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FtdcMdApiImpl.cpp
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FtdcMdApiImpl.cpp
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#include "FtdcMdApiImpl.h"
#include <boost/algorithm/string.hpp>
#define EXCHANGE_SSE "SSE"
#define EXCHANGE_SZSE "SZSE"
#define EXCHANGE_BSE "BSE"
#define EXCHANGE_HKEX "HKEX"
#define EXCHANGE_NASD "NASD"
#define snaptime 3 // 秒
CThostFtdcMdApi* CThostFtdcMdApi::CreateFtdcMdApi(const char* pszFlowPath, const bool bIsUsingUdp, const bool bIsMulticast)
{
return new CFtdcMdApiImpl();
}
const char *CThostFtdcMdApi::GetApiVersion()
{
#ifdef V6_7_7
return "V6_7_7";
#elif V6_7_2
return "V6_7_2";
#elif V6_7_1
return "V6_7_1";
#elif V6_7_0
return "V6_7_0";
#elif V6_6_9
return "V6_6_9";
#elif V6_6_7
return "V6_6_7";
#elif V6_6_1_P1
return "V6_6_1_P1";
#elif V6_5_1
return "6.5.1";
#elif V6_3_19
return "6.3.19_P1";
#else
return "6.3.15";
#endif
}
CFtdcMdApiImpl::CFtdcMdApiImpl():resolver_(net::make_strand(ioc_))
, stream_(net::make_strand(ioc_))
, m_snap_timer(ioc_)
{
url_ = "hq.sinajs.cn";
port_ = "80";
memset(&TradingDay, 0, sizeof(TradingDay));
m_pSpi = NULL;
m_snap_timer.expires_from_now(boost::posix_time::milliseconds(snaptime * 1000));
m_snap_timer.async_wait(boost::bind(&CFtdcMdApiImpl::OnSnapTime, this, boost::asio::placeholders::error));
_pthread = NULL;
}
void CFtdcMdApiImpl::Init()
{
_pthread = new boost::thread(boost::bind(&boost::asio::io_service::run, boost::ref(ioc_)));
if (m_pSpi)
ioc_.post(boost::bind(&CThostFtdcMdSpi::OnFrontConnected, m_pSpi));
}
int CFtdcMdApiImpl::Join()
{
_pthread->join();
return 0;
}
void CFtdcMdApiImpl::Release()
{
m_pSpi = NULL;
ioc_.stop();
_pthread = NULL;
delete this;
}
const char *CFtdcMdApiImpl::GetTradingDay()
{
return TradingDay;
}
void CFtdcMdApiImpl::RegisterFront(char *pszFrontAddress)
{
}
void CFtdcMdApiImpl::RegisterNameServer(char *pszNsAddress)
{
}
void CFtdcMdApiImpl::RegisterSpi(CThostFtdcMdSpi *pSpi)
{
m_pSpi = pSpi;
}
///用户登录请求
int CFtdcMdApiImpl::ReqUserLogin(CThostFtdcReqUserLoginField *pReqUserLogin, int nRequestID)
{
memset(&ThostRspUserLogin,0x00,sizeof(ThostRspUserLogin));
strncpy(ThostRspUserLogin.UserID,pReqUserLogin->UserID,sizeof(ThostRspUserLogin.UserID)-1);
memset(&ThostRspInfo, 0x00, sizeof(ThostRspInfo));
ioc_.post(boost::bind(&CThostFtdcMdSpi::OnRspUserLogin, m_pSpi, &ThostRspUserLogin, &ThostRspInfo, nRequestID, true));
return 0;
}
///订阅行情
int CFtdcMdApiImpl::SubscribeMarketData(char* ppInstrumentID[], int nCount)
{
for (int i = 0; i < nCount; i++) {
std::string InstrumentID = ppInstrumentID[i];
boost::algorithm::to_lower(InstrumentID);
_mInstruments[InstrumentID] = 0;
}
return 0;
}
///退订行情
int CFtdcMdApiImpl::UnSubscribeMarketData(char* ppInstrumentID[], int nCount)
{
for (int i = 0; i < nCount; i++) {
std::string InstrumentID = ppInstrumentID[i];
boost::algorithm::to_lower(InstrumentID);
auto iter = _mInstruments.find(InstrumentID);
if (iter == _mInstruments.end())
continue;
_mInstruments.erase(iter);
}
return 0;
}
///用户退出请求
int CFtdcMdApiImpl::ReqUserLogout(CThostFtdcUserLogoutField *pUserLogout, int nRequestID)
{
memset(&ThostUserLogout, 0x00, sizeof(ThostUserLogout));
strncpy(ThostUserLogout.UserID, pUserLogout->UserID, sizeof(ThostUserLogout.UserID) - 1);
memset(&ThostRspInfo, 0x00, sizeof(ThostRspInfo));
ioc_.post(boost::bind(&CThostFtdcMdSpi::OnRspUserLogout, m_pSpi, &ThostUserLogout, &ThostRspInfo, nRequestID, true));
return 0;
}
void CFtdcMdApiImpl::HandleMarketData(std::vector<std::string>& data)
{
if (m_pSpi)
{
CThostFtdcDepthMarketDataField DepthMarketData;
for (auto iter = data.begin(); iter != data.end(); iter++)
{
memset(&DepthMarketData, 0x00, sizeof(DepthMarketData));
std::vector<std::string> vFields;
boost::split(vFields, *iter, boost::is_any_of(","));
if (vFields.size() < 10) // 至少要有10个字段
return;
// 交易所
// 合约
if (vFields[0].compare(0, 2, "hk") == 0) {
// 港股
strncpy(DepthMarketData.ExchangeID, EXCHANGE_HKEX, sizeof(DepthMarketData.ExchangeID) - 1);
strncpy(DepthMarketData.InstrumentID, vFields[0].c_str() + 2, sizeof(DepthMarketData.InstrumentID) - 1);
strncpy(DepthMarketData.ExchangeInstID, DepthMarketData.InstrumentID, sizeof(DepthMarketData.ExchangeInstID) - 1);
// 最新价
DepthMarketData.LastPrice = atof(vFields[7].c_str());
// 开
DepthMarketData.OpenPrice = atof(vFields[3].c_str());
// 高
DepthMarketData.HighestPrice = atof(vFields[5].c_str());
// 低
DepthMarketData.LowestPrice = atof(vFields[6].c_str());
// 昨收
DepthMarketData.PreClosePrice = atof(vFields[4].c_str());
// 成交量
DepthMarketData.Volume = atol(vFields[13].c_str());
// 成交额
DepthMarketData.Turnover = atof(vFields[12].c_str());
// 买一
DepthMarketData.BidPrice1 = atof(vFields[10].c_str());
// 卖一
DepthMarketData.AskPrice1 = atof(vFields[11].c_str());
// 时间
sprintf(DepthMarketData.ActionDay, "%4.4s%2.2s%2.2s", vFields[18].c_str(), vFields[18].c_str() + 5, vFields[18].c_str() + 8);
sprintf(DepthMarketData.UpdateTime, "%s:00", vFields[19].c_str());
sprintf(DepthMarketData.TradingDay, "%4.4s%2.2s%2.2s", vFields[18].c_str(), vFields[18].c_str() + 5, vFields[18].c_str() + 8);
}
else if (vFields[0].compare(0, 3, "gb_") == 0) {
// 美股
boost::algorithm::to_upper(vFields[0]); // 合约号改为大写美股
strncpy(DepthMarketData.ExchangeID, EXCHANGE_NASD, sizeof(DepthMarketData.ExchangeID) - 1);
strncpy(DepthMarketData.InstrumentID, vFields[0].c_str()+3, sizeof(DepthMarketData.InstrumentID) - 1);
strncpy(DepthMarketData.ExchangeInstID, DepthMarketData.InstrumentID, sizeof(DepthMarketData.ExchangeInstID) - 1);
// 最新价
DepthMarketData.LastPrice = atof(vFields[2].c_str());
// 开
DepthMarketData.OpenPrice = atof(vFields[6].c_str());
// 高
DepthMarketData.HighestPrice = atof(vFields[7].c_str());
// 低
DepthMarketData.LowestPrice = atof(vFields[8].c_str());
// 昨收
DepthMarketData.PreClosePrice = atof(vFields[27].c_str());
// 成交量
DepthMarketData.Volume = atol(vFields[11].c_str());
// 成交额
DepthMarketData.Turnover = atof(vFields[31].c_str());
// 时间
sprintf(DepthMarketData.ActionDay, "%4.4s%2.2s%2.2s", vFields[4].c_str(), vFields[4].c_str() + 5, vFields[4].c_str() + 8);
strncpy(DepthMarketData.UpdateTime, vFields[4].c_str()+11, sizeof(DepthMarketData.UpdateTime)-1);
sprintf(DepthMarketData.TradingDay, "%4.4s%2.2s%2.2s", vFields[4].c_str(), vFields[4].c_str() + 5, vFields[4].c_str() + 8);
}
else if(vFields[0].compare(0, 3, "nf_") == 0) {
// 期货
strncpy(DepthMarketData.ExchangeID, "", sizeof(DepthMarketData.ExchangeID) - 1);
strncpy(DepthMarketData.InstrumentID, vFields[0].c_str()+3, sizeof(DepthMarketData.InstrumentID) - 1);
strncpy(DepthMarketData.ExchangeInstID, DepthMarketData.InstrumentID, sizeof(DepthMarketData.ExchangeInstID) - 1);
// 最新价
DepthMarketData.LastPrice = atof(vFields[9].c_str());
// 开
DepthMarketData.OpenPrice = atof(vFields[3].c_str());
// 高
DepthMarketData.HighestPrice = atof(vFields[4].c_str());
// 低
DepthMarketData.LowestPrice = atof(vFields[5].c_str());
// 昨收
DepthMarketData.PreClosePrice = atof(vFields[11].c_str());
// 成交量
DepthMarketData.Volume = atol(vFields[15].c_str());
// 买一
DepthMarketData.BidPrice1 = atof(vFields[7].c_str());
DepthMarketData.BidVolume1 = atol(vFields[12].c_str());
// 卖一
DepthMarketData.AskPrice1 = atof(vFields[8].c_str());
DepthMarketData.AskVolume1 = atol(vFields[13].c_str());
sprintf(DepthMarketData.ActionDay, "%4.4s%2.2s%2.2s", vFields[18].c_str(), vFields[18].c_str() + 5, vFields[18].c_str() + 8);
// strncpy(DepthMarketData.UpdateTime, vFields[18].c_str()+11, sizeof(DepthMarketData.UpdateTime)-1);
sprintf(DepthMarketData.TradingDay, "%4.4s%2.2s%2.2s", vFields[18].c_str(), vFields[18].c_str() + 5, vFields[18].c_str() + 8);
}
else {
// A股
if (vFields[0].compare(0, 2, "sh") == 0) {
strncpy(DepthMarketData.ExchangeID, EXCHANGE_SSE, sizeof(DepthMarketData.ExchangeID) - 1);
}
else if (vFields[0].compare(0, 2, "sz") == 0) {
strncpy(DepthMarketData.ExchangeID, EXCHANGE_SZSE, sizeof(DepthMarketData.ExchangeID) - 1);
}
else if (vFields[0].compare(0, 2, "bj") == 0) {
strncpy(DepthMarketData.ExchangeID, EXCHANGE_BSE, sizeof(DepthMarketData.ExchangeID) - 1);
}
strncpy(DepthMarketData.InstrumentID, vFields[0].c_str() + 2, sizeof(DepthMarketData.InstrumentID) - 1);
strncpy(DepthMarketData.ExchangeInstID, DepthMarketData.InstrumentID, sizeof(DepthMarketData.ExchangeInstID) - 1);
// 最新价
DepthMarketData.LastPrice = atof(vFields[4].c_str());
// 开
DepthMarketData.OpenPrice = atof(vFields[2].c_str());
// 高
DepthMarketData.HighestPrice = atof(vFields[5].c_str());
// 低
DepthMarketData.LowestPrice = atof(vFields[6].c_str());
// 昨收
DepthMarketData.PreClosePrice = atof(vFields[3].c_str());
// 成交量
DepthMarketData.Volume = atol(vFields[9].c_str());
// 成交额
DepthMarketData.Turnover = atof(vFields[10].c_str());
// 买一
DepthMarketData.BidPrice1 = atof(vFields[12].c_str());
DepthMarketData.BidVolume1 = atol(vFields[11].c_str());
// 买二
DepthMarketData.BidPrice2 = atof(vFields[14].c_str());
DepthMarketData.BidVolume2 = atol(vFields[13].c_str());
// 买三
DepthMarketData.BidPrice3 = atof(vFields[16].c_str());
DepthMarketData.BidVolume3 = atol(vFields[15].c_str());
// 买四
DepthMarketData.BidPrice4 = atof(vFields[18].c_str());
DepthMarketData.BidVolume4 = atol(vFields[17].c_str());
// 买五
DepthMarketData.BidPrice5 = atof(vFields[20].c_str());
DepthMarketData.BidVolume5 = atol(vFields[19].c_str());
// 卖一
DepthMarketData.AskPrice1 = atof(vFields[22].c_str());
DepthMarketData.AskVolume1 = atol(vFields[21].c_str());
// 卖二
DepthMarketData.AskPrice2 = atof(vFields[24].c_str());
DepthMarketData.AskVolume2 = atol(vFields[23].c_str());
// 卖三
DepthMarketData.AskPrice3 = atof(vFields[26].c_str());
DepthMarketData.AskVolume3 = atol(vFields[25].c_str());
// 卖四
DepthMarketData.AskPrice4 = atof(vFields[28].c_str());
DepthMarketData.AskVolume4 = atol(vFields[27].c_str());
// 卖五
DepthMarketData.AskPrice5 = atof(vFields[30].c_str());
DepthMarketData.AskVolume5 = atol(vFields[29].c_str());
// 时间
sprintf(DepthMarketData.ActionDay, "%4.4s%2.2s%2.2s", vFields[31].c_str(), vFields[31].c_str() + 5, vFields[31].c_str() + 8);
strncpy(DepthMarketData.UpdateTime, vFields[32].c_str(), sizeof(DepthMarketData.UpdateTime) - 1);
sprintf(DepthMarketData.TradingDay, "%4.4s%2.2s%2.2s", vFields[31].c_str(), vFields[31].c_str() + 5, vFields[31].c_str() + 8);
}
m_pSpi->OnRtnDepthMarketData(&DepthMarketData);
}
}
}
void CFtdcMdApiImpl::OnSnapTime(const boost::system::error_code& error)
{
if (error) {
if (error == boost::asio::error::operation_aborted) {
return;
}
}
// make url
std::string prefix = "/list=";
std::string querystr = prefix; // "/list=sh600000,sz000001,bj833266,hk00700,gb_aapl,ag2404"
for (auto iter = _mInstruments.begin(); iter != _mInstruments.end(); iter++) {
bool need_upper = false;
if (querystr != prefix)
querystr += ",";
if(iter->first.length()==5 && isdigit(*iter->first.c_str()))
querystr += "hk";
else if (memcmp(iter->first.c_str(), "60", 2) == 0
|| memcmp(iter->first.c_str(), "11", 2) == 0
|| memcmp(iter->first.c_str(), "50", 2) == 0
|| memcmp(iter->first.c_str(), "51", 2) == 0
|| memcmp(iter->first.c_str(), "56", 2) == 0
|| memcmp(iter->first.c_str(), "58", 2) == 0
|| memcmp(iter->first.c_str(), "60", 2) == 0
|| memcmp(iter->first.c_str(), "68", 2) == 0)
querystr += "sh";
else if (memcmp(iter->first.c_str(), "00", 2) == 0
|| memcmp(iter->first.c_str(), "12", 2) == 0
|| memcmp(iter->first.c_str(), "15", 2) == 0
|| memcmp(iter->first.c_str(), "16", 2) == 0
|| memcmp(iter->first.c_str(), "30", 2) == 0)
querystr += "sz";
else if(memcmp(iter->first.c_str(), "43", 2) == 0
|| memcmp(iter->first.c_str(), "82", 2) == 0
|| memcmp(iter->first.c_str(), "83", 2) == 0
|| memcmp(iter->first.c_str(), "87", 2) == 0
|| memcmp(iter->first.c_str(), "88", 2) == 0)
querystr += "bj";
// first char is a-z or A-Z last is a digit
else if(isalpha(*iter->first.c_str()) && isdigit(*(iter->first.c_str()+2))){
querystr += "nf_";
need_upper = true;
}
else
querystr += "gb_";
std::string may_upper = iter->first;
boost::algorithm::to_upper(may_upper);
querystr += need_upper? may_upper : iter->first;
}
query(querystr.c_str());
m_snap_timer.expires_from_now(boost::posix_time::milliseconds(snaptime * 1000));
m_snap_timer.async_wait(boost::bind(&CFtdcMdApiImpl::OnSnapTime, this, boost::asio::placeholders::error));
}