├── .gitignore ├── Data ├── Log │ ├── error_2017-08-16 │ └── output_2017-08-16 └── MarketData │ └── data2csv.py ├── Instruments ├── sh.instruments └── sz.instruments ├── LTS_API ├── LTS_ns.h ├── SecurityFtdcL2MDUserApi.h ├── SecurityFtdcL2MDUserApiDataType.h └── SecurityFtdcL2MDUserApiStruct.h ├── Makefile ├── README.md ├── ThirdParty └── inih │ ├── INIReader.cpp │ ├── INIReader.h │ ├── ini.c │ └── ini.h ├── config.ini ├── logger.hpp ├── ltsmdspi.cpp ├── ltsmdspi.h ├── main.cpp ├── mmap_buffer ├── mmapper.cpp └── mmapper.h └── timing.hpp /.gitignore: -------------------------------------------------------------------------------- 1 | 2 | # Prerequisites 3 | *.d 4 | 5 | # Compiled Object files 6 | *.slo 7 | *.lo 8 | *.o 9 | *.obj 10 | 11 | # Precompiled Headers 12 | *.gch 13 | *.pch 14 | 15 | # Compiled Dynamic libraries 16 | *.so 17 | *.dylib 18 | *.dll 19 | 20 | # Fortran module files 21 | *.mod 22 | *.smod 23 | 24 | # Compiled Static libraries 25 | *.lai 26 | *.la 27 | *.a 28 | *.lib 29 | 30 | # Executables 31 | *.exe 32 | *.out 33 | *.app 34 | 35 | # ignore log 36 | Data/log/ 37 | Data/MarketData/* 38 | !Data/MarketData/data2csv.py 39 | *.log 40 | -------------------------------------------------------------------------------- /Data/Log/error_2017-08-16: -------------------------------------------------------------------------------- 1 | Terminated by signal: 2 2 | -------------------------------------------------------------------------------- /Data/Log/output_2017-08-16: -------------------------------------------------------------------------------- 1 | [10:21:57.037] Market data spi created..., hah 2 | Safely quit mmap 3 | Market data spi deleted... 4 | -------------------------------------------------------------------------------- /Data/MarketData/data2csv.py: -------------------------------------------------------------------------------- 1 | import sys 2 | import struct 3 | 4 | # https://docs.python.org/3/library/struct.html 5 | 6 | 7 | header_fmt = 'QQII' 8 | 9 | # XTP 10 | xtp_body_formats = ( 11 | 'i16sddddddddddddddqqdd10d10d10q10q\ 12 | q8sqqddddddiidddddddiiddddqqiiiii4sddd', # market data 13 | 14 | '', # market index 15 | 16 | '', # market order 17 | 18 | '' # market trade 19 | ) 20 | 21 | # LTS, no padding 22 | # DO NOT CHANGE THE ORDER 23 | lts_body_formats = ( 24 | '', # Unknown 25 | 26 | '9s9s9s31sddddddccdddddddddddddii\ 27 | ddiddiddiddiddiddiddiddiddiddi\ 28 | ddiddiddiddiddiddiddiddiddiddi\ 29 | i4s7sddddddddddddddddddddddddddd', # market data 30 | 31 | '9s9s9s31sdddddddd4s', # market index 32 | 33 | 'ii9s9s31sdd2s2s4s', # market order 34 | 35 | 'iiii9s9s31sdd2s2s2s4s' # market trade 36 | ) 37 | 38 | # parse bytes to tupple 39 | def parseMsg(buf, msg_id): 40 | return struct.unpack(xtp_body_formats[msg_id], buf) 41 | 42 | def generate_csv_from_data(dataFilePath): 43 | filePath = sys.argv[1] 44 | fileName = filePath.split('/')[-1] 45 | with open(filePath, 'rb') as dataf: 46 | # 如果已经存在 csv 则删除 47 | csvPath = filePath + '.csv' 48 | # if os.access(csvPath, os.R_OK): 49 | # os.remove(csvPath) 50 | with open(csvPath, 'w') as csvf: 51 | readIdx = 0 52 | HEADER_SIZE = 24 53 | while True: 54 | # 读取 header 55 | dataf.seek(readIdx) 56 | buf = dataf.read(HEADER_SIZE) 57 | if len(buf) == 0: 58 | return 59 | header = struct.unpack(header_fmt, buf) 60 | csvf.write(','.join('{0}'.format(x) for x in header) + '\n') 61 | readIdx += HEADER_SIZE 62 | # 读取 body 63 | msg_id = header[2] 64 | body_size = header[3] 65 | dataf.seek(readIdx) 66 | msg = parseMsg(dataf.read(body_size), msg_id) 67 | csvf.write(', '.join('{0}'.format(x) for x in msg) + '\n') 68 | readIdx += body_size 69 | 70 | 71 | if __name__ == '__main__': 72 | if len(sys.argv) != 2: 73 | print("usage: python3 " + sys.argv[0] + " ") 74 | exit(0) 75 | 76 | generate_csv_from_data(sys.argv[1]) 77 | -------------------------------------------------------------------------------- /Instruments/sh.instruments: 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3363 | 136053 3364 | 136055 3365 | 136056 3366 | 136057 3367 | 136058 3368 | 136059 3369 | 136060 3370 | 136061 3371 | 136062 3372 | 136063 3373 | 136064 3374 | 136065 3375 | 136066 3376 | 136067 3377 | 136068 3378 | 136069 3379 | 136070 3380 | 136071 3381 | 136072 3382 | 136073 3383 | 136074 3384 | 136075 3385 | 136076 3386 | 136077 3387 | 136078 3388 | 136079 3389 | 136080 3390 | 136081 3391 | 136082 3392 | 136083 3393 | 136084 3394 | 136085 3395 | 136086 3396 | 136087 3397 | 136088 3398 | 136089 3399 | 136090 3400 | 136091 3401 | 136092 3402 | 136093 3403 | 136094 3404 | 136095 3405 | 136096 3406 | 136097 3407 | 136098 3408 | 136099 3409 | 136100 3410 | 136101 3411 | 136102 3412 | 136103 3413 | 136104 3414 | 136105 3415 | 136106 3416 | 136107 3417 | 136108 3418 | 136109 3419 | 136110 3420 | 136111 3421 | 136112 3422 | 136113 3423 | 136114 3424 | 136115 3425 | 136116 3426 | 136117 3427 | 136118 3428 | 136119 3429 | 136120 3430 | 136121 3431 | 136122 3432 | 136123 3433 | 136124 3434 | 136125 3435 | 136126 3436 | 136127 3437 | 136128 3438 | 136129 3439 | 136130 3440 | 136131 3441 | 136132 3442 | 136133 3443 | 136134 3444 | 136135 3445 | 136136 3446 | 136137 3447 | 136138 3448 | 136139 3449 | 136140 3450 | 136141 3451 | 136142 3452 | 136143 3453 | 136144 3454 | 136145 3455 | 136146 3456 | 136147 3457 | 136148 3458 | 136149 3459 | 136150 3460 | 136151 3461 | 136152 3462 | 136153 3463 | 136154 3464 | 136155 3465 | 136156 3466 | 136157 3467 | 136158 3468 | 136159 3469 | 136160 3470 | 136161 3471 | 136162 3472 | 136163 3473 | 136164 3474 | 136165 3475 | 136166 3476 | 136167 3477 | 136168 3478 | 136169 3479 | 136170 3480 | 136171 3481 | 136172 3482 | 136173 3483 | 136174 3484 | 136175 3485 | 136176 3486 | 136177 3487 | 136178 3488 | 136179 3489 | 136180 3490 | 136181 3491 | 136182 3492 | 136183 3493 | 136184 3494 | 136185 3495 | 136186 3496 | 136187 3497 | 136188 3498 | 136189 3499 | 136190 3500 | 136191 3501 | 136192 3502 | 136193 3503 | 136194 3504 | 136195 3505 | 136196 3506 | 136197 3507 | 136198 3508 | 136199 3509 | 136200 3510 | 136201 3511 | 136202 3512 | 136203 3513 | 136204 3514 | 136205 3515 | 136206 3516 | 136207 3517 | 136208 3518 | 136209 3519 | 136210 3520 | 136211 3521 | 136212 3522 | 136213 3523 | 136214 3524 | 136215 3525 | 136217 3526 | 136218 3527 | 136219 3528 | 136220 3529 | 136221 3530 | 136222 3531 | 136223 3532 | 136224 3533 | 136225 3534 | 136226 3535 | 136227 3536 | 136228 3537 | 136229 3538 | 136230 3539 | 136231 3540 | 136232 3541 | 136233 3542 | 136234 3543 | 136235 3544 | 136236 3545 | 136237 3546 | 136238 3547 | 136239 3548 | 136240 3549 | 136241 3550 | 136242 3551 | 136243 3552 | 136244 3553 | 136245 3554 | 136246 3555 | 136247 3556 | 136248 3557 | 136249 3558 | 136250 3559 | 136251 3560 | 136252 3561 | 136253 3562 | 136254 3563 | 136255 3564 | 136256 3565 | 136257 3566 | 136258 3567 | 136259 3568 | 136260 3569 | 136261 3570 | 136262 3571 | 136263 3572 | 136264 3573 | 136265 3574 | 136266 3575 | 136267 3576 | 136268 3577 | 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6795 | 751485 6796 | 751486 6797 | 751488 6798 | 751490 6799 | 751495 6800 | 751499 6801 | 751501 6802 | 751514 6803 | 751515 6804 | 751516 6805 | 751518 6806 | 751850 6807 | 751851 6808 | 751900 6809 | 751901 6810 | 751902 6811 | 751903 6812 | 751904 6813 | 751905 6814 | 751906 6815 | 751907 6816 | 751908 6817 | 751909 6818 | 751910 6819 | 751911 6820 | 751917 6821 | 751918 6822 | 751920 6823 | 751924 6824 | 751925 6825 | 751926 6826 | 751927 6827 | 751930 6828 | 751933 6829 | 751935 6830 | 751936 6831 | 751940 6832 | 751941 6833 | 751948 6834 | 751949 6835 | 751956 6836 | 751968 6837 | 751970 6838 | 751971 6839 | 751972 6840 | 751973 6841 | 751974 6842 | 751975 6843 | 751976 6844 | 751977 6845 | 751978 6846 | 751979 6847 | 751980 6848 | 751981 6849 | 751982 6850 | 751983 6851 | 751984 6852 | 751985 6853 | 751986 6854 | 751987 6855 | 751988 6856 | 751989 6857 | 751990 6858 | 751991 6859 | 751992 6860 | 751993 6861 | 751994 6862 | 751995 6863 | 751996 6864 | 751997 6865 | 751998 6866 | 751999 6867 | 888880 6868 | 900901 6869 | 900902 6870 | 900903 6871 | 900904 6872 | 900905 6873 | 900906 6874 | 900907 6875 | 900908 6876 | 900909 6877 | 900910 6878 | 900911 6879 | 900912 6880 | 900913 6881 | 900914 6882 | 900915 6883 | 900916 6884 | 900917 6885 | 900918 6886 | 900919 6887 | 900920 6888 | 900921 6889 | 900922 6890 | 900923 6891 | 900924 6892 | 900925 6893 | 900926 6894 | 900927 6895 | 900928 6896 | 900929 6897 | 900930 6898 | 900932 6899 | 900933 6900 | 900934 6901 | 900936 6902 | 900937 6903 | 900938 6904 | 900939 6905 | 900940 6906 | 900941 6907 | 900942 6908 | 900943 6909 | 900945 6910 | 900946 6911 | 900947 6912 | 900948 6913 | 900951 6914 | 900952 6915 | 900953 6916 | 900955 6917 | 900956 6918 | 900957 6919 | 205001 6920 | 205003 6921 | 205007 6922 | 205008 6923 | 205010 6924 | 205021 6925 | 205030 6926 | 205035 6927 | 205042 6928 | 205063 6929 | 205119 6930 | 205154 6931 | 205182 6932 | 205210 6933 | 205245 6934 | 205273 6935 | 205301 6936 | 205357 6937 | 360001 6938 | 360002 6939 | 360003 6940 | 360005 6941 | 360006 6942 | 360007 6943 | 360008 6944 | 360009 6945 | 360010 6946 | 360011 6947 | 360012 6948 | 360013 6949 | 360014 6950 | 360015 6951 | 360016 6952 | 360017 6953 | 360018 6954 | 360019 6955 | 360020 6956 | 360021 6957 | 360022 6958 | 360023 6959 | 360024 6960 | 360025 6961 | 751800 6962 | 751801 6963 | 751803 6964 | 751805 6965 | 751807 6966 | 751810 6967 | 751811 6968 | 751812 6969 | 751813 6970 | 751815 6971 | 751817 6972 | -------------------------------------------------------------------------------- /LTS_API/LTS_ns.h: -------------------------------------------------------------------------------- 1 | #ifndef _LTS_NAMESPACE_H 2 | #define _LTS_NAMESPACE_H 3 | 4 | #define _LTS_NS_ _LTS_ 5 | #define _LTS_NS_BEGIN_ namespace _LTS_{ 6 | #define _LTS_NS_END_ } 7 | #define _USING_LTS_NS_ using namespace _LTS_; 8 | 9 | #endif 10 | -------------------------------------------------------------------------------- /LTS_API/SecurityFtdcL2MDUserApi.h: -------------------------------------------------------------------------------- 1 | ///////////////////////////////////////////////////////////////////////// 2 | ///@company shanghai liber information Technology Co.,Ltd 3 | ///@file SecurityFtdcL2MDUserApi.h 4 | ///@brief 定义客户端接口 5 | ///////////////////////////////////////////////////////////////////////// 6 | 7 | #if !defined(SECURITY_L2MD_FTDCUSERAPI_H) 8 | #define SECURITY_L2MD_FTDCUSERAPI_H 9 | 10 | #if _MSC_VER > 1000 11 | #pragma once 12 | #endif // _MSC_VER > 1000 13 | 14 | #include "SecurityFtdcL2MDUserApiStruct.h" 15 | 16 | _LTS_NS_BEGIN_ 17 | #if defined(L2MD_USERAPI_IS_LIB) && defined(WINDOWS) 18 | #ifdef LIB_L2MD_USER_API_EXPORT 19 | #define L2MD_USER_API_EXPORT __declspec(dllexport) 20 | #else 21 | #define L2MD_USER_API_EXPORT __declspec(dllimport) 22 | #endif 23 | #else 24 | #define L2MD_USER_API_EXPORT 25 | #endif 26 | 27 | class CSecurityFtdcL2MDUserSpi 28 | { 29 | public: 30 | ///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。 31 | virtual void OnFrontConnected(){}; 32 | 33 | ///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。 34 | ///@param nReason 错误原因 35 | /// 0x1001 网络读失败 36 | /// 0x1002 网络写失败 37 | /// 0x2001 接收心跳超时 38 | /// 0x2002 发送心跳失败 39 | /// 0x2003 收到错误报文 40 | virtual void OnFrontDisconnected(int nReason){}; 41 | 42 | ///心跳超时警告 43 | virtual void OnHeartBeatWarning(int nTimeLapse){}; 44 | 45 | ///错误应答 46 | virtual void OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {}; 47 | 48 | ///登录请求响应 49 | virtual void OnRspUserLogin(CSecurityFtdcUserLoginField *pUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {}; 50 | 51 | ///登出请求响应 52 | virtual void OnRspUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {}; 53 | 54 | ///订阅Level2行情应答 55 | virtual void OnRspSubL2MarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {}; 56 | 57 | ///取消订阅Level2行情应答 58 | virtual void OnRspUnSubL2MarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {}; 59 | 60 | ///订阅Level2指数行情应答 61 | virtual void OnRspSubL2Index(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {}; 62 | 63 | ///取消订阅Level2指数行情应答 64 | virtual void OnRspUnSubL2Index(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {}; 65 | 66 | ///Level2行情通知 67 | virtual void OnRtnL2MarketData(CSecurityFtdcL2MarketDataField *pL2MarketData) {}; 68 | 69 | ///Level2指数行情通知 70 | virtual void OnRtnL2Index(CSecurityFtdcL2IndexField *pL2Index) {}; 71 | 72 | ///订阅逐笔委托及成交应答 73 | virtual void OnRspSubL2OrderAndTrade(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {}; 74 | 75 | ///取消订阅逐笔委托及成交应答 76 | virtual void OnRspUnSubL2OrderAndTrade(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {}; 77 | 78 | ///Level2委托通知 79 | virtual void OnRtnL2Order(CSecurityFtdcL2OrderField *pL2Order) {}; 80 | 81 | ///Level2成交通知 82 | virtual void OnRtnL2Trade(CSecurityFtdcL2TradeField *pL2Trade) {}; 83 | 84 | ///通知清理SSE买卖一队列中数量为0的报单 85 | virtual void OnNtfCheckOrderList(TSecurityFtdcInstrumentIDType InstrumentID, TSecurityFtdcFunctionCodeType FunctionCode) {}; 86 | }; 87 | 88 | #ifndef WINDOWS 89 | #if __GNUC__ >= 4 90 | #pragma GCC visibility push(default) 91 | #endif 92 | #endif 93 | class L2MD_USER_API_EXPORT CSecurityFtdcL2MDUserApi 94 | { 95 | public: 96 | ///创建UserApi 97 | static CSecurityFtdcL2MDUserApi *CreateFtdcL2MDUserApi(const bool bIsMulticast=false); 98 | 99 | ///删除接口对象本身 100 | ///@remark 不再使用本接口对象时,调用该函数删除接口对象 101 | virtual void Release() = 0; 102 | 103 | ///初始化 104 | ///@remark 初始化运行环境,只有调用后,接口才开始工作 105 | virtual void Init() = 0; 106 | 107 | ///等待接口线程结束运行 108 | virtual int Join() = 0; 109 | 110 | ///获取当前交易日 111 | ///@remark 只有登录成功后,才能得到正确的交易日 112 | virtual const char *GetTradingDay() = 0; 113 | 114 | ///注册前置机网络地址 115 | ///@param pszFrontAddress：前置机网络地址。 116 | ///@remark 网络地址的格式为：“protocol://ipaddress:port”，如：”tcp://127.0.0.1:17001”。 117 | ///@remark “tcp”代表传输协议，“127.0.0.1”代表服务器地址。”17001”代表服务器端口号。 118 | virtual void RegisterFront(char *pszFrontAddress) = 0; 119 | 120 | ///注册回调接口 121 | ///@param pSpi 派生自回调接口类的实例 122 | virtual void RegisterSpi(CSecurityFtdcL2MDUserSpi *pSpi) = 0; 123 | 124 | virtual int SubscribeL2MarketData(char *ppInstrumentID[], int nCount, char* pExchageID) = 0; 125 | 126 | virtual int UnSubscribeL2MarketData(char *ppInstrumentID[], int nCount, char* pExchageID) = 0; 127 | 128 | virtual int SubscribeL2Index(char *ppInstrumentID[], int nCount, char* pExchageID) = 0; 129 | 130 | virtual int UnSubscribeL2Index(char *ppInstrumentID[], int nCount, char* pExchageID) = 0; 131 | 132 | virtual int SubscribeL2OrderAndTrade() = 0; 133 | 134 | virtual int UnSubscribeL2OrderAndTrade() = 0; 135 | 136 | ///登录请求 137 | virtual int ReqUserLogin(CSecurityFtdcUserLoginField *pUserLogin, int nRequestID) = 0; 138 | 139 | ///登出请求 140 | virtual int ReqUserLogout(CSecurityFtdcUserLogoutField *pUserLogout, int nRequestID) = 0; 141 | protected: 142 | ~CSecurityFtdcL2MDUserApi(){}; 143 | }; 144 | #ifndef WINDOWS 145 | #if __GNUC__ >= 4 146 | #pragma GCC visibility pop 147 | #endif 148 | #endif 149 | _LTS_NS_END_ 150 | #endif 151 | -------------------------------------------------------------------------------- /LTS_API/SecurityFtdcL2MDUserApiDataType.h: -------------------------------------------------------------------------------- 1 | ///////////////////////////////////////////////////////////////////////// 2 | ///@company shanghai liber information Technology Co.,Ltd 3 | ///@file SecurityFtdcL2MDUserApiDataType.h 4 | ///@brief 定义业务数据类型 5 | ///////////////////////////////////////////////////////////////////////// 6 | 7 | #ifndef SECURITY_L2MD_FTDCDATATYPE_H 8 | #define SECURITY_L2MD_FTDCDATATYPE_H 9 | 10 | #include "LTS_ns.h" 11 | 12 | _LTS_NS_BEGIN_ 13 | 14 | ///////////////////////////////////////////////////////////////////////// 15 | ///TFtdcErrorIDType是一个错误代码类型 16 | ///////////////////////////////////////////////////////////////////////// 17 | typedef int TSecurityFtdcErrorIDType; 18 | 19 | ///////////////////////////////////////////////////////////////////////// 20 | ///TFtdcErrorMsgType是一个错误信息类型 21 | ///////////////////////////////////////////////////////////////////////// 22 | typedef char TSecurityFtdcErrorMsgType[81]; 23 | 24 | ///////////////////////////////////////////////////////////////////////// 25 | ///TFtdcBrokerIDType是一个经纪公司代码类型 26 | ///////////////////////////////////////////////////////////////////////// 27 | typedef char TSecurityFtdcBrokerIDType[11]; 28 | 29 | ///////////////////////////////////////////////////////////////////////// 30 | ///TFtdcUserIDType是一个用户代码类型 31 | ///////////////////////////////////////////////////////////////////////// 32 | typedef char TSecurityFtdcUserIDType[16]; 33 | 34 | ///////////////////////////////////////////////////////////////////////// 35 | ///TFtdcUserNameType是一个用户名称类型 36 | ///////////////////////////////////////////////////////////////////////// 37 | typedef char TSecurityFtdcUserNameType[81]; 38 | 39 | ///////////////////////////////////////////////////////////////////////// 40 | ///TFtdcPasswordType是一个密码类型 41 | ///////////////////////////////////////////////////////////////////////// 42 | typedef char TSecurityFtdcPasswordType[41]; 43 | 44 | ///////////////////////////////////////////////////////////////////////// 45 | ///TFtdcExchangeIDType是一个交易所代码类型 46 | ///////////////////////////////////////////////////////////////////////// 47 | typedef char TSecurityFtdcExchangeIDType[9]; 48 | 49 | ///////////////////////////////////////////////////////////////////////// 50 | ///TFtdcInstrumentIDType是一个合约代码类型 51 | ///////////////////////////////////////////////////////////////////////// 52 | typedef char TSecurityFtdcInstrumentIDType[31]; 53 | 54 | ///////////////////////////////////////////////////////////////////////// 55 | ///TFtdcDateType是一个日期类型 56 | ///////////////////////////////////////////////////////////////////////// 57 | typedef char TSecurityFtdcDateType[9]; 58 | 59 | ///////////////////////////////////////////////////////////////////////// 60 | ///TFtdcTimeType是一个时间类型 61 | ///////////////////////////////////////////////////////////////////////// 62 | typedef char TSecurityFtdcTimeType[9]; 63 | 64 | ///////////////////////////////////////////////////////////////////////// 65 | ///TFtdcPriceType是一个价格类型 66 | ///////////////////////////////////////////////////////////////////////// 67 | typedef double TSecurityFtdcPriceType; 68 | 69 | ///////////////////////////////////////////////////////////////////////// 70 | ///TFtdcVolumeType是一个数量类型 71 | ///////////////////////////////////////////////////////////////////////// 72 | typedef int TSecurityFtdcVolumeType; 73 | 74 | ///////////////////////////////////////////////////////////////////////// 75 | ///TFtdcLargeVolumeType是一个大额数量类型 76 | ///////////////////////////////////////////////////////////////////////// 77 | typedef double TSecurityFtdcLargeVolumeType; 78 | 79 | ///////////////////////////////////////////////////////////////////////// 80 | ///TFtdcRatioType是一个比率类型 81 | ///////////////////////////////////////////////////////////////////////// 82 | typedef double TSecurityFtdcRatioType; 83 | 84 | ///////////////////////////////////////////////////////////////////////// 85 | ///TFtdcMoneyType是一个资金类型 86 | ///////////////////////////////////////////////////////////////////////// 87 | typedef double TSecurityFtdcMoneyType; 88 | 89 | ///////////////////////////////////////////////////////////////////////// 90 | ///TFtdcPriceLevelType是一个价格深度类型 91 | ///////////////////////////////////////////////////////////////////////// 92 | typedef int TSecurityFtdcPriceLevelType; 93 | 94 | ///////////////////////////////////////////////////////////////////////// 95 | ///TFtdcBoolType是一个布尔型类型 96 | ///////////////////////////////////////////////////////////////////////// 97 | typedef int TSecurityFtdcBoolType; 98 | 99 | ///////////////////////////////////////////////////////////////////////// 100 | ///TFtdcIndexType是一个指数类型 101 | ///////////////////////////////////////////////////////////////////////// 102 | typedef double TSecurityFtdcIndexType; 103 | 104 | ///////////////////////////////////////////////////////////////////////// 105 | ///TFtdcDataLevelType是一个行情数据等级类型 106 | ///////////////////////////////////////////////////////////////////////// 107 | ///全量行情 108 | #define SECURITY_FTDC_DL_FULL '0' 109 | ///L10行情 110 | #define SECURITY_FTDC_DL_L10 '1' 111 | ///L5行情 112 | #define SECURITY_FTDC_DL_L5 '2' 113 | ///广播代理 114 | #define SECURITY_FTDC_DL_Broadcast '3' 115 | 116 | typedef char TSecurityFtdcDataLevelType; 117 | 118 | ///////////////////////////////////////////////////////////////////////// 119 | ///TFtdcIPAddressType是一个IP地址类型 120 | ///////////////////////////////////////////////////////////////////////// 121 | typedef char TSecurityFtdcIPAddressType[16]; 122 | 123 | ///////////////////////////////////////////////////////////////////////// 124 | ///TFtdcIPPortType是一个IP端口类型 125 | ///////////////////////////////////////////////////////////////////////// 126 | typedef int TSecurityFtdcIPPortType; 127 | 128 | ///////////////////////////////////////////////////////////////////////// 129 | ///TFtdcBeginStringType是一个step起始串类型 130 | ///////////////////////////////////////////////////////////////////////// 131 | typedef char TSecurityFtdcBeginStringType[17]; 132 | 133 | ///////////////////////////////////////////////////////////////////////// 134 | ///TFtdcBodyLengthType是一个消息体长度类型 135 | ///////////////////////////////////////////////////////////////////////// 136 | typedef int TSecurityFtdcBodyLengthType; 137 | 138 | ///////////////////////////////////////////////////////////////////////// 139 | ///TFtdcMsgTypeType是一个消息类型类型 140 | ///////////////////////////////////////////////////////////////////////// 141 | typedef char TSecurityFtdcMsgTypeType[9]; 142 | 143 | ///////////////////////////////////////////////////////////////////////// 144 | ///TFtdcSenderCompIDType是一个发送方代码类型 145 | ///////////////////////////////////////////////////////////////////////// 146 | typedef char TSecurityFtdcSenderCompIDType[33]; 147 | 148 | ///////////////////////////////////////////////////////////////////////// 149 | ///TFtdcTargetCompIDType是一个接收方代码类型 150 | ///////////////////////////////////////////////////////////////////////// 151 | typedef char TSecurityFtdcTargetCompIDType[33]; 152 | 153 | ///////////////////////////////////////////////////////////////////////// 154 | ///TFtdcMsgSeqNumType是一个头消息序号标签34类型 155 | ///////////////////////////////////////////////////////////////////////// 156 | typedef int TSecurityFtdcMsgSeqNumType; 157 | 158 | ///////////////////////////////////////////////////////////////////////// 159 | ///TFtdcSendingTimeType是一个发送时间类型 160 | ///////////////////////////////////////////////////////////////////////// 161 | typedef char TSecurityFtdcSendingTimeType[21]; 162 | 163 | ///////////////////////////////////////////////////////////////////////// 164 | ///TFtdcMessageEncodingType是一个消息中Encoded域的字符编码类型类型 165 | ///////////////////////////////////////////////////////////////////////// 166 | typedef char TSecurityFtdcMessageEncodingType[21]; 167 | 168 | ///////////////////////////////////////////////////////////////////////// 169 | ///TFtdcCheckSumType是一个校验和类型 170 | ///////////////////////////////////////////////////////////////////////// 171 | typedef int TSecurityFtdcCheckSumType; 172 | 173 | ///////////////////////////////////////////////////////////////////////// 174 | ///TFtdcEncryptMethodType是一个加密方法类型 175 | ///////////////////////////////////////////////////////////////////////// 176 | typedef char TSecurityFtdcEncryptMethodType[9]; 177 | 178 | ///////////////////////////////////////////////////////////////////////// 179 | ///TFtdcHeartBtIntType是一个心跳间隔类型 180 | ///////////////////////////////////////////////////////////////////////// 181 | typedef int TSecurityFtdcHeartBtIntType; 182 | 183 | ///////////////////////////////////////////////////////////////////////// 184 | ///TFtdcInterfaceVersionType是一个行情数据接口版本号类型 185 | ///////////////////////////////////////////////////////////////////////// 186 | typedef char TSecurityFtdcInterfaceVersionType[9]; 187 | 188 | ///////////////////////////////////////////////////////////////////////// 189 | ///TFtdcMsgSeqIDType是一个消息序号标签10072类型 190 | ///////////////////////////////////////////////////////////////////////// 191 | typedef int TSecurityFtdcMsgSeqIDType; 192 | 193 | ///////////////////////////////////////////////////////////////////////// 194 | ///TFtdcGroupIDType是一个组号类型 195 | ///////////////////////////////////////////////////////////////////////// 196 | typedef int TSecurityFtdcGroupIDType; 197 | 198 | ///////////////////////////////////////////////////////////////////////// 199 | ///TFtdcGroupNoType是一个组序类型 200 | ///////////////////////////////////////////////////////////////////////// 201 | typedef int TSecurityFtdcGroupNoType; 202 | 203 | ///////////////////////////////////////////////////////////////////////// 204 | ///TFtdcOrderKindType是一个报单类型类型 205 | ///////////////////////////////////////////////////////////////////////// 206 | typedef char TSecurityFtdcOrderKindType[2]; 207 | 208 | ///////////////////////////////////////////////////////////////////////// 209 | ///TFtdcFunctionCodeType是一个功能码类型 210 | ///////////////////////////////////////////////////////////////////////// 211 | typedef char TSecurityFtdcFunctionCodeType[2]; 212 | 213 | ///////////////////////////////////////////////////////////////////////// 214 | ///TFtdcTradingPhaseType是一个交易阶段类型 215 | ///////////////////////////////////////////////////////////////////////// 216 | ///非交易时段 217 | #define SECURITY_FTDC_TP_NonTrade '0' 218 | ///集合竞价时段 219 | #define SECURITY_FTDC_TP_Bidding '1' 220 | ///连续交易时段 221 | #define SECURITY_FTDC_TP_Continuous '2' 222 | ///停牌时段 223 | #define SECURITY_FTDC_TP_Suspension '3' 224 | ///波动性熔断时段 225 | #define SECURITY_FTDC_TP_Fuse '4' 226 | ///可恢复熔断时段 227 | #define SECURITY_FTDC_TP_RecovFuse '5' 228 | ///不可恢复熔断时段 229 | #define SECURITY_FTDC_TP_UnrecovFuse '6' 230 | ///集合竞价结束时段 231 | #define SECURITY_FTDC_TP_BiddingOver '7' 232 | ///临时停牌时段 233 | #define SECURITY_FTDC_TP_TempSuspension '8' 234 | 235 | typedef char TSecurityFtdcTradingPhaseType; 236 | 237 | ///////////////////////////////////////////////////////////////////////// 238 | ///TFtdcOpenRestrictionType是一个开仓限制类型 239 | ///////////////////////////////////////////////////////////////////////// 240 | ///无开仓限制 241 | #define SECURITY_FTDC_OR_None '0' 242 | ///限制备兑开仓 243 | #define SECURITY_FTDC_OR_NoCoverOpen '1' 244 | ///限制卖出开仓 245 | #define SECURITY_FTDC_OR_NoSellOpen '2' 246 | ///限制卖出开仓、备兑开仓 247 | #define SECURITY_FTDC_OR_NoSellAndCoverOpen '3' 248 | ///限制买入开仓 249 | #define SECURITY_FTDC_OR_NoBuyOpen '4' 250 | ///限制买入开仓、备兑开仓 251 | #define SECURITY_FTDC_OR_NoBuyAndCoverOpen '5' 252 | ///限制买入开仓、卖出开仓 253 | #define SECURITY_FTDC_OR_NoBuyAndSellOpen '6' 254 | ///限制买入开仓、卖出开仓、备兑开仓 255 | #define SECURITY_FTDC_OR_NoBuySellAndCoverOpen '7' 256 | 257 | typedef char TSecurityFtdcOpenRestrictionType; 258 | 259 | ///////////////////////////////////////////////////////////////////////// 260 | ///TFtdcOrderBSFlagType是一个内外盘标志类型 261 | ///////////////////////////////////////////////////////////////////////// 262 | typedef char TSecurityFtdcOrderBSFlagType[2]; 263 | 264 | ///////////////////////////////////////////////////////////////////////// 265 | ///TFtdcMDStreamIDType是一个行情类别类型 266 | ///////////////////////////////////////////////////////////////////////// 267 | typedef char TSecurityFtdcMDStreamIDType[4]; 268 | 269 | ///////////////////////////////////////////////////////////////////////// 270 | ///TFtdcInstrumentStatusType是一个合约状态类型 271 | ///////////////////////////////////////////////////////////////////////// 272 | typedef char TSecurityFtdcInstrumentStatusType[7]; 273 | 274 | _LTS_NS_END_ 275 | 276 | #endif 277 | -------------------------------------------------------------------------------- /LTS_API/SecurityFtdcL2MDUserApiStruct.h: -------------------------------------------------------------------------------- 1 | ///////////////////////////////////////////////////////////////////////// 2 | ///@company shanghai liber information Technology Co.,Ltd 3 | ///@file SecurityFtdcL2MDUserApiStruct.h 4 | ///@brief 定义业务数据结构 5 | ///////////////////////////////////////////////////////////////////////// 6 | 7 | #if !defined(SECURITY_L2MD_FTDCSTRUCT_H) 8 | #define SECURITY_L2MD_FTDCSTRUCT_H 9 | 10 | #if _MSC_VER > 1000 11 | #pragma once 12 | #endif // _MSC_VER > 1000 13 | 14 | #include "SecurityFtdcL2MDUserApiDataType.h" 15 | 16 | _LTS_NS_BEGIN_ 17 | 18 | #pragma pack(push) 19 | #pragma pack(1) 20 | 21 | ///响应信息 22 | struct CSecurityFtdcRspInfoField 23 | { 24 | ///错误代码 25 | TSecurityFtdcErrorIDType ErrorID; 26 | ///错误信息 27 | TSecurityFtdcErrorMsgType ErrorMsg; 28 | }; 29 | 30 | ///用户登录信息 31 | struct CSecurityFtdcUserLoginField 32 | { 33 | ///交易日 34 | TSecurityFtdcDateType TradingDay; 35 | ///经纪公司代码 36 | TSecurityFtdcBrokerIDType BrokerID; 37 | ///用户代码 38 | TSecurityFtdcUserIDType UserID; 39 | ///密码 40 | TSecurityFtdcPasswordType Password; 41 | ///行情数据等级 42 | TSecurityFtdcDataLevelType DataLevel; 43 | }; 44 | 45 | ///用户登出信息 46 | struct CSecurityFtdcUserLogoutField 47 | { 48 | ///经纪公司代码 49 | TSecurityFtdcBrokerIDType BrokerID; 50 | ///用户代码 51 | TSecurityFtdcUserIDType UserID; 52 | }; 53 | 54 | ///指定的合约 55 | struct CSecurityFtdcSpecificInstrumentField 56 | { 57 | ///合约代码 58 | TSecurityFtdcInstrumentIDType InstrumentID; 59 | ///交易所代码 60 | TSecurityFtdcExchangeIDType ExchangeID; 61 | }; 62 | 63 | ///Level2行情 64 | struct CSecurityFtdcL2MarketDataField 65 | { 66 | ///交易日 67 | TSecurityFtdcDateType TradingDay; 68 | ///时间戳 69 | TSecurityFtdcTimeType TimeStamp; 70 | ///交易所代码 71 | TSecurityFtdcExchangeIDType ExchangeID; 72 | ///合约代码 73 | TSecurityFtdcInstrumentIDType InstrumentID; 74 | ///昨收盘价 75 | TSecurityFtdcPriceType PreClosePrice; 76 | ///今开盘价 77 | TSecurityFtdcPriceType OpenPrice; 78 | ///收盘价 79 | TSecurityFtdcPriceType ClosePrice; 80 | ///净值估值 81 | TSecurityFtdcPriceType IOPV; 82 | ///到期收益率 83 | TSecurityFtdcRatioType YieldToMaturity; 84 | ///动态参考价格 85 | TSecurityFtdcPriceType AuctionPrice; 86 | ///交易阶段 87 | TSecurityFtdcTradingPhaseType TradingPhase; 88 | ///开仓限制 89 | TSecurityFtdcOpenRestrictionType OpenRestriction; 90 | ///最高价 91 | TSecurityFtdcPriceType HighPrice; 92 | ///最低价 93 | TSecurityFtdcPriceType LowPrice; 94 | ///最新价 95 | TSecurityFtdcPriceType LastPrice; 96 | ///成交笔数 97 | TSecurityFtdcLargeVolumeType TradeCount; 98 | ///成交总量 99 | TSecurityFtdcLargeVolumeType TotalTradeVolume; 100 | ///成交总金额 101 | TSecurityFtdcMoneyType TotalTradeValue; 102 | ///持仓量 103 | TSecurityFtdcLargeVolumeType OpenInterest; 104 | ///委托买入总量 105 | TSecurityFtdcLargeVolumeType TotalBidVolume; 106 | ///加权平均委买价 107 | TSecurityFtdcPriceType WeightedAvgBidPrice; 108 | ///债券加权平均委买价 109 | TSecurityFtdcPriceType AltWeightedAvgBidPrice; 110 | ///委托卖出总量 111 | TSecurityFtdcLargeVolumeType TotalOfferVolume; 112 | ///加权平均委卖价 113 | TSecurityFtdcPriceType WeightedAvgOfferPrice; 114 | ///债券加权平均委卖价格 115 | TSecurityFtdcPriceType AltWeightedAvgOfferPrice; 116 | ///买价深度 117 | TSecurityFtdcPriceLevelType BidPriceLevel; 118 | ///卖价深度 119 | TSecurityFtdcPriceLevelType OfferPriceLevel; 120 | ///申买价一 121 | TSecurityFtdcPriceType BidPrice1; 122 | ///申买量一 123 | TSecurityFtdcLargeVolumeType BidVolume1; 124 | ///实际买总委托笔数一 125 | TSecurityFtdcVolumeType BidCount1; 126 | ///申买价二 127 | TSecurityFtdcPriceType BidPrice2; 128 | ///申买量二 129 | TSecurityFtdcLargeVolumeType BidVolume2; 130 | ///实际买总委托笔数二 131 | TSecurityFtdcVolumeType BidCount2; 132 | ///申买价三 133 | TSecurityFtdcPriceType BidPrice3; 134 | ///申买量三 135 | TSecurityFtdcLargeVolumeType BidVolume3; 136 | ///实际买总委托笔数三 137 | TSecurityFtdcVolumeType BidCount3; 138 | ///申买价四 139 | TSecurityFtdcPriceType BidPrice4; 140 | ///申买量四 141 | TSecurityFtdcLargeVolumeType BidVolume4; 142 | ///实际买总委托笔数四 143 | TSecurityFtdcVolumeType BidCount4; 144 | ///申买价五 145 | TSecurityFtdcPriceType BidPrice5; 146 | ///申买量五 147 | TSecurityFtdcLargeVolumeType BidVolume5; 148 | ///实际买总委托笔数五 149 | TSecurityFtdcVolumeType BidCount5; 150 | ///申买价六 151 | TSecurityFtdcPriceType BidPrice6; 152 | ///申买量六 153 | TSecurityFtdcLargeVolumeType BidVolume6; 154 | ///实际买总委托笔数六 155 | TSecurityFtdcVolumeType BidCount6; 156 | ///申买价七 157 | TSecurityFtdcPriceType BidPrice7; 158 | ///申买量七 159 | TSecurityFtdcLargeVolumeType BidVolume7; 160 | ///实际买总委托笔数七 161 | TSecurityFtdcVolumeType BidCount7; 162 | ///申买价八 163 | TSecurityFtdcPriceType BidPrice8; 164 | ///申买量八 165 | TSecurityFtdcLargeVolumeType BidVolume8; 166 | ///实际买总委托笔数八 167 | TSecurityFtdcVolumeType BidCount8; 168 | ///申买价九 169 | TSecurityFtdcPriceType BidPrice9; 170 | ///申买量九 171 | TSecurityFtdcLargeVolumeType BidVolume9; 172 | ///实际买总委托笔数九 173 | TSecurityFtdcVolumeType BidCount9; 174 | ///申买价十 175 | TSecurityFtdcPriceType BidPriceA; 176 | ///申买量十 177 | TSecurityFtdcLargeVolumeType BidVolumeA; 178 | ///实际买总委托笔数十 179 | TSecurityFtdcVolumeType BidCountA; 180 | ///申卖价一 181 | TSecurityFtdcPriceType OfferPrice1; 182 | ///申卖量一 183 | TSecurityFtdcLargeVolumeType OfferVolume1; 184 | ///实际卖总委托笔数一 185 | TSecurityFtdcVolumeType OfferCount1; 186 | ///申卖价二 187 | TSecurityFtdcPriceType OfferPrice2; 188 | ///申卖量二 189 | TSecurityFtdcLargeVolumeType OfferVolume2; 190 | ///实际卖总委托笔数二 191 | TSecurityFtdcVolumeType OfferCount2; 192 | ///申卖价三 193 | TSecurityFtdcPriceType OfferPrice3; 194 | ///申卖量三 195 | TSecurityFtdcLargeVolumeType OfferVolume3; 196 | ///实际卖总委托笔数三 197 | TSecurityFtdcVolumeType OfferCount3; 198 | ///申卖价四 199 | TSecurityFtdcPriceType OfferPrice4; 200 | ///申卖量四 201 | TSecurityFtdcLargeVolumeType OfferVolume4; 202 | ///实际卖总委托笔数四 203 | TSecurityFtdcVolumeType OfferCount4; 204 | ///申卖价五 205 | TSecurityFtdcPriceType OfferPrice5; 206 | ///申卖量五 207 | TSecurityFtdcLargeVolumeType OfferVolume5; 208 | ///实际卖总委托笔数五 209 | TSecurityFtdcVolumeType OfferCount5; 210 | ///申卖价六 211 | TSecurityFtdcPriceType OfferPrice6; 212 | ///申卖量六 213 | TSecurityFtdcLargeVolumeType OfferVolume6; 214 | ///实际卖总委托笔数六 215 | TSecurityFtdcVolumeType OfferCount6; 216 | ///申卖价七 217 | TSecurityFtdcPriceType OfferPrice7; 218 | ///申卖量七 219 | TSecurityFtdcLargeVolumeType OfferVolume7; 220 | ///实际卖总委托笔数七 221 | TSecurityFtdcVolumeType OfferCount7; 222 | ///申卖价八 223 | TSecurityFtdcPriceType OfferPrice8; 224 | ///申卖量八 225 | TSecurityFtdcLargeVolumeType OfferVolume8; 226 | ///实际卖总委托笔数八 227 | TSecurityFtdcVolumeType OfferCount8; 228 | ///申卖价九 229 | TSecurityFtdcPriceType OfferPrice9; 230 | ///申卖量九 231 | TSecurityFtdcLargeVolumeType OfferVolume9; 232 | ///实际卖总委托笔数九 233 | TSecurityFtdcVolumeType OfferCount9; 234 | ///申卖价十 235 | TSecurityFtdcPriceType OfferPriceA; 236 | ///申卖量十 237 | TSecurityFtdcLargeVolumeType OfferVolumeA; 238 | ///实际卖总委托笔数十 239 | TSecurityFtdcVolumeType OfferCountA; 240 | ///行情类别 241 | TSecurityFtdcMDStreamIDType MDStreamID; 242 | ///合约状态 243 | TSecurityFtdcInstrumentStatusType InstrumentStatus; 244 | ///昨净值估值 245 | TSecurityFtdcPriceType PreIOPV; 246 | ///市盈率一 247 | TSecurityFtdcRatioType PERatio1; 248 | ///市盈率二 249 | TSecurityFtdcRatioType PERatio2; 250 | ///涨停价 251 | TSecurityFtdcPriceType UpperLimitPrice; 252 | ///跌停价 253 | TSecurityFtdcPriceType LowerLimitPrice; 254 | ///权证溢价率 255 | TSecurityFtdcRatioType WarrantPremiumRatio; 256 | ///权证执行总数量 257 | TSecurityFtdcLargeVolumeType TotalWarrantExecQty; 258 | ///升跌一 259 | TSecurityFtdcPriceType PriceDiff1; 260 | ///升跌二 261 | TSecurityFtdcPriceType PriceDiff2; 262 | ///ETF申购笔数 263 | TSecurityFtdcLargeVolumeType ETFBuyNumber; 264 | ///ETF申购数量 265 | TSecurityFtdcLargeVolumeType ETFBuyAmount; 266 | ///ETF申购金额 267 | TSecurityFtdcMoneyType ETFBuyMoney; 268 | ///ETF赎回笔数 269 | TSecurityFtdcLargeVolumeType ETFSellNumber; 270 | ///ETF赎回数量 271 | TSecurityFtdcLargeVolumeType ETFSellAmount; 272 | ///ETF赎回金额 273 | TSecurityFtdcMoneyType ETFSellMoney; 274 | ///买入撤单笔数 275 | TSecurityFtdcLargeVolumeType WithdrawBuyNumber; 276 | ///买入撤单数量 277 | TSecurityFtdcLargeVolumeType WithdrawBuyAmount; 278 | ///买入撤单金额 279 | TSecurityFtdcMoneyType WithdrawBuyMoney; 280 | ///买入总笔数 281 | TSecurityFtdcLargeVolumeType TotalBidNumber; 282 | ///买入委托成交最大等待时间 283 | TSecurityFtdcLargeVolumeType BidTradeMaxDuration; 284 | ///买方委托价位数 285 | TSecurityFtdcLargeVolumeType NumBidOrders; 286 | ///卖出撤单笔数 287 | TSecurityFtdcLargeVolumeType WithdrawSellNumber; 288 | ///卖出撤单数量 289 | TSecurityFtdcLargeVolumeType WithdrawSellAmount; 290 | ///卖出撤单金额 291 | TSecurityFtdcMoneyType WithdrawSellMoney; 292 | ///卖出总笔数 293 | TSecurityFtdcLargeVolumeType TotalOfferNumber; 294 | ///卖出委托成交最大等待时间 295 | TSecurityFtdcLargeVolumeType OfferTradeMaxDuration; 296 | ///卖方委托价位数 297 | TSecurityFtdcLargeVolumeType NumOfferOrders; 298 | }; 299 | 300 | ///Level2行情更新时间属性 301 | struct CSecurityFtdcL2UpdateTimeField 302 | { 303 | ///交易日 304 | TSecurityFtdcDateType TradingDay; 305 | ///时间戳 306 | TSecurityFtdcTimeType TimeStamp; 307 | ///交易所代码 308 | TSecurityFtdcExchangeIDType ExchangeID; 309 | ///合约代码 310 | TSecurityFtdcInstrumentIDType InstrumentID; 311 | }; 312 | 313 | ///Level2行情静态属性 314 | struct CSecurityFtdcL2StaticField 315 | { 316 | ///昨收盘价 317 | TSecurityFtdcPriceType PreClosePrice; 318 | ///今开盘价 319 | TSecurityFtdcPriceType OpenPrice; 320 | ///收盘价 321 | TSecurityFtdcPriceType ClosePrice; 322 | ///净值估值 323 | TSecurityFtdcPriceType IOPV; 324 | ///到期收益率 325 | TSecurityFtdcRatioType YieldToMaturity; 326 | ///动态参考价格 327 | TSecurityFtdcPriceType AuctionPrice; 328 | ///交易阶段 329 | TSecurityFtdcTradingPhaseType TradingPhase; 330 | ///开仓限制 331 | TSecurityFtdcOpenRestrictionType OpenRestriction; 332 | }; 333 | 334 | ///Level2行情价格区间属性 335 | struct CSecurityFtdcL2PriceIntervalField 336 | { 337 | ///最高价 338 | TSecurityFtdcPriceType HighPrice; 339 | ///最低价 340 | TSecurityFtdcPriceType LowPrice; 341 | }; 342 | 343 | ///Level2行情基本信息 344 | struct CSecurityFtdcL2BaseField 345 | { 346 | ///最新价 347 | TSecurityFtdcPriceType LastPrice; 348 | }; 349 | 350 | ///Level2成交信息 351 | struct CSecurityFtdcL2TradedField 352 | { 353 | ///成交笔数 354 | TSecurityFtdcLargeVolumeType TradeCount; 355 | ///成交总量 356 | TSecurityFtdcLargeVolumeType TotalTradeVolume; 357 | ///成交总金额 358 | TSecurityFtdcMoneyType TotalTradeValue; 359 | ///持仓量 360 | TSecurityFtdcLargeVolumeType OpenInterest; 361 | }; 362 | 363 | ///Level2行情数据属性 364 | struct CSecurityFtdcL2DataLevelField 365 | { 366 | ///价格 367 | TSecurityFtdcPriceType Price; 368 | ///数量 369 | TSecurityFtdcLargeVolumeType Volume; 370 | ///实际总委托笔数 371 | TSecurityFtdcVolumeType Count; 372 | }; 373 | 374 | ///Level2委买信息 375 | struct CSecurityFtdcL2BidOrderField 376 | { 377 | ///委托买入总量 378 | TSecurityFtdcLargeVolumeType TotalBidVolume; 379 | ///加权平均委买价 380 | TSecurityFtdcPriceType WeightedAvgBidPrice; 381 | ///债券加权平均委买价 382 | TSecurityFtdcPriceType AltWeightedAvgBidPrice; 383 | }; 384 | 385 | ///Level2委卖信息 386 | struct CSecurityFtdcL2OfferOrderField 387 | { 388 | ///委托卖出总量 389 | TSecurityFtdcLargeVolumeType TotalOfferVolume; 390 | ///加权平均委卖价 391 | TSecurityFtdcPriceType WeightedAvgOfferPrice; 392 | ///债券加权平均委卖价格 393 | TSecurityFtdcPriceType AltWeightedAvgOfferPrice; 394 | }; 395 | 396 | ///Level2价格深度属性 397 | struct CSecurityFtdcL2PriceLevelField 398 | { 399 | ///买价深度 400 | TSecurityFtdcPriceLevelType BidPriceLevel; 401 | ///卖价深度 402 | TSecurityFtdcPriceLevelType OfferPriceLevel; 403 | }; 404 | 405 | ///Level2行情申买一属性 406 | struct CSecurityFtdcL2Bid1Field 407 | { 408 | ///申买价一 409 | TSecurityFtdcPriceType BidPrice1; 410 | ///申买量一 411 | TSecurityFtdcLargeVolumeType BidVolume1; 412 | ///实际买总委托笔数一 413 | TSecurityFtdcVolumeType BidCount1; 414 | }; 415 | 416 | ///Level2行情申卖一属性 417 | struct CSecurityFtdcL2Offer1Field 418 | { 419 | ///申卖价一 420 | TSecurityFtdcPriceType OfferPrice1; 421 | ///申卖量一 422 | TSecurityFtdcLargeVolumeType OfferVolume1; 423 | ///实际卖总委托笔数一 424 | TSecurityFtdcVolumeType OfferCount1; 425 | }; 426 | 427 | ///Level2行情申买二属性 428 | struct CSecurityFtdcL2Bid2Field 429 | { 430 | ///申买价二 431 | TSecurityFtdcPriceType BidPrice2; 432 | ///申买量二 433 | TSecurityFtdcLargeVolumeType BidVolume2; 434 | ///实际买总委托笔数二 435 | TSecurityFtdcVolumeType BidCount2; 436 | }; 437 | 438 | ///Level2行情申卖二属性 439 | struct CSecurityFtdcL2Offer2Field 440 | { 441 | ///申卖价二 442 | TSecurityFtdcPriceType OfferPrice2; 443 | ///申卖量二 444 | TSecurityFtdcLargeVolumeType OfferVolume2; 445 | ///实际卖总委托笔数二 446 | TSecurityFtdcVolumeType OfferCount2; 447 | }; 448 | 449 | ///Level2行情申买三属性 450 | struct CSecurityFtdcL2Bid3Field 451 | { 452 | ///申买价三 453 | TSecurityFtdcPriceType BidPrice3; 454 | ///申买量三 455 | TSecurityFtdcLargeVolumeType BidVolume3; 456 | ///实际买总委托笔数三 457 | TSecurityFtdcVolumeType BidCount3; 458 | }; 459 | 460 | ///Level2行情申卖三属性 461 | struct CSecurityFtdcL2Offer3Field 462 | { 463 | ///申卖价三 464 | TSecurityFtdcPriceType OfferPrice3; 465 | ///申卖量三 466 | TSecurityFtdcLargeVolumeType OfferVolume3; 467 | ///实际卖总委托笔数三 468 | TSecurityFtdcVolumeType OfferCount3; 469 | }; 470 | 471 | ///Level2行情申买四属性 472 | struct CSecurityFtdcL2Bid4Field 473 | { 474 | ///申买价四 475 | TSecurityFtdcPriceType BidPrice4; 476 | ///申买量四 477 | TSecurityFtdcLargeVolumeType BidVolume4; 478 | ///实际买总委托笔数四 479 | TSecurityFtdcVolumeType BidCount4; 480 | }; 481 | 482 | ///Level2行情申卖四属性 483 | struct CSecurityFtdcL2Offer4Field 484 | { 485 | ///申卖价四 486 | TSecurityFtdcPriceType OfferPrice4; 487 | ///申卖量四 488 | TSecurityFtdcLargeVolumeType OfferVolume4; 489 | ///实际卖总委托笔数四 490 | TSecurityFtdcVolumeType OfferCount4; 491 | }; 492 | 493 | ///Level2行情申买五属性 494 | struct CSecurityFtdcL2Bid5Field 495 | { 496 | ///申买价五 497 | TSecurityFtdcPriceType BidPrice5; 498 | ///申买量五 499 | TSecurityFtdcLargeVolumeType BidVolume5; 500 | ///实际买总委托笔数五 501 | TSecurityFtdcVolumeType BidCount5; 502 | }; 503 | 504 | ///Level2行情申卖五属性 505 | struct CSecurityFtdcL2Offer5Field 506 | { 507 | ///申卖价五 508 | TSecurityFtdcPriceType OfferPrice5; 509 | ///申卖量五 510 | TSecurityFtdcLargeVolumeType OfferVolume5; 511 | ///实际卖总委托笔数五 512 | TSecurityFtdcVolumeType OfferCount5; 513 | }; 514 | 515 | ///Level2行情申买六属性 516 | struct CSecurityFtdcL2Bid6Field 517 | { 518 | ///申买价六 519 | TSecurityFtdcPriceType BidPrice6; 520 | ///申买量六 521 | TSecurityFtdcLargeVolumeType BidVolume6; 522 | ///实际买总委托笔数六 523 | TSecurityFtdcVolumeType BidCount6; 524 | }; 525 | 526 | ///Level2行情申卖六属性 527 | struct CSecurityFtdcL2Offer6Field 528 | { 529 | ///申卖价六 530 | TSecurityFtdcPriceType OfferPrice6; 531 | ///申卖量六 532 | TSecurityFtdcLargeVolumeType OfferVolume6; 533 | ///实际卖总委托笔数六 534 | TSecurityFtdcVolumeType OfferCount6; 535 | }; 536 | 537 | ///Level2行情申买七属性 538 | struct CSecurityFtdcL2Bid7Field 539 | { 540 | ///申买价七 541 | TSecurityFtdcPriceType BidPrice7; 542 | ///申买量七 543 | TSecurityFtdcLargeVolumeType BidVolume7; 544 | ///实际买总委托笔数七 545 | TSecurityFtdcVolumeType BidCount7; 546 | }; 547 | 548 | ///Level2行情申卖七属性 549 | struct CSecurityFtdcL2Offer7Field 550 | { 551 | ///申卖价七 552 | TSecurityFtdcPriceType OfferPrice7; 553 | ///申卖量七 554 | TSecurityFtdcLargeVolumeType OfferVolume7; 555 | ///实际卖总委托笔数七 556 | TSecurityFtdcVolumeType OfferCount7; 557 | }; 558 | 559 | ///Level2行情申买八属性 560 | struct CSecurityFtdcL2Bid8Field 561 | { 562 | ///申买价八 563 | TSecurityFtdcPriceType BidPrice8; 564 | ///申买量八 565 | TSecurityFtdcLargeVolumeType BidVolume8; 566 | ///实际买总委托笔数八 567 | TSecurityFtdcVolumeType BidCount8; 568 | }; 569 | 570 | ///Level2行情申卖八属性 571 | struct CSecurityFtdcL2Offer8Field 572 | { 573 | ///申卖价八 574 | TSecurityFtdcPriceType OfferPrice8; 575 | ///申卖量八 576 | TSecurityFtdcLargeVolumeType OfferVolume8; 577 | ///实际卖总委托笔数八 578 | TSecurityFtdcVolumeType OfferCount8; 579 | }; 580 | 581 | ///Level2行情申买九属性 582 | struct CSecurityFtdcL2Bid9Field 583 | { 584 | ///申买价九 585 | TSecurityFtdcPriceType BidPrice9; 586 | ///申买量九 587 | TSecurityFtdcLargeVolumeType BidVolume9; 588 | ///实际买总委托笔数九 589 | TSecurityFtdcVolumeType BidCount9; 590 | }; 591 | 592 | ///Level2行情申卖九属性 593 | struct CSecurityFtdcL2Offer9Field 594 | { 595 | ///申卖价九 596 | TSecurityFtdcPriceType OfferPrice9; 597 | ///申卖量九 598 | TSecurityFtdcLargeVolumeType OfferVolume9; 599 | ///实际卖总委托笔数九 600 | TSecurityFtdcVolumeType OfferCount9; 601 | }; 602 | 603 | ///Level2行情申买十属性 604 | struct CSecurityFtdcL2BidAField 605 | { 606 | ///申买价十 607 | TSecurityFtdcPriceType BidPriceA; 608 | ///申买量十 609 | TSecurityFtdcLargeVolumeType BidVolumeA; 610 | ///实际买总委托笔数十 611 | TSecurityFtdcVolumeType BidCountA; 612 | }; 613 | 614 | ///Level2行情申卖十属性 615 | struct CSecurityFtdcL2OfferAField 616 | { 617 | ///申卖价十 618 | TSecurityFtdcPriceType OfferPriceA; 619 | ///申卖量十 620 | TSecurityFtdcLargeVolumeType OfferVolumeA; 621 | ///实际卖总委托笔数十 622 | TSecurityFtdcVolumeType OfferCountA; 623 | }; 624 | 625 | ///Level2行情申买属性 626 | struct CSecurityFtdcL2BidField 627 | { 628 | ///申买价一 629 | TSecurityFtdcPriceType BidPrice1; 630 | ///申买量一 631 | TSecurityFtdcLargeVolumeType BidVolume1; 632 | ///实际买总委托笔数一 633 | TSecurityFtdcVolumeType BidCount1; 634 | ///申买价二 635 | TSecurityFtdcPriceType BidPrice2; 636 | ///申买量二 637 | TSecurityFtdcLargeVolumeType BidVolume2; 638 | ///实际买总委托笔数二 639 | TSecurityFtdcVolumeType BidCount2; 640 | ///申买价三 641 | TSecurityFtdcPriceType BidPrice3; 642 | ///申买量三 643 | TSecurityFtdcLargeVolumeType BidVolume3; 644 | ///实际买总委托笔数三 645 | TSecurityFtdcVolumeType BidCount3; 646 | ///申买价四 647 | TSecurityFtdcPriceType BidPrice4; 648 | ///申买量四 649 | TSecurityFtdcLargeVolumeType BidVolume4; 650 | ///实际买总委托笔数四 651 | TSecurityFtdcVolumeType BidCount4; 652 | ///申买价五 653 | TSecurityFtdcPriceType BidPrice5; 654 | ///申买量五 655 | TSecurityFtdcLargeVolumeType BidVolume5; 656 | ///实际买总委托笔数五 657 | TSecurityFtdcVolumeType BidCount5; 658 | ///申买价六 659 | TSecurityFtdcPriceType BidPrice6; 660 | ///申买量六 661 | TSecurityFtdcLargeVolumeType BidVolume6; 662 | ///实际买总委托笔数六 663 | TSecurityFtdcVolumeType BidCount6; 664 | ///申买价七 665 | TSecurityFtdcPriceType BidPrice7; 666 | ///申买量七 667 | TSecurityFtdcLargeVolumeType BidVolume7; 668 | ///实际买总委托笔数七 669 | TSecurityFtdcVolumeType BidCount7; 670 | ///申买价八 671 | TSecurityFtdcPriceType BidPrice8; 672 | ///申买量八 673 | TSecurityFtdcLargeVolumeType BidVolume8; 674 | ///实际买总委托笔数八 675 | TSecurityFtdcVolumeType BidCount8; 676 | ///申买价九 677 | TSecurityFtdcPriceType BidPrice9; 678 | ///申买量九 679 | TSecurityFtdcLargeVolumeType BidVolume9; 680 | ///实际买总委托笔数九 681 | TSecurityFtdcVolumeType BidCount9; 682 | ///申买价十 683 | TSecurityFtdcPriceType BidPriceA; 684 | ///申买量十 685 | TSecurityFtdcLargeVolumeType BidVolumeA; 686 | ///实际买总委托笔数十 687 | TSecurityFtdcVolumeType BidCountA; 688 | }; 689 | 690 | ///Level2行情申卖属性 691 | struct CSecurityFtdcL2OfferField 692 | { 693 | ///申卖价一 694 | TSecurityFtdcPriceType OfferPrice1; 695 | ///申卖量一 696 | TSecurityFtdcLargeVolumeType OfferVolume1; 697 | ///实际卖总委托笔数一 698 | TSecurityFtdcVolumeType OfferCount1; 699 | ///申卖价二 700 | TSecurityFtdcPriceType OfferPrice2; 701 | ///申卖量二 702 | TSecurityFtdcLargeVolumeType OfferVolume2; 703 | ///实际卖总委托笔数二 704 | TSecurityFtdcVolumeType OfferCount2; 705 | ///申卖价三 706 | TSecurityFtdcPriceType OfferPrice3; 707 | ///申卖量三 708 | TSecurityFtdcLargeVolumeType OfferVolume3; 709 | ///实际卖总委托笔数三 710 | TSecurityFtdcVolumeType OfferCount3; 711 | ///申卖价四 712 | TSecurityFtdcPriceType OfferPrice4; 713 | ///申卖量四 714 | TSecurityFtdcLargeVolumeType OfferVolume4; 715 | ///实际卖总委托笔数四 716 | TSecurityFtdcVolumeType OfferCount4; 717 | ///申卖价五 718 | TSecurityFtdcPriceType OfferPrice5; 719 | ///申卖量五 720 | TSecurityFtdcLargeVolumeType OfferVolume5; 721 | ///实际卖总委托笔数五 722 | TSecurityFtdcVolumeType OfferCount5; 723 | ///申卖价六 724 | TSecurityFtdcPriceType OfferPrice6; 725 | ///申卖量六 726 | TSecurityFtdcLargeVolumeType OfferVolume6; 727 | ///实际卖总委托笔数六 728 | TSecurityFtdcVolumeType OfferCount6; 729 | ///申卖价七 730 | TSecurityFtdcPriceType OfferPrice7; 731 | ///申卖量七 732 | TSecurityFtdcLargeVolumeType OfferVolume7; 733 | ///实际卖总委托笔数七 734 | TSecurityFtdcVolumeType OfferCount7; 735 | ///申卖价八 736 | TSecurityFtdcPriceType OfferPrice8; 737 | ///申卖量八 738 | TSecurityFtdcLargeVolumeType OfferVolume8; 739 | ///实际卖总委托笔数八 740 | TSecurityFtdcVolumeType OfferCount8; 741 | ///申卖价九 742 | TSecurityFtdcPriceType OfferPrice9; 743 | ///申卖量九 744 | TSecurityFtdcLargeVolumeType OfferVolume9; 745 | ///实际卖总委托笔数九 746 | TSecurityFtdcVolumeType OfferCount9; 747 | ///申卖价十 748 | TSecurityFtdcPriceType OfferPriceA; 749 | ///申卖量十 750 | TSecurityFtdcLargeVolumeType OfferVolumeA; 751 | ///实际卖总委托笔数十 752 | TSecurityFtdcVolumeType OfferCountA; 753 | }; 754 | 755 | ///Level2指数行情 756 | struct CSecurityFtdcL2IndexField 757 | { 758 | ///交易日 759 | TSecurityFtdcDateType TradingDay; 760 | ///行情时间（秒） 761 | TSecurityFtdcTimeType TimeStamp; 762 | ///交易所代码 763 | TSecurityFtdcExchangeIDType ExchangeID; 764 | ///指数代码 765 | TSecurityFtdcInstrumentIDType InstrumentID; 766 | ///前收盘指数 767 | TSecurityFtdcIndexType PreCloseIndex; 768 | ///今开盘指数 769 | TSecurityFtdcIndexType OpenIndex; 770 | ///今日收盘指数 771 | TSecurityFtdcIndexType CloseIndex; 772 | ///最高指数 773 | TSecurityFtdcIndexType HighIndex; 774 | ///最低指数 775 | TSecurityFtdcIndexType LowIndex; 776 | ///最新指数 777 | TSecurityFtdcIndexType LastIndex; 778 | ///参与计算相应指数的成交金额（元） 779 | TSecurityFtdcMoneyType TurnOver; 780 | ///参与计算相应指数的交易数量（手） 781 | TSecurityFtdcLargeVolumeType TotalVolume; 782 | ///行情类别 783 | TSecurityFtdcMDStreamIDType MDStreamID; 784 | }; 785 | 786 | ///Level2行情用户信息 787 | struct CSecurityFtdcL2UserInfoField 788 | { 789 | ///经纪公司代码 790 | TSecurityFtdcBrokerIDType BrokerID; 791 | ///用户代码 792 | TSecurityFtdcUserIDType UserID; 793 | ///用户名称 794 | TSecurityFtdcUserNameType UserName; 795 | ///密码 796 | TSecurityFtdcPasswordType Password; 797 | ///行情数据等级 798 | TSecurityFtdcDataLevelType DataLevel; 799 | ///股票最大订阅数量 800 | TSecurityFtdcVolumeType MaxStockCount; 801 | ///指数最大订阅数量 802 | TSecurityFtdcVolumeType MaxIndexCount; 803 | }; 804 | 805 | ///UDP组播组信息 806 | struct CSecurityFtdcMulticastGroupInfoField 807 | { 808 | ///组播组IP地址 809 | TSecurityFtdcIPAddressType GroupIP; 810 | ///组播组IP端口 811 | TSecurityFtdcIPPortType GroupPort; 812 | ///源地址 813 | TSecurityFtdcIPAddressType SourceIP; 814 | }; 815 | 816 | ///Level2逐笔委托 817 | struct CSecurityFtdcL2OrderField 818 | { 819 | ///委托组 820 | TSecurityFtdcGroupIDType OrderGroupID; 821 | ///委托序号 822 | TSecurityFtdcGroupNoType OrderIndex; 823 | ///委托时间（秒） 824 | TSecurityFtdcTimeType OrderTime; 825 | ///交易所代码 826 | TSecurityFtdcExchangeIDType ExchangeID; 827 | ///合约代码 828 | TSecurityFtdcInstrumentIDType InstrumentID; 829 | ///委托价格 830 | TSecurityFtdcPriceType Price; 831 | ///委托数量 832 | TSecurityFtdcLargeVolumeType Volume; 833 | ///报单类型 834 | TSecurityFtdcOrderKindType OrderKind; 835 | ///功能码 836 | TSecurityFtdcFunctionCodeType FunctionCode; 837 | ///行情类别 838 | TSecurityFtdcMDStreamIDType MDStreamID; 839 | }; 840 | 841 | ///Level2逐笔成交 842 | struct CSecurityFtdcL2TradeField 843 | { 844 | ///成交组 845 | TSecurityFtdcGroupIDType TradeGroupID; 846 | ///成交序号 847 | TSecurityFtdcGroupNoType TradeIndex; 848 | ///买方委托序号 849 | TSecurityFtdcGroupNoType BuyIndex; 850 | ///卖方委托序号 851 | TSecurityFtdcGroupNoType SellIndex; 852 | ///成交时间（秒） 853 | TSecurityFtdcTimeType TradeTime; 854 | ///交易所代码 855 | TSecurityFtdcExchangeIDType ExchangeID; 856 | ///合约代码 857 | TSecurityFtdcInstrumentIDType InstrumentID; 858 | ///成交价格 859 | TSecurityFtdcPriceType Price; 860 | ///成交数量 861 | TSecurityFtdcLargeVolumeType Volume; 862 | ///报单类型 863 | TSecurityFtdcOrderKindType OrderKind; 864 | ///功能码 865 | TSecurityFtdcFunctionCodeType FunctionCode; 866 | ///内外盘标志 867 | TSecurityFtdcOrderBSFlagType OrderBSFlag; 868 | ///行情类别 869 | TSecurityFtdcMDStreamIDType MDStreamID; 870 | }; 871 | 872 | ///Level2行情新增静态属性 873 | struct CSecurityFtdcL2NewStaticField 874 | { 875 | ///行情类别 876 | TSecurityFtdcMDStreamIDType MDStreamID; 877 | ///合约状态 878 | TSecurityFtdcInstrumentStatusType InstrumentStatus; 879 | ///昨净值估值 880 | TSecurityFtdcPriceType PreIOPV; 881 | ///市盈率一 882 | TSecurityFtdcRatioType PERatio1; 883 | ///市盈率二 884 | TSecurityFtdcRatioType PERatio2; 885 | ///涨停价 886 | TSecurityFtdcPriceType UpperLimitPrice; 887 | ///跌停价 888 | TSecurityFtdcPriceType LowerLimitPrice; 889 | ///权证溢价率 890 | TSecurityFtdcRatioType WarrantPremiumRatio; 891 | ///权证执行总数量 892 | TSecurityFtdcLargeVolumeType TotalWarrantExecQty; 893 | }; 894 | 895 | ///Level2行情升跌信息 896 | struct CSecurityFtdcL2PriceDiffField 897 | { 898 | ///升跌一 899 | TSecurityFtdcPriceType PriceDiff1; 900 | ///升跌二 901 | TSecurityFtdcPriceType PriceDiff2; 902 | }; 903 | 904 | ///Level2ETF申购信息 905 | struct CSecurityFtdcL2ETFBuyInfoField 906 | { 907 | ///ETF申购笔数 908 | TSecurityFtdcLargeVolumeType ETFBuyNumber; 909 | ///ETF申购数量 910 | TSecurityFtdcLargeVolumeType ETFBuyAmount; 911 | ///ETF申购金额 912 | TSecurityFtdcMoneyType ETFBuyMoney; 913 | }; 914 | 915 | ///Level2ETF赎回信息 916 | struct CSecurityFtdcL2ETFSellInfoField 917 | { 918 | ///ETF赎回笔数 919 | TSecurityFtdcLargeVolumeType ETFSellNumber; 920 | ///ETF赎回数量 921 | TSecurityFtdcLargeVolumeType ETFSellAmount; 922 | ///ETF赎回金额 923 | TSecurityFtdcMoneyType ETFSellMoney; 924 | }; 925 | 926 | ///Level2买入信息 927 | struct CSecurityFtdcL2BuyInfoField 928 | { 929 | ///买入撤单笔数 930 | TSecurityFtdcLargeVolumeType WithdrawBuyNumber; 931 | ///买入撤单数量 932 | TSecurityFtdcLargeVolumeType WithdrawBuyAmount; 933 | ///买入撤单金额 934 | TSecurityFtdcMoneyType WithdrawBuyMoney; 935 | ///买入总笔数 936 | TSecurityFtdcLargeVolumeType TotalBidNumber; 937 | ///买入委托成交最大等待时间 938 | TSecurityFtdcLargeVolumeType BidTradeMaxDuration; 939 | ///买方委托价位数 940 | TSecurityFtdcLargeVolumeType NumBidOrders; 941 | }; 942 | 943 | ///Level2卖出信息 944 | struct CSecurityFtdcL2SellInfoField 945 | { 946 | ///卖出撤单笔数 947 | TSecurityFtdcLargeVolumeType WithdrawSellNumber; 948 | ///卖出撤单数量 949 | TSecurityFtdcLargeVolumeType WithdrawSellAmount; 950 | ///卖出撤单金额 951 | TSecurityFtdcMoneyType WithdrawSellMoney; 952 | ///卖出总笔数 953 | TSecurityFtdcLargeVolumeType TotalOfferNumber; 954 | ///卖出委托成交最大等待时间 955 | TSecurityFtdcLargeVolumeType OfferTradeMaxDuration; 956 | ///卖方委托价位数 957 | TSecurityFtdcLargeVolumeType NumOfferOrders; 958 | }; 959 | 960 | 961 | #pragma pack(pop) 962 | _LTS_NS_END_ 963 | 964 | #endif 965 | -------------------------------------------------------------------------------- /Makefile: -------------------------------------------------------------------------------- 1 | ########################################### 2 | #Makefile for simple programs 3 | ########################################### 4 | INC= 5 | LIBPATH=$$HOME/Lib/LTS 6 | LIB=-l:L2mduserapi.so -lpthread 7 | CC=g++ -std=c++14 8 | # display all warnings 9 | CC_FLAG=-Wall -g -O2 10 | 11 | PRG=MarketMachine 12 | OBJ=main.o ltsmdspi.o mmap_buffer/mmapper.o\ 13 | ThirdParty/inih/ini.o ThirdParty/inih/INIReader.o 14 | 15 | $(PRG):$(OBJ) 16 | $(CC) $(INC) -o $@ $(OBJ) -L$(LIBPATH) $(LIB) 17 | 18 | .SUFFIXES: .c .o .cpp 19 | .cpp.o: 20 | $(CC) $(CC_FLAG) $(INC) -c $*.cpp -o $*.o 21 | 22 | .PRONY:clean 23 | clean: 24 | @echo "Removing linked and compiled files......" 25 | rm -f $(OBJ) $(PRG) 26 | rm Data/MarketData/MarketData_* 27 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | # 华宝证券行情接收机 2 | 3 | 特点 4 | --- 5 | 采用 mmap 实现了 lock-free 的并行写入，非常迅速，但是需要足够的内存
6 | 为避免 remap， 最初分配 20 GB 左右内存为佳，可以在 config.ini 修改，单位为 GB 7 | 8 | 各项功能包括 remap 通过了测试集的测试。 9 | 10 | Usage 11 | --- 12 | 修改 config.ini 按照实际配置 13 | 14 | make 后运行 15 | -------------------------------------------------------------------------------- /ThirdParty/inih/INIReader.cpp: -------------------------------------------------------------------------------- 1 | // Read an INI file into easy-to-access name/value pairs. 2 | 3 | // inih and INIReader are released under the New BSD license (see LICENSE.txt). 4 | // Go to the project home page for more info: 5 | // 6 | // https://github.com/benhoyt/inih 7 | 8 | #include 9 | #include 10 | #include 11 | #include "ini.h" 12 | #include "INIReader.h" 13 | 14 | using std::string; 15 | 16 | INIReader::INIReader(const string& filename) 17 | { 18 | _error = ini_parse(filename.c_str(), ValueHandler, this); 19 | } 20 | 21 | int INIReader::ParseError() const 22 | { 23 | return _error; 24 | } 25 | 26 | string INIReader::Get(const string& section, const string& name, const string& default_value) const 27 | { 28 | string key = MakeKey(section, name); 29 | // Use _values.find() here instead of _values.at() to support pre C++11 compilers 30 | return _values.count(key) ? _values.find(key)->second : default_value; 31 | } 32 | 33 | long INIReader::GetInteger(const string& section, const string& name, long default_value) const 34 | { 35 | string valstr = Get(section, name, ""); 36 | const char* value = valstr.c_str(); 37 | char* end; 38 | // This parses "1234" (decimal) and also "0x4D2" (hex) 39 | long n = strtol(value, &end, 0); 40 | return end > value ? n : default_value; 41 | } 42 | 43 | double INIReader::GetReal(const string& section, const string& name, double default_value) const 44 | { 45 | string valstr = Get(section, name, ""); 46 | const char* value = valstr.c_str(); 47 | char* end; 48 | double n = strtod(value, &end); 49 | return end > value ? n : default_value; 50 | } 51 | 52 | bool INIReader::GetBoolean(const string& section, const string& name, bool default_value) const 53 | { 54 | string valstr = Get(section, name, ""); 55 | // Convert to lower case to make string comparisons case-insensitive 56 | std::transform(valstr.begin(), valstr.end(), valstr.begin(), ::tolower); 57 | if (valstr == "true" || valstr == "yes" || valstr == "on" || valstr == "1") 58 | return true; 59 | else if (valstr == "false" || valstr == "no" || valstr == "off" || valstr == "0") 60 | return false; 61 | else 62 | return default_value; 63 | } 64 | 65 | string INIReader::MakeKey(const string& section, const string& name) 66 | { 67 | string key = section + "=" + name; 68 | // Convert to lower case to make section/name lookups case-insensitive 69 | std::transform(key.begin(), key.end(), key.begin(), ::tolower); 70 | return key; 71 | } 72 | 73 | int INIReader::ValueHandler(void* user, const char* section, const char* name, 74 | const char* value) 75 | { 76 | INIReader* reader = (INIReader*)user; 77 | string key = MakeKey(section, name); 78 | if (reader->_values[key].size() > 0) 79 | reader->_values[key] += "\n"; 80 | reader->_values[key] += value; 81 | return 1; 82 | } 83 | -------------------------------------------------------------------------------- /ThirdParty/inih/INIReader.h: -------------------------------------------------------------------------------- 1 | // Read an INI file into easy-to-access name/value pairs. 2 | 3 | // inih and INIReader are released under the New BSD license (see LICENSE.txt). 4 | // Go to the project home page for more info: 5 | // 6 | // https://github.com/benhoyt/inih 7 | 8 | #ifndef __INIREADER_H__ 9 | #define __INIREADER_H__ 10 | 11 | #include 12 | #include 13 | 14 | // Read an INI file into easy-to-access name/value pairs. (Note that I've gone 15 | // for simplicity here rather than speed, but it should be pretty decent.) 16 | class INIReader 17 | { 18 | public: 19 | // Construct INIReader and parse given filename. See ini.h for more info 20 | // about the parsing. 21 | INIReader(const std::string& filename); 22 | 23 | // Return the result of ini_parse(), i.e., 0 on success, line number of 24 | // first error on parse error, or -1 on file open error. 25 | int ParseError() const; 26 | 27 | // Get a string value from INI file, returning default_value if not found. 28 | std::string Get(const std::string& section, const std::string& name, 29 | const std::string& default_value) const; 30 | 31 | // Get an integer (long) value from INI file, returning default_value if 32 | // not found or not a valid integer (decimal "1234", "-1234", or hex "0x4d2"). 33 | long GetInteger(const std::string& section, const std::string& name, long default_value) const; 34 | 35 | // Get a real (floating point double) value from INI file, returning 36 | // default_value if not found or not a valid floating point value 37 | // according to strtod(). 38 | double GetReal(const std::string& section, const std::string& name, double default_value) const; 39 | 40 | // Get a boolean value from INI file, returning default_value if not found or if 41 | // not a valid true/false value. Valid true values are "true", "yes", "on", "1", 42 | // and valid false values are "false", "no", "off", "0" (not case sensitive). 43 | bool GetBoolean(const std::string& section, const std::string& name, bool default_value) const; 44 | 45 | private: 46 | int _error; 47 | std::map _values; 48 | static std::string MakeKey(const std::string& section, const std::string& name); 49 | static int ValueHandler(void* user, const char* section, const char* name, 50 | const char* value); 51 | }; 52 | 53 | #endif // __INIREADER_H__ 54 | -------------------------------------------------------------------------------- /ThirdParty/inih/ini.c: -------------------------------------------------------------------------------- 1 | /* inih -- simple .INI file parser 2 | 3 | inih is released under the New BSD license (see LICENSE.txt). Go to the project 4 | home page for more info: 5 | 6 | https://github.com/benhoyt/inih 7 | 8 | */ 9 | 10 | #if defined(_MSC_VER) && !defined(_CRT_SECURE_NO_WARNINGS) 11 | #define _CRT_SECURE_NO_WARNINGS 12 | #endif 13 | 14 | #include 15 | #include 16 | #include 17 | 18 | #include "ini.h" 19 | 20 | #if !INI_USE_STACK 21 | #include 22 | #endif 23 | 24 | #define MAX_SECTION 50 25 | #define MAX_NAME 50 26 | 27 | /* Used by ini_parse_string() to keep track of string parsing state. */ 28 | typedef struct { 29 | const char* ptr; 30 | size_t num_left; 31 | } ini_parse_string_ctx; 32 | 33 | /* Strip whitespace chars off end of given string, in place. Return s. */ 34 | static char* rstrip(char* s) 35 | { 36 | char* p = s + strlen(s); 37 | while (p > s && isspace((unsigned char)(*--p))) 38 | *p = '\0'; 39 | return s; 40 | } 41 | 42 | /* Return pointer to first non-whitespace char in given string. */ 43 | static char* lskip(const char* s) 44 | { 45 | while (*s && isspace((unsigned char)(*s))) 46 | s++; 47 | return (char*)s; 48 | } 49 | 50 | /* Return pointer to first char (of chars) or inline comment in given string, 51 | or pointer to null at end of string if neither found. Inline comment must 52 | be prefixed by a whitespace character to register as a comment. */ 53 | static char* find_chars_or_comment(const char* s, const char* chars) 54 | { 55 | #if INI_ALLOW_INLINE_COMMENTS 56 | int was_space = 0; 57 | while (*s && (!chars || !strchr(chars, *s)) && 58 | !(was_space && strchr(INI_INLINE_COMMENT_PREFIXES, *s))) { 59 | was_space = isspace((unsigned char)(*s)); 60 | s++; 61 | } 62 | #else 63 | while (*s && (!chars || !strchr(chars, *s))) { 64 | s++; 65 | } 66 | #endif 67 | return (char*)s; 68 | } 69 | 70 | /* Version of strncpy that ensures dest (size bytes) is null-terminated. */ 71 | static char* strncpy0(char* dest, const char* src, size_t size) 72 | { 73 | strncpy(dest, src, size); 74 | dest[size - 1] = '\0'; 75 | return dest; 76 | } 77 | 78 | /* See documentation in header file. */ 79 | int ini_parse_stream(ini_reader reader, void* stream, ini_handler handler, 80 | void* user) 81 | { 82 | /* Uses a fair bit of stack (use heap instead if you need to) */ 83 | #if INI_USE_STACK 84 | char line[INI_MAX_LINE]; 85 | #else 86 | char* line; 87 | #endif 88 | char section[MAX_SECTION] = ""; 89 | char prev_name[MAX_NAME] = ""; 90 | 91 | char* start; 92 | char* end; 93 | char* name; 94 | char* value; 95 | int lineno = 0; 96 | int error = 0; 97 | 98 | #if !INI_USE_STACK 99 | line = (char*)malloc(INI_MAX_LINE); 100 | if (!line) { 101 | return -2; 102 | } 103 | #endif 104 | 105 | #if INI_HANDLER_LINENO 106 | #define HANDLER(u, s, n, v) handler(u, s, n, v, lineno) 107 | #else 108 | #define HANDLER(u, s, n, v) handler(u, s, n, v) 109 | #endif 110 | 111 | /* Scan through stream line by line */ 112 | while (reader(line, INI_MAX_LINE, stream) != NULL) { 113 | lineno++; 114 | 115 | start = line; 116 | #if INI_ALLOW_BOM 117 | if (lineno == 1 && (unsigned char)start[0] == 0xEF && 118 | (unsigned char)start[1] == 0xBB && 119 | (unsigned char)start[2] == 0xBF) { 120 | start += 3; 121 | } 122 | #endif 123 | start = lskip(rstrip(start)); 124 | 125 | if (*start == ';' || *start == '#') { 126 | /* Per Python configparser, allow both ; and # comments at the 127 | start of a line */ 128 | } 129 | #if INI_ALLOW_MULTILINE 130 | else if (*prev_name && *start && start > line) { 131 | /* Non-blank line with leading whitespace, treat as continuation 132 | of previous name's value (as per Python configparser). */ 133 | if (!HANDLER(user, section, prev_name, start) && !error) 134 | error = lineno; 135 | } 136 | #endif 137 | else if (*start == '[') { 138 | /* A "[section]" line */ 139 | end = find_chars_or_comment(start + 1, "]"); 140 | if (*end == ']') { 141 | *end = '\0'; 142 | strncpy0(section, start + 1, sizeof(section)); 143 | *prev_name = '\0'; 144 | } 145 | else if (!error) { 146 | /* No ']' found on section line */ 147 | error = lineno; 148 | } 149 | } 150 | else if (*start) { 151 | /* Not a comment, must be a name[=:]value pair */ 152 | end = find_chars_or_comment(start, "=:"); 153 | if (*end == '=' || *end == ':') { 154 | *end = '\0'; 155 | name = rstrip(start); 156 | value = end + 1; 157 | #if INI_ALLOW_INLINE_COMMENTS 158 | end = find_chars_or_comment(value, NULL); 159 | if (*end) 160 | *end = '\0'; 161 | #endif 162 | value = lskip(value); 163 | rstrip(value); 164 | 165 | /* Valid name[=:]value pair found, call handler */ 166 | strncpy0(prev_name, name, sizeof(prev_name)); 167 | if (!HANDLER(user, section, name, value) && !error) 168 | error = lineno; 169 | } 170 | else if (!error) { 171 | /* No '=' or ':' found on name[=:]value line */ 172 | error = lineno; 173 | } 174 | } 175 | 176 | #if INI_STOP_ON_FIRST_ERROR 177 | if (error) 178 | break; 179 | #endif 180 | } 181 | 182 | #if !INI_USE_STACK 183 | free(line); 184 | #endif 185 | 186 | return error; 187 | } 188 | 189 | /* See documentation in header file. */ 190 | int ini_parse_file(FILE* file, ini_handler handler, void* user) 191 | { 192 | return ini_parse_stream((ini_reader)fgets, file, handler, user); 193 | } 194 | 195 | /* See documentation in header file. */ 196 | int ini_parse(const char* filename, ini_handler handler, void* user) 197 | { 198 | FILE* file; 199 | int error; 200 | 201 | file = fopen(filename, "r"); 202 | if (!file) 203 | return -1; 204 | error = ini_parse_file(file, handler, user); 205 | fclose(file); 206 | return error; 207 | } 208 | 209 | /* An ini_reader function to read the next line from a string buffer. This 210 | is the fgets() equivalent used by ini_parse_string(). */ 211 | static char* ini_reader_string(char* str, int num, void* stream) { 212 | ini_parse_string_ctx* ctx = (ini_parse_string_ctx*)stream; 213 | const char* ctx_ptr = ctx->ptr; 214 | size_t ctx_num_left = ctx->num_left; 215 | char* strp = str; 216 | char c; 217 | 218 | if (ctx_num_left == 0 || num < 2) 219 | return NULL; 220 | 221 | while (num > 1 && ctx_num_left != 0) { 222 | c = *ctx_ptr++; 223 | ctx_num_left--; 224 | *strp++ = c; 225 | if (c == '\n') 226 | break; 227 | num--; 228 | } 229 | 230 | *strp = '\0'; 231 | ctx->ptr = ctx_ptr; 232 | ctx->num_left = ctx_num_left; 233 | return str; 234 | } 235 | 236 | /* See documentation in header file. */ 237 | int ini_parse_string(const char* string, ini_handler handler, void* user) { 238 | ini_parse_string_ctx ctx; 239 | 240 | ctx.ptr = string; 241 | ctx.num_left = strlen(string); 242 | return ini_parse_stream((ini_reader)ini_reader_string, &ctx, handler, 243 | user); 244 | } 245 | -------------------------------------------------------------------------------- /ThirdParty/inih/ini.h: -------------------------------------------------------------------------------- 1 | /* inih -- simple .INI file parser 2 | 3 | inih is released under the New BSD license (see LICENSE.txt). Go to the project 4 | home page for more info: 5 | 6 | https://github.com/benhoyt/inih 7 | 8 | */ 9 | 10 | #ifndef __INI_H__ 11 | #define __INI_H__ 12 | 13 | /* Make this header file easier to include in C++ code */ 14 | #ifdef __cplusplus 15 | extern "C" { 16 | #endif 17 | 18 | #include 19 | 20 | /* Nonzero if ini_handler callback should accept lineno parameter. */ 21 | #ifndef INI_HANDLER_LINENO 22 | #define INI_HANDLER_LINENO 0 23 | #endif 24 | 25 | /* Typedef for prototype of handler function. */ 26 | #if INI_HANDLER_LINENO 27 | typedef int (*ini_handler)(void* user, const char* section, 28 | const char* name, const char* value, 29 | int lineno); 30 | #else 31 | typedef int (*ini_handler)(void* user, const char* section, 32 | const char* name, const char* value); 33 | #endif 34 | 35 | /* Typedef for prototype of fgets-style reader function. */ 36 | typedef char* (*ini_reader)(char* str, int num, void* stream); 37 | 38 | /* Parse given INI-style file. May have [section]s, name=value pairs 39 | (whitespace stripped), and comments starting with ';' (semicolon). Section 40 | is "" if name=value pair parsed before any section heading. name:value 41 | pairs are also supported as a concession to Python's configparser. 42 | 43 | For each name=value pair parsed, call handler function with given user 44 | pointer as well as section, name, and value (data only valid for duration 45 | of handler call). Handler should return nonzero on success, zero on error. 46 | 47 | Returns 0 on success, line number of first error on parse error (doesn't 48 | stop on first error), -1 on file open error, or -2 on memory allocation 49 | error (only when INI_USE_STACK is zero). 50 | */ 51 | int ini_parse(const char* filename, ini_handler handler, void* user); 52 | 53 | /* Same as ini_parse(), but takes a FILE* instead of filename. This doesn't 54 | close the file when it's finished -- the caller must do that. */ 55 | int ini_parse_file(FILE* file, ini_handler handler, void* user); 56 | 57 | /* Same as ini_parse(), but takes an ini_reader function pointer instead of 58 | filename. Used for implementing custom or string-based I/O (see also 59 | ini_parse_string). */ 60 | int ini_parse_stream(ini_reader reader, void* stream, ini_handler handler, 61 | void* user); 62 | 63 | /* Same as ini_parse(), but takes a zero-terminated string with the INI data 64 | instead of a file. Useful for parsing INI data from a network socket or 65 | already in memory. */ 66 | int ini_parse_string(const char* string, ini_handler handler, void* user); 67 | 68 | /* Nonzero to allow multi-line value parsing, in the style of Python's 69 | configparser. If allowed, ini_parse() will call the handler with the same 70 | name for each subsequent line parsed. */ 71 | #ifndef INI_ALLOW_MULTILINE 72 | #define INI_ALLOW_MULTILINE 1 73 | #endif 74 | 75 | /* Nonzero to allow a UTF-8 BOM sequence (0xEF 0xBB 0xBF) at the start of 76 | the file. See http://code.google.com/p/inih/issues/detail?id=21 */ 77 | #ifndef INI_ALLOW_BOM 78 | #define INI_ALLOW_BOM 1 79 | #endif 80 | 81 | /* Nonzero to allow inline comments (with valid inline comment characters 82 | specified by INI_INLINE_COMMENT_PREFIXES). Set to 0 to turn off and match 83 | Python 3.2+ configparser behaviour. */ 84 | #ifndef INI_ALLOW_INLINE_COMMENTS 85 | #define INI_ALLOW_INLINE_COMMENTS 1 86 | #endif 87 | #ifndef INI_INLINE_COMMENT_PREFIXES 88 | #define INI_INLINE_COMMENT_PREFIXES ";" 89 | #endif 90 | 91 | /* Nonzero to use stack, zero to use heap (malloc/free). */ 92 | #ifndef INI_USE_STACK 93 | #define INI_USE_STACK 1 94 | #endif 95 | 96 | /* Stop parsing on first error (default is to keep parsing). */ 97 | #ifndef INI_STOP_ON_FIRST_ERROR 98 | #define INI_STOP_ON_FIRST_ERROR 0 99 | #endif 100 | 101 | /* Maximum line length for any line in INI file. */ 102 | #ifndef INI_MAX_LINE 103 | #define INI_MAX_LINE 200 104 | #endif 105 | 106 | #ifdef __cplusplus 107 | } 108 | #endif 109 | 110 | #endif /* __INI_H__ */ 111 | -------------------------------------------------------------------------------- /config.ini: -------------------------------------------------------------------------------- 1 | [FrontServer] 2 | Address = tcp://127.0.0.1:17001 3 | 4 | [LoginField] 5 | TradingDay = 6 | BrokerID = 7 | UserID = 8 | Password = 9 | DataLevel = 10 | 11 | [Instruments] 12 | PathSH = Instruments/sh.instruments 13 | PathSZ = Instruments/sz.instruments 14 | 15 | [SavePath] 16 | MdDir = Data/MarketData/ 17 | LogDir = Data/Log/ 18 | 19 | [Buffer] 20 | InitSize = 1 21 | -------------------------------------------------------------------------------- /logger.hpp: -------------------------------------------------------------------------------- 1 | #include 2 | #include 3 | #include 4 | #include 5 | #include // for setfill, setw 6 | 7 | namespace common { 8 | class Logger{ 9 | public: 10 | static std::string time_in_hh_mm_ss_mmm() { 11 | using namespace std::chrono; 12 | // get current time 13 | auto now = system_clock::now(); 14 | 15 | // get number of milliseconds for the current second 16 | // (remainder after division into seconds) 17 | auto ms = duration_cast(now.time_since_epoch()) % 1000; 18 | 19 | // convert to std::time_t in order to convert to std::tm (broken time) 20 | auto timer = system_clock::to_time_t(now); 21 | 22 | // convert to broken time 23 | std::tm bt = *std::localtime(&timer); 24 | 25 | std::ostringstream oss; 26 | 27 | oss << std::put_time(&bt, "%T"); // HH:MM:SS 28 | oss << '.' << std::setfill('0') << std::setw(3) << ms.count(); 29 | 30 | return oss.str(); 31 | } 32 | 33 | template 34 | static void t_out(const char* fmt, Args... args) { 35 | fprintf(stdout, "[%s] ", time_in_hh_mm_ss_mmm().c_str()); 36 | fprintf(stdout, fmt, args...); 37 | } 38 | 39 | template 40 | static void t_err(const char* fmt, Args... args) { 41 | fprintf(stderr, "[%s] ", time_in_hh_mm_ss_mmm().c_str()); 42 | fprintf(stderr, fmt, args...); 43 | } 44 | }; 45 | } 46 | -------------------------------------------------------------------------------- /ltsmdspi.cpp: -------------------------------------------------------------------------------- 1 | #include 2 | #include 3 | #include 4 | #include 5 | #include 6 | #include 7 | 8 | #include 9 | #include 10 | 11 | #include "ltsmdspi.h" 12 | #include "logger.hpp" 13 | 14 | std::string LtsMdSpi::getCurrentDate() { 15 | std::time_t now = std::chrono::system_clock::to_time_t(std::chrono::system_clock::now()); 16 | char buf[100]; 17 | std::strftime(buf, sizeof(buf), "%Y-%m-%d", std::localtime(&now)); 18 | return std::string(buf); 19 | } 20 | 21 | LtsMdSpi::LtsMdSpi(const std::string& config_file) : 22 | config_(config_file) { 23 | std::string dataDir = config_.Get("SavePath", "MdDir", ""); 24 | std::string logDir = config_.Get("SavePath", "LogDir", ""); 25 | 26 | std::string currentDate = getCurrentDate(); 27 | 28 | if (access(dataDir.c_str(), F_OK && W_OK) < 0) { 29 | mkdir(dataDir.c_str(), 0751); 30 | } 31 | std::string md_path = dataDir + "MarketData_" + currentDate; 32 | 33 | if (access(logDir.c_str(), F_OK && W_OK) < 0) { 34 | mkdir(logDir.c_str(), 0751); 35 | } 36 | std::string output_path = logDir + "output_" + currentDate; 37 | std::string error_path = logDir + "error_" + currentDate; 38 | freopen(output_path.c_str(), "w", stdout); 39 | freopen(error_path.c_str(), "w", stderr); 40 | 41 | // 以 1GB 为单位 42 | writer_ = new mem::Writer((size_t)config_.GetInteger("Buffer", "InitSize", 1)<<30, md_path); 43 | 44 | reqID_ = 0; 45 | api_ = CSecurityFtdcL2MDUserApi::CreateFtdcL2MDUserApi(); 46 | common::Logger::t_out("Market data spi created...\n"); 47 | } 48 | 49 | LtsMdSpi::~LtsMdSpi() { 50 | 51 | api_->Release(); 52 | delete writer_; 53 | common::Logger::t_out("Market data spi deleted...\n"); 54 | fclose(stdout); 55 | fclose(stderr); 56 | } 57 | 58 | void LtsMdSpi::start_serve() { 59 | api_->RegisterSpi(this); 60 | std::string addr = config_.Get("FrontServer", "Address", ""); 61 | api_->RegisterFront((char *)addr.c_str()); 62 | api_->Init(); 63 | // 为了实现捕获信号退出，在主线程阻塞而不在这里Join 64 | // api_->Join(); 65 | } 66 | 67 | 68 | void LtsMdSpi::OnFrontConnected() { 69 | CSecurityFtdcUserLoginField loginField; 70 | memset(&loginField, 0, sizeof(loginField)); 71 | std::string BrokerID = config_.Get("LoginField", "BrokerID", ""); 72 | std::string UserID = config_.Get("LoginField", "UserID", ""); 73 | std::string Password = config_.Get("LoginField", "Password", ""); 74 | strncpy(loginField.BrokerID, BrokerID.c_str(), sizeof(loginField.BrokerID)); 75 | strncpy(loginField.UserID, UserID.c_str(), sizeof(loginField.UserID)); 76 | strncpy(loginField.Password, Password.c_str(), sizeof(loginField.Password)); 77 | common::Logger::t_out("Login with: user = %s, pwd = %s\n", loginField.UserID, loginField.Password); 78 | api_->ReqUserLogin(&loginField, reqID_++); 79 | } 80 | 81 | void LtsMdSpi::OnRspUserLogin(CSecurityFtdcUserLoginField *pUserLogin, 82 | CSecurityFtdcRspInfoField *pRspInfo, 83 | int nRequestID, bool bIsLast) { 84 | if (pRspInfo == nullptr || pRspInfo->ErrorID == 0) { 85 | const std::string SH_FILE = std::move(config_.Get("Instruments", "PathSH", "")); 86 | const std::string SZ_FILE = std::move(config_.Get("Instruments", "PathSZ", "")); 87 | const std::string SH_ID = "SSE"; 88 | const std::string SZ_ID = "SZE"; 89 | 90 | subscribe_instruments_in_file_(SH_FILE, SH_ID); 91 | subscribe_instruments_in_file_(SH_FILE, SZ_ID); 92 | } else { 93 | common::Logger::t_err("Login failed: %s(errno: %d)\n", pRspInfo->ErrorMsg, 94 | pRspInfo->ErrorID); 95 | } 96 | } 97 | 98 | // 订阅回复 99 | void LtsMdSpi::OnRspSubL2MarketData( 100 | CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, 101 | CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { 102 | if (pRspInfo == nullptr || pRspInfo->ErrorID == 0) { 103 | if (bIsLast) { 104 | common::Logger::t_out("Subscribe to instruments (data) succeed.\n"); 105 | } 106 | } else { 107 | common::Logger::t_err("Subscribe market data failed: %s(errno: %d)\n", pRspInfo->ErrorMsg, 108 | pRspInfo->ErrorID); 109 | } 110 | } 111 | 112 | void LtsMdSpi::OnRspSubL2Index( 113 | CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, 114 | CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { 115 | if (pRspInfo == nullptr || pRspInfo->ErrorID == 0) { 116 | if (bIsLast) { 117 | common::Logger::t_out("Subscribe to instruments (index) succeed.\n"); 118 | } 119 | } else { 120 | common::Logger::t_err("Subscribe market index failed: %s(errno: %d)\n", pRspInfo->ErrorMsg, 121 | pRspInfo->ErrorID); 122 | } 123 | } 124 | 125 | void LtsMdSpi::OnRspSubL2OrderAndTrade(CSecurityFtdcRspInfoField *pRspInfo, 126 | int nRequestID, bool bIsLast) { 127 | if (pRspInfo == nullptr || pRspInfo->ErrorID == 0) { 128 | if (bIsLast) { 129 | common::Logger::t_out("Subscribe to instruments of (order) succeed.\n"); 130 | } 131 | } else { 132 | common::Logger::t_err("Subscribe market order failed: %s(errno: %d)\n", pRspInfo->ErrorMsg, 133 | pRspInfo->ErrorID); 134 | } 135 | } 136 | 137 | void LtsMdSpi::OnRtnL2MarketData( 138 | CSecurityFtdcL2MarketDataField *pL2MarketData) { 139 | // printf("ticker header size = %d\n", sizeof(h)); // 24 140 | writer_->write_market_data((const char *)pL2MarketData, sizeof(CSecurityFtdcL2MarketDataField), 1); 141 | } 142 | 143 | void LtsMdSpi::OnRtnL2Index(CSecurityFtdcL2IndexField *pL2Index) { 144 | // printf("ticker header size = %d\n", sizeof(h)); // 24 145 | writer_->write_market_data((const char *)pL2Index, sizeof(CSecurityFtdcL2IndexField), 2); 146 | } 147 | 148 | void LtsMdSpi::OnRtnL2Order(CSecurityFtdcL2OrderField *pL2Order) { 149 | // printf("ticker header size = %d\n", sizeof(h)); // 24 150 | writer_->write_market_data((const char *)pL2Order, sizeof(CSecurityFtdcL2OrderField), 3); 151 | } 152 | 153 | void LtsMdSpi::OnRtnL2Trade(CSecurityFtdcL2TradeField *pL2Trade) { 154 | // printf("ticker header size = %d\n", sizeof(h)); // 24 155 | writer_->write_market_data((const char *)pL2Trade, sizeof(CSecurityFtdcL2TradeField), 4); 156 | } 157 | 158 | void LtsMdSpi::subscribe_instruments_in_file_(const std::string &filePath, 159 | const std::string &exchangeID) { 160 | std::set subscriptions; 161 | std::ifstream ifs; 162 | ifs.open(filePath); 163 | const char delim('\n'); 164 | std::string instrument; 165 | while (getline(ifs, instrument, delim)) { 166 | subscriptions.insert(std::move(instrument)); 167 | } 168 | ifs.clear(); 169 | ifs.close(); 170 | 171 | char **subs = new char *[subscriptions.size()]; 172 | int idx = 0; 173 | for (auto &str : subscriptions) { 174 | subs[idx++] = (char *)str.c_str(); 175 | } 176 | api_->SubscribeL2MarketData(subs, idx, (char *)exchangeID.c_str()); 177 | api_->SubscribeL2Index(subs, idx, (char *)exchangeID.c_str()); 178 | api_->SubscribeL2OrderAndTrade(); 179 | delete[] subs; 180 | } 181 | 182 | void LtsMdSpi::OnFrontDisconnected(int reason) { 183 | common::Logger::t_err("Disconnected from front server (reason: %d).\n\t" 184 | "Reconnecting...\n", reason); 185 | std::string addr = config_.Get("FrontServer", "Address", ""); 186 | api_->RegisterFront((char *)addr.c_str()); 187 | } 188 | -------------------------------------------------------------------------------- /ltsmdspi.h: -------------------------------------------------------------------------------- 1 | #pragma once 2 | #include 3 | #include 4 | 5 | #include "ThirdParty/inih/INIReader.h" 6 | 7 | #include "LTS_API/SecurityFtdcL2MDUserApi.h" 8 | #include "mmap_buffer/mmapper.h" 9 | 10 | using namespace _LTS_; 11 | 12 | class LtsMdSpi : public CSecurityFtdcL2MDUserSpi { 13 | public: 14 | explicit LtsMdSpi(const std::string& config_file); 15 | ~LtsMdSpi(); 16 | 17 | static std::string getCurrentDate(); 18 | 19 | void start_serve(); 20 | 21 | protected: 22 | // 登录 23 | void OnFrontConnected() override; 24 | void OnRspUserLogin(CSecurityFtdcUserLoginField *pUserLogin, 25 | CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, 26 | bool bIsLast) override; 27 | // 订阅 28 | void OnRspSubL2MarketData( 29 | CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, 30 | CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) override; 31 | void 32 | OnRspSubL2Index(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, 33 | CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, 34 | bool bIsLast) override; 35 | void OnRspSubL2OrderAndTrade(CSecurityFtdcRspInfoField *pRspInfo, 36 | int nRequestID, bool bIsLast) override; 37 | // 接收 38 | void OnRtnL2MarketData(CSecurityFtdcL2MarketDataField *pL2MarketData) override; 39 | void OnRtnL2Index(CSecurityFtdcL2IndexField *pL2Index) override; 40 | void OnRtnL2Order(CSecurityFtdcL2OrderField *pL2Order) override; 41 | void OnRtnL2Trade(CSecurityFtdcL2TradeField *pL2Trade) override; 42 | 43 | // 掉线处理 44 | void OnFrontDisconnected(int reason) override; 45 | 46 | private: 47 | CSecurityFtdcL2MDUserApi *api_; 48 | INIReader config_; 49 | 50 | // requestID 51 | int reqID_; 52 | 53 | // void read_instruments_from_file_(const std::string& filePath, const 54 | // std::string& exchangeID); 55 | void subscribe_instruments_in_file_(const std::string &filePath, 56 | const std::string &exchangeID); 57 | 58 | mem::Writer* writer_; 59 | }; 60 | -------------------------------------------------------------------------------- /main.cpp: -------------------------------------------------------------------------------- 1 | #include 2 | #include 3 | #include 4 | 5 | #include 6 | #include 7 | 8 | #include "ltsmdspi.h" 9 | 10 | // kill -l: signal 1~64 11 | int signaled = 0; 12 | std::mutex signal_mu; 13 | std::condition_variable signal_cond; 14 | 15 | void signal_handler(int sig) { 16 | // use signal handler to avoid unsafe quit 17 | std::lock_guard lg(signal_mu); 18 | signaled = sig; 19 | signal_cond.notify_one(); 20 | } 21 | 22 | int main(int argc, const char *argv[]) { 23 | if (argc != 2) { 24 | fprintf(stdout, "Usage: %s \n", argv[0]); 25 | exit(-1); 26 | } 27 | 28 | // set handler for signal 29 | signal(SIGINT, signal_handler); 30 | signal(SIGTERM, signal_handler); 31 | 32 | LtsMdSpi spi(argv[1]); 33 | // LtsMdSpi spi(std::string(argv[1])); 34 | spi.start_serve(); 35 | 36 | { 37 | std::unique_lock ul(signal_mu); 38 | signal_cond.wait(ul, []{return signaled != 0;}); 39 | } 40 | 41 | fprintf(stderr, "Terminated by signal: %d\n", signaled); 42 | return 0; 43 | } 44 | -------------------------------------------------------------------------------- /mmap_buffer/mmapper.cpp: -------------------------------------------------------------------------------- 1 | #include 2 | #include 3 | #include // for open() 4 | #include // for close() 5 | #include // for memcpy() 6 | 7 | #include "mmapper.h" 8 | #include "../timing.hpp" 9 | #include "../logger.hpp" 10 | 11 | using namespace mem; 12 | 13 | Writer::Writer(size_t size_lim, std::string file_path): 14 | size_lim_(size_lim), file_path_(file_path), cur_pos_(0), pending_(0) 15 | { 16 | int fd = open(file_path_.c_str(), O_RDWR | O_CREAT | O_TRUNC, 0644); 17 | if (fd == -1) { 18 | common::Logger::t_err("Open file %s failed.\n", file_path_.c_str()); 19 | exit(-1); 20 | } 21 | 22 | // solve the bus error problem: 23 | // we should allocate space for the file first. 24 | lseek(fd, size_lim_-1, SEEK_SET); 25 | write(fd,"",1); 26 | 27 | mem_file_ptr_ = mmap(0, size_lim_, PROT_WRITE | PROT_READ, MAP_SHARED, fd, 0); 28 | if (mem_file_ptr_ == MAP_FAILED) { 29 | common::Logger::t_err("mmap failed.\n"); 30 | exit(-1); 31 | } 32 | 33 | spinlock_.clear(std::memory_order_release); 34 | close(fd); 35 | } 36 | 37 | Writer::~Writer() { 38 | if (munmap(mem_file_ptr_, size_lim_) == -1) { 39 | common::Logger::t_err("munmap failed.\n"); 40 | } 41 | // resize the file to actual size 42 | truncate(file_path_.c_str(), cur_pos_); 43 | common::Logger::t_out("Safely quit mmap\n"); 44 | mem_file_ptr_ = nullptr; 45 | } 46 | 47 | void Writer::write_data(const char* data, size_t len) { 48 | /* 这两条语句中间可能被打断，并不是安全的 49 | size_t old_pos = cur_pos_.load(); 50 | cur_pos_ += len; 51 | */ 52 | while(spinlock_.test_and_set(std::memory_order_acquire)) { 53 | // acquire spinlock 54 | // atomically set flag to true and return previous value 55 | } 56 | size_t old_pos = cur_pos_; 57 | cur_pos_ += len; 58 | if (cur_pos_ > size_lim_) { 59 | remap(size_lim_ << 1); 60 | } 61 | spinlock_.clear(std::memory_order_release); // release spinlock 62 | 63 | pending_ += 1; 64 | std::memcpy((char *)mem_file_ptr_ + old_pos, data, len); 65 | pending_ -= 1; 66 | } 67 | 68 | void Writer::remap(size_t new_size) { 69 | // should be very time consuming, try to avoid 70 | 71 | // wait for all pending memcpy 72 | while (pending_ != 0) { 73 | } 74 | 75 | void* new_addr = mremap(mem_file_ptr_, size_lim_, new_size, MREMAP_MAYMOVE); 76 | if (new_addr == MAP_FAILED) { 77 | common::Logger::t_err("failed when try to remap...\n"); 78 | exit(-1); 79 | } 80 | 81 | 82 | // extend file 83 | int fd = open(file_path_.c_str(), O_RDWR); 84 | if (fd == -1) { 85 | common::Logger::t_err("open file %s failed.\n", file_path_.c_str()); 86 | exit(-1); 87 | } 88 | lseek(fd, new_size-1, SEEK_SET); 89 | write(fd,"",1); 90 | close(fd); 91 | 92 | if (new_addr != mem_file_ptr_) { 93 | common::Logger::t_out("REMAP: map address changed from %p to %p...\n", mem_file_ptr_, new_addr); 94 | mem_file_ptr_ = new_addr; 95 | } 96 | size_lim_ = new_size; 97 | 98 | common::Logger::t_out("REMAP: extend limit to %08x\n", new_size); 99 | } 100 | 101 | 102 | void Writer::write_market_data(const char* data, size_t len, uint32_t msg_id) { 103 | 104 | while(spinlock_.test_and_set(std::memory_order_acquire)) { 105 | // acquire spinlock 106 | // atomically set flag to true and return previous value 107 | } 108 | size_t old_pos = cur_pos_; 109 | cur_pos_ += len + sizeof(common::tick_header); 110 | 111 | // overflow? 112 | if (cur_pos_ > size_lim_) { 113 | remap(size_lim_ << 1); 114 | } 115 | spinlock_.clear(std::memory_order_release); // release spinlock 116 | 117 | pending_ += 1; 118 | // write header 119 | common::tick_header::init((char *)mem_file_ptr_ + old_pos); 120 | common::tick_header *header = (common::tick_header *)((char *)mem_file_ptr_ + old_pos); 121 | header->msg_id = msg_id; 122 | header->body_size = len; 123 | // write body 124 | std::memcpy((char *)mem_file_ptr_ + old_pos + sizeof(common::tick_header), data, len); 125 | 126 | pending_ -= 1; 127 | } 128 | -------------------------------------------------------------------------------- /mmap_buffer/mmapper.h: -------------------------------------------------------------------------------- 1 | #pragma once 2 | #include 3 | #include 4 | 5 | namespace mem { 6 | class Writer { 7 | public: 8 | explicit Writer(size_t size_lim, const std::string file_path); 9 | ~Writer(); 10 | void write_data(const char* data, size_t len); 11 | 12 | // for market data only 13 | void write_market_data(const char* data, size_t len, uint32_t msg_id); 14 | private: 15 | size_t size_lim_; 16 | void* mem_file_ptr_; 17 | std::string file_path_; 18 | // UPDATE: use a spinlock, so we don't need it to be atomic 19 | size_t cur_pos_; 20 | 21 | // for remap when overflow 22 | std::atomic_flag spinlock_; 23 | std::atomic pending_; 24 | void remap(size_t new_size); 25 | }; 26 | } 27 | -------------------------------------------------------------------------------- /timing.hpp: -------------------------------------------------------------------------------- 1 | #pragma once 2 | 3 | #include 4 | #include 5 | #include 6 | 7 | #define PACKED __attribute__((packed)) 8 | #define unlikely(cond) __builtin_expect(!!(cond), 0) 9 | 10 | 11 | namespace common { 12 | 13 | constexpr static size_t nanos_per_second = 1'000'000'000; 14 | 15 | static inline uint64_t local_timestamp_ns() { 16 | struct timespec ts; 17 | if (unlikely(clock_gettime(CLOCK_REALTIME, &ts) == -1)) 18 | return 0; 19 | return ts.tv_sec * nanos_per_second + ts.tv_nsec; 20 | } 21 | 22 | struct tick_header { 23 | uint64_t timestamp = 0; 24 | // per msg seq id (not global seq id), 0 means not available 25 | uint64_t seq_id = 0; 26 | uint32_t msg_id = 0; 27 | uint32_t body_size = 0; // tick header itself is not involved 28 | 29 | inline void init() { 30 | timestamp = common::local_timestamp_ns(); 31 | seq_id = 0; 32 | msg_id = 0; 33 | body_size = 0; 34 | } 35 | 36 | inline static void init(char *addr) { 37 | auto header = (tick_header *)addr; 38 | header->timestamp = common::local_timestamp_ns(); 39 | header->seq_id = 0; 40 | header->msg_id = 0; 41 | header->body_size = 0; 42 | } 43 | 44 | } PACKED; 45 | } 46 | --------------------------------------------------------------------------------