = task_error.ErrorMsg;
|
||
error["ErrorID"] = task_error.ErrorID;
|
||
|
||
this->onRspSubscribeTopic(data, error, task.task_id, task.task_last);
|
||
};
|
||
|
||
void MdApi::processRspQryTopic(Task task)
|
||
{
|
||
PyLock lock;
|
||
CQdpFtdcDisseminationField task_data = any_cast<CQdpFtdcDisseminationField>(task.task_data);
|
||
dict data;
|
||
data["SequenceNo"] = task_data.SequenceNo;
|
||
data["SequenceSeries"] = task_data.SequenceSeries;
|
||
|
||
CQdpFtdcRspInfoField task_error = any_cast<CQdpFtdcRspInfoField>(task.task_error);
|
||
dict error;
|
||
error["ErrorMsg"] = task_error.ErrorMsg;
|
||
error["ErrorID"] = task_error.ErrorID;
|
||
|
||
this->onRspQryTopic(data, error, task.task_id, task.task_last);
|
||
};
|
||
|
||
void MdApi::processRtnDepthMarketData(Task task)
|
||
{
|
||
PyLock lock;
|
||
CQdpFtdcDepthMarketDataField task_data = any_cast<CQdpFtdcDepthMarketDataField>(task.task_data);
|
||
dict data;
|
||
data["HighestPrice"] = task_data.HighestPrice;
|
||
data["BidPrice5"] = task_data.BidPrice5;
|
||
data["BidVolume3"] = task_data.BidVolume3;
|
||
data["BidPrice1"] = task_data.BidPrice1;
|
||
data["BidPrice3"] = task_data.BidPrice3;
|
||
data["BidPrice2"] = task_data.BidPrice2;
|
||
data["LowerLimitPrice"] = task_data.LowerLimitPrice;
|
||
data["PreOpenInterest"] = task_data.PreOpenInterest;
|
||
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["BidVolume5"] = task_data.BidVolume5;
|
||
data["BidVolume4"] = task_data.BidVolume4;
|
||
data["SettlementGroupID"] = task_data.SettlementGroupID;
|
||
data["BidVolume2"] = task_data.BidVolume2;
|
||
data["BidVolume1"] = task_data.BidVolume1;
|
||
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["BidPrice4"] = task_data.BidPrice4;
|
||
data["InstrumentID"] = task_data.InstrumentID;
|
||
data["ClosePrice"] = task_data.ClosePrice;
|
||
data["ExchangeID"] = task_data.ExchangeID;
|
||
data["SettlementID"] = task_data.SettlementID;
|
||
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["OpenPrice"] = task_data.OpenPrice;
|
||
data["LowestPrice"] = task_data.LowestPrice;
|
||
|
||
this->onRtnDepthMarketData(data);
|
||
};
|
||
|
||
void MdApi::processRspSubMarketData(Task task)
|
||
{
|
||
PyLock lock;
|
||
CQdpFtdcSpecificInstrumentField task_data = any_cast<CQdpFtdcSpecificInstrumentField>(task.task_data);
|
||
dict data;
|
||
data["InstrumentID"] = task_data.InstrumentID;
|
||
|
||
CQdpFtdcRspInfoField task_error = any_cast<CQdpFtdcRspInfoField>(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;
|
||
CQdpFtdcSpecificInstrumentField task_data = any_cast<CQdpFtdcSpecificInstrumentField>(task.task_data);
|
||
dict data;
|
||
data["InstrumentID"] = task_data.InstrumentID;
|
||
|
||
CQdpFtdcRspInfoField task_error = any_cast<CQdpFtdcRspInfoField>(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::processRspQryDepthMarketData(Task task)
|
||
{
|
||
PyLock lock;
|
||
CQdpFtdcRspMarketDataField task_data = any_cast<CQdpFtdcRspMarketDataField>(task.task_data);
|
||
dict data;
|
||
data["HighestPrice"] = task_data.HighestPrice;
|
||
data["BidPrice1"] = task_data.BidPrice1;
|
||
data["LowerLimitPrice"] = task_data.LowerLimitPrice;
|
||
data["PreOpenInterest"] = task_data.PreOpenInterest;
|
||
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["SettlementGroupID"] = task_data.SettlementGroupID;
|
||
data["BidVolume1"] = task_data.BidVolume1;
|
||
data["Volume"] = task_data.Volume;
|
||
data["UpperLimitPrice"] = task_data.UpperLimitPrice;
|
||
data["InstrumentID"] = task_data.InstrumentID;
|
||
data["ClosePrice"] = task_data.ClosePrice;
|
||
data["ExchangeID"] = task_data.ExchangeID;
|
||
data["SettlementID"] = task_data.SettlementID;
|
||
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["OpenPrice"] = task_data.OpenPrice;
|
||
data["LowestPrice"] = task_data.LowestPrice;
|
||
|
||
CQdpFtdcRspInfoField task_error = any_cast<CQdpFtdcRspInfoField>(task.task_error);
|
||
dict error;
|
||
error["ErrorMsg"] = task_error.ErrorMsg;
|
||
error["ErrorID"] = task_error.ErrorID;
|
||
|
||
this->onRspQryDepthMarketData(data, error, task.task_id, task.task_last);
|
||
};
|
||
|
||
|
||
///-------------------------------------------------------------------------------------
|
||
///主动函数
|
||
///-------------------------------------------------------------------------------------
|
||
|
||
void MdApi::createFtdcMdApi(string pszFlowPath)
|
||
{
|
||
this->api = CQdpFtdcMduserApi::CreateFtdcMduserApi(pszFlowPath.c_str());
|
||
this->api->RegisterSpi(this);
|
||
};
|
||
|
||
string MdApi::getVersion(int major, int minor)
|
||
{
|
||
//手动修改
|
||
string version = this->api->GetVersion(major, minor);
|
||
return version;
|
||
};
|
||
|
||
void MdApi::release()
|
||
{
|
||
this->api->Release();
|
||
};
|
||
|
||
void MdApi::setMultiCast(bool multicast)
|
||
{
|
||
//手动修改
|
||
this->api->SetMultiCast(multicast);
|
||
}
|
||
|
||
void MdApi::regTopicMultiAddr(string multiAddr)
|
||
{
|
||
//手动修改
|
||
this->api->RegTopicMultiAddr((char*) multiAddr.c_str());
|
||
}
|
||
|
||
void MdApi::init()
|
||
{
|
||
this->api->Init();
|
||
};
|
||
|
||
int MdApi::join()
|
||
{
|
||
int i = this->api->Join();
|
||
return i;
|
||
};
|
||
|
||
int MdApi::exit()
|
||
{
|
||
//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
|
||
this->api->RegisterSpi(NULL);
|
||
this->api->Release();
|
||
this->api = NULL;
|
||
return 1;
|
||
};
|
||
|
||
string MdApi::getTradingDay()
|
||
{
|
||
string day = this->api->GetTradingDay();
|
||
return day;
|
||
};
|
||
|
||
void MdApi::registerFront(string pszFrontAddress)
|
||
{
|
||
this->api->RegisterFront((char*)pszFrontAddress.c_str());
|
||
};
|
||
|
||
void MdApi::registerNameServer(string pszNsAddress)
|
||
{
|
||
this->api->RegisterNameServer((char*)pszNsAddress.c_str());
|
||
}
|
||
|
||
void MdApi::subscribeMarketDataTopic(int topicID, int resumeType)
|
||
{
|
||
this->api->SubscribeMarketDataTopic(topicID, (QDP_TE_RESUME_TYPE)resumeType);
|
||
}
|
||
|
||
int MdApi::subMarketData(string instrumentID)
|
||
{
|
||
char* buffer = (char*) instrumentID.c_str();
|
||
char* myreq[1] = { buffer };
|
||
int i = this->api->SubMarketData(myreq, 1);
|
||
return i;
|
||
};
|
||
|
||
int MdApi::unSubMarketData(string instrumentID)
|
||
{
|
||
char* buffer = (char*)instrumentID.c_str();
|
||
char* myreq[1] = { buffer };;
|
||
int i = this->api->UnSubMarketData(myreq, 1);
|
||
return i;
|
||
};
|
||
|
||
void MdApi::setHeartbeatTimeout(int timeout)
|
||
{
|
||
//手动修改
|
||
this->api->SetHeartbeatTimeout(timeout);
|
||
}
|
||
|
||
void MdApi::shmMarketData(dict req, dict defdata)
|
||
{
|
||
//手动修改
|
||
};
|
||
|
||
void MdApi::setUdpChannel(string udpid)
|
||
{
|
||
//手动修改
|
||
this->api->setudpchannel((char*)udpid.c_str());
|
||
}
|
||
|
||
int MdApi::reqUserLogin(dict req, int nRequestID)
|
||
{
|
||
CQdpFtdcReqUserLoginField myreq = CQdpFtdcReqUserLoginField();
|
||
memset(&myreq, 0, sizeof(myreq));
|
||
getStr(req, "MacAddress", myreq.MacAddress);
|
||
getStr(req, "UserProductInfo", myreq.UserProductInfo);
|
||
getStr(req, "UserID", myreq.UserID);
|
||
getInt(req, "DataCenterID", &myreq.DataCenterID);
|
||
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);
|
||
getStr(req, "IPAddress", myreq.IPAddress);
|
||
int i = this->api->ReqUserLogin(&myreq, nRequestID);
|
||
return i;
|
||
};
|
||
|
||
int MdApi::reqUserLogout(dict req, int nRequestID)
|
||
{
|
||
CQdpFtdcReqUserLogoutField myreq = CQdpFtdcReqUserLogoutField();
|
||
memset(&myreq, 0, sizeof(myreq));
|
||
getStr(req, "UserID", myreq.UserID);
|
||
getStr(req, "BrokerID", myreq.BrokerID);
|
||
int i = this->api->ReqUserLogout(&myreq, nRequestID);
|
||
return i;
|
||
};
|
||
|
||
int MdApi::reqSubscribeTopic(dict req, int nRequestID)
|
||
{
|
||
CQdpFtdcDisseminationField myreq = CQdpFtdcDisseminationField();
|
||
memset(&myreq, 0, sizeof(myreq));
|
||
getInt(req, "SequenceNo", &myreq.SequenceNo);
|
||
getInt(req, "SequenceSeries", &myreq.SequenceSeries);
|
||
int i = this->api->ReqSubscribeTopic(&myreq, nRequestID);
|
||
return i;
|
||
};
|
||
|
||
int MdApi::reqQryTopic(dict req, int nRequestID)
|
||
{
|
||
CQdpFtdcDisseminationField myreq = CQdpFtdcDisseminationField();
|
||
memset(&myreq, 0, sizeof(myreq));
|
||
getInt(req, "SequenceNo", &myreq.SequenceNo);
|
||
getInt(req, "SequenceSeries", &myreq.SequenceSeries);
|
||
int i = this->api->ReqQryTopic(&myreq, nRequestID);
|
||
return i;
|
||
};
|
||
|
||
int MdApi::reqSubMarketData(dict req, int nRequestID)
|
||
{
|
||
CQdpFtdcSpecificInstrumentField myreq = CQdpFtdcSpecificInstrumentField();
|
||
memset(&myreq, 0, sizeof(myreq));
|
||
getStr(req, "InstrumentID", myreq.InstrumentID);
|
||
int i = this->api->ReqSubMarketData(&myreq, nRequestID);
|
||
return i;
|
||
};
|
||
|
||
int MdApi::reqUnSubMarketData(dict req, int nRequestID)
|
||
{
|
||
CQdpFtdcSpecificInstrumentField myreq = CQdpFtdcSpecificInstrumentField();
|
||
memset(&myreq, 0, sizeof(myreq));
|
||
getStr(req, "InstrumentID", myreq.InstrumentID);
|
||
int i = this->api->ReqUnSubMarketData(&myreq, nRequestID);
|
||
return i;
|
||
};
|
||
|
||
int MdApi::reqQryDepthMarketData(dict req, int nRequestID)
|
||
{
|
||
CQdpFtdcQryMarketDataField myreq = CQdpFtdcQryMarketDataField();
|
||
memset(&myreq, 0, sizeof(myreq));
|
||
getStr(req, "InstrumentID", myreq.InstrumentID);
|
||
getStr(req, "ExchangeID", myreq.ExchangeID);
|
||
int i = this->api->ReqQryDepthMarketData(&myreq, nRequestID);
|
||
return i;
|
||
};
|
||
|
||
void MdApi::activateMultiMarketData(string tradingDay)
|
||
{
|
||
//手动修改
|
||
this->api->ActiveMultiMarketData((char*)tradingDay.c_str());
|
||
}
|
||
|
||
///-------------------------------------------------------------------------------------
|
||
///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 onPackageStart(int topicID, int sequenceNo)
|
||
{
|
||
//手动修改
|
||
try
|
||
{
|
||
this->get_override("onPackageStart")(topicID, sequenceNo);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void onPackageEnd(int topicID, int sequenceNo)
|
||
{
|
||
//手动修改
|
||
try
|
||
{
|
||
this->get_override("onPackageEnd")(topicID, sequenceNo);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void onMultiHeartbeat(string currTime, string multiCastIP)
|
||
{
|
||
//手动修改
|
||
try
|
||
{
|
||
this->get_override("onMultiHeartbeat")(currTime, multiCastIP);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void udpMarketData(dict data)
|
||
{
|
||
//手动修改
|
||
try
|
||
{
|
||
this->get_override("udpMarketData")(data);
|
||
}
|
||
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 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 onRtnQmdInstrumentStatu(dict data)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onRtnQmdInstrumentStatu")(data);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void onRspSubscribeTopic(dict data, dict error, int id, bool last)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onRspSubscribeTopic")(data, error, id, last);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
|
||
virtual void onRspQryTopic(dict data, dict error, int id, bool last)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onRspQryTopic")(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 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 onRspQryDepthMarketData(dict data, dict error, int id, bool last)
|
||
{
|
||
try
|
||
{
|
||
this->get_override("onRspQryDepthMarketData")(data, error, id, last);
|
||
}
|
||
catch (error_already_set const &)
|
||
{
|
||
PyErr_Print();
|
||
}
|
||
};
|
||
};
|
||
|
||
|
||
BOOST_PYTHON_MODULE(vnqdpmd)
|
||
{
|
||
PyEval_InitThreads(); //导入时运行，保证先创建GIL
|
||
|
||
class_<MdApiWrap, boost::noncopyable>("MdApi")
|
||
.def("createFtdcMdApi", &MdApiWrap::createFtdcMdApi)
|
||
.def("getVersion", &MdApiWrap::getVersion)
|
||
.def("release", &MdApiWrap::release)
|
||
.def("setMultiCast", &MdApiWrap::setMultiCast)
|
||
.def("regTopicMultiAddr", &MdApiWrap::regTopicMultiAddr)
|
||
.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("subscribeMarketDataTopic", &MdApiWrap::subscribeMarketDataTopic)
|
||
.def("subMarketData", &MdApiWrap::subMarketData)
|
||
.def("unSubMarketData", &MdApiWrap::unSubMarketData)
|
||
.def("setHeartbeatTimeout", &MdApiWrap::setHeartbeatTimeout)
|
||
.def("shmMarketData", &MdApiWrap::shmMarketData)
|
||
.def("setUdpChannel", &MdApiWrap::setUdpChannel)
|
||
.def("reqUserLogin", &MdApiWrap::reqUserLogin)
|
||
.def("reqUserLogout", &MdApiWrap::reqUserLogout)
|
||
.def("reqSubscribeTopic", &MdApiWrap::reqSubscribeTopic)
|
||
.def("reqQryTopic", &MdApiWrap::reqQryTopic)
|
||
.def("reqSubMarketData", &MdApiWrap::reqSubMarketData)
|
||
.def("reqUnSubMarketData", &MdApiWrap::reqUnSubMarketData)
|
||
.def("reqQryDepthMarketData", &MdApiWrap::reqQryDepthMarketData)
|
||
.def("activateMultiMarketData", &MdApiWrap::activateMultiMarketData)
|
||
|
||
.def("onFrontConnected", pure_virtual(&MdApiWrap::onFrontConnected))
|
||
.def("onFrontDisconnected", pure_virtual(&MdApiWrap::onFrontDisconnected))
|
||
.def("onHeartBeatWarning", pure_virtual(&MdApiWrap::onHeartBeatWarning))
|
||
.def("onPackageStart", pure_virtual(&MdApiWrap::onPackageStart))
|
||
.def("onPackageEnd", pure_virtual(&MdApiWrap::onPackageEnd))
|
||
.def("onMultiHeartbeat", pure_virtual(&MdApiWrap::onMultiHeartbeat))
|
||
.def("udpMarketData", pure_virtual(&MdApiWrap::udpMarketData))
|
||
.def("onRspError", pure_virtual(&MdApiWrap::onRspError))
|
||
.def("onRspUserLogin", pure_virtual(&MdApiWrap::onRspUserLogin))
|
||
.def("onRspUserLogout", pure_virtual(&MdApiWrap::onRspUserLogout))
|
||
.def("onRtnQmdInstrumentStatu", pure_virtual(&MdApiWrap::onRtnQmdInstrumentStatu))
|
||
.def("onRspSubscribeTopic", pure_virtual(&MdApiWrap::onRspSubscribeTopic))
|
||
.def("onRspQryTopic", pure_virtual(&MdApiWrap::onRspQryTopic))
|
||
.def("onRtnDepthMarketData", pure_virtual(&MdApiWrap::onRtnDepthMarketData))
|
||
.def("onRspSubMarketData", pure_virtual(&MdApiWrap::onRspSubMarketData))
|
||
.def("onRspUnSubMarketData", pure_virtual(&MdApiWrap::onRspUnSubMarketData))
|
||
.def("onRspQryDepthMarketData", pure_virtual(&MdApiWrap::onRspQryDepthMarketData))
|
||
;
|
||
};
|