上海期货交易所CTP行情和交易接入
//定义一个管理器，管理行情接受class CTPSAMPLE_EXPORT MyCTPQuote{ //嵌入行情回报类 class MyRecv : public CThostFtdcMdSpi { public: MyRecv():m_Parent(nullptr) {}; ~MyRecv() {}; void Bind(MyCTPQuote *Parent) { m_Parent = Parent; } public: ///当客户端与交易后台建立起通信连接时（还未登录前），该方法被调用。 virtual void OnFrontConnected() { m_Parent->OnFrontConnected(); } ///当客户端与交易后台通信连接断开时，该方法被调用。当发生这个情况后，API会自动重新连接，客户端可不做处理。 ///@param nReason 错误原因 /// 0x1001 网络读失败 /// 0x1002 网络写失败 /// 0x2001 接收心跳超时 /// 0x2002 发送心跳失败 /// 0x2003 收到错误报文 virtual void OnFrontDisconnected(int nReason) { m_Parent->OnFrontDisconnected(nReason); } ///心跳超时警告。当长时间未收到报文时，该方法被调用。 ///@param nTimeLapse 距离上次接收报文的时间 virtual void OnHeartBeatWarning(int nTimeLapse) { m_Parent->OnHeartBeatWarning(nTimeLapse); } ///登录请求响应 virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspUserLogin(pRspUserLogin, pRspInfo, nRequestID, bIsLast); } ///登出请求响应 virtual void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspUserLogout(pUserLogout, pRspInfo, nRequestID, bIsLast); } ///错误应答 virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspError(pRspInfo, nRequestID, bIsLast); } ///订阅行情应答 virtual void OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspSubMarketData(pSpecificInstrument, pRspInfo, nRequestID, bIsLast); } ///取消订阅行情应答 virtual void OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspUnSubMarketData(pSpecificInstrument, pRspInfo, nRequestID, bIsLast); } ///订阅询价应答 virtual void OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspSubForQuoteRsp(pSpecificInstrument, pRspInfo, nRequestID, bIsLast); } ///取消订阅询价应答 virtual void OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspUnSubForQuoteRsp(pSpecificInstrument, pRspInfo, nRequestID, bIsLast); } ///深度行情通知 virtual void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData) { m_Parent->OnRtnDepthMarketData(pDepthMarketData); } ///询价通知 virtual void OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp) { m_Parent->OnRtnForQuoteRsp(pForQuoteRsp); } public: MyCTPQuote *m_Parent; }; //threadpublic: MyCTPQuote( ); ~MyCTPQuote(); void setMainWidget(void *widget); // 订阅广播报文 void Subscribe(CPacketReceiver *pPacketReceiver); // 取消广播报文订阅 void Unsubscribe(CPacketReceiver *pPacketReceiver); static MyCTPQuote *Instance(); void Init(const char *User, const char *pswd, const char *broker, const char *pszAddress); void FinishQryInstrument(); void setLog(const string& str); bool m_bLoginSuccessed;public: ///////////////////////////////////////请求类函数,提供主要逻辑，供外部使用//////////////////////////////////////////////////////////////////////////// ///用户登录请求 int ReqUserLogin(CThostFtdcReqUserLoginField *pReqUserLoginField, int nRequestID) { return m_reqApi->ReqUserLogin(pReqUserLoginField, nRequestID ); } ///登出请求 int ReqUserLogout(CThostFtdcUserLogoutField *pUserLogout, int nRequestID) { return m_reqApi->ReqUserLogout(pUserLogout, nRequestID); } ///获取当前交易日 ///@retrun 获取到的交易日 ///@remark 只有登录成功后,才能得到正确的交易日 const char *GetTradingDay() { return m_reqApi->GetTradingDay(); } ///订阅行情。 ///@param ppInstrumentID 合约ID ///@param nCount 要订阅/退订行情的合约个数 ///@remark int SubscribeMarketData(char *ppInstrumentID[], int nCount) { return m_reqApi->SubscribeMarketData(ppInstrumentID, nCount); } ///退订行情。 ///@param ppInstrumentID 合约ID ///@param nCount 要订阅/退订行情的合约个数 ///@remark int UnSubscribeMarketData(char *ppInstrumentID[], int nCount) { return m_reqApi->UnSubscribeMarketData(ppInstrumentID, nCount); }public: ///////////////////////////////////////回报类函数，收到数据，更新本地行情信息//////////////////////////////////////////////////////////////////////////// ///当客户端与交易后台建立起通信连接时（还未登录前），该方法被调用。 void OnFrontConnected(); ///当客户端与交易后台通信连接断开时，该方法被调用。当发生这个情况后，API会自动重新连接，客户端可不做处理。 ///@param nReason 错误原因 /// 0x1001 网络读失败 /// 0x1002 网络写失败 /// 0x2001 接收心跳超时 /// 0x2002 发送心跳失败 /// 0x2003 收到错误报文 void OnFrontDisconnected(int nReason); ///心跳超时警告。当长时间未收到报文时，该方法被调用。 ///@param nTimeLapse 距离上次接收报文的时间 void OnHeartBeatWarning(int nTimeLapse); ///登录请求响应 void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///登出请求响应 void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///错误应答 void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///订阅行情应答 void OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///取消订阅行情应答 void OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///订阅询价应答 void OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///取消订阅询价应答 void OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast); ///深度行情通知 void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData); ///询价通知 void OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp);private: CThostFtdcMdApi* m_reqApi; MyRecv *m_RecvSpi; map<string /*InstrumentID*/, CThostFtdcInstrumentField> m_mapInstrument;//合约ID，合约信息 map<string /*InstrumentID*/,CThostFtdcDepthMarketDataField /*Quotation*/> m_mapInstrumentQuote;//保存 合约ID-最新行情 对,合约ID唯一。 vector<string /*InstrumentID*/> m_vecInstrumentId;//合约ID int requestID; string m_TradingDay; int m_session ; int m_frontId ; string OrderRef ; mutex m_mutex; ///用户登录信息 CThostFtdcReqUserLoginField *m_userLoginInfo; bool m_bQryInstrumentOK; //用于给上层订阅 typedef vector<CPacketReceiver*> VPKTRECEIVER; VPKTRECEIVER m_vPketReceiver; }; 赞 (0)