Merge branch 'master' of https://github.com/QuantBox/QuantBox_XAPI

Author: mepwang

QuantBox.XAPI/Extensions.cs

@@ -71,13 +71,14 @@ public static DateTime ExchangeDateTime([In]this DepthMarketDataField field)
             // 大商所夜盘时，ActionDay可能已经是指向的第二天
             int HH = field.UpdateTime / 10000;
 
-            if (HH > 20)
-            {
-                if (field.ExchangeID.CompareTo("DCE") == 0)
-                {
-                    return field.ExchangeDateTime_();
-                }
-            }
+            // 这个功能写入到C层中
+            //if (HH > 20)
+            //{
+            //    if (field.ExchangeID.CompareTo("DCE") == 0)
+            //    {
+            //        return field.ExchangeDateTime_();
+            //    }
+            //}
 
             int mm = field.UpdateTime % 10000 / 100;
             int ss = field.UpdateTime % 100;

QuantBox.XAPI/Program.cs

@@ -26,7 +26,7 @@ static void OnRtnDepthMarketData(object sender, ref DepthMarketDataField marketD
         {
             Debugger.Log(0, null, "CTP:C#");
             Console.WriteLine(marketData.InstrumentID);
-            Console.WriteLine(marketData.ExchangeID);
+            Console.WriteLine(marketData.Exchange);
             Console.WriteLine(marketData.LastPrice);
         }
 

QuantBox.XAPI/Struct.cs

@@ -291,6 +291,11 @@ public struct DepthMarketDataField
         /// </summary>
         public int AskVolume5;
 
+        /// <summary>
+        /// 交易所代码
+        /// </summary>
+        public ExchangeType Exchange;
+
         /// <summary>
         /// 合约代码
         /// </summary>
@@ -301,11 +306,7 @@ public struct DepthMarketDataField
         /// </summary>
         [MarshalAs(UnmanagedType.ByValTStr, SizeConst = 31)]
         public string InstrumentID;
-        /// <summary>
-        /// 交易所代码
-        /// </summary>
-        [MarshalAs(UnmanagedType.ByValTStr, SizeConst = 9)]
-        public string ExchangeID;
+
     }
 
     /// <summary>

QuantBox_CTP_Quote/MdUserApi.cpp

@@ -1,11 +1,12 @@
-#include "stdafx.h"
+#include "stdafx.h"
 #include "MdUserApi.h"
 #include "../include/QueueEnum.h"
 
 #include "../include/ApiHeader.h"
 #include "../include/ApiStruct.h"
 
 #include "../include/toolkit.h"
+#include "../QuantBox_CTP_Trade/TypeConvert.h"
 
 #include "../QuantBox_Queue/MsgQueue.h"
 #ifdef _REMOTE
@@ -21,7 +22,7 @@ using namespace std;
 
 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)
 {
-	// 由内部调用，不用检查是否为空
+	// 由内部调用，不用检查是否为空
 	CMdUserApi* pApi = (CMdUserApi*)pApi2;
 	pApi->QueryInThread(type, pApi1, pApi2, double1, double2, ptr1, size1, ptr2, size2, ptr3, size3);
 	return nullptr;
@@ -33,7 +34,7 @@ CMdUserApi::CMdUserApi(void)
 	m_lRequestID = 0;
 	m_nSleep = 1;
 
-	// 自己维护两个消息队列
+	// 自己维护两个消息队列
 	m_msgQueue = new CMsgQueue();
 	m_msgQueue_Query = new CMsgQueue();
 
@@ -67,13 +68,13 @@ void CMdUserApi::QueryInThread(char type, void* pApi1, void* pApi2, double doubl
 
 	if (0 == iRet)
 	{
-		//返回成功，填加到已发送池
+		//返回成功，填加到已发送池
 		m_nSleep = 1;
 	}
 	else
 	{
 		m_msgQueue_Query->Input_Copy(type, pApi1, pApi2, double1, double2, ptr1, size1, ptr2, size2, ptr3, size3);
-		//失败，按4的幂进行延时，但不超过1s
+		//失败，按4的幂进行延时，但不超过1s
 		m_nSleep *= 4;
 		m_nSleep %= 1023;
 	}
@@ -140,7 +141,7 @@ void CMdUserApi::Connect(const string& szPath,
 		nullptr, 0, nullptr, 0, nullptr, 0);
 
 #ifdef _REMOTE
-	// 将收到的行情通过ZeroMQ发送出去
+	// 将收到的行情通过ZeroMQ发送出去
 	if (strlen(m_ServerInfo.ExtendInformation) > 0)
 	{
 		m_remoteQueue = new CRemoteQueue(m_ServerInfo.ExtendInformation);
@@ -165,7 +166,7 @@ int CMdUserApi::_Init()
 	{
 		m_pApi->RegisterSpi(this);
 
-		//添加地址
+		//添加地址
 		size_t len = strlen(m_ServerInfo.Address) + 1;
 		char* buf = new char[len];
 		strncpy(buf, m_ServerInfo.Address, len);
@@ -181,7 +182,7 @@ int CMdUserApi::_Init()
 		}
 		delete[] buf;
 
-		//初始化连接
+		//初始化连接
 		m_pApi->Init();
 		m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Connecting, 0, nullptr, 0, nullptr, 0, nullptr, 0);
 	}
@@ -209,7 +210,7 @@ int CMdUserApi::_ReqUserLogin(char type, void* pApi1, void* pApi2, double double
 
 void CMdUserApi::Disconnect()
 {
-	// 清理查询队列
+	// 清理查询队列
 	if (m_msgQueue_Query)
 	{
 		m_msgQueue_Query->StopThread();
@@ -225,14 +226,14 @@ void CMdUserApi::Disconnect()
 		m_pApi->Release();
 		m_pApi = NULL;
 
-		// 全清理，只留最后一个
+		// 全清理，只留最后一个
 		m_msgQueue->Clear();
 		m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Disconnected, 0, nullptr, 0, nullptr, 0, nullptr, 0);
-		// 主动触发
+		// 主动触发
 		m_msgQueue->Process();
 	}
 
-	// 清理响应队列
+	// 清理响应队列
 	if (m_msgQueue)
 	{
 		m_msgQueue->StopThread();
@@ -242,7 +243,7 @@ void CMdUserApi::Disconnect()
 		m_msgQueue = nullptr;
 	}
 
-	// 清理队列
+	// 清理队列
 	if (m_remoteQueue)
 	{
 		m_remoteQueue->StopThread();
@@ -267,14 +268,14 @@ void CMdUserApi::Subscribe(const string& szInstrumentIDs, const string& szExchag
 
 	if(vct.size()>0)
 	{
-		//转成字符串数组
+		//转成字符串数组
 		char** pArray = new char*[vct.size()];
 		for (size_t j = 0; j<vct.size(); ++j)
 		{
 			pArray[j] = vct[j];
 		}
 
-		//订阅
+		//订阅
 		m_pApi->SubscribeMarketData(pArray,(int)vct.size());
 
 		delete[] pArray;
@@ -313,14 +314,14 @@ void CMdUserApi::Unsubscribe(const string& szInstrumentIDs, const string& szExch
 
 	if(vct.size()>0)
 	{
-		//转成字符串数组
+		//转成字符串数组
 		char** pArray = new char*[vct.size()];
 		for (size_t j = 0; j<vct.size(); ++j)
 		{
 			pArray[j] = vct[j];
 		}
 
-		//订阅
+		//订阅
 		m_pApi->UnSubscribeMarketData(pArray,(int)vct.size());
 
 		delete[] pArray;
@@ -341,14 +342,14 @@ void CMdUserApi::SubscribeQuote(const string& szInstrumentIDs, const string& szE
 
 	if (vct.size()>0)
 	{
-		//转成字符串数组
+		//转成字符串数组
 		char** pArray = new char*[vct.size()];
 		for (size_t j = 0; j<vct.size(); ++j)
 		{
 			pArray[j] = vct[j];
 		}
 
-		//订阅
+		//订阅
 		m_pApi->SubscribeForQuoteRsp(pArray, (int)vct.size());
 
 		delete[] pArray;
@@ -387,14 +388,14 @@ void CMdUserApi::UnsubscribeQuote(const string& szInstrumentIDs, const string& s
 
 	if (vct.size()>0)
 	{
-		//转成字符串数组
+		//转成字符串数组
 		char** pArray = new char*[vct.size()];
 		for (size_t j = 0; j<vct.size(); ++j)
 		{
 			pArray[j] = vct[j];
 		}
 
-		//订阅
+		//订阅
 		m_pApi->UnSubscribeForQuoteRsp(pArray, (int)vct.size());
 
 		delete[] pArray;
@@ -406,14 +407,14 @@ void CMdUserApi::OnFrontConnected()
 {
 	m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Connected, 0, nullptr, 0, nullptr, 0, nullptr, 0);
 
-	//连接成功后自动请求登录
+	//连接成功后自动请求登录
 	ReqUserLogin();
 }
 
 void CMdUserApi::OnFrontDisconnected(int nReason)
 {
 	RspUserLoginField* pField = (RspUserLoginField*)m_msgQueue->new_block(sizeof(RspUserLoginField));
-	//连接失败返回的信息是拼接而成，主要是为了统一输出
+	//连接失败返回的信息是拼接而成，主要是为了统一输出
 	pField->ErrorID = nReason;
 	GetOnFrontDisconnectedMsg(nReason, pField->ErrorMsg);
 
@@ -429,20 +430,21 @@ void CMdUserApi::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CTho
 	{
 		pField->TradingDay = GetDate(pRspUserLogin->TradingDay);
 		pField->LoginTime = GetTime(pRspUserLogin->LoginTime);
+		m_TradingDay = pField->TradingDay;
 
 		sprintf(pField->SessionID, "%d:%d", pRspUserLogin->FrontID, pRspUserLogin->SessionID);
 
 		m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Logined, 0, pField, sizeof(RspUserLoginField), nullptr, 0, nullptr, 0);
 		m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Done, 0, nullptr, 0, nullptr, 0, nullptr, 0);
 
-		//有可能断线了，本处是断线重连后重新订阅
-		set<string> mapOld = m_setInstrumentIDs;//记下上次订阅的合约
-		//Unsubscribe(mapOld);//由于已经断线了，没有必要再取消订阅
-		Subscribe(mapOld,"");//订阅
+		//有可能断线了，本处是断线重连后重新订阅
+		set<string> mapOld = m_setInstrumentIDs;//记下上次订阅的合约
+		//Unsubscribe(mapOld);//由于已经断线了，没有必要再取消订阅
+		Subscribe(mapOld,"");//订阅
 
-		//有可能断线了，本处是断线重连后重新订阅
-		mapOld = m_setQuoteInstrumentIDs;//记下上次订阅的合约
-		SubscribeQuote(mapOld, "");//订阅
+		//有可能断线了，本处是断线重连后重新订阅
+		mapOld = m_setQuoteInstrumentIDs;//记下上次订阅的合约
+		SubscribeQuote(mapOld, "");//订阅
 	}
 	else
 	{
@@ -460,7 +462,7 @@ void CMdUserApi::OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bo
 
 void CMdUserApi::OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
 {
-	//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
+	//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
 	if(!IsErrorRspInfo(pRspInfo,nRequestID,bIsLast)
 		&&pSpecificInstrument)
 	{
@@ -472,7 +474,7 @@ void CMdUserApi::OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecific
 
 void CMdUserApi::OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
 {
-	//模拟平台可能这个函数不会触发
+	//模拟平台可能这个函数不会触发
 	if(!IsErrorRspInfo(pRspInfo,nRequestID,bIsLast)
 		&&pSpecificInstrument)
 	{
@@ -482,24 +484,37 @@ void CMdUserApi::OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecif
 	}
 }
 
-//行情回调，得保证此函数尽快返回
+//行情回调，得保证此函数尽快返回
 void CMdUserApi::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData)
 {
 	//for (int i = 0; i < 50; ++i)
 	//{
-	//	// 测试平台穿越速度，用完后需要注释掉
+	//	// 测试平台穿越速度，用完后需要注释掉
 	//	WriteLog("CTP:OnRtnDepthMarketData:%s %f %s.%03d", pDepthMarketData->InstrumentID, pDepthMarketData->LastPrice, pDepthMarketData->UpdateTime, pDepthMarketData->UpdateMillisec);
 
 		DepthMarketDataField* pField = (DepthMarketDataField*)m_msgQueue->new_block(sizeof(DepthMarketDataField));
 
 		strcpy(pField->InstrumentID, pDepthMarketData->InstrumentID);
-		strcpy(pField->ExchangeID, pDepthMarketData->ExchangeID);
+		pField->Exchange = TThostFtdcExchangeIDType_2_ExchangeType(pDepthMarketData->ExchangeID);
 
-		sprintf(pField->Symbol, "%s.%s", pField->InstrumentID, pField->ExchangeID);
+		sprintf(pField->Symbol, "%s.%s", pField->InstrumentID, pDepthMarketData->ExchangeID);
 
-		//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
-		GetExchangeTime(pDepthMarketData->TradingDay, pDepthMarketData->ActionDay, pDepthMarketData->UpdateTime
-			, &pField->TradingDay, &pField->ActionDay, &pField->UpdateTime, &pField->UpdateMillisec);
+		//m_TradingDay
+		switch (pField->Exchange)
+		{
+		case ExchangeType::DCE:
+			GetExchangeTime_DCE(pDepthMarketData->TradingDay, pDepthMarketData->ActionDay, pDepthMarketData->UpdateTime
+				, &pField->TradingDay, &pField->ActionDay, &pField->UpdateTime, &pField->UpdateMillisec);
+			break;
+		case ExchangeType::CZCE:
+			GetExchangeTime_CZCE(m_TradingDay, pDepthMarketData->TradingDay, pDepthMarketData->ActionDay, pDepthMarketData->UpdateTime
+				, &pField->TradingDay, &pField->ActionDay, &pField->UpdateTime, &pField->UpdateMillisec);
+			break;
+		default:
+			GetExchangeTime(pDepthMarketData->TradingDay, pDepthMarketData->ActionDay, pDepthMarketData->UpdateTime
+				, &pField->TradingDay, &pField->ActionDay, &pField->UpdateTime, &pField->UpdateMillisec);
+			break;
+		}
 
 		pField->UpdateMillisec = pDepthMarketData->UpdateMillisec;
 
@@ -585,8 +600,8 @@ void CMdUserApi::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMark
 			pField->AskVolume5 = pDepthMarketData->AskVolume5;
 		} while (false);
 
-		// 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
-		// 如果放前面，会导致远程收到乱码
+		// 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
+		// 如果放前面，会导致远程收到乱码
 #ifdef _REMOTE
 		if (m_remoteQueue)
 		{
@@ -595,7 +610,7 @@ void CMdUserApi::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMark
 #endif
 
 		m_msgQueue->Input_NoCopy(ResponeType::OnRtnDepthMarketData, m_msgQueue, m_pClass, 0, 0, pField, sizeof(DepthMarketDataField), nullptr, 0, nullptr, 0);
-		// 要关注一下其内的
+		// 要关注一下其内的
 	//}	
 }
 
@@ -623,7 +638,7 @@ void CMdUserApi::OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpeci
 
 void CMdUserApi::OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp)
 {
-	// 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
+	// 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
 	QuoteRequestField* pField = (QuoteRequestField*)m_msgQueue->new_block(sizeof(QuoteRequestField));
 
 	pField->TradingDay = GetDate(pForQuoteRsp->TradingDay);

QuantBox_CTP_Quote/MdUserApi.h

@@ -99,5 +99,7 @@ class CMdUserApi :
 	void*						m_pClass;
 
 	CMsgQueue*					m_remoteQueue;
+
+	int							m_TradingDay;
 };
 

QuantBox_CTP_Quote/QuantBox_CTP_Quote.vcxproj

@@ -212,6 +212,7 @@
   </ItemGroup>
   <ItemGroup>
     <ClInclude Include="..\include\toolkit.h" />
+    <ClInclude Include="..\QuantBox_CTP_Trade\TypeConvert.h" />
     <ClInclude Include="MdUserApi.h" />
     <ClInclude Include="stdafx.h" />
     <ClInclude Include="targetver.h" />
@@ -223,6 +224,7 @@
       <PrecompiledHeader Condition="'$(Configuration)|$(Platform)'=='Debug64|Win32'">Use</PrecompiledHeader>
       <PrecompiledHeader Condition="'$(Configuration)|$(Platform)'=='Debug64|x64'">Use</PrecompiledHeader>
     </ClCompile>
+    <ClCompile Include="..\QuantBox_CTP_Trade\TypeConvert.cpp" />
     <ClCompile Include="dllmain.cpp">
       <CompileAsManaged Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'">false</CompileAsManaged>
       <CompileAsManaged Condition="'$(Configuration)|$(Platform)'=='Debug|x64'">false</CompileAsManaged>