量化交易之One Piece篇 - MarketCTP.cc

#include 
#include 
 
#include 
#include 
#include 
#include 
 
MarketCTP::MarketCTP(AccountSPtr accountPtr): m_api(nullptr), m_nRequestID(0), m_accountPtr(accountPtr), m_coreListener(nullptr) {
    string fileName = string("./log/") + string("marketctp") + string(".log");
    this->m_marketLogger = std::make_shared("MarketCTPLogger", std::make_shared(fileName.c_str()));
 
    this->m_marketLogger->set_level(spdlog::level::info);
    this->m_marketLogger->flush_on(spdlog::level::info);
}
 
MarketCTP::~MarketCTP() {
    this->Disconnect();
 
    if (this->m_accountPtr)
        this->m_accountPtr.reset();
 
    this->m_coreListener = nullptr;
 
    if (this->m_marketLogger)
        this->m_marketLogger.reset();
}
 
 
bool MarketCTP::Connect() {
    this->m_marketLogger->info("MarketCTP::Connect.");
 
    string marketRuntimeFold = this->m_accountPtr->MarketRuntimeFold()->empty() ? "./runtime_md_ctp/" : this->m_accountPtr->MarketRuntimeFold()->data();
    if (!boost::filesystem::exists(marketRuntimeFold) && mkdir(marketRuntimeFold.c_str(), S_IRWXU | S_IRWXG | S_IROTH | S_IXOTH)) {
        this->m_marketLogger->error("[MarketCTP::Connect]: runtime_md is not exist, and make runtime_md dir failed.");
        return false;
    }
    
    this->m_api = CThostFtdcMdApi::CreateFtdcMdApi(marketRuntimeFold.c_str(), false, false);
    this->m_api->RegisterSpi(this);
 
    // string md_url = "tcp://218.17.194.3:41205"; // 招商期货.
    // string md_url = "tcp://180.168.146.187:10131"; // simnow 全天站点
    this->m_api->RegisterFront((char *)this->m_accountPtr->MarketFrontAddress()->data());
    this->m_api->Init();
 
    return true;
}
 
bool MarketCTP::Disconnect() {
    if (!this->m_api) {
        this->m_marketLogger->error("[MarketCTP::Disconnect]: this->m_api is nullptr.");
        return false;
    }
 
    this->m_api->RegisterSpi(NULL);
    this->m_api->Release();
    this->m_api = nullptr;
 
    return true;
}
 
void MarketCTP::Subscribe(const shared_ptr> instruments) {
    if (!instruments) {
        this->m_marketLogger->error("[MarketCTP::Subscribe]: instruments is nullptr.");
        return;
    }
 
    this->m_marketLogger->info("[MarketCTP::Subscribe]: instruments.size: {0}.", instruments->size());
    if (!this->m_api) {
        this->m_marketLogger->error("[MarketCTP::Subscribe]: this->m_api is nullptr.");
        return;
    }
 
    // 订阅合约
    // vector instrumentsFormat = {"rb2310"}; // for test.
    vector<char*> instrumentsFormat;
    for (size_t i = 0; i < instruments->size(); i++) {
        instrumentsFormat.push_back(const_cast<char*>(instruments->at(i).c_str()));
    }
    this->m_api->SubscribeMarketData(instrumentsFormat.data(), instrumentsFormat.size());
 
    instrumentsFormat.clear(), instrumentsFormat.shrink_to_fit();
}
 
 
void MarketCTP::Unsubscribe(const shared_ptr> instruments) {
    // 退订合约
}
 
 
bool MarketCTP::RegisterListener(ICoreListener* coreListener) {
    if (!coreListener) {
        this->m_marketLogger->error("[MarketCTP::RegisterListener]: coreListener is nullptr.");
        return false;
    } 
    
    this->m_coreListener = coreListener;
 
    return true;
}
 
 
void MarketCTP::OnFrontConnected() {
    this->m_marketLogger->info("MarketCTP::OnFrontConnected.");
    if (!this->m_api) {
        this->m_marketLogger->error("[MarketCTP::OnFrontConnected]: this->m_api is nullptr.");
        return;
    }
 
    // login
    CThostFtdcReqUserLoginField req = {};
    this->m_api->ReqUserLogin(&req, MakeRequestID());
}
 
 
void MarketCTP::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {
    this->m_marketLogger->info("MarketCTP::OnRspUserLogin.");
 
    if (bIsLast && this->m_coreListener)
        this->m_coreListener->OnMarketReady(make_shared(0, ""));
}
 
void MarketCTP::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData) {
    if (pDepthMarketData && this->m_coreListener) {
        TickSPtr tickSPtr = make_shared(pDepthMarketData);
 
        ContractSPtr contractSPtr = this->m_coreListener->GetSysContractSPtr(tickSPtr->InstrumentID()->data());
        if (!contractSPtr) {
            this->m_marketLogger->error("[MarketCTP::OnRtnDepthMarketData]: contract({0}) not in sys.", tickSPtr->InstrumentID()->c_str());
            return;
        }
 
        tickSPtr->setExchangeInstrument(contractSPtr->ExchangeInstrument());
        tickSPtr->setPriceTick(contractSPtr->PriceTick());
        tickSPtr->setVolumeMultiple(contractSPtr->VolumeMultiple());
        
        if (this->m_coreListener)
            this->m_coreListener->HandleTick(tickSPtr);
    }
}
 
void MarketCTP::OnFrontDisconnected(int nReason) {
    this->m_marketLogger->error("MarketCTP::OnFrontDisconnected(int nReason): {0}.", this->GetDisconnectedReason(nReason));
}
 
void MarketCTP::OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {
    this->m_marketLogger->error("MarketCTP::OnRspError.");
}
 
void MarketCTP::OnHeartBeatWarning(int nTimeLapse) {
    this->m_marketLogger->info("MarketCTP::OnHeartBeatWarning nTimeLapse: {0}.", nTimeLapse);
}