基於CTP的國內期貨程式化交易之行情獲取講解
阿新 • • 發佈：2019-02-13
前面兩篇文章主要講了國外期貨相關程式開發，使用的是鄭州易盛的行情及交易api，而國內期貨相關程式開發易盛貌似也是有sdk的，不過專案中使用的是上期技術的sdk，即大家經常提到的CTP api——綜合交易平臺api。相比較而言，易盛給自己的sdk起的名字好聽一點，叫易盛國際金融衍生品交易分析系統，聽著高大上一些。
上期技術的api使用思路與易盛的api基本一致，大同小異，其實無論誰設計這個架構，基本也都是這個思路，一個發起請求呼叫，一個響應請求回撥，呼叫邏輯由sdk提供方編寫，回撥邏輯由開發者編寫，這樣共同完成整個業務邏輯開發。不過畢竟是兩家公司開發的sdk，所以在定義引數及一些交易術語上，還是有些不同的，這個需要開發者多查閱文件、多摸索才行。
CThostFtdcMdApi *pMarketDataApi = CThostFtdcMdApi::CreateFtdcMdApi(dirName);MarketDataSource *pDataSource = new MarketDataSource(pMarketDataApi, this);連線伺服器以及例項初始化相關程式碼：pMarketDataApi->RegisterSpi(pDataSource); pDataSource->connect(serverAddr, brokerId, username, password);
void MarketDataSource::connect(string serverAddr, string brokerId, string username, string password)
{
serverAddr_ = serverAddr;
brokerId_ = brokerId;
username_ = username;
password_ = password;
pMarketDataApi_->RegisterFront((char *)serverAddr_.c_str());
pMarketDataApi_->Init();
}void MarketDataSource::OnFrontConnected()
{
LOG_INFO << username_ << " 回撥: 與伺服器已建立連線, 開始登入";
}
void MarketDataSource::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
{
if (pRspInfo == NULL)
{
LOG_INFO << username_ << " 登入回撥異常, 指標為空";
return;
}
if (pRspInfo->ErrorID == Err_Succeed)
{
LOG_INFO << username_ << " 登入成功, 當前交易日: " << pMarketDataApi_->GetTradingDay();
}
}void MarketDataSource::subscribeContracts(std::set<ContractInfo> &contracts)
{
const size_t count = contracts.size();
char *instruments[count];
int i = 0;
for (std::set<ContractInfo>::iterator it = contracts.begin(); it != contracts.end(); ++it)
{
string strInstrument = it->CommodityNo + it->ContractNo;
instruments[i] = new char[32];
memset(instruments[i], 0, 32);
strcpy(instruments[i], strInstrument.c_str());
i++;
}
int result = Err_Succeed;
result = pMarketDataApi_->SubscribeMarketData(instruments, (int)count);
if (result == Err_Succeed)
{
LOG_INFO << username_ << " " << "請求: 合約訂閱成功";
}
else
{
LOG_INFO << username_ << " "
<< "請求: 合約訂閱失敗" << " "
<< "錯誤碼: " << result << " " << ErrorCode::get(result);
}
for (i = 0; i < count; ++i)
{
delete[] instruments[i];
}
}void MarketDataSource::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData)
{
if (pDepthMarketData != NULL)
{
CThostFtdcDepthMarketDataField marketData;
memcpy(&marketData, pDepthMarketData, sizeof(CThostFtdcDepthMarketDataField));
LOG_INFO << "行情更新:"
<< marketData.TradingDay << " "
<< marketData.UpdateTime << " "
<< marketData.UpdateMillisec << " "
<< marketData.InstrumentID << " "
<< marketData.LastPrice << " "
<< username_;
}
}