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wukan1986wukan1986
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修改行情中的交易所枚举，修改大商所和郑商所TradingDay和ActionDay
1 parent 054867c commit f818d17

40 files changed

Lines changed: 868 additions & 522 deletions

‎QuantBox.XAPI/Extensions.cs‎

Lines changed: 8 additions & 7 deletions
Original file line numberDiff line numberDiff line change
@@ -71,13 +71,14 @@ public static DateTime ExchangeDateTime([In]this DepthMarketDataField field)
7171
// 大商所夜盘时，ActionDay可能已经是指向的第二天
7272
int HH = field.UpdateTime / 10000;
7373

74-
if (HH > 20)
75-
{
76-
if (field.ExchangeID.CompareTo("DCE") == 0)
77-
{
78-
return field.ExchangeDateTime_();
79-
}
80-
}
74+
// 这个功能写入到C层中
75+
//if (HH > 20)
76+
//{
77+
// if (field.ExchangeID.CompareTo("DCE") == 0)
78+
// {
79+
// return field.ExchangeDateTime_();
80+
// }
81+
//}
8182

8283
int mm = field.UpdateTime % 10000 / 100;
8384
int ss = field.UpdateTime % 100;

‎QuantBox.XAPI/Program.cs‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -26,7 +26,7 @@ static void OnRtnDepthMarketData(object sender, ref DepthMarketDataField marketD
2626
{
2727
Debugger.Log(0, null, "CTP:C#");
2828
Console.WriteLine(marketData.InstrumentID);
29-
Console.WriteLine(marketData.ExchangeID);
29+
Console.WriteLine(marketData.Exchange);
3030
Console.WriteLine(marketData.LastPrice);
3131
}
3232

‎QuantBox.XAPI/Struct.cs‎

Lines changed: 6 additions & 5 deletions
Original file line numberDiff line numberDiff line change
@@ -291,6 +291,11 @@ public struct DepthMarketDataField
291291
/// </summary>
292292
public int AskVolume5;
293293

294+
/// <summary>
295+
/// 交易所代码
296+
/// </summary>
297+
public ExchangeType Exchange;
298+
294299
/// <summary>
295300
/// 合约代码
296301
/// </summary>
@@ -301,11 +306,7 @@ public struct DepthMarketDataField
301306
/// </summary>
302307
[MarshalAs(UnmanagedType.ByValTStr, SizeConst = 31)]
303308
public string InstrumentID;
304-
/// <summary>
305-
/// 交易所代码
306-
/// </summary>
307-
[MarshalAs(UnmanagedType.ByValTStr, SizeConst = 9)]
308-
public string ExchangeID;
309+
309310
}
310311

311312
/// <summary>

‎QuantBox_CTP_Quote/MdUserApi.cpp‎

Lines changed: 58 additions & 43 deletions
Original file line numberDiff line numberDiff line change
@@ -1,11 +1,12 @@
1-
#include "stdafx.h"
1+
#include "stdafx.h"
22
#include "MdUserApi.h"
33
#include "../include/QueueEnum.h"
44

55
#include "../include/ApiHeader.h"
66
#include "../include/ApiStruct.h"
77

88
#include "../include/toolkit.h"
9+
#include "../QuantBox_CTP_Trade/TypeConvert.h"
910

1011
#include "../QuantBox_Queue/MsgQueue.h"
1112
#ifdef _REMOTE
@@ -21,7 +22,7 @@ using namespace std;
2122

2223
void* __stdcall Query(char type, void* pApi1, void* pApi2, double double1, double double2, void* ptr1, int size1, void* ptr2, int size2, void* ptr3, int size3)
2324
{
24-
// 由内部调用，不用检查是否为空
25+
// 由内部调用，不用检查是否为空
2526
CMdUserApi* pApi = (CMdUserApi*)pApi2;
2627
pApi->QueryInThread(type, pApi1, pApi2, double1, double2, ptr1, size1, ptr2, size2, ptr3, size3);
2728
return nullptr;
@@ -33,7 +34,7 @@ CMdUserApi::CMdUserApi(void)
3334
m_lRequestID = 0;
3435
m_nSleep = 1;
3536

36-
// 自己维护两个消息队列
37+
// 自己维护两个消息队列
3738
m_msgQueue = new CMsgQueue();
3839
m_msgQueue_Query = new CMsgQueue();
3940

@@ -67,13 +68,13 @@ void CMdUserApi::QueryInThread(char type, void* pApi1, void* pApi2, double doubl
6768

6869
if (0 == iRet)
6970
{
70-
//返回成功，填加到已发送池
71+
//返回成功，填加到已发送池
7172
m_nSleep = 1;
7273
}
7374
else
7475
{
7576
m_msgQueue_Query->Input_Copy(type, pApi1, pApi2, double1, double2, ptr1, size1, ptr2, size2, ptr3, size3);
76-
//失败，按4的幂进行延时，但不超过1s
77+
//失败，按4的幂进行延时，但不超过1s
7778
m_nSleep *= 4;
7879
m_nSleep %= 1023;
7980
}
@@ -140,7 +141,7 @@ void CMdUserApi::Connect(const string& szPath,
140141
nullptr, 0, nullptr, 0, nullptr, 0);
141142

142143
#ifdef _REMOTE
143-
// 将收到的行情通过ZeroMQ发送出去
144+
// 将收到的行情通过ZeroMQ发送出去
144145
if (strlen(m_ServerInfo.ExtendInformation) > 0)
145146
{
146147
m_remoteQueue = new CRemoteQueue(m_ServerInfo.ExtendInformation);
@@ -165,7 +166,7 @@ int CMdUserApi::_Init()
165166
{
166167
m_pApi->RegisterSpi(this);
167168

168-
//添加地址
169+
//添加地址
169170
size_t len = strlen(m_ServerInfo.Address) + 1;
170171
char* buf = new char[len];
171172
strncpy(buf, m_ServerInfo.Address, len);
@@ -181,7 +182,7 @@ int CMdUserApi::_Init()
181182
}
182183
delete[] buf;
183184

184-
//初始化连接
185+
//初始化连接
185186
m_pApi->Init();
186187
m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Connecting, 0, nullptr, 0, nullptr, 0, nullptr, 0);
187188
}
@@ -209,7 +210,7 @@ int CMdUserApi::_ReqUserLogin(char type, void* pApi1, void* pApi2, double double
209210

210211
void CMdUserApi::Disconnect()
211212
{
212-
// 清理查询队列
213+
// 清理查询队列
213214
if (m_msgQueue_Query)
214215
{
215216
m_msgQueue_Query->StopThread();
@@ -225,14 +226,14 @@ void CMdUserApi::Disconnect()
225226
m_pApi->Release();
226227
m_pApi = NULL;
227228

228-
// 全清理，只留最后一个
229+
// 全清理，只留最后一个
229230
m_msgQueue->Clear();
230231
m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Disconnected, 0, nullptr, 0, nullptr, 0, nullptr, 0);
231-
// 主动触发
232+
// 主动触发
232233
m_msgQueue->Process();
233234
}
234235

235-
// 清理响应队列
236+
// 清理响应队列
236237
if (m_msgQueue)
237238
{
238239
m_msgQueue->StopThread();
@@ -242,7 +243,7 @@ void CMdUserApi::Disconnect()
242243
m_msgQueue = nullptr;
243244
}
244245

245-
// 清理队列
246+
// 清理队列
246247
if (m_remoteQueue)
247248
{
248249
m_remoteQueue->StopThread();
@@ -267,14 +268,14 @@ void CMdUserApi::Subscribe(const string& szInstrumentIDs, const string& szExchag
267268

268269
if(vct.size()>0)
269270
{
270-
//转成字符串数组
271+
//转成字符串数组
271272
char** pArray = new char*[vct.size()];
272273
for (size_t j = 0; j<vct.size(); ++j)
273274
{
274275
pArray[j] = vct[j];
275276
}
276277

277-
//订阅
278+
//订阅
278279
m_pApi->SubscribeMarketData(pArray,(int)vct.size());
279280

280281
delete[] pArray;
@@ -313,14 +314,14 @@ void CMdUserApi::Unsubscribe(const string& szInstrumentIDs, const string& szExch
313314

314315
if(vct.size()>0)
315316
{
316-
//转成字符串数组
317+
//转成字符串数组
317318
char** pArray = new char*[vct.size()];
318319
for (size_t j = 0; j<vct.size(); ++j)
319320
{
320321
pArray[j] = vct[j];
321322
}
322323

323-
//订阅
324+
//订阅
324325
m_pApi->UnSubscribeMarketData(pArray,(int)vct.size());
325326

326327
delete[] pArray;
@@ -341,14 +342,14 @@ void CMdUserApi::SubscribeQuote(const string& szInstrumentIDs, const string& szE
341342

342343
if (vct.size()>0)
343344
{
344-
//转成字符串数组
345+
//转成字符串数组
345346
char** pArray = new char*[vct.size()];
346347
for (size_t j = 0; j<vct.size(); ++j)
347348
{
348349
pArray[j] = vct[j];
349350
}
350351

351-
//订阅
352+
//订阅
352353
m_pApi->SubscribeForQuoteRsp(pArray, (int)vct.size());
353354

354355
delete[] pArray;
@@ -387,14 +388,14 @@ void CMdUserApi::UnsubscribeQuote(const string& szInstrumentIDs, const string& s
387388

388389
if (vct.size()>0)
389390
{
390-
//转成字符串数组
391+
//转成字符串数组
391392
char** pArray = new char*[vct.size()];
392393
for (size_t j = 0; j<vct.size(); ++j)
393394
{
394395
pArray[j] = vct[j];
395396
}
396397

397-
//订阅
398+
//订阅
398399
m_pApi->UnSubscribeForQuoteRsp(pArray, (int)vct.size());
399400

400401
delete[] pArray;
@@ -406,14 +407,14 @@ void CMdUserApi::OnFrontConnected()
406407
{
407408
m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Connected, 0, nullptr, 0, nullptr, 0, nullptr, 0);
408409

409-
//连接成功后自动请求登录
410+
//连接成功后自动请求登录
410411
ReqUserLogin();
411412
}
412413

413414
void CMdUserApi::OnFrontDisconnected(int nReason)
414415
{
415416
RspUserLoginField* pField = (RspUserLoginField*)m_msgQueue->new_block(sizeof(RspUserLoginField));
416-
//连接失败返回的信息是拼接而成，主要是为了统一输出
417+
//连接失败返回的信息是拼接而成，主要是为了统一输出
417418
pField->ErrorID = nReason;
418419
GetOnFrontDisconnectedMsg(nReason, pField->ErrorMsg);
419420

@@ -429,20 +430,21 @@ void CMdUserApi::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CTho
429430
{
430431
pField->TradingDay = GetDate(pRspUserLogin->TradingDay);
431432
pField->LoginTime = GetTime(pRspUserLogin->LoginTime);
433+
m_TradingDay = pField->TradingDay;
432434

433435
sprintf(pField->SessionID, "%d:%d", pRspUserLogin->FrontID, pRspUserLogin->SessionID);
434436

435437
m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Logined, 0, pField, sizeof(RspUserLoginField), nullptr, 0, nullptr, 0);
436438
m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Done, 0, nullptr, 0, nullptr, 0, nullptr, 0);
437439

438-
//有可能断线了，本处是断线重连后重新订阅
439-
set<string> mapOld = m_setInstrumentIDs;//记下上次订阅的合约
440-
//Unsubscribe(mapOld);//由于已经断线了，没有必要再取消订阅
441-
Subscribe(mapOld,"");//订阅
440+
//有可能断线了，本处是断线重连后重新订阅
441+
set<string> mapOld = m_setInstrumentIDs;//记下上次订阅的合约
442+
//Unsubscribe(mapOld);//由于已经断线了，没有必要再取消订阅
443+
Subscribe(mapOld,"");//订阅
442444

443-
//有可能断线了，本处是断线重连后重新订阅
444-
mapOld = m_setQuoteInstrumentIDs;//记下上次订阅的合约
445-
SubscribeQuote(mapOld, "");//订阅
445+
//有可能断线了，本处是断线重连后重新订阅
446+
mapOld = m_setQuoteInstrumentIDs;//记下上次订阅的合约
447+
SubscribeQuote(mapOld, "");//订阅
446448
}
447449
else
448450
{
@@ -460,7 +462,7 @@ void CMdUserApi::OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bo
460462

461463
void CMdUserApi::OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
462464
{
463-
//在模拟平台可能这个函数不会触发，所以要自己维护一张已经订阅的合约列表
465+
//在模拟平台可能这个函数不会触发，所以要自己维护一张已经订阅的合约列表
464466
if(!IsErrorRspInfo(pRspInfo,nRequestID,bIsLast)
465467
&&pSpecificInstrument)
466468
{
@@ -472,7 +474,7 @@ void CMdUserApi::OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecific
472474

473475
void CMdUserApi::OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
474476
{
475-
//模拟平台可能这个函数不会触发
477+
//模拟平台可能这个函数不会触发
476478
if(!IsErrorRspInfo(pRspInfo,nRequestID,bIsLast)
477479
&&pSpecificInstrument)
478480
{
@@ -482,24 +484,37 @@ void CMdUserApi::OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecif
482484
}
483485
}
484486

485-
//行情回调，得保证此函数尽快返回
487+
//行情回调，得保证此函数尽快返回
486488
void CMdUserApi::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData)
487489
{
488490
//for (int i = 0; i < 50; ++i)
489491
//{
490-
// // 测试平台穿越速度，用完后需要注释掉
492+
// // 测试平台穿越速度，用完后需要注释掉
491493
// WriteLog("CTP:OnRtnDepthMarketData:%s %f %s.%03d", pDepthMarketData->InstrumentID, pDepthMarketData->LastPrice, pDepthMarketData->UpdateTime, pDepthMarketData->UpdateMillisec);
492494

493495
DepthMarketDataField* pField = (DepthMarketDataField*)m_msgQueue->new_block(sizeof(DepthMarketDataField));
494496

495497
strcpy(pField->InstrumentID, pDepthMarketData->InstrumentID);
496-
strcpy(pField->ExchangeID, pDepthMarketData->ExchangeID);
498+
pField->Exchange = TThostFtdcExchangeIDType_2_ExchangeType(pDepthMarketData->ExchangeID);
497499

498-
sprintf(pField->Symbol, "%s.%s", pField->InstrumentID, pField->ExchangeID);
500+
sprintf(pField->Symbol, "%s.%s", pField->InstrumentID, pDepthMarketData->ExchangeID);
499501

500-
//TODO:CTP大连没有ActionDay，所以API中是将TradingDay填到了这里，所以这里这种用法可能会出错，要测
501-
GetExchangeTime(pDepthMarketData->TradingDay, pDepthMarketData->ActionDay, pDepthMarketData->UpdateTime
502-
, &pField->TradingDay, &pField->ActionDay, &pField->UpdateTime, &pField->UpdateMillisec);
502+
//m_TradingDay
503+
switch (pField->Exchange)
504+
{
505+
case ExchangeType::DCE:
506+
GetExchangeTime_DCE(pDepthMarketData->TradingDay, pDepthMarketData->ActionDay, pDepthMarketData->UpdateTime
507+
, &pField->TradingDay, &pField->ActionDay, &pField->UpdateTime, &pField->UpdateMillisec);
508+
break;
509+
case ExchangeType::CZCE:
510+
GetExchangeTime_CZCE(m_TradingDay, pDepthMarketData->TradingDay, pDepthMarketData->ActionDay, pDepthMarketData->UpdateTime
511+
, &pField->TradingDay, &pField->ActionDay, &pField->UpdateTime, &pField->UpdateMillisec);
512+
break;
513+
default:
514+
GetExchangeTime(pDepthMarketData->TradingDay, pDepthMarketData->ActionDay, pDepthMarketData->UpdateTime
515+
, &pField->TradingDay, &pField->ActionDay, &pField->UpdateTime, &pField->UpdateMillisec);
516+
break;
517+
}
503518

504519
pField->UpdateMillisec = pDepthMarketData->UpdateMillisec;
505520

@@ -585,8 +600,8 @@ void CMdUserApi::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMark
585600
pField->AskVolume5 = pDepthMarketData->AskVolume5;
586601
} while (false);
587602

588-
// 这两个队列先头循序不要搞混，有删除功能的语句要放在后面
589-
// 如果放前面，会导致远程收到乱码
603+
// 这两个队列先头循序不要搞混，有删除功能的语句要放在后面
604+
// 如果放前面，会导致远程收到乱码
590605
#ifdef _REMOTE
591606
if (m_remoteQueue)
592607
{
@@ -595,7 +610,7 @@ void CMdUserApi::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMark
595610
#endif
596611

597612
m_msgQueue->Input_NoCopy(ResponeType::OnRtnDepthMarketData, m_msgQueue, m_pClass, 0, 0, pField, sizeof(DepthMarketDataField), nullptr, 0, nullptr, 0);
598-
// 要关注一下其内的
613+
// 要关注一下其内的
599614
//}
600615
}
601616

@@ -623,7 +638,7 @@ void CMdUserApi::OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpeci
623638

624639
void CMdUserApi::OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp)
625640
{
626-
// 上期技术的人说，上海中金走的交易接口，大商，郑商走行情，所以这个地方后期可能要改
641+
// 上期技术的人说，上海中金走的交易接口，大商，郑商走行情，所以这个地方后期可能要改
627642
QuoteRequestField* pField = (QuoteRequestField*)m_msgQueue->new_block(sizeof(QuoteRequestField));
628643

629644
pField->TradingDay = GetDate(pForQuoteRsp->TradingDay);

‎QuantBox_CTP_Quote/MdUserApi.h‎

Lines changed: 2 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -99,5 +99,7 @@ class CMdUserApi :
9999
void* m_pClass;
100100

101101
CMsgQueue* m_remoteQueue;
102+
103+
int m_TradingDay;
102104
};
103105

‎QuantBox_CTP_Quote/QuantBox_CTP_Quote.vcxproj‎

Lines changed: 2 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -212,6 +212,7 @@
212212
</ItemGroup>
213213
<ItemGroup>
214214
<ClInclude Include="..\include\toolkit.h" />
215+
<ClInclude Include="..\QuantBox_CTP_Trade\TypeConvert.h" />
215216
<ClInclude Include="MdUserApi.h" />
216217
<ClInclude Include="stdafx.h" />
217218
<ClInclude Include="targetver.h" />
@@ -223,6 +224,7 @@
223224
<PrecompiledHeader Condition="'$(Configuration)|$(Platform)'=='Debug64|Win32'">Use</PrecompiledHeader>
224225
<PrecompiledHeader Condition="'$(Configuration)|$(Platform)'=='Debug64|x64'">Use</PrecompiledHeader>
225226
</ClCompile>
227+
<ClCompile Include="..\QuantBox_CTP_Trade\TypeConvert.cpp" />
226228
<ClCompile Include="dllmain.cpp">
227229
<CompileAsManaged Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'">false</CompileAsManaged>
228230
<CompileAsManaged Condition="'$(Configuration)|$(Platform)'=='Debug|x64'">false</CompileAsManaged>

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