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#include "stdafx.h"
#include "MdUserApi.h"
#include "../include/QueueEnum.h"
#include "../include/QueueHeader.h"
#include "../include/ApiHeader.h"
#include "../include/ApiStruct.h"
#include "../include/toolkit.h"
#include "../include/ApiProcess.h"
#include "../QuantBox_Queue/MsgQueue.h"
#ifdef _REMOTE
#include "../QuantBox_Queue/RemoteQueue.h"
#endif
#include <string.h>
#include <mutex>
#include <vector>
using namespace std;
ExchangeType TSecurityFtdcExchangeIDType_2_ExchangeType(TSecurityFtdcExchangeIDType In)
{
switch (In[1])
{
case 'S':
return ExchangeType::SSE;
case 'Z':
return ExchangeType::SZE;
default:
return ExchangeType::Undefined_;
}
}
void* __stdcall Query(char type, void* pApi1, void* pApi2, double double1, double double2, void* ptr1, int size1, void* ptr2, int size2, void* ptr3, int size3)
{
// 由内部调用，不用检查是否为空
CMdUserApi* pApi = (CMdUserApi*)pApi2;
pApi->QueryInThread(type, pApi1, pApi2, double1, double2, ptr1, size1, ptr2, size2, ptr3, size3);
return nullptr;
}
CMdUserApi::CMdUserApi(void)
{
m_pApi = nullptr;
m_lRequestID = 0;
m_nSleep = 1;
// 自己维护两个消息队列
m_msgQueue = new CMsgQueue();
m_msgQueue_Query = new CMsgQueue();
m_msgQueue_Query->Register((void*)Query, this);
m_msgQueue_Query->StartThread();
m_remoteQueue = nullptr;
}
CMdUserApi::~CMdUserApi(void)
{
Disconnect();
}
void CMdUserApi::QueryInThread(char type, void* pApi1, void* pApi2, double double1, double double2, void* ptr1, int size1, void* ptr2, int size2, void* ptr3, int size3)
{
int iRet = 0;
switch (type)
{
case E_Init:
iRet = _Init();
break;
case E_ReqUserLoginField:
iRet = _ReqUserLogin(type, pApi1, pApi2, double1, double2, ptr1, size1, ptr2, size2, ptr3, size3);
break;
default:
break;
}
if (0 == iRet)
{
//返回成功，填加到已发送池
m_nSleep = 1;
}
else
{
m_msgQueue_Query->Input_Copy(type, pApi1, pApi2, double1, double2, ptr1, size1, ptr2, size2, ptr3, size3);
//失败，按4的幂进行延时，但不超过1s
m_nSleep *= 4;
m_nSleep %= 1023;
}
this_thread::sleep_for(chrono::milliseconds(m_nSleep));
}
void CMdUserApi::Register(void* pCallback, void* pClass)
{
m_pClass = pClass;
if (m_msgQueue == nullptr)
return;
m_msgQueue_Query->Register((void*)Query,this);
m_msgQueue->Register(pCallback,this);
if (pCallback)
{
m_msgQueue_Query->StartThread();
m_msgQueue->StartThread();
}
else
{
m_msgQueue_Query->StopThread();
m_msgQueue->StopThread();
}
}
bool CMdUserApi::IsErrorRspInfo(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
{
bool bRet = ((pRspInfo) && (pRspInfo->ErrorID != 0));
if (bRet)
{
ErrorField* pField = (ErrorField*)m_msgQueue->new_block(sizeof(ErrorField));
pField->ErrorID = pRspInfo->ErrorID;
strcpy(pField->ErrorMsg, pRspInfo->ErrorMsg);
m_msgQueue->Input_NoCopy(ResponeType::OnRtnError, m_msgQueue, m_pClass, bIsLast, 0, pField, sizeof(ErrorField), nullptr, 0, nullptr, 0);
}
return bRet;
}
bool CMdUserApi::IsErrorRspInfo(CSecurityFtdcRspInfoField *pRspInfo)
{
bool bRet = ((pRspInfo) && (pRspInfo->ErrorID != 0));
return bRet;
}
void CMdUserApi::Connect(const string& szPath,
ServerInfoField* pServerInfo,
UserInfoField* pUserInfo)
{
m_szPath = szPath;
memcpy(&m_ServerInfo, pServerInfo, sizeof(ServerInfoField));
memcpy(&m_UserInfo, pUserInfo, sizeof(UserInfoField));
m_msgQueue_Query->Input_NoCopy(RequestType::E_Init, m_msgQueue_Query, this, 0, 0,
nullptr, 0, nullptr, 0, nullptr, 0);
#ifdef _REMOTE
// 将收到的行情通过ZeroMQ发送出去
if (strlen(m_ServerInfo.ExtendInformation) > 0)
{
m_remoteQueue = new CRemoteQueue(m_ServerInfo.ExtendInformation);
m_remoteQueue->StartThread();
}
#endif
}
int CMdUserApi::_Init()
{
char *pszPath = new char[m_szPath.length() + 1024];
srand((unsigned int)time(nullptr));
sprintf(pszPath, "%s/%s/%s/Md/%d/", m_szPath.c_str(), m_ServerInfo.BrokerID, m_UserInfo.UserID, rand());
makedirs(pszPath);
m_pApi = CSecurityFtdcMdApi::CreateFtdcMdApi(pszPath);
delete[] pszPath;
m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Initialized, 0, nullptr, 0, nullptr, 0, nullptr, 0);
if (m_pApi)
{
m_pApi->RegisterSpi(this);
//添加地址
size_t len = strlen(m_ServerInfo.Address) + 1;
char* buf = new char[len];
strncpy(buf, m_ServerInfo.Address, len);
char* token = strtok(buf, _QUANTBOX_SEPS_);
while (token)
{
if (strlen(token)>0)
{
m_pApi->RegisterFront(token);
}
token = strtok(nullptr, _QUANTBOX_SEPS_);
}
delete[] buf;
//初始化连接
m_pApi->Init();
m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Connecting, 0, nullptr, 0, nullptr, 0, nullptr, 0);
}
return 0;
}
void CMdUserApi::ReqUserLogin()
{
CSecurityFtdcReqUserLoginField* pBody = (CSecurityFtdcReqUserLoginField*)m_msgQueue_Query->new_block(sizeof(CSecurityFtdcReqUserLoginField));
strncpy(pBody->BrokerID, m_ServerInfo.BrokerID, sizeof(TSecurityFtdcBrokerIDType));
strncpy(pBody->UserID, m_UserInfo.UserID, sizeof(TSecurityFtdcInvestorIDType));
strncpy(pBody->Password, m_UserInfo.Password, sizeof(TSecurityFtdcPasswordType));
m_msgQueue_Query->Input_NoCopy(RequestType::E_ReqUserLoginField, m_msgQueue_Query, this, 0, 0,
pBody, sizeof(CSecurityFtdcReqUserLoginField), nullptr, 0, nullptr, 0);
}
int CMdUserApi::_ReqUserLogin(char type, void* pApi1, void* pApi2, double double1, double double2, void* ptr1, int size1, void* ptr2, int size2, void* ptr3, int size3)
{
m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Logining, 0, nullptr, 0, nullptr, 0, nullptr, 0);
return m_pApi->ReqUserLogin((CSecurityFtdcReqUserLoginField*)ptr1, ++m_lRequestID);
}
void CMdUserApi::Disconnect()
{
// 清理查询队列
if (m_msgQueue_Query)
{
m_msgQueue_Query->StopThread();
m_msgQueue_Query->Register(nullptr,nullptr);
m_msgQueue_Query->Clear();
delete m_msgQueue_Query;
m_msgQueue_Query = nullptr;
}
if (m_pApi)
{
m_pApi->RegisterSpi(NULL);
m_pApi->Release();
m_pApi = NULL;
// 全清理，只留最后一个
m_msgQueue->Clear();
m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Disconnected, 0, nullptr, 0, nullptr, 0, nullptr, 0);
// 主动触发
m_msgQueue->Process();
}
// 清理响应队列
if (m_msgQueue)
{
m_msgQueue->StopThread();
m_msgQueue->Register(nullptr,nullptr);
m_msgQueue->Clear();
delete m_msgQueue;
m_msgQueue = nullptr;
}
// 清理队列
if (m_remoteQueue)
{
m_remoteQueue->StopThread();
m_remoteQueue->Register(nullptr, nullptr);
m_remoteQueue->Clear();
delete m_remoteQueue;
m_remoteQueue = nullptr;
}
}
void CMdUserApi::Subscribe(const string& szInstrumentIDs, const string& szExchageID)
{
if(nullptr == m_pApi)
return;
vector<char*> vct;
set<char*> st;
lock_guard<mutex> cl(m_csMapInstrumentIDs);
set<string> _setInstrumentIDs;
map<string, set<string> >::iterator it = m_mapInstrumentIDs.find(szExchageID);
if (it != m_mapInstrumentIDs.end())
{
_setInstrumentIDs = it->second;
}
char* pBuf = GetSetFromString(szInstrumentIDs.c_str(), _QUANTBOX_SEPS_, vct, st, 1, _setInstrumentIDs);
m_mapInstrumentIDs[szExchageID] = _setInstrumentIDs;
if(vct.size()>0)
{
//转成字符串数组
char** pArray = new char*[vct.size()];
for (size_t j = 0; j<vct.size(); ++j)
{
pArray[j] = vct[j];
}
//订阅
m_pApi->SubscribeMarketData(pArray, (int)vct.size(), (char*)(szExchageID.c_str()));
delete[] pArray;
}
delete[] pBuf;
}
void CMdUserApi::Subscribe(const set<string>& instrumentIDs, const string& szExchageID)
{
if(nullptr == m_pApi)
return;
string szInstrumentIDs;
for(set<string>::iterator i=instrumentIDs.begin();i!=instrumentIDs.end();++i)
{
szInstrumentIDs.append(*i);
szInstrumentIDs.append(";");
}
if (szInstrumentIDs.length()>1)
{
Subscribe(szInstrumentIDs, szExchageID);
}
}
void CMdUserApi::Unsubscribe(const string& szInstrumentIDs, const string& szExchageID)
{
if(nullptr == m_pApi)
return;
vector<char*> vct;
set<char*> st;
lock_guard<mutex> cl(m_csMapInstrumentIDs);
set<string> _setInstrumentIDs;
map<string, set<string> >::iterator it = m_mapInstrumentIDs.find(szExchageID);
if (it != m_mapInstrumentIDs.end())
{
_setInstrumentIDs = it->second;
}
char* pBuf = GetSetFromString(szInstrumentIDs.c_str(), _QUANTBOX_SEPS_, vct, st, -1, _setInstrumentIDs);
m_mapInstrumentIDs[szExchageID] = _setInstrumentIDs;
if(vct.size()>0)
{
//转成字符串数组
char** pArray = new char*[vct.size()];
for (size_t j = 0; j<vct.size(); ++j)
{
pArray[j] = vct[j];
}
//订阅
m_pApi->UnSubscribeMarketData(pArray, (int)vct.size(), (char*)(szExchageID.c_str()));
delete[] pArray;
}
delete[] pBuf;
}
void CMdUserApi::OnFrontConnected()
{
m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Connected, 0, nullptr, 0, nullptr, 0, nullptr, 0);
//连接成功后自动请求登录
ReqUserLogin();
}
void CMdUserApi::OnFrontDisconnected(int nReason)
{
RspUserLoginField* pField = (RspUserLoginField*)m_msgQueue->new_block(sizeof(RspUserLoginField));
//连接失败返回的信息是拼接而成，主要是为了统一输出
pField->ErrorID = nReason;
GetOnFrontDisconnectedMsg(nReason, pField->ErrorMsg);
m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Disconnected, 0, pField, sizeof(RspUserLoginField), nullptr, 0, nullptr, 0);
}
void CMdUserApi::OnRspUserLogin(CSecurityFtdcRspUserLoginField *pRspUserLogin, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
{
RspUserLoginField* pField = (RspUserLoginField*)m_msgQueue->new_block(sizeof(RspUserLoginField));
if (!IsErrorRspInfo(pRspInfo)
&&pRspUserLogin)
{
//GetExchangeTime(pRspUserLogin->TradingDay, nullptr, pRspUserLogin->LoginTime,
// &pField->TradingDay, nullptr, &pField->LoginTime, nullptr);
pField->TradingDay = GetDate(pRspUserLogin->TradingDay);
pField->LoginTime = GetTime(pRspUserLogin->LoginTime);
sprintf(pField->SessionID, "%d:%d", pRspUserLogin->FrontID, pRspUserLogin->SessionID);
m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Logined, 0, pField, sizeof(RspUserLoginField), nullptr, 0, nullptr, 0);
m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Done, 0, nullptr, 0, nullptr, 0, nullptr, 0);
//有可能断线了，本处是断线重连后重新订阅
map<string, set<string> > mapOld = m_mapInstrumentIDs;//记下上次订阅的合约
for (map<string, set<string> >::iterator i = mapOld.begin(); i != mapOld.end(); ++i)
{
string strkey = i->first;
set<string> setValue = i->second;
Subscribe(setValue, strkey);//订阅
}
//有可能断线了，本处是断线重连后重新订阅
//mapOld = m_setQuoteInstrumentIDs;//记下上次订阅的合约
//SubscribeQuote(mapOld, "");//订阅
}
else
{
pField->ErrorID = pRspInfo->ErrorID;
strncpy(pField->ErrorMsg, pRspInfo->ErrorMsg, sizeof(ErrorMsgType));
m_msgQueue->Input_NoCopy(ResponeType::OnConnectionStatus, m_msgQueue, m_pClass, ConnectionStatus::Disconnected, 0, pField, sizeof(RspUserLoginField), nullptr, 0, nullptr, 0);
}
}
void CMdUserApi::OnRspError(CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
{
IsErrorRspInfo(pRspInfo, nRequestID, bIsLast);
}
void CMdUserApi::OnRspSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
{
//在模拟平台可能这个函数不会触发，所以要自己维护一张已经订阅的合约列表
if(!IsErrorRspInfo(pRspInfo,nRequestID,bIsLast)
&&pSpecificInstrument)
{
lock_guard<mutex> cl(m_csMapInstrumentIDs);
set<string> _setInstrumentIDs;
map<string, set<string> >::iterator it = m_mapInstrumentIDs.find(pSpecificInstrument->ExchangeID);
if (it != m_mapInstrumentIDs.end())
{
_setInstrumentIDs = it->second;
}
_setInstrumentIDs.insert(pSpecificInstrument->InstrumentID);
m_mapInstrumentIDs[pSpecificInstrument->ExchangeID] = _setInstrumentIDs;
}
}
void CMdUserApi::OnRspUnSubMarketData(CSecurityFtdcSpecificInstrumentField *pSpecificInstrument, CSecurityFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
{
//模拟平台可能这个函数不会触发
if(!IsErrorRspInfo(pRspInfo,nRequestID,bIsLast)
&&pSpecificInstrument)
{
lock_guard<mutex> cl(m_csMapInstrumentIDs);
set<string> _setInstrumentIDs;
map<string, set<string> >::iterator it = m_mapInstrumentIDs.find(pSpecificInstrument->ExchangeID);
if (it != m_mapInstrumentIDs.end())
{
_setInstrumentIDs = it->second;
}
_setInstrumentIDs.erase(pSpecificInstrument->InstrumentID);
m_mapInstrumentIDs[pSpecificInstrument->ExchangeID] = _setInstrumentIDs;
}
}
//行情回调，得保证此函数尽快返回
void CMdUserApi::OnRtnDepthMarketData(CSecurityFtdcDepthMarketDataField *pDepthMarketData)
{
DepthMarketDataNField* pField = (DepthMarketDataNField*)m_msgQueue->new_block(sizeof(DepthMarketDataNField)+sizeof(DepthField)* 10);
strcpy(pField->InstrumentID, pDepthMarketData->InstrumentID);
pField->Exchange = TSecurityFtdcExchangeIDType_2_ExchangeType(pDepthMarketData->ExchangeID);
sprintf(pField->Symbol, "%s.%s", pField->InstrumentID, pDepthMarketData->ExchangeID);
GetExchangeTime(pDepthMarketData->TradingDay, nullptr, pDepthMarketData->UpdateTime
, &pField->TradingDay, &pField->ActionDay, &pField->UpdateTime, &pField->UpdateMillisec);
pField->UpdateMillisec = pDepthMarketData->UpdateMillisec;
pField->LastPrice = pDepthMarketData->LastPrice;
pField->Volume = pDepthMarketData->Volume;
pField->Turnover = pDepthMarketData->Turnover;
pField->OpenInterest = pDepthMarketData->OpenInterest;
pField->AveragePrice = pDepthMarketData->AveragePrice;
pField->OpenPrice = pDepthMarketData->OpenPrice == DBL_MAX ? 0 : pDepthMarketData->OpenPrice;
pField->HighestPrice = pDepthMarketData->HighestPrice == DBL_MAX ? 0 : pDepthMarketData->HighestPrice;
pField->LowestPrice = pDepthMarketData->LowestPrice == DBL_MAX ? 0 : pDepthMarketData->LowestPrice;
pField->ClosePrice = pDepthMarketData->ClosePrice == DBL_MAX ? 0 : pDepthMarketData->ClosePrice;
pField->SettlementPrice = pDepthMarketData->SettlementPrice;
pField->UpperLimitPrice = pDepthMarketData->UpperLimitPrice;
pField->LowerLimitPrice = pDepthMarketData->LowerLimitPrice;
pField->PreClosePrice = pDepthMarketData->PreClosePrice;
pField->PreSettlementPrice = pDepthMarketData->PreSettlementPrice;
pField->PreOpenInterest = pDepthMarketData->PreOpenInterest;
InitBidAsk(pField);
do
{
if (pDepthMarketData->BidVolume1 == 0)
break;
AddBid(pField, pDepthMarketData->BidPrice1, pDepthMarketData->BidVolume1, 0);
if (pDepthMarketData->BidVolume2 == 0)
break;
AddBid(pField, pDepthMarketData->BidPrice2, pDepthMarketData->BidVolume2, 0);
if (pDepthMarketData->BidVolume3 == 0)
break;
AddBid(pField, pDepthMarketData->BidPrice3, pDepthMarketData->BidVolume3, 0);
if (pDepthMarketData->BidVolume4 == 0)
break;
AddBid(pField, pDepthMarketData->BidPrice4, pDepthMarketData->BidVolume4, 0);
if (pDepthMarketData->BidVolume5 == 0)
break;
AddBid(pField, pDepthMarketData->BidPrice5, pDepthMarketData->BidVolume5, 0);
} while (false);
do
{
if (pDepthMarketData->AskVolume1 == 0)
break;
AddAsk(pField, pDepthMarketData->AskPrice1, pDepthMarketData->AskVolume1, 0);
if (pDepthMarketData->AskVolume2 == 0)
break;
AddAsk(pField, pDepthMarketData->AskPrice2, pDepthMarketData->AskVolume2, 0);
if (pDepthMarketData->AskVolume3 == 0)
break;
AddAsk(pField, pDepthMarketData->AskPrice3, pDepthMarketData->AskVolume3, 0);
if (pDepthMarketData->AskVolume4 == 0)
break;
AddAsk(pField, pDepthMarketData->AskPrice4, pDepthMarketData->AskVolume4, 0);
if (pDepthMarketData->AskVolume5 == 0)
break;
AddAsk(pField, pDepthMarketData->AskPrice5, pDepthMarketData->AskVolume5, 0);
} while (false);
// 这两个队列先头循序不要搞混，有删除功能的语句要放在后面
// 如果放前面，会导致远程收到乱码
#ifdef _REMOTE
if (m_remoteQueue)
{
m_remoteQueue->Input_Copy(ResponeType::OnRtnDepthMarketData, m_msgQueue, m_pClass, DepthLevelType::FULL, 0, pField, pField->Size, nullptr, 0, nullptr, 0);
}
#endif
m_msgQueue->Input_NoCopy(ResponeType::OnRtnDepthMarketData, m_msgQueue, m_pClass, DepthLevelType::FULL, 0, pField, pField->Size, nullptr, 0, nullptr, 0);
}
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