CTP开发（2）行情模块的开发

我在做CTP开发之前，也参考了不少其他的资料，发现他们都是把行情和交易做在同一个工程里的。我呢之前也做过期货相关的交易平台，感觉这种把行情和交易做在一起的方法缺乏可扩展性。比如我开了多个CTP账户，要同时交易，这种做在一起的方法就很难实现；另外，如果我还要接入其他的交易所，该怎么接？

下面是我的软件架构图：

软件架构图

为了便于说明CTP行情、交易的开发，这个架构图是最初始版的。以后会在这个基础上进行深化，开发成可以实战的可扩展的交易平台。

理论上，1个CTP账号可以在6个地方进行多点登录；另外在实战中，有的客户会有多个CTP账号同时进行量化交易。所以，这个软件架构图是能满足多CTP账号同时交易的要求的。

1、类文件说明

（1）CTPMdSpi.h、CTPMdSpi.cpp

继承CThostFtdcMdSpi类，里面实现所有的回调函数，是最重要的类。

（2）MarketL1Core.h、MarketL1Core.cpp

主类，里面包含着程序调用的主要逻辑关系。

（3）Main.cpp

写main()函数的类。

2、代码说明

（1）CTPMdSpi.h

#pragma once#include #include #include "ctp/ThostFtdcMdApi.h"class CTPMdSpi : public CThostFtdcMdSpi{public:CTPMdSpi() = default;~CTPMdSpi() = default;///当客户端与交易后台建立起通信连接时（还未登录前），该方法被调用。virtual void OnFrontConnected();///当客户端与交易后台通信连接断开时，该方法被调用。当发生这个情况后，API会自动重新连接，客户端可不做处理。///@param nReason 错误原因///        0x1001 网络读失败///        0x1002 网络写失败///        0x2001 接收心跳超时///        0x2002 发送心跳失败///        0x2003 收到错误报文virtual void OnFrontDisconnected(int nReason);///心跳超时警告。当长时间未收到报文时，该方法被调用。///@param nTimeLapse 距离上次接收报文的时间virtual void OnHeartBeatWarning(int nTimeLapse);///登录请求响应virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///登出请求响应virtual void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///请求查询组播合约响应virtual void OnRspQryMulticastInstrument(CThostFtdcMulticastInstrumentField *pMulticastInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///错误应答virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///订阅行情应答virtual void OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///取消订阅行情应答virtual void OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///订阅询价应答virtual void OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///取消订阅询价应答virtual void OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///深度行情通知virtual void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData);///询价通知virtual void OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp);private:void ReqUserLogin();void SubscribeMarketData();    bool IsErrorRspInfo(CThostFtdcRspInfoField *pRspInfo);private:    static int iRequestID;};

（2）CTPMdSpi.cpp

#include #include #include #include #include #include "CTPMdSpi.h"using namespace std;int CTPMdSpi::iRequestID = 0;extern CThostFtdcMdApi *g_pMdApi;extern std::string g_brokerId;extern std::string g_userId;extern std::string g_password;extern std::vector *g_pInstrumentIds;//----------------------------- private methods ------------------------------void CTPMdSpi::ReqUserLogin(){std::cout<<"ReqUserLogin g_brokerId:"<<g_brokerId<<" ,g_userId:"<<g_userId<<", g_password"<<g_password<ReqUserLogin(&req, ++iRequestID);cerr <>> Req user Lgoin: " <size();cout<<"SubscribeMarketData len:"<<len<<endl;    char** ppInstrumentID = new char*[len];        int index = 0;    vector::iterator it;    for (it = g_pInstrumentIds->begin(); it != g_pInstrumentIds->end(); it++){        *(ppInstrumentID + index) = (char*)it->c_str();        std::cout<<"InstrumentID index["<<index<<"] : "<<*(ppInstrumentID + index)<UnSubscribeMarketData(ppInstrumentID, len);cerr <>> UnSubscribeMarketData: " << ((iResult0 == 0) ? "Success" : "Fail") <SubscribeMarketData(ppInstrumentID, len);cerr <>> SubscribeMarketData: " << ((iResult == 0) ? "Success" : "Fail") <ErrorID != 0));if (bResult)cerr <>> ErrorID=" <ErrorID << ", ErrorMsg=" <ErrorMsg << endl;return bResult;}//----------------------------- public methods -------------------------------///当客户端与交易后台建立起通信连接时（还未登录前），该方法被调用。void CTPMdSpi::OnFrontConnected(){    std::cout << "=====FrontConnected Success=====" << std::endl;    ReqUserLogin();}///当客户端与交易后台通信连接断开时，该方法被调用。当发生这个情况后，API会自动重新连接，客户端可不做处理。///@param nReason 错误原因///        0x1001 网络读失败///        0x1002 网络写失败///        0x2001 接收心跳超时///        0x2002 发送心跳失败///        0x2003 收到错误报文void CTPMdSpi::OnFrontDisconnected(int nReason){std::cerr << "=====FrontDisconnected=====" << std::endl;std::cerr << "ErrorCode: " << nReason << std::endl;}///心跳超时警告。当长时间未收到报文时，该方法被调用。///@param nTimeLapse 距离上次接收报文的时间void CTPMdSpi::OnHeartBeatWarning(int nTimeLapse){std::cerr << "=====HeartBeat Timeout=====" << std::endl;std::cerr << "Timeout lap: " << nTimeLapse << std::endl;}///登录请求响应void CTPMdSpi::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){if (bIsLast && !IsErrorRspInfo(pRspInfo)){std::cout << "=====OnRspUserLogin success=====" << std::endl;std::cout << "TradingDay: " <TradingDay << std::endl;std::cout << "LoginTime: " <LoginTime << std::endl;std::cout << "BrokerID: " <BrokerID << std::endl;std::cout << "UserID: " <UserID << std::endl;///获取当前交易日cerr <>> GetTradingDay: " <GetTradingDay() << endl;// 请求订阅行情SubscribeMarketData();}}///登出请求响应void CTPMdSpi::OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){}///请求查询组播合约响应void CTPMdSpi::OnRspQryMulticastInstrument(CThostFtdcMulticastInstrumentField *pMulticastInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){}///错误应答void CTPMdSpi::OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){    IsErrorRspInfo(pRspInfo);}///订阅行情应答void CTPMdSpi::OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){    if (bIsLast && !IsErrorRspInfo(pRspInfo)){    cout<>> OnRspSubMarketData: " <InstrumentID<<" Success"<InstrumentID);std::ofstream outFile;outFile.open(filePath, std::ios::out); // 新开文件outFile << "InstrumentID" << ","<< "UpdateTime" << ","<< "LastPrice" << ","<< "Volume" << ","<< "BidPrice1" << ","<< "BidVolume1" << ","<< "AskPrice1" << ","<< "AskVolume1" << ","<< "OpenInterest" << ","<< "Turnover"<< std::endl;outFile.close();    }}///取消订阅行情应答void CTPMdSpi::OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){}///订阅询价应答void CTPMdSpi::OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){}///取消订阅询价应答void CTPMdSpi::OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){}///深度行情通知void CTPMdSpi::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData){    // 生成5档盘口和成交数据std::cout << "=====OnRtnDepthMarketData=====" << std::endl;std::cout << "TradingDay: " <TradingDay << std::endl;std::cout << "ExchangeID: " <ExchangeID << std::endl;std::cout << "InstrumentID: " <InstrumentID << std::endl;std::cout << "ExchangeInstID: " <ExchangeInstID << std::endl; //合约在交易所的代码std::cout << "LastPrice: " <LastPrice << std::endl;std::cout << "Volume: " <Volume <InstrumentID);//sprintf(filePath, "%s_market_data.csv", pDepthMarketData->InstrumentID);std::ofstream outFile;outFile.open(filePath, std::ios::app); // 文件追加写入 outFile <InstrumentID << ","<UpdateTime << "." <UpdateMillisec << ","<LastPrice << ","<Volume << ","<BidPrice1 << ","<BidVolume1 << ","<AskPrice1 << ","<AskVolume1 << ","<OpenInterest << ","<Turnover << std::endl;outFile.close();}///询价通知void CTPMdSpi::OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp){}

（3）MarketL1Core.h

#pragma once#include #include #include "CTPMdSpi.h"class MarketL1Core{public:MarketL1Core() = default;~MarketL1Core();bool start();    bool stop();    //启动客户端监听    bool startListenClient();private:bool checkConfig();    //连接上手服务器(CTP)    bool connectUpServer();    private:std::string serviceName;std::string serviceIp;int servicePort;std::string CTP_Address1; //主地址std::string CTP_Address2; //备地址    std::vector instrumentIds;CThostFtdcMdSpi *pMdUserSpi = new CTPMdSpi;};

（4）MarketL1Core.cpp

#include #include "MarketL1Core.h"#include "com/xini_file.h"#include "Util.h"using namespace std;CThostFtdcMdApi *g_pMdApi;std::string g_brokerId;std::string g_userId;std::string g_password;std::vector *g_pInstrumentIds;//---------------------------------- private methods --------------------------------bool MarketL1Core::checkConfig(){    CTP_Address1 = "tcp://218.202.237.33:10213";    CTP_Address2 = "";    g_brokerId = "9999";    g_userId = "xxx"; //填入你自己申请到的账号、密码    g_password = "xxx"; //        string ids = "sc2302|sc2403|bu2306|IO2303-C-3900|ag2302|WH301"; //需要订阅的行情    instrumentIds = Util::split(ids, "|");    g_pInstrumentIds = &instrumentIds;    cout<<"CTP_Address1:"<<CTP_Address1<<", instrumentIds:"<<ids<RegisterSpi(pMdUserSpi);                 // 注册事件类g_pMdApi->RegisterFront((char*)CTP_Address1.c_str()); // connect优先行情地址//pMdApi->RegisterFront();                 // connect备用行情地址，1B断开，自动连接2B地址g_pMdApi->Init();    std::cout<<"Version:"<GetApiVersion()<Join();g_pMdApi->Release();}if(pMdUserSpi){delete pMdUserSpi;pMdUserSpi = nullptr;}}bool MarketL1Core::start(){    // 初始化log    // 读取配置    checkConfig();    connectUpServer();}bool MarketL1Core::stop(){}

（5）split()方法

class Util{public:    static std::vector split(std::string str, std::string pattern)    {    std::string::size_type pos;    std::vector result;    str += pattern;//扩展字符串以方便操作      int size = str.size();    for (int i = 0; i < size; i++)    {        pos = str.find(pattern, i);        if (pos < size)        {            std::string s = str.substr(i, pos - i);            result.push_back(s);            i = pos + pattern.size() - 1;        }    }    return result;    }};

（6）main()方法

#include "MarketL1Core.h"int main(int argc,char *argv[]){    MarketL1Core core;    core.start();}

好了，基本步骤就这些。最后在Unix操作系统上make通过后，就可以运行了！