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Tongshi supports subscribe using regex string #26

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3c80d76
Tongshi supports subscribe using regex string
gzadigo Nov 1, 2015
076e223
instrument filter changed to map, and some spelling check
gzadigo Nov 1, 2015
c68d4ba
suggest new subscribe interface
gzadigo Nov 2, 2015
f9656f6
Revert "suggest new subscribe interface"
gzadigo Nov 2, 2015
b2992d6
subscribe interface suggest
gzadigo Nov 2, 2015
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Tongshi supports subscribe using regex string
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@gzadigo
gzadigo committed Nov 1, 2015
commit 3c80d7681b29fc4a29af62dc133f4d32208a2c49
37 changes: 24 additions & 13 deletions QuantBox_TongShi_Quote/MdUserApi.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -21,6 +21,7 @@

#include <mutex>
#include <vector>
#include <regex>

#include "resource.h"
#include "DialogStockDrv.h"
Expand All @@ -47,14 +48,10 @@ LRESULT CMdUserApi::_OnMsg(WPARAM wParam, LPARAM lParam)
RCV_REPORT_STRUCTEx* pFirst = &pHeader->m_pReport[0];
RCV_REPORT_STRUCTEx* pLast = &pHeader->m_pReport[pHeader->m_nPacketNum - 1];

// 前后都不合要求才跳过
if (FilterExchangeInstrument(pFirst->m_wMarket, 0) || FilterExchangeInstrument(pLast->m_wMarket, 0))
for (i = 0; i < pHeader->m_nPacketNum; i++)
{
for (i = 0; i < pHeader->m_nPacketNum; i++)
{
// 数据处理
OnRtnDepthMarketData(&pHeader->m_pReport[i], i, pHeader->m_nPacketNum);
}
// 数据处理
OnRtnDepthMarketData(&pHeader->m_pReport[i], i, pHeader->m_nPacketNum);
}
}
break;
Expand Down Expand Up @@ -88,6 +85,7 @@ void* __stdcall Query(char type, void* pApi1, void* pApi2, double double1, doubl

CMdUserApi::CMdUserApi(void)
{
m_Filter = "xxxxxx"; // 这样的字符串不可能匹配
//m_pApi = nullptr;
m_lRequestID = 0;
m_nSleep = 1;
Expand Down Expand Up @@ -289,6 +287,20 @@ void CMdUserApi::Disconnect()
}
}

void CMdUserApi::Subscribe(const string& szInstrumentIDs, const string& szExchageID)
{
if (nullptr == m_hThread)
return;
m_Filter = szInstrumentIDs;
}

void CMdUserApi::Unsubscribe(const string& szInstrumentIDs, const string& szExchageID)
{
if (nullptr == m_hThread)
return;
m_Filter = "xxxxxx";
}

void CMdUserApi::OnRspQryInstrument(DepthMarketDataNField* _pField,RCV_REPORT_STRUCTEx *pDepthMarketData, int index, int Count)
{
InstrumentField* pField = (InstrumentField*)m_msgQueue->new_block(sizeof(InstrumentField));
Expand Down Expand Up @@ -324,20 +336,19 @@ void CMdUserApi::OnRspQryInstrument(DepthMarketDataNField* _pField,RCV_REPORT_ST
}


bool CMdUserApi::FilterExchangeInstrument(WORD wMarket, int instrument)
bool CMdUserApi::FilterExchangeInstrument(WORD wMarket, string instrument)
{
// 行情太多，需要过滤
return (bool)m_msgQueue->Input_Output(ResponeType::OnFilterSubscribe, m_msgQueue, m_pClass, Market_2_ExchangeType(wMarket), 0, nullptr, instrument, nullptr, 0, nullptr, 0);
string ExhangeInstrument = instrument + "." + (wMarket==1 ? "SS" : "SZ");
const std::regex pattern(m_Filter);
return std::regex_match(ExhangeInstrument, pattern);
}

//行情回调，得保证此函数尽快返回
void CMdUserApi::OnRtnDepthMarketData(RCV_REPORT_STRUCTEx *pDepthMarketData, int index, int Count)
{
// 把不想要的过滤了，加快速度
if (!FilterExchangeInstrument(
pDepthMarketData->m_wMarket,
atoi(pDepthMarketData->m_szLabel))
)
if (!FilterExchangeInstrument(pDepthMarketData->m_wMarket, pDepthMarketData->m_szLabel))
return;

DepthMarketDataNField* pField = (DepthMarketDataNField*)m_msgQueue->new_block(sizeof(DepthMarketDataNField)+sizeof(DepthField)* 10);
Expand Down
8 changes: 5 additions & 3 deletions QuantBox_TongShi_Quote/MdUserApi.h
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Original file line number Diff line number Diff line change
Expand Up @@ -56,13 +56,13 @@ class CMdUserApi

void InitDriver(HWND hWnd, UINT Msg);
void QuitDriver();
//void Subscribe(const string& szInstrumentIDs, const string& szExchageID);
//void Unsubscribe(const string& szInstrumentIDs, const string& szExchageID);
void Subscribe(const string& szInstrumentIDs, const string& szExchageID);
void Unsubscribe(const string& szInstrumentIDs, const string& szExchageID);

//void SubscribeQuote(const string& szInstrumentIDs, const string& szExchageID);
//void UnsubscribeQuote(const string& szInstrumentIDs, const string& szExchageID);
private:
bool FilterExchangeInstrument(WORD wMarket, int instrument);
bool FilterExchangeInstrument(WORD wMarket, string instrument);

void StartThread();
void StopThread();
Expand Down Expand Up @@ -121,6 +121,8 @@ class CMdUserApi
UserInfoField m_UserInfo;
int m_nSleep;

string m_Filter; //��Լ������

CMsgQueue* m_msgQueue; //��Ϣ����ָ��
//CMsgQueue* m_msgQueue_Query;
void* m_pClass;
Expand Down