update Simulator

Interface/include/cwBasicCout.h

@@ -34,12 +34,17 @@ class cwBasicCout
 	//static void AddLog(bool bNoPara, const char * pData);
 	static void AddLog(const char * lpParam, ...);
 
+	static void SetNoWorkRequired(bool NoWork = false);
+private:
 	static std::thread			m_CoutWorkingThread;
 	static volatile bool		m_bCoutWorkingThreadRun;
 	static void					CoutWorkingThread();
 
 	static int					m_iInitialCount;
 
 	static cwMUTEX				m_DequeMutex;
+
+	//²»ÐèÒª¹¤×÷
+	static volatile bool		m_bNoWorkRequired;
 };
 

Interface/include/cwBasicMdSpi.h

@@ -75,18 +75,25 @@ class cwBasicMdSpi
 	}
 
 	//User Setting Method
-	inline void RegisterTradeSPI(cwBasicTradeSpi * pTradeSpi)
+	inline void		RegisterTradeSPI(cwBasicTradeSpi * pTradeSpi)
 	{
 		m_pTradeSpi = pTradeSpi;
 	}
 
-	virtual void RegisterStrategy(cwBasicStrategy * pBasicStrategy) = 0;
+	virtual void	RegisterStrategy(cwBasicStrategy * pBasicStrategy) = 0;
+
+	void			SetMdInfo(const char * pszInfo);
+
 
 	const cwMDAPIType					m_cwMdAPIType;
+	char								m_szMdInfo[128];
 	std::deque <cwMarketDataPtr>		m_DepthMarketDataDeque;
 	size_t								m_iDequeSize;
 	volatile bool						m_MdDequeDone;
 	bool								m_bNoUseBasicMdUpdate;
+
+	cwMUTEX								m_MarketDataUpdateMutex;
+	cwBasicStrategy*					m_pBasicStrategy;
 protected:
 	PriceServerStatus	m_CurrentStatus;
 
@@ -156,15 +163,13 @@ ORIGIN->MEMBER = 0;\
 #endif //  CV_NOTIFY
 
 
-	cwMUTEX				m_MarketDataUpdateMutex;
 	std::condition_variable	m_MDUpdateMutexCv;
 
 	std::thread			m_MarketDataUpdateThread;
 	volatile bool		m_bMarketDataUpdateThreadRun;
 	void				MarketDataUpdate();
 
 	cwBasicTradeSpi*	m_pTradeSpi;
-	cwBasicStrategy*	m_pBasicStrategy;
 
 	std::map<std::string, cwMarketDataPtr>	m_LastestMarketDataMap;
 

Interface/include/cwBasicSimulator.h

@@ -23,7 +23,7 @@ class cwBasicSimulator
 	cwBasicSimulator();
 	~cwBasicSimulator();
 
-	virtual void InitialStrategy(const char * pConfigFilePath);
+	virtual void InitialSimulator(const char * pConfigFilePath);
 	std::string			m_strConfigFileFullPath;
 
 

Interface/include/cwBasicStrategy.h

@@ -14,6 +14,7 @@
 #include <vector>
 #include <set>
 #include <map>
+#include <thread>
 #include "cwProductTradeTime.h"
 #include "cwTradeCommonDefine.h"
 #include "cwStrategyLog.h"
@@ -62,6 +63,9 @@ class cwBasicStrategy
 	//报单操作请求响应
 	virtual void OnRspOrderCancel(cwOrderPtr pOrder, cwFtdcRspInfoField * pRspInfo) {};
 
+	///Strategy Timer
+	virtual void OnStrategyTimer(int iTimerId) {};
+
 	///Special For Simulation 
 	///These functions will NOT be called in normal mode
 	//回测部分结束（夜盘结束和日盘结束将被调用）
@@ -80,15 +84,15 @@ class cwBasicStrategy
 	cwMarketDataPtr	GetLastestMarketData(std::string InstrumentID);
 	//获取账户信息
 	cwAccountPtr GetAccount();
-	//获取挂单列表，传入map用于返回信息，本地报单编号为Key
+	//获取挂单列表，传入map用于返回信息，本地报单编号(OrderRef)为Key
 	bool GetActiveOrders(std::map<std::string, cwOrderPtr>& ActiveOrders);		///key OrderRef
-	//获取挂单列表，传入合约，map用于返回信息，本地报单编号为Key
+	//获取挂单列表，传入合约，map用于返回信息，本地报单编号(OrderRef)为Key
 	bool GetActiveOrders(std::string InstrumentID, std::map<std::string, cwOrderPtr>& ActiveOrders);		///key OrderRef
 	//获取多头挂单数量，传入合约
 	int GetActiveOrdersLong(std::string InstrumentID);		///key OrderRef
 	//获取空头挂单数量，传入合约
 	int GetActiveOrdersShort(std::string InstrumentID);		///key OrderRef
-	//获取所有报单列表，传入map用于返回信息，交易所报单编号为Key
+	//获取所有报单列表，传入map用于返回信息，交易所报单编号(sysOrderID)为Key
 	bool GetAllOrders(std::map<std::string, cwOrderPtr>& Orders);				///Key OrderSysID
 	//获取持仓列表，传入map用于返回信息，合约ID为Key
 	bool GetPositions(std::map<std::string, cwPositionPtr>& PositionMap);		///Key InstrumentID
@@ -136,28 +140,43 @@ class cwBasicStrategy
 
 	//获取合约当前撤单次数
 	int		  GetInstrumentCancelCount(std::string InstrumentID);
+	//获取合约是否是订阅
+	bool	  IsThisStrategySubScribed(std::string InstrumentID);
 	//获取当前状态是否为回测模拟情况
 	inline bool GetIsSimulation() { return m_bIsSimulation; }
 
+	//设置定时器 iTimerId定时器id，在OnTimer回调依据此id判定是哪个定时器触发, iElapse 触发间隔（毫秒）
+	//目前仅支持10个定时器，定时器内回调函数请勿处理复杂逻辑，所有定时器回调共用一个线程。
+	//同个id下，触发间隔将会被覆盖
+	bool	  SetTimer(int iTimerId, int iElapse);
+	void	  RemoveTimer(int iTimerId);
+
 	///如果重载该函数，请确保最后基类的函数能够被调用到！
 	virtual void	   SetStrategyReady();
 	///系统自用接口信息，勿动
-	void			   SetMdSpi(cwMDAPIType apiType, void * pSpi);
-	void			   SetTradeSpi(cwTradeAPIType apiType, void *pSpi);
-	void			   SetIsSimulation(bool IsSimulation = false) { m_bIsSimulation = IsSimulation; };
+	void					SetMdSpi(cwMDAPIType apiType, void * pSpi);
+	void					SetTradeSpi(cwTradeAPIType apiType, void *pSpi);
+	void					SetIsSimulation(bool IsSimulation = false) { m_bIsSimulation = IsSimulation; };
 private:
 	///系统自用接口信息，勿动
-	bool				m_bIsSimulation;
+	bool					m_bIsSimulation;
 
-	void *				m_pTradeSpi;
-	cwTradeAPIType		m_TradeApiType;
+	void *					m_pTradeSpi;
+	cwTradeAPIType			m_TradeApiType;
 
-	void *				m_pMdSpi;
-	cwMDAPIType			m_MdApiType;
+	void *					m_pMdSpi;
+	cwMDAPIType				m_MdApiType;
 
 
 	std::set<std::string>	m_SubscribeInstrumentSet;
 	cwProductTradeTime		m_ProductTradeTime;
 
 	cwStrategyLog			m_BasicStrategyLog;
+
+	//Timer	key:TimerID, value:Elapse in ms
+	std::map<int, int>		m_cwTimerElapseMap;
+
+	std::thread				m_StrategyTimerWorkingThread;
+	volatile bool			m_bStrategyTimerWorkingThreadRun;
+	void					StrategyTimerWorkingThread();
 };

Interface/include/cwBasicTradeSpi.h

@@ -82,6 +82,8 @@ class cwBasicTradeSpi
 
 	virtual void RegisterBasicStrategy(cwBasicStrategy * pBasicStrategy, void * pSpi = NULL) = 0;
 
+	void		SetTradeInfo(const char * pszInfo);
+
 	inline cwAccountPtr GetAccount()
 	{
 		return m_pAccount;
@@ -164,6 +166,7 @@ class cwBasicTradeSpi
 	bool	GenerateInstrumentDataToFile();
 
 	const cwTradeAPIType		m_cwTradeAPIType;
+	char						m_szTradeInfo[128];
 
 	bool						m_bHasPositionChanged;
 	bool						m_bHasOrdersChanged;

Interface/include/cwFtdTradeSpi.h

@@ -485,6 +485,7 @@ class cwFtdTradeSpi
 	cwFtdcTradeSourceType		GetCtp2CwTradeSourceType(TThostFtdcTradeSourceType tradesourcetype);
 	cwFtdcInstrumentStatusType	GetCtp2CwInstrumentStatusType(TThostFtdcInstrumentStatusType intrumentstatustype);
 
+	THOST_TE_RESUME_TYPE		Getcw2CtpResumeType(CW_TE_RESUME_TYPE type);
 	TThostFtdcDirectionType		GetCw2CtpDirectionType(cwFtdcDirectionType direction);
 
 	cwOrderPtr					GetcwOrderPtr(CThostFtdcOrderField * pOrder);
@@ -538,5 +539,7 @@ class cwFtdTradeSpi
 #ifdef CWCOUTINFO
 	cwBasicCout					m_cwShow;
 #endif
+
+	THOST_TE_RESUME_TYPE		m_iResumeType;
 };
 

Interface/include/cwPegasusSimulator.h

@@ -18,7 +18,7 @@ class cwPegasusSimulator :
 	cwPegasusSimulator();
 	~cwPegasusSimulator();
 
-	virtual void InitialStrategy(const char * pConfigFilePath);
+	virtual void InitialSimulator(const char * pConfigFilePath);
 
 	virtual int ReqUserMdLogin();
 	virtual int ReqQryInstrument();
@@ -36,22 +36,23 @@ class cwPegasusSimulator :
 	cwFtdcTimeType								m_CurrentSimulationTime;
 
 	volatile bool								m_bSimulationFinished;
-
+	cwSettlement								m_cwSettlement;
 private:
 	enum SIMTYPE:int
 	{
 		type_CSV_file = 0,
 		type_BIN_file,
 		type_CSV_List_file,
 		type_BIN_List_file,
-		type_DB
+		type_DB,
+		type_REAL_Time_Quote
 	};
 
-	SIMTYPE		m_SimType;
-	int			m_iInterval;
+	SIMTYPE				m_SimType;
+	int					m_iInterval;
 
-	std::string m_strFrontAddr;
-	std::string m_strInstrumentFile;
+	std::string			m_strFrontAddr;
+	std::string			m_strInstrumentFile;
 
 	std::thread			m_SimulatorProcessorThread;
 	volatile bool		m_bMarketDataUpdateThreadRun;
@@ -60,6 +61,7 @@ class cwPegasusSimulator :
 	std::thread			m_MarketDataUpdateThread;
 	void				CsvMarketDataUpdate();
 	void				BinMarketDataUpdate();
+	void				RealTimeMarketDataUpdate();
 
 	std::map<std::string, std::string>			m_MarketDataFileMap;
 
@@ -74,11 +76,11 @@ class cwPegasusSimulator :
 	std::map<std::string, cwMarketDataPtr>								m_LastestMarketDataMap;
 
 	std::map<std::string, cwOrderPtr>									m_TotalOrderMap;
-	std::map<std::string, std::map<uint32_t, std::deque<cwOrderPtr>>>	m_TotalLongOrderMap;
-	std::map<std::string, std::map<uint32_t, std::deque<cwOrderPtr>>>	m_TotalShortOrderMap;
+	std::map<std::string, std::map<int64_t, std::deque<cwOrderPtr>>>	m_TotalLongOrderMap;
+	std::map<std::string, std::map<int64_t, std::deque<cwOrderPtr>>>	m_TotalShortOrderMap;
 
-	std::map<std::string, std::map <uint32_t, std::deque<cwOrderPtr>>>	m_LongWaitOrderListMap;
-	std::map<std::string, std::map <uint32_t, std::deque<cwOrderPtr>>>	m_ShortWaitOrderListMap;
+	std::map<std::string, std::map<int64_t, std::deque<cwOrderPtr>>>	m_LongWaitOrderListMap;
+	std::map<std::string, std::map<int64_t, std::deque<cwOrderPtr>>>	m_ShortWaitOrderListMap;
 
 	enum UserActionType :int
 	{
@@ -106,6 +108,17 @@ class cwPegasusSimulator :
 	volatile bool								m_bMDCasheMutexReady;
 	volatile bool								m_bSimulationPartEnd;
 
-	cwSettlement								m_cwSettlement;
+	cwAccountPtr								m_pAccount;
+
+	double										m_dDeposit;
+
+	//Result 
+	bool													m_bSaveAccountResult;
+	int														m_iAccountResultInterval;
+	std::map<std::string, double>							m_dTimeBalanceMap;
+
+	std::map<std::string, bool>								m_bSaveInsResultMap;
+	std::map<std::string, int>								m_iInsResultInterval;
+	std::map<std::string, std::map<std::string, double>>	m_dInsTimeBalanceMap;
 };
 

Interface/include/cwProductTradeTime.h

@@ -17,10 +17,10 @@ class cwProductTradeTime
 	enum cwTradeTimeSpace
 	{
 		NoTrading = 0
+		, NightPartOne
 		, AMPartOne
 		, AMPartTwo
 		, PMPartOne
-		, NightPartOne
 		, TradeTimeSpaceCnt
 	};
 

Interface/include/cwSettlement.h

@@ -1,10 +1,11 @@
 #pragma once
 
 #include "cwTradeCommonDefine.h"
+#include "cwMutex.h"
 
 #include <map>
 #include <string>
-
+#include <deque>
 
 class cwSettlement
 {
@@ -24,25 +25,53 @@ class cwSettlement
 
 	void UpdatePrice(cwMarketDataPtr pMdData);
 
+	void SettlementPrice(std::string instrumentid, double price);
+
 	void UpdateOrder(cwOrderPtr pOrder);
 	void UpdateTrade(cwTradePtr pTrade);
 
+	//入金
+	void Deposit(double ddeposit)
+	{
+		m_dPreBalance += ddeposit;
+		m_dBalance += ddeposit;
+	}
+
 	//update Instrument Data
 	void SetInstrumentData(std::map<std::string, cwInstrumentDataPtr>& InstrumentMap);
 
-	std::map<std::string, cwInstrumentDataPtr>	m_InstrumentMap;
+	cwMUTEX										m_ProcessMutex;
+
+	std::map<std::string, cwInstrumentDataPtr>	m_InstrumentMap;				//kye Isntrumentid, value: InstrumentData
 
+	std::map<std::string, cwMarketDataPtr>		m_LastPriceMap;					//Key Insrumentid,	value: MarketData
 
-	std::map<std::string, int>					m_Position;		//key Instrumentid
+	std::map<std::string, int>					m_Position;						//key Instrumentid	value: NetPosition
 
-	std::map<std::string, cwOrderPtr>			m_OrderList;	//key OrderRef
-	std::map<std::string, cwTradePtr>			m_TradeList;	//key TradeId
+	std::map<std::string, cwOrderPtr>			m_OrderList;					//key OrderRef		value: orders
+	std::map<std::string, cwTradePtr>			m_TradeList;					//key TradeId		value: trades
 
+	std::map<std::string, int>					m_CancelCount;					//key Instrumentid	value: Cancel Count
 
 	//Profit and loss Statistics
-	std::map<std::string, double>				m_ProfitAndLossMap;
-	std::map<std::string, std::deque<double>>	m_UnClosePositionCost;
-	std::map<std::string, int>					m_TradeCountMap;
+	std::map<std::string, double>				m_CloseProfitMap;				//key:InstrumentID, value: This Instrument ClosePrifit
+	std::map<std::string, double>				m_PositionProfitMap;			//key:InstrumentID, value: This Instrument PositionProfit
+	std::map<std::string, double>				m_FeeMap;						//key:InstrumentID, value: This Instrument Fee
+
+	std::map<std::string, std::deque<double>>	m_UnClosePositionCost;			//key:InstrumentID, value: Position Cost deque
+	std::map<std::string, int>					m_TradeCountMap;				//key:InstrumentID, value: TradeCount
+
+	std::map<std::string, double>				m_dInsMaxBalanceMap;			//key:InstrumentID, value: Instrument Max Balance For Max Drop Down
+	std::map<std::string, double>				m_dInsMaxDropDownMap;			//Key:InstrumentID, value: Max Drop Down
+
+	double										m_dPreBalance;					//初始权益
+	double										m_dBalance;						//当前权益
+
+	double										m_dPositionProfit;				//持仓盈亏
+	double										m_dCloseProfit;					//平仓盈亏
+	double										m_dFee;							//手续费
 
+	double										m_dCurMaxBalance;				//截止目前最高权益，计算最大回撤用
+	double										m_dMaxDropDown;					//最大回撤
 };
 

Interface/include/cwSimTradeSpi.h

@@ -25,6 +25,9 @@ class cwSimTradeSpi
 	///成交通知
 	virtual void OnRtnTrade(cwTradePtr pTrade);
 
+	///账户通知
+	virtual void OnRtnAccount(cwAccountPtr pAccount);
+
 	///报单录入错误回报
 	virtual void OnErrRtnOrderInsert(cwOrderPtr pInputOrder, cwRspInfoPtr pRspInfo);