787 lines
18 KiB
C
787 lines
18 KiB
C
/////////////////////////////////////////////////////////////////////////
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///@company shanghai liber information Technology Co.,Ltd
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///@file SecurityFtdcL2MDUserApiStruct.h
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///@brief 定义业务数据结构
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/////////////////////////////////////////////////////////////////////////
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#if !defined(SECURITY_L2MD_FTDCSTRUCT_H)
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#define SECURITY_L2MD_FTDCSTRUCT_H
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#if _MSC_VER > 1000
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#pragma once
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#endif // _MSC_VER > 1000
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#include "SecurityFtdcL2MDUserApiDataType.h"
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_LTS_NS_BEGIN_
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///响应信息
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struct CSecurityFtdcRspInfoField
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{
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///错误代码
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TSecurityFtdcErrorIDType ErrorID;
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///错误信息
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TSecurityFtdcErrorMsgType ErrorMsg;
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};
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///用户登录信息
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struct CSecurityFtdcUserLoginField
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{
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///交易日
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TSecurityFtdcDateType TradingDay;
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///经纪公司代码
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TSecurityFtdcBrokerIDType BrokerID;
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///用户代码
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TSecurityFtdcUserIDType UserID;
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///密码
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TSecurityFtdcPasswordType Password;
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///行情数据等级
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TSecurityFtdcDataLevelType DataLevel;
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};
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///用户登出信息
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struct CSecurityFtdcUserLogoutField
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{
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///经纪公司代码
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TSecurityFtdcBrokerIDType BrokerID;
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///用户代码
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TSecurityFtdcUserIDType UserID;
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};
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///指定的合约
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struct CSecurityFtdcSpecificInstrumentField
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{
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///合约代码
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TSecurityFtdcInstrumentIDType InstrumentID;
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///交易所代码
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TSecurityFtdcExchangeIDType ExchangeID;
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};
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///Level2行情
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struct CSecurityFtdcL2MarketDataField
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{
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///交易日
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TSecurityFtdcDateType TradingDay;
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///时间戳
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TSecurityFtdcTimeType TimeStamp;
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///交易所代码
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TSecurityFtdcExchangeIDType ExchangeID;
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///合约代码
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TSecurityFtdcInstrumentIDType InstrumentID;
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///昨收盘价
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TSecurityFtdcPriceType PreClosePrice;
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///今开盘价
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TSecurityFtdcPriceType OpenPrice;
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///收盘价
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TSecurityFtdcPriceType ClosePrice;
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///净值估值
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TSecurityFtdcPriceType IOPV;
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///到期收益率
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TSecurityFtdcRatioType YieldToMaturity;
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///最高价
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TSecurityFtdcPriceType HighPrice;
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///最低价
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TSecurityFtdcPriceType LowPrice;
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///最新价
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TSecurityFtdcPriceType LastPrice;
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///成交笔数
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TSecurityFtdcVolumeType TradeCount;
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///成交总量
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TSecurityFtdcLargeVolumeType TotalTradeVolume;
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///成交总金额
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TSecurityFtdcMoneyType TotalTradeValue;
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///委托买入总量
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TSecurityFtdcLargeVolumeType TotalBidVolume;
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///加权平均委买价
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TSecurityFtdcPriceType WeightedAvgBidPrice;
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///债券加权平均委买价
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TSecurityFtdcPriceType AltWeightedAvgBidPrice;
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///委托卖出总量
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TSecurityFtdcLargeVolumeType TotalOfferVolume;
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///加权平均委卖价
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TSecurityFtdcPriceType WeightedAvgOfferPrice;
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///债券加权平均委卖价格
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TSecurityFtdcPriceType AltWeightedAvgOfferPrice;
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///买价深度
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TSecurityFtdcPriceLevelType BidPriceLevel;
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///卖价深度
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TSecurityFtdcPriceLevelType OfferPriceLevel;
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///申买价一
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TSecurityFtdcPriceType BidPrice1;
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///申买量一
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TSecurityFtdcVolumeType BidVolume1;
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///实际买总委托笔数一
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TSecurityFtdcVolumeType BidCount1;
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///申买价二
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TSecurityFtdcPriceType BidPrice2;
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///申买量二
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TSecurityFtdcVolumeType BidVolume2;
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///实际买总委托笔数二
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TSecurityFtdcVolumeType BidCount2;
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///申买价三
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TSecurityFtdcPriceType BidPrice3;
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///申买量三
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TSecurityFtdcVolumeType BidVolume3;
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///实际买总委托笔数三
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TSecurityFtdcVolumeType BidCount3;
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///申买价四
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TSecurityFtdcPriceType BidPrice4;
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///申买量四
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TSecurityFtdcVolumeType BidVolume4;
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///实际买总委托笔数四
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TSecurityFtdcVolumeType BidCount4;
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///申买价五
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TSecurityFtdcPriceType BidPrice5;
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///申买量五
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TSecurityFtdcVolumeType BidVolume5;
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///实际买总委托笔数五
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TSecurityFtdcVolumeType BidCount5;
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///申买价六
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TSecurityFtdcPriceType BidPrice6;
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///申买量六
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TSecurityFtdcVolumeType BidVolume6;
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///实际买总委托笔数六
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TSecurityFtdcVolumeType BidCount6;
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///申买价七
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TSecurityFtdcPriceType BidPrice7;
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///申买量七
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TSecurityFtdcVolumeType BidVolume7;
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///实际买总委托笔数七
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TSecurityFtdcVolumeType BidCount7;
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///申买价八
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TSecurityFtdcPriceType BidPrice8;
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///申买量八
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TSecurityFtdcVolumeType BidVolume8;
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///实际买总委托笔数八
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TSecurityFtdcVolumeType BidCount8;
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///申买价九
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TSecurityFtdcPriceType BidPrice9;
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///申买量九
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TSecurityFtdcVolumeType BidVolume9;
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///实际买总委托笔数九
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TSecurityFtdcVolumeType BidCount9;
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///申买价十
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TSecurityFtdcPriceType BidPriceA;
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///申买量十
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TSecurityFtdcVolumeType BidVolumeA;
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///实际买总委托笔数十
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TSecurityFtdcVolumeType BidCountA;
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///申卖价一
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TSecurityFtdcPriceType OfferPrice1;
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///申卖量一
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TSecurityFtdcVolumeType OfferVolume1;
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///实际卖总委托笔数一
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TSecurityFtdcVolumeType OfferCount1;
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///申卖价二
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TSecurityFtdcPriceType OfferPrice2;
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///申卖量二
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TSecurityFtdcVolumeType OfferVolume2;
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///实际卖总委托笔数二
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TSecurityFtdcVolumeType OfferCount2;
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///申卖价三
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TSecurityFtdcPriceType OfferPrice3;
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///申卖量三
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TSecurityFtdcVolumeType OfferVolume3;
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///实际卖总委托笔数三
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TSecurityFtdcVolumeType OfferCount3;
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///申卖价四
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TSecurityFtdcPriceType OfferPrice4;
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///申卖量四
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TSecurityFtdcVolumeType OfferVolume4;
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///实际卖总委托笔数四
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TSecurityFtdcVolumeType OfferCount4;
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///申卖价五
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TSecurityFtdcPriceType OfferPrice5;
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///申卖量五
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TSecurityFtdcVolumeType OfferVolume5;
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///实际卖总委托笔数五
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TSecurityFtdcVolumeType OfferCount5;
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///申卖价六
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TSecurityFtdcPriceType OfferPrice6;
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///申卖量六
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TSecurityFtdcVolumeType OfferVolume6;
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///实际卖总委托笔数六
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TSecurityFtdcVolumeType OfferCount6;
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///申卖价七
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TSecurityFtdcPriceType OfferPrice7;
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///申卖量七
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TSecurityFtdcVolumeType OfferVolume7;
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///实际卖总委托笔数七
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TSecurityFtdcVolumeType OfferCount7;
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///申卖价八
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TSecurityFtdcPriceType OfferPrice8;
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///申卖量八
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TSecurityFtdcVolumeType OfferVolume8;
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///实际卖总委托笔数八
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TSecurityFtdcVolumeType OfferCount8;
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///申卖价九
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TSecurityFtdcPriceType OfferPrice9;
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///申卖量九
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TSecurityFtdcVolumeType OfferVolume9;
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///实际卖总委托笔数九
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TSecurityFtdcVolumeType OfferCount9;
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///申卖价十
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TSecurityFtdcPriceType OfferPriceA;
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///申卖量十
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TSecurityFtdcVolumeType OfferVolumeA;
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///实际卖总委托笔数十
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TSecurityFtdcVolumeType OfferCountA;
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};
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///Level2行情更新时间属性
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struct CSecurityFtdcL2UpdateTimeField
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{
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///交易日
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TSecurityFtdcDateType TradingDay;
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///时间戳
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TSecurityFtdcTimeType TimeStamp;
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///交易所代码
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TSecurityFtdcExchangeIDType ExchangeID;
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///合约代码
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TSecurityFtdcInstrumentIDType InstrumentID;
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};
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///Level2行情静态属性
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struct CSecurityFtdcL2StaticField
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{
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///昨收盘价
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TSecurityFtdcPriceType PreClosePrice;
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///今开盘价
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TSecurityFtdcPriceType OpenPrice;
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///收盘价
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TSecurityFtdcPriceType ClosePrice;
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///净值估值
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TSecurityFtdcPriceType IOPV;
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///到期收益率
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TSecurityFtdcRatioType YieldToMaturity;
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};
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///Level2行情价格区间属性
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struct CSecurityFtdcL2PriceIntervalField
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{
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///最高价
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TSecurityFtdcPriceType HighPrice;
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///最低价
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TSecurityFtdcPriceType LowPrice;
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};
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///Level2行情基本信息
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struct CSecurityFtdcL2BaseField
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{
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///最新价
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TSecurityFtdcPriceType LastPrice;
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};
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///Level2成交信息
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struct CSecurityFtdcL2TradedField
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{
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///成交笔数
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TSecurityFtdcVolumeType TradeCount;
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///成交总量
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TSecurityFtdcLargeVolumeType TotalTradeVolume;
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///成交总金额
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TSecurityFtdcMoneyType TotalTradeValue;
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};
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///Level2行情数据属性
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struct CSecurityFtdcL2DataLevelField
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{
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///价格
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TSecurityFtdcPriceType Price;
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///数量
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TSecurityFtdcVolumeType Volume;
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///实际总委托笔数
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TSecurityFtdcVolumeType Count;
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};
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///Level2委买信息
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struct CSecurityFtdcL2BidOrderField
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{
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///委托买入总量
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TSecurityFtdcLargeVolumeType TotalBidVolume;
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///加权平均委买价
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TSecurityFtdcPriceType WeightedAvgBidPrice;
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///债券加权平均委买价
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TSecurityFtdcPriceType AltWeightedAvgBidPrice;
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};
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///Level2委卖信息
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struct CSecurityFtdcL2OfferOrderField
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{
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///委托卖出总量
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TSecurityFtdcLargeVolumeType TotalOfferVolume;
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///加权平均委卖价
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TSecurityFtdcPriceType WeightedAvgOfferPrice;
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///债券加权平均委卖价格
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TSecurityFtdcPriceType AltWeightedAvgOfferPrice;
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};
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///Level2价格深度属性
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struct CSecurityFtdcL2PriceLevelField
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{
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///买价深度
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TSecurityFtdcPriceLevelType BidPriceLevel;
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///卖价深度
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TSecurityFtdcPriceLevelType OfferPriceLevel;
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};
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///Level2行情申买一属性
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struct CSecurityFtdcL2Bid1Field
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{
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///申买价一
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TSecurityFtdcPriceType BidPrice1;
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///申买量一
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TSecurityFtdcVolumeType BidVolume1;
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///实际买总委托笔数一
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TSecurityFtdcVolumeType BidCount1;
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};
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///Level2行情申卖一属性
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struct CSecurityFtdcL2Offer1Field
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{
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///申卖价一
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TSecurityFtdcPriceType OfferPrice1;
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///申卖量一
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TSecurityFtdcVolumeType OfferVolume1;
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///实际卖总委托笔数一
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TSecurityFtdcVolumeType OfferCount1;
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};
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///Level2行情申买二属性
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struct CSecurityFtdcL2Bid2Field
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{
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///申买价二
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TSecurityFtdcPriceType BidPrice2;
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///申买量二
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TSecurityFtdcVolumeType BidVolume2;
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///实际买总委托笔数二
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TSecurityFtdcVolumeType BidCount2;
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};
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///Level2行情申卖二属性
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struct CSecurityFtdcL2Offer2Field
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{
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///申卖价二
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TSecurityFtdcPriceType OfferPrice2;
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///申卖量二
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TSecurityFtdcVolumeType OfferVolume2;
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///实际卖总委托笔数二
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TSecurityFtdcVolumeType OfferCount2;
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};
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///Level2行情申买三属性
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struct CSecurityFtdcL2Bid3Field
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{
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///申买价三
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TSecurityFtdcPriceType BidPrice3;
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///申买量三
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TSecurityFtdcVolumeType BidVolume3;
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///实际买总委托笔数三
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TSecurityFtdcVolumeType BidCount3;
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};
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///Level2行情申卖三属性
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struct CSecurityFtdcL2Offer3Field
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{
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///申卖价三
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TSecurityFtdcPriceType OfferPrice3;
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///申卖量三
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TSecurityFtdcVolumeType OfferVolume3;
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///实际卖总委托笔数三
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TSecurityFtdcVolumeType OfferCount3;
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};
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///Level2行情申买四属性
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struct CSecurityFtdcL2Bid4Field
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{
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///申买价四
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TSecurityFtdcPriceType BidPrice4;
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///申买量四
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TSecurityFtdcVolumeType BidVolume4;
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///实际买总委托笔数四
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TSecurityFtdcVolumeType BidCount4;
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};
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///Level2行情申卖四属性
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struct CSecurityFtdcL2Offer4Field
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{
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///申卖价四
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TSecurityFtdcPriceType OfferPrice4;
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///申卖量四
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TSecurityFtdcVolumeType OfferVolume4;
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///实际卖总委托笔数四
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TSecurityFtdcVolumeType OfferCount4;
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};
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///Level2行情申买五属性
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struct CSecurityFtdcL2Bid5Field
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{
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///申买价五
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TSecurityFtdcPriceType BidPrice5;
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///申买量五
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TSecurityFtdcVolumeType BidVolume5;
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///实际买总委托笔数五
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TSecurityFtdcVolumeType BidCount5;
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};
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///Level2行情申卖五属性
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struct CSecurityFtdcL2Offer5Field
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{
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///申卖价五
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TSecurityFtdcPriceType OfferPrice5;
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///申卖量五
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TSecurityFtdcVolumeType OfferVolume5;
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///实际卖总委托笔数五
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TSecurityFtdcVolumeType OfferCount5;
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};
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///Level2行情申买六属性
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struct CSecurityFtdcL2Bid6Field
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{
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///申买价六
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TSecurityFtdcPriceType BidPrice6;
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///申买量六
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TSecurityFtdcVolumeType BidVolume6;
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///实际买总委托笔数六
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TSecurityFtdcVolumeType BidCount6;
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};
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///Level2行情申卖六属性
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struct CSecurityFtdcL2Offer6Field
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{
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///申卖价六
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TSecurityFtdcPriceType OfferPrice6;
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///申卖量六
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TSecurityFtdcVolumeType OfferVolume6;
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///实际卖总委托笔数六
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TSecurityFtdcVolumeType OfferCount6;
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};
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///Level2行情申买七属性
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struct CSecurityFtdcL2Bid7Field
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{
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///申买价七
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TSecurityFtdcPriceType BidPrice7;
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///申买量七
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TSecurityFtdcVolumeType BidVolume7;
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///实际买总委托笔数七
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TSecurityFtdcVolumeType BidCount7;
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};
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///Level2行情申卖七属性
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struct CSecurityFtdcL2Offer7Field
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{
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///申卖价七
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TSecurityFtdcPriceType OfferPrice7;
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///申卖量七
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TSecurityFtdcVolumeType OfferVolume7;
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///实际卖总委托笔数七
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TSecurityFtdcVolumeType OfferCount7;
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};
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///Level2行情申买八属性
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struct CSecurityFtdcL2Bid8Field
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{
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///申买价八
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TSecurityFtdcPriceType BidPrice8;
|
|
///申买量八
|
|
TSecurityFtdcVolumeType BidVolume8;
|
|
///实际买总委托笔数八
|
|
TSecurityFtdcVolumeType BidCount8;
|
|
};
|
|
|
|
///Level2行情申卖八属性
|
|
struct CSecurityFtdcL2Offer8Field
|
|
{
|
|
///申卖价八
|
|
TSecurityFtdcPriceType OfferPrice8;
|
|
///申卖量八
|
|
TSecurityFtdcVolumeType OfferVolume8;
|
|
///实际卖总委托笔数八
|
|
TSecurityFtdcVolumeType OfferCount8;
|
|
};
|
|
|
|
///Level2行情申买九属性
|
|
struct CSecurityFtdcL2Bid9Field
|
|
{
|
|
///申买价九
|
|
TSecurityFtdcPriceType BidPrice9;
|
|
///申买量九
|
|
TSecurityFtdcVolumeType BidVolume9;
|
|
///实际买总委托笔数九
|
|
TSecurityFtdcVolumeType BidCount9;
|
|
};
|
|
|
|
///Level2行情申卖九属性
|
|
struct CSecurityFtdcL2Offer9Field
|
|
{
|
|
///申卖价九
|
|
TSecurityFtdcPriceType OfferPrice9;
|
|
///申卖量九
|
|
TSecurityFtdcVolumeType OfferVolume9;
|
|
///实际卖总委托笔数九
|
|
TSecurityFtdcVolumeType OfferCount9;
|
|
};
|
|
|
|
///Level2行情申买十属性
|
|
struct CSecurityFtdcL2BidAField
|
|
{
|
|
///申买价十
|
|
TSecurityFtdcPriceType BidPriceA;
|
|
///申买量十
|
|
TSecurityFtdcVolumeType BidVolumeA;
|
|
///实际买总委托笔数十
|
|
TSecurityFtdcVolumeType BidCountA;
|
|
};
|
|
|
|
///Level2行情申卖十属性
|
|
struct CSecurityFtdcL2OfferAField
|
|
{
|
|
///申卖价十
|
|
TSecurityFtdcPriceType OfferPriceA;
|
|
///申卖量十
|
|
TSecurityFtdcVolumeType OfferVolumeA;
|
|
///实际卖总委托笔数十
|
|
TSecurityFtdcVolumeType OfferCountA;
|
|
};
|
|
|
|
///Level2行情申买属性
|
|
struct CSecurityFtdcL2BidField
|
|
{
|
|
///申买价一
|
|
TSecurityFtdcPriceType BidPrice1;
|
|
///申买量一
|
|
TSecurityFtdcVolumeType BidVolume1;
|
|
///实际买总委托笔数一
|
|
TSecurityFtdcVolumeType BidCount1;
|
|
///申买价二
|
|
TSecurityFtdcPriceType BidPrice2;
|
|
///申买量二
|
|
TSecurityFtdcVolumeType BidVolume2;
|
|
///实际买总委托笔数二
|
|
TSecurityFtdcVolumeType BidCount2;
|
|
///申买价三
|
|
TSecurityFtdcPriceType BidPrice3;
|
|
///申买量三
|
|
TSecurityFtdcVolumeType BidVolume3;
|
|
///实际买总委托笔数三
|
|
TSecurityFtdcVolumeType BidCount3;
|
|
///申买价四
|
|
TSecurityFtdcPriceType BidPrice4;
|
|
///申买量四
|
|
TSecurityFtdcVolumeType BidVolume4;
|
|
///实际买总委托笔数四
|
|
TSecurityFtdcVolumeType BidCount4;
|
|
///申买价五
|
|
TSecurityFtdcPriceType BidPrice5;
|
|
///申买量五
|
|
TSecurityFtdcVolumeType BidVolume5;
|
|
///实际买总委托笔数五
|
|
TSecurityFtdcVolumeType BidCount5;
|
|
///申买价六
|
|
TSecurityFtdcPriceType BidPrice6;
|
|
///申买量六
|
|
TSecurityFtdcVolumeType BidVolume6;
|
|
///实际买总委托笔数六
|
|
TSecurityFtdcVolumeType BidCount6;
|
|
///申买价七
|
|
TSecurityFtdcPriceType BidPrice7;
|
|
///申买量七
|
|
TSecurityFtdcVolumeType BidVolume7;
|
|
///实际买总委托笔数七
|
|
TSecurityFtdcVolumeType BidCount7;
|
|
///申买价八
|
|
TSecurityFtdcPriceType BidPrice8;
|
|
///申买量八
|
|
TSecurityFtdcVolumeType BidVolume8;
|
|
///实际买总委托笔数八
|
|
TSecurityFtdcVolumeType BidCount8;
|
|
///申买价九
|
|
TSecurityFtdcPriceType BidPrice9;
|
|
///申买量九
|
|
TSecurityFtdcVolumeType BidVolume9;
|
|
///实际买总委托笔数九
|
|
TSecurityFtdcVolumeType BidCount9;
|
|
///申买价十
|
|
TSecurityFtdcPriceType BidPriceA;
|
|
///申买量十
|
|
TSecurityFtdcVolumeType BidVolumeA;
|
|
///实际买总委托笔数十
|
|
TSecurityFtdcVolumeType BidCountA;
|
|
};
|
|
|
|
///Level2行情申卖属性
|
|
struct CSecurityFtdcL2OfferField
|
|
{
|
|
///申卖价一
|
|
TSecurityFtdcPriceType OfferPrice1;
|
|
///申卖量一
|
|
TSecurityFtdcVolumeType OfferVolume1;
|
|
///实际卖总委托笔数一
|
|
TSecurityFtdcVolumeType OfferCount1;
|
|
///申卖价二
|
|
TSecurityFtdcPriceType OfferPrice2;
|
|
///申卖量二
|
|
TSecurityFtdcVolumeType OfferVolume2;
|
|
///实际卖总委托笔数二
|
|
TSecurityFtdcVolumeType OfferCount2;
|
|
///申卖价三
|
|
TSecurityFtdcPriceType OfferPrice3;
|
|
///申卖量三
|
|
TSecurityFtdcVolumeType OfferVolume3;
|
|
///实际卖总委托笔数三
|
|
TSecurityFtdcVolumeType OfferCount3;
|
|
///申卖价四
|
|
TSecurityFtdcPriceType OfferPrice4;
|
|
///申卖量四
|
|
TSecurityFtdcVolumeType OfferVolume4;
|
|
///实际卖总委托笔数四
|
|
TSecurityFtdcVolumeType OfferCount4;
|
|
///申卖价五
|
|
TSecurityFtdcPriceType OfferPrice5;
|
|
///申卖量五
|
|
TSecurityFtdcVolumeType OfferVolume5;
|
|
///实际卖总委托笔数五
|
|
TSecurityFtdcVolumeType OfferCount5;
|
|
///申卖价六
|
|
TSecurityFtdcPriceType OfferPrice6;
|
|
///申卖量六
|
|
TSecurityFtdcVolumeType OfferVolume6;
|
|
///实际卖总委托笔数六
|
|
TSecurityFtdcVolumeType OfferCount6;
|
|
///申卖价七
|
|
TSecurityFtdcPriceType OfferPrice7;
|
|
///申卖量七
|
|
TSecurityFtdcVolumeType OfferVolume7;
|
|
///实际卖总委托笔数七
|
|
TSecurityFtdcVolumeType OfferCount7;
|
|
///申卖价八
|
|
TSecurityFtdcPriceType OfferPrice8;
|
|
///申卖量八
|
|
TSecurityFtdcVolumeType OfferVolume8;
|
|
///实际卖总委托笔数八
|
|
TSecurityFtdcVolumeType OfferCount8;
|
|
///申卖价九
|
|
TSecurityFtdcPriceType OfferPrice9;
|
|
///申卖量九
|
|
TSecurityFtdcVolumeType OfferVolume9;
|
|
///实际卖总委托笔数九
|
|
TSecurityFtdcVolumeType OfferCount9;
|
|
///申卖价十
|
|
TSecurityFtdcPriceType OfferPriceA;
|
|
///申卖量十
|
|
TSecurityFtdcVolumeType OfferVolumeA;
|
|
///实际卖总委托笔数十
|
|
TSecurityFtdcVolumeType OfferCountA;
|
|
};
|
|
|
|
///Level2指数行情
|
|
struct CSecurityFtdcL2IndexField
|
|
{
|
|
///交易日
|
|
TSecurityFtdcDateType TradingDay;
|
|
///行情时间（秒）
|
|
TSecurityFtdcTimeType TimeStamp;
|
|
///交易所代码
|
|
TSecurityFtdcExchangeIDType ExchangeID;
|
|
///指数代码
|
|
TSecurityFtdcInstrumentIDType InstrumentID;
|
|
///前收盘指数
|
|
TSecurityFtdcIndexType PreCloseIndex;
|
|
///今开盘指数
|
|
TSecurityFtdcIndexType OpenIndex;
|
|
///今日收盘指数
|
|
TSecurityFtdcIndexType CloseIndex;
|
|
///最高指数
|
|
TSecurityFtdcIndexType HighIndex;
|
|
///最低指数
|
|
TSecurityFtdcIndexType LowIndex;
|
|
///最新指数
|
|
TSecurityFtdcIndexType LastIndex;
|
|
///参与计算相应指数的成交金额（元）
|
|
TSecurityFtdcMoneyType TurnOver;
|
|
///参与计算相应指数的交易数量（手）
|
|
TSecurityFtdcLargeVolumeType TotalVolume;
|
|
};
|
|
|
|
///Level2行情用户信息
|
|
struct CSecurityFtdcL2UserInfoField
|
|
{
|
|
///经纪公司代码
|
|
TSecurityFtdcBrokerIDType BrokerID;
|
|
///用户代码
|
|
TSecurityFtdcUserIDType UserID;
|
|
///用户名称
|
|
TSecurityFtdcUserNameType UserName;
|
|
///密码
|
|
TSecurityFtdcPasswordType Password;
|
|
///行情数据等级
|
|
TSecurityFtdcDataLevelType DataLevel;
|
|
};
|
|
|
|
///UDP组播组信息
|
|
struct CSecurityFtdcMulticastGroupInfoField
|
|
{
|
|
///组播组IP地址
|
|
TSecurityFtdcIPAddressType GroupIP;
|
|
///组播组IP端口
|
|
TSecurityFtdcIPPortType GroupPort;
|
|
///源地址
|
|
TSecurityFtdcIPAddressType SourceIP;
|
|
};
|
|
|
|
///Level2逐笔委托
|
|
struct CSecurityFtdcL2OrderField
|
|
{
|
|
///委托组
|
|
TSecurityFtdcGroupIDType OrderGroupID;
|
|
///委托序号
|
|
TSecurityFtdcGroupNoType OrderIndex;
|
|
///委托时间（秒）
|
|
TSecurityFtdcTimeType OrderTime;
|
|
///交易所代码
|
|
TSecurityFtdcExchangeIDType ExchangeID;
|
|
///合约代码
|
|
TSecurityFtdcInstrumentIDType InstrumentID;
|
|
///委托价格
|
|
TSecurityFtdcPriceType Price;
|
|
///委托数量
|
|
TSecurityFtdcVolumeType Volume;
|
|
///报单类型
|
|
TSecurityFtdcOrderKindType OrderKind;
|
|
///功能码
|
|
TSecurityFtdcFunctionCodeType FunctionCode;
|
|
};
|
|
|
|
///Level2逐笔成交
|
|
struct CSecurityFtdcL2TradeField
|
|
{
|
|
///成交组
|
|
TSecurityFtdcGroupIDType TradeGroupID;
|
|
///成交序号
|
|
TSecurityFtdcGroupNoType TradeIndex;
|
|
///买方委托序号
|
|
TSecurityFtdcGroupNoType BuyIndex;
|
|
///卖方委托序号
|
|
TSecurityFtdcGroupNoType SellIndex;
|
|
///成交时间（秒）
|
|
TSecurityFtdcTimeType TradeTime;
|
|
///交易所代码
|
|
TSecurityFtdcExchangeIDType ExchangeID;
|
|
///合约代码
|
|
TSecurityFtdcInstrumentIDType InstrumentID;
|
|
///成交价格
|
|
TSecurityFtdcPriceType Price;
|
|
///成交数量
|
|
TSecurityFtdcVolumeType Volume;
|
|
///报单类型
|
|
TSecurityFtdcOrderKindType OrderKind;
|
|
///功能码
|
|
TSecurityFtdcFunctionCodeType FunctionCode;
|
|
};
|
|
|
|
|
|
_LTS_NS_END_
|
|
|
|
#endif
|