524 lines
18 KiB
C++
524 lines
18 KiB
C++
//说明部分
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//系统
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#include "StdAfx.h"
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#include <string>
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//Boost
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#define BOOST_PYTHON_STATIC_LIB
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#include <boost/python/module.hpp> //python封装
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#include <boost/python/def.hpp> //python封装
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#include <boost/python/object.hpp> //python封装
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#include <boost/python/register_ptr_to_python.hpp> //Python封装
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#include <boost/python/suite/indexing/vector_indexing_suite.hpp> //Python封装
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#include <boost/python.hpp> //python封装
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#include <boost/thread.hpp> //任务队列的线程功能
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#include <boost/bind.hpp> //任务队列的线程功能
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#include <boost/shared_ptr.hpp>
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//API
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#include "EWrapper.h"
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#include "EClientSocket.h"
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#include "EReader.h"
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//命名空间
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using namespace std;
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using namespace boost::python;
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using namespace boost;
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///-------------------------------------------------------------------------------------
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///API中的部分组件
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///-------------------------------------------------------------------------------------
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//GIL全局锁简化获取用，
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//用于帮助C++线程获得GIL锁，从而防止python崩溃
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class PyLock
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{
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private:
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PyGILState_STATE gil_state;
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public:
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//在某个函数方法中创建该对象时，获得GIL锁
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PyLock()
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{
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gil_state = PyGILState_Ensure();
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};
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//在某个函数完成后销毁该对象时，解放GIL锁
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~PyLock()
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{
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PyGILState_Release(gil_state);
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};
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};
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///-------------------------------------------------------------------------------------
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///强制转化相关
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///-------------------------------------------------------------------------------------
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boost::python::list tagvaluelist_to_pylist();
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TagValueListSPtr pylist_to_tagvaluelist();
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///-------------------------------------------------------------------------------------
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///声明类
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///-------------------------------------------------------------------------------------
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class VnIbApi;
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class IbWrapper;
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///-------------------------------------------------------------------------------------
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///C++ SPI的回调函数方法实现
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///-------------------------------------------------------------------------------------
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class IbWrapper : public EWrapper
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{
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private:
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VnIbApi *api;
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public:
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IbWrapper(VnIbApi *api)
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{
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this->api = api;
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};
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~IbWrapper()
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{
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};
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void tickPrice(TickerId tickerId, TickType field, double price, int canAutoExecute);
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void tickSize(TickerId tickerId, TickType field, int size);
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void tickOptionComputation(TickerId tickerId, TickType tickType, double impliedVol, double delta,
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double optPrice, double pvDividend, double gamma, double vega, double theta, double undPrice);
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void tickGeneric(TickerId tickerId, TickType tickType, double value);
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void tickString(TickerId tickerId, TickType tickType, const std::string& value);
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void tickEFP(TickerId tickerId, TickType tickType, double basisPoints, const std::string& formattedBasisPoints,
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double totalDividends, int holdDays, const std::string& futureLastTradeDate, double dividendImpact, double dividendsToLastTradeDate);
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void orderStatus(OrderId orderId, const std::string& status, double filled,
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double remaining, double avgFillPrice, int permId, int parentId,
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double lastFillPrice, int clientId, const std::string& whyHeld);
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void openOrder(OrderId orderId, const Contract&, const Order&, const OrderState&);
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void openOrderEnd();
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void winError(const std::string& str, int lastError);
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void connectionClosed();
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void updateAccountValue(const std::string& key, const std::string& val,
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const std::string& currency, const std::string& accountName);
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void updatePortfolio(const Contract& contract, double position,
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double marketPrice, double marketValue, double averageCost,
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double unrealizedPNL, double realizedPNL, const std::string& accountName);
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void updateAccountTime(const std::string& timeStamp);
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void accountDownloadEnd(const std::string& accountName);
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void nextValidId(OrderId orderId);
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void contractDetails(int reqId, const ContractDetails& contractDetails);
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void bondContractDetails(int reqId, const ContractDetails& contractDetails);
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void contractDetailsEnd(int reqId);
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void execDetails(int reqId, const Contract& contract, const Execution& execution);
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void execDetailsEnd(int reqId);
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void error(const int id, const int errorCode, const std::string errorString);
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void updateMktDepth(TickerId id, int position, int operation, int side,
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double price, int size);
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void updateMktDepthL2(TickerId id, int position, std::string marketMaker, int operation,
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int side, double price, int size);
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void updateNewsBulletin(int msgId, int msgType, const std::string& newsMessage, const std::string& originExch);
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void managedAccounts(const std::string& accountsList);
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void receiveFA(faDataType pFaDataType, const std::string& cxml);
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void historicalData(TickerId reqId, const std::string& date, double open, double high,
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double low, double close, int volume, int barCount, double WAP, int hasGaps);
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void scannerParameters(const std::string& xml);
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void scannerData(int reqId, int rank, const ContractDetails& contractDetails,
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const std::string& distance, const std::string& benchmark, const std::string& projection,
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const std::string& legsStr);
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void scannerDataEnd(int reqId);
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void realtimeBar(TickerId reqId, long time, double open, double high, double low, double close,
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long volume, double wap, int count);
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void currentTime(long time);
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void fundamentalData(TickerId reqId, const std::string& data);
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void deltaNeutralValidation(int reqId, const UnderComp& underComp);
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void tickSnapshotEnd(int reqId);
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void marketDataType(TickerId reqId, int marketDataType);
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void commissionReport(const CommissionReport& commissionReport);
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void position(const std::string& account, const Contract& contract, double position, double avgCost);
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void positionEnd();
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void accountSummary(int reqId, const std::string& account, const std::string& tag, const std::string& value, const std::string& curency);
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void accountSummaryEnd(int reqId);
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void verifyMessageAPI(const std::string& apiData);
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void verifyCompleted(bool isSuccessful, const std::string& errorText);
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void displayGroupList(int reqId, const std::string& groups);
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void displayGroupUpdated(int reqId, const std::string& contractInfo);
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void verifyAndAuthMessageAPI(const std::string& apiData, const std::string& xyzChallange);
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void verifyAndAuthCompleted(bool isSuccessful, const std::string& errorText);
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void connectAck();
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void positionMulti(int reqId, const std::string& account, const std::string& modelCode, const Contract& contract, double pos, double
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avgCost);
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void positionMultiEnd(int reqId);
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void accountUpdateMulti(int reqId, const std::string& account, const std::string& modelCode, const std::string& key, const std::string&
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value, const std::string& currency);
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void accountUpdateMultiEnd(int reqId);
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void securityDefinitionOptionalParameter(int reqId, const std::string& exchange, int underlyingConId, const std::string& tradingClass,
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const std::string& multiplier, std::set<std::string> expirations, std::set<double> strikes);
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void securityDefinitionOptionalParameterEnd(int reqId);
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void softDollarTiers(int reqId, const std::vector<SoftDollarTier> &tiers);
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};
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///-------------------------------------------------------------------------------------
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///封装后的API类
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///-------------------------------------------------------------------------------------
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class VnIbApi
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{
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private:
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//EClientSocket *client;
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IbWrapper *wrapper;
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EReaderOSSignal signal;
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EReader *reader;
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thread *worker;
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public:
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EClientSocket *client;
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VnIbApi()
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{
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this->signal = EReaderOSSignal(2000);
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this->wrapper = new IbWrapper(this);
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this->client = new EClientSocket(this->wrapper, &this->signal);
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};
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~VnIbApi()
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{
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delete this->client;
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delete this->wrapper;
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};
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//-------------------------------------------------------------------------------------
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//负责调用checkMessages的线程工作函数
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//-------------------------------------------------------------------------------------
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void run();
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//-------------------------------------------------------------------------------------
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//回调函数
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//-------------------------------------------------------------------------------------
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virtual void nextValidId(OrderId orderId){};
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virtual void currentTime(long time){};
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virtual void connectAck(){};
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virtual void error(const int id, const int errorCode, const std::string errorString){};
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virtual void accountSummary(int reqId, const std::string& account, const std::string& tag, const std::string& value, const std::string&
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curency){};
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virtual void accountSummaryEnd(int reqId){};
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virtual void tickPrice(TickerId tickerId, TickType field, double price, int canAutoExecute){};
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virtual void tickSize(TickerId tickerId, TickType field, int size){};
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virtual void tickOptionComputation(TickerId tickerId, TickType tickType, double impliedVol, double delta,
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double optPrice, double pvDividend, double gamma, double vega, double theta, double undPrice){};
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virtual void tickGeneric(TickerId tickerId, TickType tickType, double value){};
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virtual void tickString(TickerId tickerId, TickType tickType, const std::string& value){};
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virtual void tickEFP(TickerId tickerId, TickType tickType, double basisPoints, const std::string& formattedBasisPoints,
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double totalDividends, int holdDays, const std::string& futureLastTradeDate, double dividendImpact, double dividendsToLastTradeDate){};
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virtual void orderStatus(OrderId orderId, const std::string& status, double filled,
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double remaining, double avgFillPrice, int permId, int parentId,
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double lastFillPrice, int clientId, const std::string& whyHeld){};
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virtual void openOrder(OrderId orderId, const Contract&, const Order&, const OrderState&){};
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virtual void openOrderEnd(){};
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virtual void winError(const std::string& str, int lastError){};
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virtual void connectionClosed(){};
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virtual void updateAccountValue(const std::string& key, const std::string& val,
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const std::string& currency, const std::string& accountName){};
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virtual void updatePortfolio(const Contract& contract, double position,
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double marketPrice, double marketValue, double averageCost,
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double unrealizedPNL, double realizedPNL, const std::string& accountName){};
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virtual void updateAccountTime(const std::string& timeStamp){};
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virtual void accountDownloadEnd(const std::string& accountName){};
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virtual void contractDetails(int reqId, const ContractDetails& contractDetails){};
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virtual void bondContractDetails(int reqId, const ContractDetails& contractDetails){};
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virtual void contractDetailsEnd(int reqId){};
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virtual void execDetails(int reqId, const Contract& contract, const Execution& execution){};
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virtual void execDetailsEnd(int reqId){};
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virtual void updateMktDepth(TickerId id, int position, int operation, int side,
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double price, int size){};
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virtual void updateMktDepthL2(TickerId id, int position, std::string marketMaker, int operation,
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int side, double price, int size){};
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virtual void updateNewsBulletin(int msgId, int msgType, const std::string& newsMessage, const std::string& originExch){};
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virtual void managedAccounts(const std::string& accountsList){};
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virtual void receiveFA(faDataType pFaDataType, const std::string& cxml){};
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virtual void historicalData(TickerId reqId, const std::string& date, double open, double high,
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double low, double close, int volume, int barCount, double WAP, int hasGaps){};
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virtual void scannerParameters(const std::string& xml){};
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virtual void scannerData(int reqId, int rank, const ContractDetails& contractDetails,
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const std::string& distance, const std::string& benchmark, const std::string& projection,
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const std::string& legsStr){};
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virtual void scannerDataEnd(int reqId){};
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virtual void realtimeBar(TickerId reqId, long time, double open, double high, double low, double close,
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long volume, double wap, int count){};
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virtual void fundamentalData(TickerId reqId, const std::string& data){};
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virtual void deltaNeutralValidation(int reqId, const UnderComp& underComp){};
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virtual void tickSnapshotEnd(int reqId){};
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virtual void marketDataType(TickerId reqId, int marketDataType){};
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virtual void commissionReport(const CommissionReport& commissionReport){};
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virtual void position(const std::string& account, const Contract& contract, double position, double avgCost){};
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virtual void positionEnd(){};
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virtual void verifyMessageAPI(const std::string& apiData){};
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virtual void verifyCompleted(bool isSuccessful, const std::string& errorText){};
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virtual void displayGroupList(int reqId, const std::string& groups){};
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virtual void displayGroupUpdated(int reqId, const std::string& contractInfo){};
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virtual void verifyAndAuthMessageAPI(const std::string& apiData, const std::string& xyzChallange){};
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virtual void verifyAndAuthCompleted(bool isSuccessful, const std::string& errorText){};
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virtual void positionMulti(int reqId, const std::string& account, const std::string& modelCode, const Contract& contract, double pos,
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double avgCost){};
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virtual void positionMultiEnd(int reqId){};
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virtual void accountUpdateMulti(int reqId, const std::string& account, const std::string& modelCode, const std::string& key, const
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std::string& value, const std::string& currency){};
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virtual void accountUpdateMultiEnd(int reqId){};
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//virtual void securityDefinitionOptionalParameter(int reqId, const std::string& exchange, int underlyingConId, const std::string&
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// tradingClass, const std::string& multiplier, std::set<std::string> expirations, std::set<double> strikes){};
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virtual void securityDefinitionOptionalParameter(int reqId, const std::string& exchange, int underlyingConId, const std::string&
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tradingClass, const std::string& multiplier, std::vector<std::string> expirations, std::vector<double> strikes){};
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virtual void securityDefinitionOptionalParameterEnd(int reqId){};
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virtual void softDollarTiers(int reqId, const std::vector<SoftDollarTier> &tiers){};
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//-------------------------------------------------------------------------------------
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//主动函数
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//-------------------------------------------------------------------------------------
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bool eConnect(string host, int port, int clientId, bool extraAuth);
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void eDisconnect();
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std::string TwsConnectionTime();
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void reqMktData(TickerId id, const Contract& contract,
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const std::string& genericTicks, bool snapshot, const TagValueListSPtr& mktDataOptions);
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void cancelMktData(TickerId id);
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void placeOrder(OrderId id, const Contract& contract, const Order& order);
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void cancelOrder(OrderId id);
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void reqOpenOrders();
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void reqAccountUpdates(bool subscribe, const std::string& acctCode);
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void reqExecutions(int reqId, const ExecutionFilter& filter);
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void reqIds(int numIds);
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void reqContractDetails(int reqId, const Contract& contract);
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void reqMktDepth(TickerId tickerId, const Contract& contract, int numRows, const TagValueListSPtr& mktDepthOptions);
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void cancelMktDepth(TickerId tickerId);
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void reqNewsBulletins(bool allMsgs);
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void cancelNewsBulletins();
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void setServerLogLevel(int level);
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void reqAutoOpenOrders(bool bAutoBind);
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void reqAllOpenOrders();
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void reqManagedAccts();
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void requestFA(faDataType pFaDataType);
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void replaceFA(faDataType pFaDataType, const std::string& cxml);
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void reqHistoricalData(TickerId id, const Contract& contract,
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const std::string& endDateTime, const std::string& durationStr,
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const std::string& barSizeSetting, const std::string& whatToShow,
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int useRTH, int formatDate, const TagValueListSPtr& chartOptions);
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void exerciseOptions(TickerId tickerId, const Contract& contract,
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int exerciseAction, int exerciseQuantity,
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const std::string& account, int override);
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void cancelHistoricalData(TickerId tickerId);
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void reqRealTimeBars(TickerId id, const Contract& contract, int barSize,
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const std::string& whatToShow, bool useRTH, const TagValueListSPtr& realTimeBarsOptions);
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void cancelRealTimeBars(TickerId tickerId);
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void cancelScannerSubscription(int tickerId);
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void reqScannerParameters();
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void reqScannerSubscription(int tickerId, const ScannerSubscription& subscription, const TagValueListSPtr& scannerSubscriptionOptions);
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void reqCurrentTime();
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void reqFundamentalData(TickerId reqId, const Contract&, const std::string& reportType);
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void cancelFundamentalData(TickerId reqId);
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void calculateImpliedVolatility(TickerId reqId, const Contract& contract, double optionPrice, double underPrice);
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void calculateOptionPrice(TickerId reqId, const Contract& contract, double volatility, double underPrice);
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void cancelCalculateImpliedVolatility(TickerId reqId);
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void cancelCalculateOptionPrice(TickerId reqId);
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void reqGlobalCancel();
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void reqMarketDataType(int marketDataType);
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void reqPositions();
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void cancelPositions();
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void reqAccountSummary(int reqId, const std::string& groupName, const std::string& tags);
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void cancelAccountSummary(int reqId);
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void verifyRequest(const std::string& apiName, const std::string& apiVersion);
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void verifyMessage(const std::string& apiData);
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void verifyAndAuthRequest(const std::string& apiName, const std::string& apiVersion, const std::string& opaqueIsvKey);
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void verifyAndAuthMessage(const std::string& apiData, const std::string& xyzResponse);
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void queryDisplayGroups(int reqId);
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void subscribeToGroupEvents(int reqId, int groupId);
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void updateDisplayGroup(int reqId, const std::string& contractInfo);
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void unsubscribeFromGroupEvents(int reqId);
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void reqPositionsMulti(int reqId, const std::string& account, const std::string& modelCode);
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void cancelPositionsMulti(int reqId);
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void reqAccountUpdatessMulti(int reqId, const std::string& account, const std::string& modelCode, bool ledgerAndNLV);
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void cancelAccountUpdatesMulti(int reqId);
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void reqSecDefOptParams(int reqId, const std::string& underlyingSymbol, const std::string& futFopExchange, const std::string&
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underlyingSecType, int underlyingConId);
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void reqSoftDollarTiers(int reqId);
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};
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