上海期貨交易所CTP行情和交易接入

概述

CTP的接入Demo

詳細

代碼下載：http://www.demodashi.com/demo/14125.html

 

本文檔不介紹CTP的具體流程，具體流程請參考上海期貨交易所文檔(下載).

一、概述

 

1.CTP是上期技術，提供的國內期貨行情和交易的接口，自推出以來，各大券商均架設了CTP技術的接入，引入策略算法便可以初步形成一個自動交易的系統，這也就吸引了很多對自動交易，策略交易感興趣的各路高人來使用。

2.CTP難點在於，一個庫提供了行情和交易兩套接口，各自均有一套業務流程，而且兩者在業務上還存在部分業務關聯，也就是說還要處理兩套之間的業務同步問題，沒有一些C++基礎的人很難開發好用的CTP庫。

3.本Demo目標是，在Windows環境下做兩個程序：

一個封裝CTP行情和交易接口成一個庫，盡可能在高內聚低耦合的情況下，保持代碼清晰，通俗盡可能讓；

一個執行程序很容易的去調用這個庫，這里沒有使用MFC或QT，直接采用控制台程序，很清晰的展示使用庫。

 

二、准備環境

1.開發工具:visual studio 2015或以上版本（下載）

本Demo采用Visual studio 2015 專業版 update 3

Windows7 64位

2.下載上期CTP庫（下載）

綜合交易平台API下載，下載列表中的windows下64位庫（最新(2015-05-15)），解壓如下:

 

3.申請模擬賬號(申請)

主頁右上角，注冊賬號，例子中方便開箱即用，會使用我自己申請好的，請自行換成自己的帳號。

三、程序介紹

1.先看下Demo的運行效果。

 

2.程序目錄結構

 

①Show all files模式下，VS工程目錄結構如下圖:

共兩個項目,CTPSample和CTPServer,CTPSample為封裝交易所CTP的動態庫，CTPServer為使用庫的UI程序。

 

 

②代碼目錄結構

bin64

-----CTP CTP產生的共享文件

-----Log 日志文件

config.cfg 配置文件

 

build

CTPServer.sln 存放工程文件

 

Src

------CTPSample DLL代碼

------CTPServer UI代碼

------Framwork 框架代碼，避免復雜，不做公開（這里主要提供日志，數據定義，可自己替換）

 

 

說明：confg.cfg主要保存了CTP的地址(其他均為非本Demo演示的主要功能)：

[info]

CTPFront.trade1 = tcp://180.168.146.187:10030

CTPFront.quote1 = tcp://180.168.146.187:10031

CTPFront.trade2 = tcp://180.168.146.187:10001

CTPFront.quote2 = tcp://180.168.146.187:10011

CTPFront.trade3 = tcp://218.202.237.33:10002

CTPFront.quote3 = tcp://ctp1-md11.citicsf.com:41213

 

3.模塊介紹

CTPSample模塊

CTPBase.h 動態庫的導出定義

MyCTPQuote.h/MyCTPQuote.CPP 交易的封裝

MyCTPQuote.h/MyCTPQuote.cpp 行情的封裝

 

CTPServer模塊

TradeManager.h/TradeManager.cpp UI主邏輯

CTPServer.cpp main啟動

四、程序解析

1. CTPSample模塊之MyCTPQuote.h

 

//定義一個管理器，管理行情接受
class   CTPSAMPLE_EXPORT MyCTPQuote
{
	//嵌入行情回報類
	class  MyRecv : public  CThostFtdcMdSpi
	{
	public:
		MyRecv():m_Parent(nullptr) {};
		~MyRecv() {};
		void Bind(MyCTPQuote  *Parent) { m_Parent = Parent; }
	public:
		///當客戶端與交易后台建立起通信連接時（還未登錄前），該方法被調用。
		virtual void OnFrontConnected() { m_Parent->OnFrontConnected(); }

		///當客戶端與交易后台通信連接斷開時，該方法被調用。當發生這個情況后，API會自動重新連接，客戶端可不做處理。
		///@param nReason 錯誤原因
		///        0x1001 網絡讀失敗
		///        0x1002 網絡寫失敗
		///        0x2001 接收心跳超時
		///        0x2002 發送心跳失敗
		///        0x2003 收到錯誤報文
		virtual void OnFrontDisconnected(int nReason) { m_Parent->OnFrontDisconnected(nReason); }

		///心跳超時警告。當長時間未收到報文時，該方法被調用。
		///@param nTimeLapse 距離上次接收報文的時間
		virtual void OnHeartBeatWarning(int nTimeLapse) { m_Parent->OnHeartBeatWarning(nTimeLapse); }

		///登錄請求響應
		virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
		{ m_Parent->OnRspUserLogin(pRspUserLogin, pRspInfo, nRequestID, bIsLast); }

		///登出請求響應
		virtual void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
		{ m_Parent->OnRspUserLogout(pUserLogout, pRspInfo,  nRequestID,  bIsLast); }

		///錯誤應答
		virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspError(pRspInfo, nRequestID,  bIsLast); }

		///訂閱行情應答
		virtual void OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
		{ m_Parent->OnRspSubMarketData(pSpecificInstrument, pRspInfo, nRequestID, bIsLast); }

		///取消訂閱行情應答
		virtual void OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
		 { m_Parent->OnRspUnSubMarketData(pSpecificInstrument, pRspInfo, nRequestID,  bIsLast); }

		///訂閱詢價應答
		virtual void OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
		{ m_Parent->OnRspSubForQuoteRsp(pSpecificInstrument, pRspInfo,  nRequestID,  bIsLast); }

		///取消訂閱詢價應答
		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); }

		///詢價通知
		virtual void OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp) { m_Parent->OnRtnForQuoteRsp(pForQuoteRsp); }

	public:

		MyCTPQuote  *m_Parent;
	};

	//thread
public:
	MyCTPQuote( );
	~MyCTPQuote();

	void    setMainWidget(void *widget);
	// 訂閱廣播報文
	void Subscribe(CPacketReceiver *pPacketReceiver);

	// 取消廣播報文訂閱
	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:
	///////////////////////////////////////請求類函數,提供主要邏輯，供外部使用////////////////////////////////////////////////////////////////////////////
	///用戶登錄請求
	int ReqUserLogin(CThostFtdcReqUserLoginField *pReqUserLoginField, int nRequestID) 
	{ 
		return m_reqApi->ReqUserLogin(pReqUserLoginField, nRequestID	);
	}

	///登出請求
	int ReqUserLogout(CThostFtdcUserLogoutField *pUserLogout, int nRequestID) { return m_reqApi->ReqUserLogout(pUserLogout, nRequestID); }

	///獲取當前交易日
	///@retrun 獲取到的交易日
	///@remark 只有登錄成功后,才能得到正確的交易日
	const char *GetTradingDay() { return m_reqApi->GetTradingDay(); }
	///訂閱行情。
	///@param ppInstrumentID 合約ID  
	///@param nCount 要訂閱/退訂行情的合約個數
	///@remark 
	int SubscribeMarketData(char *ppInstrumentID[], int nCount) { return m_reqApi->SubscribeMarketData(ppInstrumentID, nCount); }

	///退訂行情。
	///@param ppInstrumentID 合約ID  
	///@param nCount 要訂閱/退訂行情的合約個數
	///@remark 
	int UnSubscribeMarketData(char *ppInstrumentID[], int nCount) { return m_reqApi->UnSubscribeMarketData(ppInstrumentID, nCount); }


public:
	///////////////////////////////////////回報類函數，收到數據，更新本地行情信息////////////////////////////////////////////////////////////////////////////


	///當客戶端與交易后台建立起通信連接時（還未登錄前），該方法被調用。
	void OnFrontConnected();

	///當客戶端與交易后台通信連接斷開時，該方法被調用。當發生這個情況后，API會自動重新連接，客戶端可不做處理。
	///@param nReason 錯誤原因
	///        0x1001 網絡讀失敗
	///        0x1002 網絡寫失敗
	///        0x2001 接收心跳超時
	///        0x2002 發送心跳失敗
	///        0x2003 收到錯誤報文
	void OnFrontDisconnected(int nReason);

	///心跳超時警告。當長時間未收到報文時，該方法被調用。
	///@param nTimeLapse 距離上次接收報文的時間
	void OnHeartBeatWarning(int nTimeLapse);

	///登錄請求響應
	void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///登出請求響應
	void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///錯誤應答
	void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///訂閱行情應答
	void OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///取消訂閱行情應答
	void OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///訂閱詢價應答
	void OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///取消訂閱詢價應答
	void OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///深度行情通知
	void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData);

	///詢價通知
	void OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp);


private:
	CThostFtdcMdApi* m_reqApi;
	MyRecv         *m_RecvSpi;
	map<string /*InstrumentID*/, CThostFtdcInstrumentField>					   m_mapInstrument;//合約ID，合約信息
	map<string /*InstrumentID*/,CThostFtdcDepthMarketDataField /*Quotation*/>  m_mapInstrumentQuote;//保存  合約ID-最新行情  對,合約ID唯一。
	vector<string /*InstrumentID*/> m_vecInstrumentId;//合約ID
	int         requestID;
	string   m_TradingDay;

	int    m_session ;
	int    m_frontId ;
	string  OrderRef ;


	mutex m_mutex;
	///用戶登錄信息
	CThostFtdcReqUserLoginField  *m_userLoginInfo;
	bool m_bQryInstrumentOK;

	//用於給上層訂閱
	typedef vector<CPacketReceiver*> VPKTRECEIVER;
	VPKTRECEIVER            m_vPketReceiver;

	
};

 

主要功能點:

 

①模塊管理:

CTP的行情模塊分兩塊，一個是同步查詢API（CThostFtdcMdApi），一個是異步回報API（CThostFtdcMdSpi），這里定義了一個包裝類，來管理這兩類API，即

MyRecv來封裝CThostFtdcMdSpi，CThostFtdcMdApi直接使用。

 

②給UI回報接口

本模塊提供給上層的接口，定義了一個虛基類：

class  CPacketReceiver
{
public:
	virtual void Receive(CBroadcastPacket &pkt) = 0;
};

這里運用到actor模式，接受UI訂閱：
typedef vector<CPacketReceiver*> VPKTRECEIVER;
	VPKTRECEIVER            m_vPketReceiver;

③數據保存

數據收集，定義幾個map

	map<string /*InstrumentID*/, CThostFtdcInstrumentField>					   m_mapInstrument;//合約ID，合約信息
	map<string /*InstrumentID*/,CThostFtdcDepthMarketDataField /*Quotation*/>  m_mapInstrumentQuote;//保存  合約ID-最新行情  對,合約ID唯一。
	vector<string /*InstrumentID*/> m_vecInstrumentId;//合約ID

 

 

2. CTPSample模塊之MyCTPTrade.h

//定義一個管理器，管理行情接受
class  CTPSAMPLE_EXPORT  MyCTPTrade
{
	//嵌入行情回報類
	class  MyRecv : public  CThostFtdcTraderSpi
	{
	public:
		MyRecv():m_Parent(nullptr), m_nRequestId(0){};
		~MyRecv() {};
		void Bind(MyCTPTrade  *Parent) { m_Parent = Parent; }
	public:
		///當客戶端與交易后台建立起通信連接時（還未登錄前），該方法被調用。
		virtual void OnFrontConnected() { m_Parent->OnFrontConnected(); }

		///當客戶端與交易后台通信連接斷開時，該方法被調用。當發生這個情況后，API會自動重新連接，客戶端可不做處理。
		///@param nReason 錯誤原因
		///        0x1001 網絡讀失敗
		///        0x1002 網絡寫失敗
		///        0x2001 接收心跳超時
		///        0x2002 發送心跳失敗
		///        0x2003 收到錯誤報文
		virtual void OnFrontDisconnected(int nReason) { m_Parent->OnFrontDisconnected(nReason); }

		///客戶端認證響應
		virtual void OnRspAuthenticate(CThostFtdcRspAuthenticateField *pRspAuthenticateField, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
		{ m_Parent->OnRspAuthenticate(pRspAuthenticateField,pRspInfo, nRequestID, bIsLast); }

		///心跳超時警告。當長時間未收到報文時，該方法被調用。
		///@param nTimeLapse 距離上次接收報文的時間
		virtual void OnHeartBeatWarning(int nTimeLapse) { m_Parent->OnHeartBeatWarning(nTimeLapse); }

		///登錄請求響應
		virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
		
		{ m_Parent->OnRspUserLogin(pRspUserLogin, pRspInfo, nRequestID, bIsLast); }

		///登出請求響應
		virtual void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
		{ m_Parent->OnRspUserLogout(pUserLogout, pRspInfo,  nRequestID,  bIsLast); }

		///錯誤應答
		virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {m_Parent->OnRspError(pRspInfo, nRequestID, bIsLast);}

		
	/*
		///用戶口令更新請求響應
		virtual void OnRspUserPasswordUpdate(CThostFtdcUserPasswordUpdateField *pUserPasswordUpdate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///資金賬戶口令更新請求響應
		virtual void OnRspTradingAccountPasswordUpdate(CThostFtdcTradingAccountPasswordUpdateField *pTradingAccountPasswordUpdate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///報單錄入請求響應
		virtual void OnRspOrderInsert(CThostFtdcInputOrderField *pInputOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///預埋單錄入請求響應
		virtual void OnRspParkedOrderInsert(CThostFtdcParkedOrderField *pParkedOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///預埋撤單錄入請求響應
		virtual void OnRspParkedOrderAction(CThostFtdcParkedOrderActionField *pParkedOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///報單操作請求響應
		virtual void OnRspOrderAction(CThostFtdcInputOrderActionField *pInputOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///查詢最大報單數量響應
		virtual void OnRspQueryMaxOrderVolume(CThostFtdcQueryMaxOrderVolumeField *pQueryMaxOrderVolume, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///投資者結算結果確認響應
		virtual void OnRspSettlementInfoConfirm(CThostFtdcSettlementInfoConfirmField *pSettlementInfoConfirm, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///刪除預埋單響應
		virtual void OnRspRemoveParkedOrder(CThostFtdcRemoveParkedOrderField *pRemoveParkedOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///刪除預埋撤單響應
		virtual void OnRspRemoveParkedOrderAction(CThostFtdcRemoveParkedOrderActionField *pRemoveParkedOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///執行宣告錄入請求響應
		virtual void OnRspExecOrderInsert(CThostFtdcInputExecOrderField *pInputExecOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///執行宣告操作請求響應
		virtual void OnRspExecOrderAction(CThostFtdcInputExecOrderActionField *pInputExecOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///詢價錄入請求響應
		virtual void OnRspForQuoteInsert(CThostFtdcInputForQuoteField *pInputForQuote, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///報價錄入請求響應
		virtual void OnRspQuoteInsert(CThostFtdcInputQuoteField *pInputQuote, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///報價操作請求響應
		virtual void OnRspQuoteAction(CThostFtdcInputQuoteActionField *pInputQuoteAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///批量報單操作請求響應
		virtual void OnRspBatchOrderAction(CThostFtdcInputBatchOrderActionField *pInputBatchOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///期權自對沖錄入請求響應
		virtual void OnRspOptionSelfCloseInsert(CThostFtdcInputOptionSelfCloseField *pInputOptionSelfClose, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///期權自對沖操作請求響應
		virtual void OnRspOptionSelfCloseAction(CThostFtdcInputOptionSelfCloseActionField *pInputOptionSelfCloseAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///申請組合錄入請求響應
		virtual void OnRspCombActionInsert(CThostFtdcInputCombActionField *pInputCombAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢報單響應
		virtual void OnRspQryOrder(CThostFtdcOrderField *pOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢成交響應
		virtual void OnRspQryTrade(CThostFtdcTradeField *pTrade, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢投資者持倉響應
		virtual void OnRspQryInvestorPosition(CThostFtdcInvestorPositionField *pInvestorPosition, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢資金賬戶響應
		virtual void OnRspQryTradingAccount(CThostFtdcTradingAccountField *pTradingAccount, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢投資者響應
		virtual void OnRspQryInvestor(CThostFtdcInvestorField *pInvestor, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢交易編碼響應
		virtual void OnRspQryTradingCode(CThostFtdcTradingCodeField *pTradingCode, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢合約保證金率響應
		virtual void OnRspQryInstrumentMarginRate(CThostFtdcInstrumentMarginRateField *pInstrumentMarginRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢合約手續費率響應
		virtual void OnRspQryInstrumentCommissionRate(CThostFtdcInstrumentCommissionRateField *pInstrumentCommissionRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢交易所響應
		virtual void OnRspQryExchange(CThostFtdcExchangeField *pExchange, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢產品響應
		virtual void OnRspQryProduct(CThostFtdcProductField *pProduct, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
*/
		///請求查詢合約響應
		virtual void OnRspQryInstrument(CThostFtdcInstrumentField *pInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) 
		{
			m_Parent->OnRspQryInstrument(pInstrument, pRspInfo, nRequestID, bIsLast);
		};
/*
		///請求查詢行情響應
		virtual void OnRspQryDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢投資者結算結果響應
		virtual void OnRspQrySettlementInfo(CThostFtdcSettlementInfoField *pSettlementInfo, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢轉帳銀行響應
		virtual void OnRspQryTransferBank(CThostFtdcTransferBankField *pTransferBank, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢投資者持倉明細響應
		virtual void OnRspQryInvestorPositionDetail(CThostFtdcInvestorPositionDetailField *pInvestorPositionDetail, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢客戶通知響應
		virtual void OnRspQryNotice(CThostFtdcNoticeField *pNotice, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢結算信息確認響應
		virtual void OnRspQrySettlementInfoConfirm(CThostFtdcSettlementInfoConfirmField *pSettlementInfoConfirm, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢投資者持倉明細響應
		virtual void OnRspQryInvestorPositionCombineDetail(CThostFtdcInvestorPositionCombineDetailField *pInvestorPositionCombineDetail, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///查詢保證金監管系統經紀公司資金賬戶密鑰響應
		virtual void OnRspQryCFMMCTradingAccountKey(CThostFtdcCFMMCTradingAccountKeyField *pCFMMCTradingAccountKey, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢倉單折抵信息響應
		virtual void OnRspQryEWarrantOffset(CThostFtdcEWarrantOffsetField *pEWarrantOffset, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢投資者品種/跨品種保證金響應
		virtual void OnRspQryInvestorProductGroupMargin(CThostFtdcInvestorProductGroupMarginField *pInvestorProductGroupMargin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢交易所保證金率響應
		virtual void OnRspQryExchangeMarginRate(CThostFtdcExchangeMarginRateField *pExchangeMarginRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢交易所調整保證金率響應
		virtual void OnRspQryExchangeMarginRateAdjust(CThostFtdcExchangeMarginRateAdjustField *pExchangeMarginRateAdjust, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢匯率響應
		virtual void OnRspQryExchangeRate(CThostFtdcExchangeRateField *pExchangeRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢二級代理操作員銀期權限響應
		virtual void OnRspQrySecAgentACIDMap(CThostFtdcSecAgentACIDMapField *pSecAgentACIDMap, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢產品報價匯率
		virtual void OnRspQryProductExchRate(CThostFtdcProductExchRateField *pProductExchRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢產品組
		virtual void OnRspQryProductGroup(CThostFtdcProductGroupField *pProductGroup, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢做市商合約手續費率響應
		virtual void OnRspQryMMInstrumentCommissionRate(CThostFtdcMMInstrumentCommissionRateField *pMMInstrumentCommissionRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢做市商期權合約手續費響應
		virtual void OnRspQryMMOptionInstrCommRate(CThostFtdcMMOptionInstrCommRateField *pMMOptionInstrCommRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢報單手續費響應
		virtual void OnRspQryInstrumentOrderCommRate(CThostFtdcInstrumentOrderCommRateField *pInstrumentOrderCommRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢資金賬戶響應
		virtual void OnRspQrySecAgentTradingAccount(CThostFtdcTradingAccountField *pTradingAccount, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢二級代理商資金校驗模式響應
		virtual void OnRspQrySecAgentCheckMode(CThostFtdcSecAgentCheckModeField *pSecAgentCheckMode, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢期權交易成本響應
		virtual void OnRspQryOptionInstrTradeCost(CThostFtdcOptionInstrTradeCostField *pOptionInstrTradeCost, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢期權合約手續費響應
		virtual void OnRspQryOptionInstrCommRate(CThostFtdcOptionInstrCommRateField *pOptionInstrCommRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢執行宣告響應
		virtual void OnRspQryExecOrder(CThostFtdcExecOrderField *pExecOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢詢價響應
		virtual void OnRspQryForQuote(CThostFtdcForQuoteField *pForQuote, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢報價響應
		virtual void OnRspQryQuote(CThostFtdcQuoteField *pQuote, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢期權自對沖響應
		virtual void OnRspQryOptionSelfClose(CThostFtdcOptionSelfCloseField *pOptionSelfClose, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢投資單元響應
		virtual void OnRspQryInvestUnit(CThostFtdcInvestUnitField *pInvestUnit, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢組合合約安全系數響應
		virtual void OnRspQryCombInstrumentGuard(CThostFtdcCombInstrumentGuardField *pCombInstrumentGuard, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢申請組合響應
		virtual void OnRspQryCombAction(CThostFtdcCombActionField *pCombAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢轉帳流水響應
		virtual void OnRspQryTransferSerial(CThostFtdcTransferSerialField *pTransferSerial, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢銀期簽約關系響應
		virtual void OnRspQryAccountregister(CThostFtdcAccountregisterField *pAccountregister, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///報單通知
		virtual void OnRtnOrder(CThostFtdcOrderField *pOrder) {};

		///成交通知
		virtual void OnRtnTrade(CThostFtdcTradeField *pTrade) {};

		///報單錄入錯誤回報
		virtual void OnErrRtnOrderInsert(CThostFtdcInputOrderField *pInputOrder, CThostFtdcRspInfoField *pRspInfo) {};

		///報單操作錯誤回報
		virtual void OnErrRtnOrderAction(CThostFtdcOrderActionField *pOrderAction, CThostFtdcRspInfoField *pRspInfo) {};

		///合約交易狀態通知
		virtual void OnRtnInstrumentStatus(CThostFtdcInstrumentStatusField *pInstrumentStatus) {};

		///交易所公告通知
		virtual void OnRtnBulletin(CThostFtdcBulletinField *pBulletin) {};

		///交易通知
		virtual void OnRtnTradingNotice(CThostFtdcTradingNoticeInfoField *pTradingNoticeInfo) {};

		///提示條件單校驗錯誤
		virtual void OnRtnErrorConditionalOrder(CThostFtdcErrorConditionalOrderField *pErrorConditionalOrder) {};

		///執行宣告通知
		virtual void OnRtnExecOrder(CThostFtdcExecOrderField *pExecOrder) {};

		///執行宣告錄入錯誤回報
		virtual void OnErrRtnExecOrderInsert(CThostFtdcInputExecOrderField *pInputExecOrder, CThostFtdcRspInfoField *pRspInfo) {};

		///執行宣告操作錯誤回報
		virtual void OnErrRtnExecOrderAction(CThostFtdcExecOrderActionField *pExecOrderAction, CThostFtdcRspInfoField *pRspInfo) {};

		///詢價錄入錯誤回報
		virtual void OnErrRtnForQuoteInsert(CThostFtdcInputForQuoteField *pInputForQuote, CThostFtdcRspInfoField *pRspInfo) {};

		///報價通知
		virtual void OnRtnQuote(CThostFtdcQuoteField *pQuote) {};

		///報價錄入錯誤回報
		virtual void OnErrRtnQuoteInsert(CThostFtdcInputQuoteField *pInputQuote, CThostFtdcRspInfoField *pRspInfo) {};

		///報價操作錯誤回報
		virtual void OnErrRtnQuoteAction(CThostFtdcQuoteActionField *pQuoteAction, CThostFtdcRspInfoField *pRspInfo) {};

		///詢價通知
		virtual void OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp) {};

		///保證金監控中心用戶令牌
		virtual void OnRtnCFMMCTradingAccountToken(CThostFtdcCFMMCTradingAccountTokenField *pCFMMCTradingAccountToken) {};

		///批量報單操作錯誤回報
		virtual void OnErrRtnBatchOrderAction(CThostFtdcBatchOrderActionField *pBatchOrderAction, CThostFtdcRspInfoField *pRspInfo) {};

		///期權自對沖通知
		virtual void OnRtnOptionSelfClose(CThostFtdcOptionSelfCloseField *pOptionSelfClose) {};

		///期權自對沖錄入錯誤回報
		virtual void OnErrRtnOptionSelfCloseInsert(CThostFtdcInputOptionSelfCloseField *pInputOptionSelfClose, CThostFtdcRspInfoField *pRspInfo) {};

		///期權自對沖操作錯誤回報
		virtual void OnErrRtnOptionSelfCloseAction(CThostFtdcOptionSelfCloseActionField *pOptionSelfCloseAction, CThostFtdcRspInfoField *pRspInfo) {};

		///申請組合通知
		virtual void OnRtnCombAction(CThostFtdcCombActionField *pCombAction) {};

		///申請組合錄入錯誤回報
		virtual void OnErrRtnCombActionInsert(CThostFtdcInputCombActionField *pInputCombAction, CThostFtdcRspInfoField *pRspInfo) {};

		///請求查詢簽約銀行響應
		virtual void OnRspQryContractBank(CThostFtdcContractBankField *pContractBank, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢預埋單響應
		virtual void OnRspQryParkedOrder(CThostFtdcParkedOrderField *pParkedOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢預埋撤單響應
		virtual void OnRspQryParkedOrderAction(CThostFtdcParkedOrderActionField *pParkedOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢交易通知響應
		virtual void OnRspQryTradingNotice(CThostFtdcTradingNoticeField *pTradingNotice, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢經紀公司交易參數響應
		virtual void OnRspQryBrokerTradingParams(CThostFtdcBrokerTradingParamsField *pBrokerTradingParams, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢經紀公司交易算法響應
		virtual void OnRspQryBrokerTradingAlgos(CThostFtdcBrokerTradingAlgosField *pBrokerTradingAlgos, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///請求查詢監控中心用戶令牌
		virtual void OnRspQueryCFMMCTradingAccountToken(CThostFtdcQueryCFMMCTradingAccountTokenField *pQueryCFMMCTradingAccountToken, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///銀行發起銀行資金轉期貨通知
		virtual void OnRtnFromBankToFutureByBank(CThostFtdcRspTransferField *pRspTransfer) {};

		///銀行發起期貨資金轉銀行通知
		virtual void OnRtnFromFutureToBankByBank(CThostFtdcRspTransferField *pRspTransfer) {};

		///銀行發起沖正銀行轉期貨通知
		virtual void OnRtnRepealFromBankToFutureByBank(CThostFtdcRspRepealField *pRspRepeal) {};

		///銀行發起沖正期貨轉銀行通知
		virtual void OnRtnRepealFromFutureToBankByBank(CThostFtdcRspRepealField *pRspRepeal) {}; ///期貨發起銀行資金轉期貨通知
		virtual void OnRtnFromBankToFutureByFuture(CThostFtdcRspTransferField *pRspTransfer) {};

		///期貨發起期貨資金轉銀行通知
		virtual void OnRtnFromFutureToBankByFuture(CThostFtdcRspTransferField *pRspTransfer) {};

		///系統運行時期貨端手工發起沖正銀行轉期貨請求，銀行處理完畢后報盤發回的通知
		virtual void OnRtnRepealFromBankToFutureByFutureManual(CThostFtdcRspRepealField *pRspRepeal) {};

		///系統運行時期貨端手工發起沖正期貨轉銀行請求，銀行處理完畢后報盤發回的通知
		virtual void OnRtnRepealFromFutureToBankByFutureManual(CThostFtdcRspRepealField *pRspRepeal) {};

		///期貨發起查詢銀行余額通知
		virtual void OnRtnQueryBankBalanceByFuture(CThostFtdcNotifyQueryAccountField *pNotifyQueryAccount) {};

		///期貨發起銀行資金轉期貨錯誤回報
		virtual void OnErrRtnBankToFutureByFuture(CThostFtdcReqTransferField *pReqTransfer, CThostFtdcRspInfoField *pRspInfo) {};

		///期貨發起期貨資金轉銀行錯誤回報
		virtual void OnErrRtnFutureToBankByFuture(CThostFtdcReqTransferField *pReqTransfer, CThostFtdcRspInfoField *pRspInfo) {};

		///系統運行時期貨端手工發起沖正銀行轉期貨錯誤回報
		virtual void OnErrRtnRepealBankToFutureByFutureManual(CThostFtdcReqRepealField *pReqRepeal, CThostFtdcRspInfoField *pRspInfo) {};

		///系統運行時期貨端手工發起沖正期貨轉銀行錯誤回報
		virtual void OnErrRtnRepealFutureToBankByFutureManual(CThostFtdcReqRepealField *pReqRepeal, CThostFtdcRspInfoField *pRspInfo) {};

		///期貨發起查詢銀行余額錯誤回報
		virtual void OnErrRtnQueryBankBalanceByFuture(CThostFtdcReqQueryAccountField *pReqQueryAccount, CThostFtdcRspInfoField *pRspInfo) {};

		///期貨發起沖正銀行轉期貨請求，銀行處理完畢后報盤發回的通知
		virtual void OnRtnRepealFromBankToFutureByFuture(CThostFtdcRspRepealField *pRspRepeal) {};

		///期貨發起沖正期貨轉銀行請求，銀行處理完畢后報盤發回的通知
		virtual void OnRtnRepealFromFutureToBankByFuture(CThostFtdcRspRepealField *pRspRepeal) {};

		///期貨發起銀行資金轉期貨應答
		virtual void OnRspFromBankToFutureByFuture(CThostFtdcReqTransferField *pReqTransfer, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///期貨發起期貨資金轉銀行應答
		virtual void OnRspFromFutureToBankByFuture(CThostFtdcReqTransferField *pReqTransfer, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///期貨發起查詢銀行余額應答
		virtual void OnRspQueryBankAccountMoneyByFuture(CThostFtdcReqQueryAccountField *pReqQueryAccount, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};

		///銀行發起銀期開戶通知
		virtual void OnRtnOpenAccountByBank(CThostFtdcOpenAccountField *pOpenAccount) {};

		///銀行發起銀期銷戶通知
		virtual void OnRtnCancelAccountByBank(CThostFtdcCancelAccountField *pCancelAccount) {};

		///銀行發起變更銀行賬號通知
		virtual void OnRtnChangeAccountByBank(CThostFtdcChangeAccountField *pChangeAccount) {};
*/
	public:

		//保證唯一
		int		m_nRequestId;

		int     GetRequestId() {return ++m_nRequestId;	}
		MyCTPTrade  *m_Parent;
	};

	//thread
public:
	MyCTPTrade();
	~MyCTPTrade();

	static  MyCTPTrade *Instance();
	
	void    setMainWidget(void *widget);
	void  Init(const char  *User, const  char  *pswd, const  char  *broker, const char *pszAddress);
	map<string, CThostFtdcInstrumentField>&		GetMapInstrument();

	void setLog(const string&  str);

	bool      m_bLoginSuccessed;
public:
	///////////////////////////////////////請求類函數,提供主要邏輯，供外部使用////////////////////////////////////////////////////////////////////////////
	///用戶登錄請求
	int ReqUserLogin(CThostFtdcReqUserLoginField *pReqUserLoginField, int nRequestID) 
	{ 
		return m_reqApi->ReqUserLogin(pReqUserLoginField, nRequestID	);
	}


	///登出請求
	int ReqUserLogout(CThostFtdcUserLogoutField *pUserLogout, int nRequestID) { return m_reqApi->ReqUserLogout(pUserLogout, nRequestID); }






public:
	///////////////////////////////////////回報類函數，收到數據，更新本地行情信息////////////////////////////////////////////////////////////////////////////


	///當客戶端與交易后台建立起通信連接時（還未登錄前），該方法被調用。
	void OnFrontConnected();

	///當客戶端與交易后台通信連接斷開時，該方法被調用。當發生這個情況后，API會自動重新連接，客戶端可不做處理。
	///@param nReason 錯誤原因
	///        0x1001 網絡讀失敗
	///        0x1002 網絡寫失敗
	///        0x2001 接收心跳超時
	///        0x2002 發送心跳失敗
	///        0x2003 收到錯誤報文
	void OnFrontDisconnected(int nReason);

	///心跳超時警告。當長時間未收到報文時，該方法被調用。
	///@param nTimeLapse 距離上次接收報文的時間
	void OnHeartBeatWarning(int nTimeLapse);

	void OnRspAuthenticate(CThostFtdcRspAuthenticateField *pRspAuthenticateField, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///登錄請求響應
	void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	///登出請求響應
	void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	
    void OnRspQryInstrument(CThostFtdcInstrumentField *pInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

	void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

public:

	atomic
	<bool>
m_bQryIns;// 是否正在查詢合約，如果正在查詢，行情服務就不自己主動去訂閱行情，因為查詢合約完成后，會有訂閱行情的動作
	atomic
<bool>
m_bQryInsOK;// 是否查詢合約成功，成功訂閱行情的動作

private:
	CThostFtdcTraderApi* m_reqApi;
	MyRecv         *m_RecvSpi;
	//vector
<string /*InstrumentID*/>
m_vecInstrumentId;//合約ID
	
	//int         requestID;
	string   m_TradingDay;

	int    m_session ;
	int    m_frontId ;
	string  m_serverOrderRef ;

    int		m_nOrderRef;

	///用戶登錄信息
	CThostFtdcReqUserLoginField  *m_userLoginInfo;

	mutex    m_getInstru;
	void     *mainHandle;
	// 保存合約
	map<string, CThostFtdcInstrumentField> m_mapInstrument;//合約ID，合約信息
	map<wstring, map<wstring, map<wstring, CThostFtdcInstrumentField>>>	m_mapInstrument2;//交易所，板塊，合約信息

	CConfigImpl*	 m_pConfig;
};

 

①模塊管理:

與CTP提供的行情庫類似，這里定義了API和封裝的回報API，如下：

CThostFtdcTraderApi* m_reqApi;
MyRecv         *m_RecvSpi;

②與UI通信

由於交易API用的比較頻繁，而回報主要在初始化階段和數據更新，沒有定義回報接口，定義的是全局單例模式，直接共上層使用。

 

③數據管理

// 保存合約
map<string, CThostFtdcInstrumentField>					m_mapInstrument;//合約ID，合約信息
map<wstring, map<wstring, map<wstring, CThostFtdcInstrumentField>>>	m_mapInstrument2;//交易所，板塊，合約信息

 

3.程序注意點

①UI初始化:

調用TradeManager::InitCTP啟動CTP模塊，主模塊會訂閱注冊：

MyCTPQuote::Instance()->Subscribe(this);

②交易模塊與行情模塊通信

當交易模塊登陸成功后（通能說原子操作，來判斷多條件滿足），來調用行情的完成函數，已便行情模塊來進行行情合約訂閱

	int Qry   = atomic_exchange(&MyCTPTrade::Instance()->m_bQryIns, false);
	int QryOK = atomic_exchange(&MyCTPTrade::Instance()->m_bQryInsOK, true);

	if(!Qry && QryOK)
	    FinishQryInstrument();

③行情回報

收到行情回報，會調用下函數：

void MyCTPQuote::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData)

並組織結構，向訂閱派發:

CBroadcastPacket   pack;
///深度行情通知
///每秒兩次行情
void MyCTPQuote::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData)
{
	if (pDepthMarketData->OpenPrice >= LDBL_MAX)
		pDepthMarketData->OpenPrice = 0;

	if (pDepthMarketData->HighestPrice >= LDBL_MAX)
		pDepthMarketData->HighestPrice = 0;

	if (pDepthMarketData->LowestPrice >= LDBL_MAX)
		pDepthMarketData->LowestPrice = 0;

	if (pDepthMarketData->ClosePrice >= LDBL_MAX)
		pDepthMarketData->ClosePrice = 0;

	if (pDepthMarketData->PreClosePrice >= LDBL_MAX)
		pDepthMarketData->PreClosePrice = 0;

	string str = "Quote SDK 接收行情信息:InstrumentID:";
	str  += pDepthMarketData->InstrumentID ;
	str += " TradingDay:";   str += pDepthMarketData->TradingDay;
	str += " LastPrice:"; str += to_string(pDepthMarketData->LastPrice);
	str += " Volume:"; str += to_string(pDepthMarketData->Volume);
	str += " OpenPrice:"; str += to_string(pDepthMarketData->OpenPrice);
	str += " HighestPrice:"; str += to_string(pDepthMarketData->HighestPrice);
	str += " LowestPrice:";  str += to_string(pDepthMarketData->LowestPrice);
	str += " ClosePrice:"; str += to_string(pDepthMarketData->ClosePrice);
	str += " PreClosePrice:"; str += to_string(pDepthMarketData->PreClosePrice);
	str += " UpdateTime:"; str += pDepthMarketData->UpdateTime;
	CRLog(E_APPINFO, str.c_str());
	//本地保存
	//轉發到界面
	//CThostFtdcDepthMarketDataField  DepthMarketData;
	//memcpy_s(&DepthMarketData, sizeof(DepthMarketData) ,pDepthMarketData , sizeof(CThostFtdcDepthMarketDataField));
	//m_mapInstrumentQuote[pDepthMarketData->InstrumentID] = DepthMarketData;
	m_mapInstrumentQuote[pDepthMarketData->InstrumentID] = *pDepthMarketData;

	pack.SetParameter("InstrumentId", pDepthMarketData->InstrumentID);
	pack.SetParameter("TradingDay", pDepthMarketData->TradingDay);
	pack.SetParameter("OpenPrice", pDepthMarketData->OpenPrice);
	pack.SetParameter("HighestPrice", pDepthMarketData->HighestPrice);
	pack.SetParameter("LowestPrice", pDepthMarketData->LowestPrice);
	pack.SetParameter("ClosePrice", pDepthMarketData->ClosePrice);
	pack.SetParameter("PreClosePrice", pDepthMarketData->PreClosePrice);
	pack.SetParameter("UpperLimitPrice", pDepthMarketData->UpperLimitPrice);
	pack.SetParameter("LowerLimitPrice", pDepthMarketData->LowerLimitPrice);
	pack.SetParameter("AskPrice1", pDepthMarketData->AskPrice1);
	pack.SetParameter("AskVolume1", pDepthMarketData->AskVolume1);
	pack.SetParameter("BidPrice1", pDepthMarketData->BidPrice1);
	pack.SetParameter("BidVolume1", pDepthMarketData->BidVolume1);
	pack.SetParameter("LastPrice", pDepthMarketData->LastPrice);
	pack.SetParameter("Volume", pDepthMarketData->Volume);


	//給上層轉發
	// 廣播報文
	for (VPKTRECEIVER::iterator it = m_vPketReceiver.begin(); it < m_vPketReceiver.end(); it++)
	{
		(*it)->Receive(pack);
	}

}

 

 

④界面處理回報數據

收到數據可以按照自己的邏輯處理，本Demo進行了寫共享隊列。

QUOTATION quo = { 0 };
void TradeManager::Receive(CBroadcastPacket &pkt)
{
	unsigned int  nLen = 0;
	const char* pcBuf = pkt.Encode(nLen);

	//分發給相應隊列處理
	quo.Decode(pcBuf, nLen);

	int uiCount = 0;
	string sXQueName, sTmp;
	for (vector< CXQueueIo<QUOTATION>* >::iterator it = m_vecQueueIo.begin(); it != m_vecQueueIo.end(); ++it)
	{
		uiCount++;
		if (0 != *it)
		{
			(*it)->Enque(quo);

			sXQueName = "XQUE" + strutils::ToString<unsigned int>(uiCount);
			sXQueName += ".XQUE_NAME";

			if (0 == m_pConfig->GetProperty(sXQueName, sTmp))
				sXQueName = sTmp;

			CRLog(E_APPINFO, "共享隊列XQueue[%s]寫完成", sXQueName.c_str());
		}

	}//end for


}

 

4.注意

內嵌Framwork所生成的動態庫為本Demo提供日志和共享內存隊列以及行情數據定義，可以自行定義替換，不存在bug，不影響演示，代碼由於版權問題，暫不能公開，若有需要，請聯系作者。

代碼下載：http://www.demodashi.com/demo/14125.html

注：本文著作權歸作者，由demo大師發表，拒絕轉載，轉載需要作者授權