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quote_example.cpp
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quote_example.cpp
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int CTraderApi::ReqOrderInsert(
OrderField* pOrder,
int count,
OrderIDType* pInOut)
{
int OrderRef = -1;
if (nullptr == m_pApi)
return -1;
CThostFtdcInputOrderField body = {0};
strncpy(body.BrokerID, m_RspUserLogin.BrokerID, sizeof(TThostFtdcBrokerIDType));
strncpy(body.InvestorID, m_RspUserLogin.UserID, sizeof(TThostFtdcInvestorIDType));
body.MinVolume = 1;
body.ForceCloseReason = THOST_FTDC_FCC_NotForceClose;
body.IsAutoSuspend = 0;
body.UserForceClose = 0;
body.IsSwapOrder = 0;
//合约
strncpy(body.InstrumentID, pOrder->InstrumentID, sizeof(TThostFtdcInstrumentIDType));
strncpy(body.ExchangeID, pOrder->ExchangeID, sizeof(TThostFtdcExchangeIDType));
//买卖
body.Direction = OrderSide_2_TThostFtdcDirectionType(pOrder->Side);
//开平
body.CombOffsetFlag[0] = OpenCloseType_2_TThostFtdcOffsetFlagType(pOrder->OpenClose);
//投保
body.CombHedgeFlag[0] = HedgeFlagType_2_TThostFtdcHedgeFlagType(pOrder->HedgeFlag);
//数量
body.VolumeTotalOriginal = (int)pOrder->Qty;
// 对于套利单,是用第一个参数的价格,还是用两个参数的价格差呢?
body.LimitPrice = pOrder->Price;
body.StopPrice = pOrder->StopPx;
// 针对第二个进行处理,如果有第二个参数,认为是交易所套利单
if (count>1)
{
body.CombOffsetFlag[1] = OpenCloseType_2_TThostFtdcOffsetFlagType(pOrder[1].OpenClose);
body.CombHedgeFlag[1] = HedgeFlagType_2_TThostFtdcHedgeFlagType(pOrder[1].HedgeFlag);
// 交易所的移仓换月功能,没有实测过
body.IsSwapOrder = (body.CombOffsetFlag[0] != body.CombOffsetFlag[1]);
}
// 市价与限价
switch (pOrder->Type)
{
case Market:
case Stop:
case MarketOnClose:
case TrailingStop:
body.OrderPriceType = THOST_FTDC_OPT_AnyPrice;
body.TimeCondition = THOST_FTDC_TC_IOC;
body.LimitPrice = 0;
break;
case Limit:
case StopLimit:
case TrailingStopLimit:
default:
body.OrderPriceType = THOST_FTDC_OPT_LimitPrice;
body.TimeCondition = THOST_FTDC_TC_GFD;
break;
}
// IOC与FOK
switch (pOrder->TimeInForce)
{
case IOC:
body.TimeCondition = THOST_FTDC_TC_IOC;
body.VolumeCondition = THOST_FTDC_VC_AV;
break;
case FOK:
body.TimeCondition = THOST_FTDC_TC_IOC;
body.VolumeCondition = THOST_FTDC_VC_CV;
//body.MinVolume = body.VolumeTotalOriginal; // 这个地方必须加吗?
break;
default:
body.VolumeCondition = THOST_FTDC_VC_AV;
break;
}
// 条件单
switch (pOrder->Type)
{
case Stop:
case TrailingStop:
case StopLimit:
case TrailingStopLimit:
// 条件单没有测试,先留空
body.ContingentCondition = THOST_FTDC_CC_Immediately;
break;
default:
body.ContingentCondition = THOST_FTDC_CC_Immediately;
break;
}
int nRet = 0;
{
//可能报单太快,m_nMaxOrderRef还没有改变就提交了
lock_guard<mutex> cl(m_csOrderRef);
if (OrderRef < 0)
{
nRet = m_nMaxOrderRef;
++m_nMaxOrderRef;
}
else
{
nRet = OrderRef;
}
sprintf(body.OrderRef, "%d", nRet);
// 测试平台穿越速度,用完后需要注释掉
//WriteLog("CTP:ReqOrderInsert:%s %d", body.InstrumentID, nRet);
//不保存到队列,而是直接发送
int n = m_pApi->ReqOrderInsert(&body, ++m_lRequestID);
if (n < 0)
{
nRet = n;
sprintf(m_orderInsert_Id, "%d", nRet);
}
else
{
// 用于各种情况下找到原订单,用于进行响应的通知
sprintf(m_orderInsert_Id, "%d:%d:%d", m_RspUserLogin.FrontID, m_RspUserLogin.SessionID, nRet);
OrderField* pField = (OrderField*)m_msgQueue->new_block(sizeof(OrderField));
memcpy(pField, pOrder, sizeof(OrderField));
strcpy(pField->ID, m_orderInsert_Id);
m_id_platform_order.insert(pair<string, OrderField*>(m_orderInsert_Id, pField));
}
strncpy((char*)pInOut, m_orderInsert_Id, sizeof(OrderIDType));
}
return nRet;
}
char* CTraderApi::ReqQuoteInsert(
QuoteField* pQuote,
OrderIDType* pAskRef,
OrderIDType* pBidRef)
{
int QuoteRef = -1;
if (nullptr == m_pApi)
return nullptr;
CThostFtdcInputQuoteField body = {0};
strcpy(body.BrokerID, m_RspUserLogin.BrokerID);
strcpy(body.InvestorID, m_RspUserLogin.UserID);
//合约,目前只从订单1中取
strncpy(body.InstrumentID, pQuote->InstrumentID, sizeof(TThostFtdcInstrumentIDType));
strncpy(body.ExchangeID, pQuote->ExchangeID, sizeof(TThostFtdcExchangeIDType));
//开平
body.AskOffsetFlag = OpenCloseType_2_TThostFtdcOffsetFlagType(pQuote->AskOpenClose);
body.BidOffsetFlag = OpenCloseType_2_TThostFtdcOffsetFlagType(pQuote->BidOpenClose);
//投保
body.AskHedgeFlag = HedgeFlagType_2_TThostFtdcHedgeFlagType(pQuote->AskHedgeFlag);
body.BidHedgeFlag = HedgeFlagType_2_TThostFtdcHedgeFlagType(pQuote->BidHedgeFlag);
//价格
body.AskPrice = pQuote->AskPrice;
body.BidPrice = pQuote->BidPrice;
//数量
body.AskVolume = (int)pQuote->AskQty;
body.BidVolume = (int)pQuote->BidQty;
strncpy(body.ForQuoteSysID, pQuote->QuoteReqID, sizeof(TThostFtdcOrderSysIDType));
int nRet = 0;
{
//可能报单太快,m_nMaxOrderRef还没有改变就提交了
lock_guard<mutex> cl(m_csOrderRef);
if (QuoteRef < 0)
{
nRet = m_nMaxOrderRef;
sprintf(body.QuoteRef, "%d", m_nMaxOrderRef);
sprintf(body.AskOrderRef, "%d", m_nMaxOrderRef);
sprintf(body.BidOrderRef, "%d", ++m_nMaxOrderRef);
++m_nMaxOrderRef;
}
else
{
nRet = QuoteRef;
sprintf(body.QuoteRef, "%d", QuoteRef);
sprintf(body.AskOrderRef, "%d", QuoteRef);
sprintf(body.BidOrderRef, "%d", ++QuoteRef);
++QuoteRef;
}
//不保存到队列,而是直接发送
int n = m_pApi->ReqQuoteInsert(&body, ++m_lRequestID);
if (n < 0)
{
nRet = n;
return nullptr;
}
else
{
sprintf(m_orderInsert_Id, "%d:%d:%d", m_RspUserLogin.FrontID, m_RspUserLogin.SessionID, nRet);
QuoteField* pField = (QuoteField*)m_msgQueue->new_block(sizeof(QuoteField));
memcpy(pField, pQuote, sizeof(QuoteField));
strcpy(pField->ID, m_orderInsert_Id);
strcpy(pField->AskID, m_orderInsert_Id);
sprintf(pField->BidID, "%d:%d:%d", m_RspUserLogin.FrontID, m_RspUserLogin.SessionID, nRet + 1);
m_id_platform_quote.insert(pair<string, QuoteField*>(m_orderInsert_Id, pField));
}
}
return m_orderInsert_Id;
}
void CTraderApi::OnRspQuoteInsert(CThostFtdcInputQuoteField *pInputQuote, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
{
OrderIDType quoteId = { 0 };
if (pInputQuote)
{
sprintf(quoteId, "%d:%d:%s", m_RspUserLogin.FrontID, m_RspUserLogin.SessionID, pInputQuote->QuoteRef);
}
else
{
IsErrorRspInfo(pRspInfo, nRequestID, bIsLast);
}
unordered_map<string, QuoteField*>::iterator it = m_id_platform_quote.find(quoteId);
if (it == m_id_platform_quote.end())
{
// 没找到?不应当,这表示出错了
//assert(false);
}
else
{
// 找到了,要更新状态
// 得使用上次的状态
QuoteField* pField = it->second;
pField->ExecType = ExecType::ExecRejected;
pField->Status = OrderStatus::Rejected;
pField->ErrorID = pRspInfo->ErrorID;
strncpy(pField->Text, pRspInfo->ErrorMsg, sizeof(ErrorMsgType));
m_msgQueue->Input_Copy(ResponeType::OnRtnQuote, m_msgQueue, m_pClass, 0, 0, pField, sizeof(QuoteField), nullptr, 0, nullptr, 0);
}
}
void CTraderApi::OnErrRtnQuoteInsert(CThostFtdcInputQuoteField *pInputQuote, CThostFtdcRspInfoField *pRspInfo)
{
OrderIDType quoteId = { 0 };
if (pInputQuote)
{
sprintf(quoteId, "%d:%d:%s", m_RspUserLogin.FrontID, m_RspUserLogin.SessionID, pInputQuote->QuoteRef);
}
else
{
IsErrorRspInfo(pRspInfo, 0, true);
}
unordered_map<string, QuoteField*>::iterator it = m_id_platform_quote.find(quoteId);
if (it == m_id_platform_quote.end())
{
// 没找到?不应当,这表示出错了
//assert(false);
}
else
{
// 找到了,要更新状态
// 得使用上次的状态
QuoteField* pField = it->second;
pField->ExecType = ExecType::ExecRejected;
pField->Status = OrderStatus::Rejected;
pField->ErrorID = pRspInfo->ErrorID;
strncpy(pField->Text, pRspInfo->ErrorMsg, sizeof(ErrorMsgType));
m_msgQueue->Input_Copy(ResponeType::OnRtnQuote, m_msgQueue, m_pClass, 0, 0, pField, sizeof(QuoteField), nullptr, 0, nullptr, 0);
}
}
void CTraderApi::OnRtnQuote(CThostFtdcQuoteField *pQuote)
{
OnQuote(pQuote);
}
int CTraderApi::ReqQuoteAction(const string& szId,OrderIDType* pOutput)
{
unordered_map<string, CThostFtdcQuoteField*>::iterator it = m_id_api_quote.find(szId);
if (it == m_id_api_quote.end())
{
sprintf((char*)pOutput, "%d", -100);
return -100;
}
else
{
// 找到了订单
ReqQuoteAction(it->second,pOutput);
}
return 0;
}
int CTraderApi::ReqQuoteAction(CThostFtdcQuoteField *pQuote, OrderIDType* pOutput)
{
if (nullptr == m_pApi)
return 0;
CThostFtdcInputQuoteActionField body = {0};
///经纪公司代码
strcpy(body.BrokerID, pQuote->BrokerID);
///投资者代码
strcpy(body.InvestorID, pQuote->InvestorID);
///报单引用
strcpy(body.QuoteRef, pQuote->QuoteRef);
///前置编号
body.FrontID = pQuote->FrontID;
///会话编号
body.SessionID = pQuote->SessionID;
///交易所代码
strcpy(body.ExchangeID, pQuote->ExchangeID);
///报单编号
strcpy(body.QuoteSysID, pQuote->QuoteSysID);
///操作标志
body.ActionFlag = THOST_FTDC_AF_Delete;
///合约代码
strcpy(body.InstrumentID, pQuote->InstrumentID);
int nRet = m_pApi->ReqQuoteAction(&body, ++m_lRequestID);
if (nRet < 0)
{
sprintf(m_orderAction_Id, "%d", nRet);
}
else
{
memset(m_orderAction_Id, 0, sizeof(OrderIDType));
}
strncpy((char*)pOutput, m_orderAction_Id, sizeof(OrderIDType));
return nRet;
}
void CTraderApi::OnRspQuoteAction(CThostFtdcInputQuoteActionField *pInputQuoteAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
{
OrderIDType quoteId = { 0 };
if (pInputQuoteAction)
{
sprintf(quoteId, "%d:%d:%s", pInputQuoteAction->FrontID, pInputQuoteAction->SessionID, pInputQuoteAction->QuoteRef);
}
else
{
IsErrorRspInfo(pRspInfo, nRequestID, bIsLast);
}
unordered_map<string, QuoteField*>::iterator it = m_id_platform_quote.find(quoteId);
if (it == m_id_platform_quote.end())
{
// 没找到?不应当,这表示出错了
//assert(false);
}
else
{
// 找到了,要更新状态
// 得使用上次的状态
QuoteField* pField = it->second;
strcpy(pField->ID, quoteId);
//sprintf(pField->AskID, "%d:%d:%s", pInputQuoteAction->FrontID, pInputQuoteAction->SessionID, pInputQuoteAction->);
//sprintf(pField->BidID, "%d:%d:%s", pInputQuoteAction->FrontID, pInputQuoteAction->SessionID, pInputQuoteAction->QuoteRef);
pField->ExecType = ExecType::ExecCancelReject;
pField->ErrorID = pRspInfo->ErrorID;
strncpy(pField->Text, pRspInfo->ErrorMsg, sizeof(ErrorMsgType));
m_msgQueue->Input_Copy(ResponeType::OnRtnQuote, m_msgQueue, m_pClass, 0, 0, pField, sizeof(QuoteField), nullptr, 0, nullptr, 0);
}
}
void CTraderApi::OnErrRtnQuoteAction(CThostFtdcQuoteActionField *pQuoteAction, CThostFtdcRspInfoField *pRspInfo)
{
OrderIDType quoteId = { 0 };
if (pQuoteAction)
{
sprintf(quoteId, "%d:%d:%s", pQuoteAction->FrontID, pQuoteAction->SessionID, pQuoteAction->QuoteRef);
}
else
{
IsErrorRspInfo(pRspInfo, 0, true);
}
unordered_map<string, QuoteField*>::iterator it = m_id_platform_quote.find(quoteId);
if (it == m_id_platform_quote.end())
{
// 没找到?不应当,这表示出错了
//assert(false);
}
else
{
// 找到了,要更新状态
// 得使用上次的状态
QuoteField* pField = it->second;
strcpy(pField->ID, quoteId);
pField->ExecType = ExecType::ExecCancelReject;
pField->ErrorID = pRspInfo->ErrorID;
strncpy(pField->Text, pRspInfo->ErrorMsg, sizeof(ErrorMsgType));
m_msgQueue->Input_Copy(ResponeType::OnRtnQuote, m_msgQueue, m_pClass, 0, 0, pField, sizeof(QuoteField), nullptr, 0, nullptr, 0);
}
}