发布时间：2018-09-25

技术：C++11,动态库的制作

概述

CTP的接入Demo

详细

本文档不介绍CTP的具体流程，具体流程请参考上海期货交易所文档(下载).

一、概述

1.CTP是上期技术，提供的国内期货行情和交易的接口，自推出以来，各大券商均架设了CTP技术的接入，引入策略算法便可以初步形成一个自动交易的系统，这也就吸引了很多对自动交易，策略交易感兴趣的各路高人来使用。

2.CTP难点在于，一个库提供了行情和交易两套接口，各自均有一套业务流程，而且两者在业务上还存在部分业务关联，也就是说还要处理两套之间的业务同步问题，没有一些C++基础的人很难开发好用的CTP库。

3.本Demo目标是，在Windows环境下做两个程序：

一个封装CTP行情和交易接口成一个库，尽可能在高内聚低耦合的情况下，保持代码清晰，通俗尽可能让；

一个执行程序很容易的去调用这个库，这里没有使用MFC或QT，直接采用控制台程序，很清晰的展示使用库。

二、准备环境

1.开发工具:visual studio 2015或以上版本（下载）

本Demo采用Visual studio 2015 专业版 update 3

Windows7 64位

2.下载上期CTP库（下载）

综合交易平台API下载，下载列表中的windows下64位库（最新(2015-05-15)），解压如下:

3.申请模拟账号(申请)

主页右上角，注册账号，例子中方便开箱即用，会使用我自己申请好的，请自行换成自己的帐号。

三、程序介绍

1.先看下Demo的运行效果。

2.程序目录结构

①Show all files模式下，VS工程目录结构如下图:

共两个项目,CTPSample和CTPServer,CTPSample为封装交易所CTP的动态库，CTPServer为使用库的UI程序。

②代码目录结构

bin64

-----CTP CTP产生的共享文件

-----Log 日志文件

config.cfg 配置文件

build

CTPServer.sln 存放工程文件

Src

------CTPSample DLL代码

------CTPServer UI代码

------Framwork 框架代码，避免复杂，不做公开（这里主要提供日志，数据定义，可自己替换）

说明：confg.cfg主要保存了CTP的地址(其他均为非本Demo演示的主要功能)：

[info]

CTPFront.trade1 = tcp://180.168.146.187:10030

CTPFront.quote1 = tcp://180.168.146.187:10031

CTPFront.trade2 = tcp://180.168.146.187:10001

CTPFront.quote2 = tcp://180.168.146.187:10011

CTPFront.trade3 = tcp://218.202.237.33:10002

CTPFront.quote3 = tcp://ctp1-md11.citicsf.com:41213

3.模块介绍

CTPSample模块

CTPBase.h 动态库的导出定义

MyCTPQuote.h/MyCTPQuote.CPP 交易的封装

MyCTPQuote.h/MyCTPQuote.cpp 行情的封装

CTPServer模块

TradeManager.h/TradeManager.cpp UI主逻辑

CTPServer.cpp main启动

四、程序解析

1. CTPSample模块之MyCTPQuote.h

//定义一个管理器，管理行情接受
class   CTPSAMPLE_EXPORT MyCTPQuote
{//嵌入行情回报类class  MyRecv : public  CThostFtdcMdSpi{public:MyRecv():m_Parent(nullptr) {};~MyRecv() {};void Bind(MyCTPQuote  *Parent) { m_Parent = Parent; }public:///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。virtual void OnFrontConnected() { m_Parent->OnFrontConnected(); }///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。///@param nReason 错误原因///        0x1001 网络读失败///        0x1002 网络写失败///        0x2001 接收心跳超时///        0x2002 发送心跳失败///        0x2003 收到错误报文virtual void OnFrontDisconnected(int nReason) { m_Parent->OnFrontDisconnected(nReason); }///心跳超时警告。当长时间未收到报文时，该方法被调用。///@param nTimeLapse 距离上次接收报文的时间virtual void OnHeartBeatWarning(int nTimeLapse) { m_Parent->OnHeartBeatWarning(nTimeLapse); }///登录请求响应virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspUserLogin(pRspUserLogin, pRspInfo, nRequestID, bIsLast); }///登出请求响应virtual void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){ m_Parent->OnRspUserLogout(pUserLogout, pRspInfo,  nRequestID,  bIsLast); }///错误应答virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspError(pRspInfo, nRequestID,  bIsLast); }///订阅行情应答virtual void OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspSubMarketData(pSpecificInstrument, pRspInfo, nRequestID, bIsLast); }///取消订阅行情应答virtual void OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){ m_Parent->OnRspUnSubMarketData(pSpecificInstrument, pRspInfo, nRequestID,  bIsLast); }///订阅询价应答virtual void OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspSubForQuoteRsp(pSpecificInstrument, pRspInfo,  nRequestID,  bIsLast); }///取消订阅询价应答virtual void OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){ m_Parent->OnRspUnSubForQuoteRsp(pSpecificInstrument, pRspInfo,  nRequestID,  bIsLast); }///深度行情通知virtual void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData) { m_Parent->OnRtnDepthMarketData(pDepthMarketData); }///询价通知virtual void OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp) { m_Parent->OnRtnForQuoteRsp(pForQuoteRsp); }public:MyCTPQuote  *m_Parent;};//thread
public:MyCTPQuote( );~MyCTPQuote();void    setMainWidget(void *widget);// 订阅广播报文void Subscribe(CPacketReceiver *pPacketReceiver);// 取消广播报文订阅void Unsubscribe(CPacketReceiver *pPacketReceiver);static  MyCTPQuote *Instance();void  Init(const char  *User, const  char  *pswd, const  char  *broker, const char *pszAddress);void  FinishQryInstrument();void  setLog(const string&  str);bool      m_bLoginSuccessed;
public:///请求类函数,提供主要逻辑，供外部使用///用户登录请求int ReqUserLogin(CThostFtdcReqUserLoginField *pReqUserLoginField, int nRequestID) { return m_reqApi->ReqUserLogin(pReqUserLoginField, nRequestID );}///登出请求int ReqUserLogout(CThostFtdcUserLogoutField *pUserLogout, int nRequestID) { return m_reqApi->ReqUserLogout(pUserLogout, nRequestID); }///获取当前交易日///@retrun 获取到的交易日///@remark 只有登录成功后,才能得到正确的交易日const char *GetTradingDay() { return m_reqApi->GetTradingDay(); }///订阅行情。///@param ppInstrumentID 合约ID  ///@param nCount 要订阅/退订行情的合约个数///@remark int SubscribeMarketData(char *ppInstrumentID[], int nCount) { return m_reqApi->SubscribeMarketData(ppInstrumentID, nCount); }///退订行情。///@param ppInstrumentID 合约ID  ///@param nCount 要订阅/退订行情的合约个数///@remark int UnSubscribeMarketData(char *ppInstrumentID[], int nCount) { return m_reqApi->UnSubscribeMarketData(ppInstrumentID, nCount); }public:///回报类函数，收到数据，更新本地行情信息///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。void OnFrontConnected();///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。///@param nReason 错误原因///        0x1001 网络读失败///        0x1002 网络写失败///        0x2001 接收心跳超时///        0x2002 发送心跳失败///        0x2003 收到错误报文void OnFrontDisconnected(int nReason);///心跳超时警告。当长时间未收到报文时，该方法被调用。///@param nTimeLapse 距离上次接收报文的时间void OnHeartBeatWarning(int nTimeLapse);///登录请求响应void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///登出请求响应void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///错误应答void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///订阅行情应答void OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///取消订阅行情应答void OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///订阅询价应答void OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///取消订阅询价应答void OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///深度行情通知void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData);///询价通知void OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp);private:CThostFtdcMdApi* m_reqApi;MyRecv         *m_RecvSpi;map<string /*InstrumentID*/, CThostFtdcInstrumentField>                       m_mapInstrument;//合约ID，合约信息map<string /*InstrumentID*/,CThostFtdcDepthMarketDataField /*Quotation*/>  m_mapInstrumentQuote;//保存  合约ID-最新行情  对,合约ID唯一。vector<string /*InstrumentID*/> m_vecInstrumentId;//合约IDint         requestID;string   m_TradingDay;int    m_session ;int    m_frontId ;string  OrderRef ;mutex m_mutex;///用户登录信息CThostFtdcReqUserLoginField  *m_userLoginInfo;bool m_bQryInstrumentOK;//用于给上层订阅typedef vector<CPacketReceiver*> VPKTRECEIVER;VPKTRECEIVER            m_vPketReceiver;};

主要功能点:

①模块管理:

CTP的行情模块分两块，一个是同步查询API（CThostFtdcMdApi），一个是异步回报API（CThostFtdcMdSpi），这里定义了一个包装类，来管理这两类API，即

MyRecv来封装CThostFtdcMdSpi，CThostFtdcMdApi直接使用。

②给UI回报接口

本模块提供给上层的接口，定义了一个虚基类：

class  CPacketReceiver
{
public:virtual void Receive(CBroadcastPacket &pkt) = 0;
};这里运用到actor模式，接受UI订阅：
typedef vector<CPacketReceiver*> VPKTRECEIVER;VPKTRECEIVER            m_vPketReceiver;

③数据保存

数据收集，定义几个map

 map<string /*InstrumentID*/, CThostFtdcInstrumentField>                      m_mapInstrument;//合约ID，合约信息map<string /*InstrumentID*/,CThostFtdcDepthMarketDataField /*Quotation*/>  m_mapInstrumentQuote;//保存  合约ID-最新行情  对,合约ID唯一。vector<string /*InstrumentID*/> m_vecInstrumentId;//合约ID

2. CTPSample模块之MyCTPTrade.h

//定义一个管理器，管理行情接受
class  CTPSAMPLE_EXPORT  MyCTPTrade
{//嵌入行情回报类class  MyRecv : public  CThostFtdcTraderSpi{public:MyRecv():m_Parent(nullptr), m_nRequestId(0){};~MyRecv() {};void Bind(MyCTPTrade  *Parent) { m_Parent = Parent; }public:///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。virtual void OnFrontConnected() { m_Parent->OnFrontConnected(); }///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。///@param nReason 错误原因///        0x1001 网络读失败///        0x1002 网络写失败///        0x2001 接收心跳超时///        0x2002 发送心跳失败///        0x2003 收到错误报文virtual void OnFrontDisconnected(int nReason) { m_Parent->OnFrontDisconnected(nReason); }///客户端认证响应virtual void OnRspAuthenticate(CThostFtdcRspAuthenticateField *pRspAuthenticateField, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspAuthenticate(pRspAuthenticateField,pRspInfo, nRequestID, bIsLast); }///心跳超时警告。当长时间未收到报文时，该方法被调用。///@param nTimeLapse 距离上次接收报文的时间virtual void OnHeartBeatWarning(int nTimeLapse) { m_Parent->OnHeartBeatWarning(nTimeLapse); }///登录请求响应virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspUserLogin(pRspUserLogin, pRspInfo, nRequestID, bIsLast); }///登出请求响应virtual void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { m_Parent->OnRspUserLogout(pUserLogout, pRspInfo,  nRequestID,  bIsLast); }///错误应答virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {m_Parent->OnRspError(pRspInfo, nRequestID, bIsLast);}/*///用户口令更新请求响应virtual void OnRspUserPasswordUpdate(CThostFtdcUserPasswordUpdateField *pUserPasswordUpdate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///资金账户口令更新请求响应virtual void OnRspTradingAccountPasswordUpdate(CThostFtdcTradingAccountPasswordUpdateField *pTradingAccountPasswordUpdate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///报单录入请求响应virtual void OnRspOrderInsert(CThostFtdcInputOrderField *pInputOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///预埋单录入请求响应virtual void OnRspParkedOrderInsert(CThostFtdcParkedOrderField *pParkedOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///预埋撤单录入请求响应virtual void OnRspParkedOrderAction(CThostFtdcParkedOrderActionField *pParkedOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///报单操作请求响应virtual void OnRspOrderAction(CThostFtdcInputOrderActionField *pInputOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///查询最大报单数量响应virtual void OnRspQueryMaxOrderVolume(CThostFtdcQueryMaxOrderVolumeField *pQueryMaxOrderVolume, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///投资者结算结果确认响应virtual void OnRspSettlementInfoConfirm(CThostFtdcSettlementInfoConfirmField *pSettlementInfoConfirm, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///删除预埋单响应virtual void OnRspRemoveParkedOrder(CThostFtdcRemoveParkedOrderField *pRemoveParkedOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///删除预埋撤单响应virtual void OnRspRemoveParkedOrderAction(CThostFtdcRemoveParkedOrderActionField *pRemoveParkedOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///执行宣告录入请求响应virtual void OnRspExecOrderInsert(CThostFtdcInputExecOrderField *pInputExecOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///执行宣告操作请求响应virtual void OnRspExecOrderAction(CThostFtdcInputExecOrderActionField *pInputExecOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///询价录入请求响应virtual void OnRspForQuoteInsert(CThostFtdcInputForQuoteField *pInputForQuote, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///报价录入请求响应virtual void OnRspQuoteInsert(CThostFtdcInputQuoteField *pInputQuote, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///报价操作请求响应virtual void OnRspQuoteAction(CThostFtdcInputQuoteActionField *pInputQuoteAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///批量报单操作请求响应virtual void OnRspBatchOrderAction(CThostFtdcInputBatchOrderActionField *pInputBatchOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///期权自对冲录入请求响应virtual void OnRspOptionSelfCloseInsert(CThostFtdcInputOptionSelfCloseField *pInputOptionSelfClose, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///期权自对冲操作请求响应virtual void OnRspOptionSelfCloseAction(CThostFtdcInputOptionSelfCloseActionField *pInputOptionSelfCloseAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///申请组合录入请求响应virtual void OnRspCombActionInsert(CThostFtdcInputCombActionField *pInputCombAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询报单响应virtual void OnRspQryOrder(CThostFtdcOrderField *pOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询成交响应virtual void OnRspQryTrade(CThostFtdcTradeField *pTrade, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询投资者持仓响应virtual void OnRspQryInvestorPosition(CThostFtdcInvestorPositionField *pInvestorPosition, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询资金账户响应virtual void OnRspQryTradingAccount(CThostFtdcTradingAccountField *pTradingAccount, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询投资者响应virtual void OnRspQryInvestor(CThostFtdcInvestorField *pInvestor, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询交易编码响应virtual void OnRspQryTradingCode(CThostFtdcTradingCodeField *pTradingCode, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询合约保证金率响应virtual void OnRspQryInstrumentMarginRate(CThostFtdcInstrumentMarginRateField *pInstrumentMarginRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询合约手续费率响应virtual void OnRspQryInstrumentCommissionRate(CThostFtdcInstrumentCommissionRateField *pInstrumentCommissionRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询交易所响应virtual void OnRspQryExchange(CThostFtdcExchangeField *pExchange, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询产品响应virtual void OnRspQryProduct(CThostFtdcProductField *pProduct, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
*////请求查询合约响应virtual void OnRspQryInstrument(CThostFtdcInstrumentField *pInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {m_Parent->OnRspQryInstrument(pInstrument, pRspInfo, nRequestID, bIsLast);};
/*///请求查询行情响应virtual void OnRspQryDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询投资者结算结果响应virtual void OnRspQrySettlementInfo(CThostFtdcSettlementInfoField *pSettlementInfo, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询转帐银行响应virtual void OnRspQryTransferBank(CThostFtdcTransferBankField *pTransferBank, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询投资者持仓明细响应virtual void OnRspQryInvestorPositionDetail(CThostFtdcInvestorPositionDetailField *pInvestorPositionDetail, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询客户通知响应virtual void OnRspQryNotice(CThostFtdcNoticeField *pNotice, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询结算信息确认响应virtual void OnRspQrySettlementInfoConfirm(CThostFtdcSettlementInfoConfirmField *pSettlementInfoConfirm, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询投资者持仓明细响应virtual void OnRspQryInvestorPositionCombineDetail(CThostFtdcInvestorPositionCombineDetailField *pInvestorPositionCombineDetail, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///查询保证金监管系统经纪公司资金账户密钥响应virtual void OnRspQryCFMMCTradingAccountKey(CThostFtdcCFMMCTradingAccountKeyField *pCFMMCTradingAccountKey, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询仓单折抵信息响应virtual void OnRspQryEWarrantOffset(CThostFtdcEWarrantOffsetField *pEWarrantOffset, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询投资者品种/跨品种保证金响应virtual void OnRspQryInvestorProductGroupMargin(CThostFtdcInvestorProductGroupMarginField *pInvestorProductGroupMargin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询交易所保证金率响应virtual void OnRspQryExchangeMarginRate(CThostFtdcExchangeMarginRateField *pExchangeMarginRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询交易所调整保证金率响应virtual void OnRspQryExchangeMarginRateAdjust(CThostFtdcExchangeMarginRateAdjustField *pExchangeMarginRateAdjust, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询汇率响应virtual void OnRspQryExchangeRate(CThostFtdcExchangeRateField *pExchangeRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询二级代理操作员银期权限响应virtual void OnRspQrySecAgentACIDMap(CThostFtdcSecAgentACIDMapField *pSecAgentACIDMap, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询产品报价汇率virtual void OnRspQryProductExchRate(CThostFtdcProductExchRateField *pProductExchRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询产品组virtual void OnRspQryProductGroup(CThostFtdcProductGroupField *pProductGroup, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询做市商合约手续费率响应virtual void OnRspQryMMInstrumentCommissionRate(CThostFtdcMMInstrumentCommissionRateField *pMMInstrumentCommissionRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询做市商期权合约手续费响应virtual void OnRspQryMMOptionInstrCommRate(CThostFtdcMMOptionInstrCommRateField *pMMOptionInstrCommRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询报单手续费响应virtual void OnRspQryInstrumentOrderCommRate(CThostFtdcInstrumentOrderCommRateField *pInstrumentOrderCommRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询资金账户响应virtual void OnRspQrySecAgentTradingAccount(CThostFtdcTradingAccountField *pTradingAccount, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询二级代理商资金校验模式响应virtual void OnRspQrySecAgentCheckMode(CThostFtdcSecAgentCheckModeField *pSecAgentCheckMode, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询期权交易成本响应virtual void OnRspQryOptionInstrTradeCost(CThostFtdcOptionInstrTradeCostField *pOptionInstrTradeCost, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询期权合约手续费响应virtual void OnRspQryOptionInstrCommRate(CThostFtdcOptionInstrCommRateField *pOptionInstrCommRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询执行宣告响应virtual void OnRspQryExecOrder(CThostFtdcExecOrderField *pExecOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询询价响应virtual void OnRspQryForQuote(CThostFtdcForQuoteField *pForQuote, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询报价响应virtual void OnRspQryQuote(CThostFtdcQuoteField *pQuote, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询期权自对冲响应virtual void OnRspQryOptionSelfClose(CThostFtdcOptionSelfCloseField *pOptionSelfClose, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询投资单元响应virtual void OnRspQryInvestUnit(CThostFtdcInvestUnitField *pInvestUnit, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询组合合约安全系数响应virtual void OnRspQryCombInstrumentGuard(CThostFtdcCombInstrumentGuardField *pCombInstrumentGuard, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询申请组合响应virtual void OnRspQryCombAction(CThostFtdcCombActionField *pCombAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询转帐流水响应virtual void OnRspQryTransferSerial(CThostFtdcTransferSerialField *pTransferSerial, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询银期签约关系响应virtual void OnRspQryAccountregister(CThostFtdcAccountregisterField *pAccountregister, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///报单通知virtual void OnRtnOrder(CThostFtdcOrderField *pOrder) {};///成交通知virtual void OnRtnTrade(CThostFtdcTradeField *pTrade) {};///报单录入错误回报virtual void OnErrRtnOrderInsert(CThostFtdcInputOrderField *pInputOrder, CThostFtdcRspInfoField *pRspInfo) {};///报单操作错误回报virtual void OnErrRtnOrderAction(CThostFtdcOrderActionField *pOrderAction, CThostFtdcRspInfoField *pRspInfo) {};///合约交易状态通知virtual void OnRtnInstrumentStatus(CThostFtdcInstrumentStatusField *pInstrumentStatus) {};///交易所公告通知virtual void OnRtnBulletin(CThostFtdcBulletinField *pBulletin) {};///交易通知virtual void OnRtnTradingNotice(CThostFtdcTradingNoticeInfoField *pTradingNoticeInfo) {};///提示条件单校验错误virtual void OnRtnErrorConditionalOrder(CThostFtdcErrorConditionalOrderField *pErrorConditionalOrder) {};///执行宣告通知virtual void OnRtnExecOrder(CThostFtdcExecOrderField *pExecOrder) {};///执行宣告录入错误回报virtual void OnErrRtnExecOrderInsert(CThostFtdcInputExecOrderField *pInputExecOrder, CThostFtdcRspInfoField *pRspInfo) {};///执行宣告操作错误回报virtual void OnErrRtnExecOrderAction(CThostFtdcExecOrderActionField *pExecOrderAction, CThostFtdcRspInfoField *pRspInfo) {};///询价录入错误回报virtual void OnErrRtnForQuoteInsert(CThostFtdcInputForQuoteField *pInputForQuote, CThostFtdcRspInfoField *pRspInfo) {};///报价通知virtual void OnRtnQuote(CThostFtdcQuoteField *pQuote) {};///报价录入错误回报virtual void OnErrRtnQuoteInsert(CThostFtdcInputQuoteField *pInputQuote, CThostFtdcRspInfoField *pRspInfo) {};///报价操作错误回报virtual void OnErrRtnQuoteAction(CThostFtdcQuoteActionField *pQuoteAction, CThostFtdcRspInfoField *pRspInfo) {};///询价通知virtual void OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp) {};///保证金监控中心用户令牌virtual void OnRtnCFMMCTradingAccountToken(CThostFtdcCFMMCTradingAccountTokenField *pCFMMCTradingAccountToken) {};///批量报单操作错误回报virtual void OnErrRtnBatchOrderAction(CThostFtdcBatchOrderActionField *pBatchOrderAction, CThostFtdcRspInfoField *pRspInfo) {};///期权自对冲通知virtual void OnRtnOptionSelfClose(CThostFtdcOptionSelfCloseField *pOptionSelfClose) {};///期权自对冲录入错误回报virtual void OnErrRtnOptionSelfCloseInsert(CThostFtdcInputOptionSelfCloseField *pInputOptionSelfClose, CThostFtdcRspInfoField *pRspInfo) {};///期权自对冲操作错误回报virtual void OnErrRtnOptionSelfCloseAction(CThostFtdcOptionSelfCloseActionField *pOptionSelfCloseAction, CThostFtdcRspInfoField *pRspInfo) {};///申请组合通知virtual void OnRtnCombAction(CThostFtdcCombActionField *pCombAction) {};///申请组合录入错误回报virtual void OnErrRtnCombActionInsert(CThostFtdcInputCombActionField *pInputCombAction, CThostFtdcRspInfoField *pRspInfo) {};///请求查询签约银行响应virtual void OnRspQryContractBank(CThostFtdcContractBankField *pContractBank, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询预埋单响应virtual void OnRspQryParkedOrder(CThostFtdcParkedOrderField *pParkedOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询预埋撤单响应virtual void OnRspQryParkedOrderAction(CThostFtdcParkedOrderActionField *pParkedOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询交易通知响应virtual void OnRspQryTradingNotice(CThostFtdcTradingNoticeField *pTradingNotice, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询经纪公司交易参数响应virtual void OnRspQryBrokerTradingParams(CThostFtdcBrokerTradingParamsField *pBrokerTradingParams, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询经纪公司交易算法响应virtual void OnRspQryBrokerTradingAlgos(CThostFtdcBrokerTradingAlgosField *pBrokerTradingAlgos, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///请求查询监控中心用户令牌virtual void OnRspQueryCFMMCTradingAccountToken(CThostFtdcQueryCFMMCTradingAccountTokenField *pQueryCFMMCTradingAccountToken, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///银行发起银行资金转期货通知virtual void OnRtnFromBankToFutureByBank(CThostFtdcRspTransferField *pRspTransfer) {};///银行发起期货资金转银行通知virtual void OnRtnFromFutureToBankByBank(CThostFtdcRspTransferField *pRspTransfer) {};///银行发起冲正银行转期货通知virtual void OnRtnRepealFromBankToFutureByBank(CThostFtdcRspRepealField *pRspRepeal) {};///银行发起冲正期货转银行通知virtual void OnRtnRepealFromFutureToBankByBank(CThostFtdcRspRepealField *pRspRepeal) {}; ///期货发起银行资金转期货通知virtual void OnRtnFromBankToFutureByFuture(CThostFtdcRspTransferField *pRspTransfer) {};///期货发起期货资金转银行通知virtual void OnRtnFromFutureToBankByFuture(CThostFtdcRspTransferField *pRspTransfer) {};///系统运行时期货端手工发起冲正银行转期货请求，银行处理完毕后报盘发回的通知virtual void OnRtnRepealFromBankToFutureByFutureManual(CThostFtdcRspRepealField *pRspRepeal) {};///系统运行时期货端手工发起冲正期货转银行请求，银行处理完毕后报盘发回的通知virtual void OnRtnRepealFromFutureToBankByFutureManual(CThostFtdcRspRepealField *pRspRepeal) {};///期货发起查询银行余额通知virtual void OnRtnQueryBankBalanceByFuture(CThostFtdcNotifyQueryAccountField *pNotifyQueryAccount) {};///期货发起银行资金转期货错误回报virtual void OnErrRtnBankToFutureByFuture(CThostFtdcReqTransferField *pReqTransfer, CThostFtdcRspInfoField *pRspInfo) {};///期货发起期货资金转银行错误回报virtual void OnErrRtnFutureToBankByFuture(CThostFtdcReqTransferField *pReqTransfer, CThostFtdcRspInfoField *pRspInfo) {};///系统运行时期货端手工发起冲正银行转期货错误回报virtual void OnErrRtnRepealBankToFutureByFutureManual(CThostFtdcReqRepealField *pReqRepeal, CThostFtdcRspInfoField *pRspInfo) {};///系统运行时期货端手工发起冲正期货转银行错误回报virtual void OnErrRtnRepealFutureToBankByFutureManual(CThostFtdcReqRepealField *pReqRepeal, CThostFtdcRspInfoField *pRspInfo) {};///期货发起查询银行余额错误回报virtual void OnErrRtnQueryBankBalanceByFuture(CThostFtdcReqQueryAccountField *pReqQueryAccount, CThostFtdcRspInfoField *pRspInfo) {};///期货发起冲正银行转期货请求，银行处理完毕后报盘发回的通知virtual void OnRtnRepealFromBankToFutureByFuture(CThostFtdcRspRepealField *pRspRepeal) {};///期货发起冲正期货转银行请求，银行处理完毕后报盘发回的通知virtual void OnRtnRepealFromFutureToBankByFuture(CThostFtdcRspRepealField *pRspRepeal) {};///期货发起银行资金转期货应答virtual void OnRspFromBankToFutureByFuture(CThostFtdcReqTransferField *pReqTransfer, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///期货发起期货资金转银行应答virtual void OnRspFromFutureToBankByFuture(CThostFtdcReqTransferField *pReqTransfer, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///期货发起查询银行余额应答virtual void OnRspQueryBankAccountMoneyByFuture(CThostFtdcReqQueryAccountField *pReqQueryAccount, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};///银行发起银期开户通知virtual void OnRtnOpenAccountByBank(CThostFtdcOpenAccountField *pOpenAccount) {};///银行发起银期销户通知virtual void OnRtnCancelAccountByBank(CThostFtdcCancelAccountField *pCancelAccount) {};///银行发起变更银行账号通知virtual void OnRtnChangeAccountByBank(CThostFtdcChangeAccountField *pChangeAccount) {};
*/public://保证唯一int      m_nRequestId;int     GetRequestId() {return ++m_nRequestId;   }MyCTPTrade  *m_Parent;};//thread
public:MyCTPTrade();~MyCTPTrade();static  MyCTPTrade *Instance();void    setMainWidget(void *widget);void  Init(const char  *User, const  char  *pswd, const  char  *broker, const char *pszAddress);map<string, CThostFtdcInstrumentField>&      GetMapInstrument();void setLog(const string&  str);bool      m_bLoginSuccessed;
public:///请求类函数,提供主要逻辑，供外部使用///用户登录请求int ReqUserLogin(CThostFtdcReqUserLoginField *pReqUserLoginField, int nRequestID) { return m_reqApi->ReqUserLogin(pReqUserLoginField, nRequestID );}///登出请求int ReqUserLogout(CThostFtdcUserLogoutField *pUserLogout, int nRequestID) { return m_reqApi->ReqUserLogout(pUserLogout, nRequestID); }public:///回报类函数，收到数据，更新本地行情信息///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。void OnFrontConnected();///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。///@param nReason 错误原因///        0x1001 网络读失败///        0x1002 网络写失败///        0x2001 接收心跳超时///        0x2002 发送心跳失败///        0x2003 收到错误报文void OnFrontDisconnected(int nReason);///心跳超时警告。当长时间未收到报文时，该方法被调用。///@param nTimeLapse 距离上次接收报文的时间void OnHeartBeatWarning(int nTimeLapse);void OnRspAuthenticate(CThostFtdcRspAuthenticateField *pRspAuthenticateField, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///登录请求响应void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///登出请求响应void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);void OnRspQryInstrument(CThostFtdcInstrumentField *pInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);public:atomic<bool>
m_bQryIns;// 是否正在查询合约，如果正在查询，行情服务就不自己主动去订阅行情，因为查询合约完成后，会有订阅行情的动作atomic
<bool>
m_bQryInsOK;// 是否查询合约成功，成功订阅行情的动作private:CThostFtdcTraderApi* m_reqApi;MyRecv         *m_RecvSpi;//vector
<string /*InstrumentID*/>
m_vecInstrumentId;//合约ID//int         requestID;string   m_TradingDay;int    m_session ;int    m_frontId ;string  m_serverOrderRef ;int     m_nOrderRef;///用户登录信息CThostFtdcReqUserLoginField  *m_userLoginInfo;mutex    m_getInstru;void     *mainHandle;// 保存合约map<string, CThostFtdcInstrumentField> m_mapInstrument;//合约ID，合约信息map<wstring, map<wstring, map<wstring, CThostFtdcInstrumentField>>>    m_mapInstrument2;//交易所，板块，合约信息CConfigImpl*     m_pConfig;
};

①模块管理:

与CTP提供的行情库类似，这里定义了API和封装的回报API，如下：

CThostFtdcTraderApi* m_reqApi;
MyRecv         *m_RecvSpi;

②与UI通信

由于交易API用的比较频繁，而回报主要在初始化阶段和数据更新，没有定义回报接口，定义的是全局单例模式，直接共上层使用。

③数据管理

// 保存合约
map<string, CThostFtdcInstrumentField>                    m_mapInstrument;//合约ID，合约信息
map<wstring, map<wstring, map<wstring, CThostFtdcInstrumentField>>>   m_mapInstrument2;//交易所，板块，合约信息

3.程序注意点

①UI初始化:

调用TradeManager::InitCTP启动CTP模块，主模块会订阅注册：

MyCTPQuote::Instance()->Subscribe(this);

②交易模块与行情模块通信

当交易模块登陆成功后（通能说原子操作，来判断多条件满足），来调用行情的完成函数，已便行情模块来进行行情合约订阅

    int Qry   = atomic_exchange(&MyCTPTrade::Instance()->m_bQryIns, false);int QryOK = atomic_exchange(&MyCTPTrade::Instance()->m_bQryInsOK, true);if(!Qry && QryOK)FinishQryInstrument();

③行情回报

收到行情回报，会调用下函数：

void MyCTPQuote::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData)

并组织结构，向订阅派发:

CBroadcastPacket   pack;
///深度行情通知
///每秒两次行情
void MyCTPQuote::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData)
{if (pDepthMarketData->OpenPrice >= LDBL_MAX)pDepthMarketData->OpenPrice = 0;if (pDepthMarketData->HighestPrice >= LDBL_MAX)pDepthMarketData->HighestPrice = 0;if (pDepthMarketData->LowestPrice >= LDBL_MAX)pDepthMarketData->LowestPrice = 0;if (pDepthMarketData->ClosePrice >= LDBL_MAX)pDepthMarketData->ClosePrice = 0;if (pDepthMarketData->PreClosePrice >= LDBL_MAX)pDepthMarketData->PreClosePrice = 0;string str = "Quote SDK 接收行情信息:InstrumentID:";str  += pDepthMarketData->InstrumentID ;str += " TradingDay:";   str += pDepthMarketData->TradingDay;str += " LastPrice:"; str += to_string(pDepthMarketData->LastPrice);str += " Volume:"; str += to_string(pDepthMarketData->Volume);str += " OpenPrice:"; str += to_string(pDepthMarketData->OpenPrice);str += " HighestPrice:"; str += to_string(pDepthMarketData->HighestPrice);str += " LowestPrice:";  str += to_string(pDepthMarketData->LowestPrice);str += " ClosePrice:"; str += to_string(pDepthMarketData->ClosePrice);str += " PreClosePrice:"; str += to_string(pDepthMarketData->PreClosePrice);str += " UpdateTime:"; str += pDepthMarketData->UpdateTime;CRLog(E_APPINFO, str.c_str());//本地保存//转发到界面//CThostFtdcDepthMarketDataField  DepthMarketData;//memcpy_s(&DepthMarketData, sizeof(DepthMarketData) ,pDepthMarketData , sizeof(CThostFtdcDepthMarketDataField));//m_mapInstrumentQuote[pDepthMarketData->InstrumentID] = DepthMarketData;m_mapInstrumentQuote[pDepthMarketData->InstrumentID] = *pDepthMarketData;pack.SetParameter("InstrumentId", pDepthMarketData->InstrumentID);pack.SetParameter("TradingDay", pDepthMarketData->TradingDay);pack.SetParameter("OpenPrice", pDepthMarketData->OpenPrice);pack.SetParameter("HighestPrice", pDepthMarketData->HighestPrice);pack.SetParameter("LowestPrice", pDepthMarketData->LowestPrice);pack.SetParameter("ClosePrice", pDepthMarketData->ClosePrice);pack.SetParameter("PreClosePrice", pDepthMarketData->PreClosePrice);pack.SetParameter("UpperLimitPrice", pDepthMarketData->UpperLimitPrice);pack.SetParameter("LowerLimitPrice", pDepthMarketData->LowerLimitPrice);pack.SetParameter("AskPrice1", pDepthMarketData->AskPrice1);pack.SetParameter("AskVolume1", pDepthMarketData->AskVolume1);pack.SetParameter("BidPrice1", pDepthMarketData->BidPrice1);pack.SetParameter("BidVolume1", pDepthMarketData->BidVolume1);pack.SetParameter("LastPrice", pDepthMarketData->LastPrice);pack.SetParameter("Volume", pDepthMarketData->Volume);//给上层转发// 广播报文for (VPKTRECEIVER::iterator it = m_vPketReceiver.begin(); it < m_vPketReceiver.end(); it++){(*it)->Receive(pack);}}

④界面处理回报数据

收到数据可以按照自己的逻辑处理，本Demo进行了写共享队列。

QUOTATION quo = { 0 };
void TradeManager::Receive(CBroadcastPacket &pkt)
{unsigned int  nLen = 0;const char* pcBuf = pkt.Encode(nLen);//分发给相应队列处理quo.Decode(pcBuf, nLen);int uiCount = 0;string sXQueName, sTmp;for (vector< CXQueueIo<QUOTATION>* >::iterator it = m_vecQueueIo.begin(); it != m_vecQueueIo.end(); ++it){uiCount++;if (0 != *it){(*it)->Enque(quo);sXQueName = "XQUE" + strutils::ToString<unsigned int>(uiCount);sXQueName += ".XQUE_NAME";if (0 == m_pConfig->GetProperty(sXQueName, sTmp))sXQueName = sTmp;CRLog(E_APPINFO, "共享队列XQueue[%s]写完成", sXQueName.c_str());}}//end for}

4.注意

内嵌Framwork所生成的动态库为本Demo提供日志和共享内存队列以及行情数据定义，可以自行定义替换，不存在bug，不影响演示，代码由于版权问题，暂不能公开，若有需要，请联系作者。