期货量化软件：赫兹量化软件 的 WebSocket — 使用 Windows API

我们讨论了 WebSocket 协议的基础知识，并创建了一个依赖 MQL5 实现的套接字客户端。 这一次，我们将利用 Windows API 为 赫兹量化 程序构建 WebSocket 客户端。 它也许是次一级的最佳选项，因为这不需要额外的软件，一切均由操作系统提供。 我们将把客户端作为一个类来实现，并借助 Binary.com WebSocket API 将实时的即时报价数据投喂给 赫兹量化。

Windows 中的 WebSocket

当来到 Windows API 和 Internet，MQL5 开发人员最熟悉 Windows Internet（WinINeT）函数库。 它实现了诸如文件传输协议（FTP）和 HTTP 等众多互联网协议。 与之类似的是 Windows HTTP 服务（WinHTTP）函数库。 它是 HTTP 协议的专用库，拥有服务器端开发的有用功能。 WinHTTP 公开的一些功能是处理 WebSocket 连接的实用程序。

我们将为 赫兹量化 创建的客户端以同步模式操作。 这意味着函数调用将阻塞执行，直到它们返回响应。 例如，调用 WinHttpWebSocketReceive() 将阻塞正在执行的线程，直到有数据可供读取。 在创建 赫兹量化 应用程序时请记住这一点。

winhttp 函数是在包含文件 winhttp.mqh 中声明和导入。

#include <WinAPI\errhandlingapi.mqh> #define WORD ushort #define DWORD ulong #define BYTE uchar #define INTERNET_PORT WORD #define HINTERNET long #define LPVOID uint& #define WINHTTP_ERROR_BASE 12000 #define ERROR_WINHTTP_OUT_OF_HANDLES (WINHTTP_ERROR_BASE + 1) #define ERROR_WINHTTP_TIMEOUT (WINHTTP_ERROR_BASE + 2) #define ERROR_WINHTTP_INTERNAL_ERROR (WINHTTP_ERROR_BASE + 4) #define ERROR_WINHTTP_INVALID_URL (WINHTTP_ERROR_BASE + 5) #define ERROR_WINHTTP_UNRECOGNIZED_SCHEME (WINHTTP_ERROR_BASE + 6) #define ERROR_WINHTTP_NAME_NOT_RESOLVED (WINHTTP_ERROR_BASE + 7) #define ERROR_WINHTTP_INVALID_OPTION (WINHTTP_ERROR_BASE + 9) #define ERROR_WINHTTP_OPTION_NOT_SETTABLE (WINHTTP_ERROR_BASE + 11) #define ERROR_WINHTTP_SHUTDOWN (WINHTTP_ERROR_BASE + 12) #define ERROR_WINHTTP_LOGIN_FAILURE (WINHTTP_ERROR_BASE + 15) #define ERROR_WINHTTP_OPERATION_CANCELLED (WINHTTP_ERROR_BASE + 17) #define ERROR_WINHTTP_INCORRECT_HANDLE_TYPE (WINHTTP_ERROR_BASE + 18) #define ERROR_WINHTTP_INCORRECT_HANDLE_STATE (WINHTTP_ERROR_BASE + 19) #define ERROR_WINHTTP_CANNOT_CONNECT (WINHTTP_ERROR_BASE + 29) #define ERROR_WINHTTP_CONNECTION_ERROR (WINHTTP_ERROR_BASE + 30) #define ERROR_WINHTTP_RESEND_REQUEST (WINHTTP_ERROR_BASE + 32) #define ERROR_WINHTTP_CLIENT_AUTH_CERT_NEEDED (WINHTTP_ERROR_BASE + 44) #define ERROR_WINHTTP_CANNOT_CALL_BEFORE_OPEN (WINHTTP_ERROR_BASE + 100) #define ERROR_WINHTTP_CANNOT_CALL_BEFORE_SEND (WINHTTP_ERROR_BASE + 101) #define ERROR_WINHTTP_CANNOT_CALL_AFTER_SEND (WINHTTP_ERROR_BASE + 102) #define ERROR_WINHTTP_CANNOT_CALL_AFTER_OPEN (WINHTTP_ERROR_BASE + 103) #define ERROR_WINHTTP_HEADER_NOT_FOUND (WINHTTP_ERROR_BASE + 150) #define ERROR_WINHTTP_INVALID_SERVER_RESPONSE (WINHTTP_ERROR_BASE + 152) #define ERROR_WINHTTP_INVALID_HEADER (WINHTTP_ERROR_BASE + 153) #define ERROR_WINHTTP_INVALID_QUERY_REQUEST (WINHTTP_ERROR_BASE + 154) #define ERROR_WINHTTP_HEADER_ALREADY_EXISTS (WINHTTP_ERROR_BASE + 155) #define ERROR_WINHTTP_REDIRECT_FAILED (WINHTTP_ERROR_BASE + 156) #define ERROR_WINHTTP_AUTO_PROXY_SERVICE_ERROR (WINHTTP_ERROR_BASE + 178) #define ERROR_WINHTTP_BAD_AUTO_PROXY_SCRIPT (WINHTTP_ERROR_BASE + 166) #define ERROR_WINHTTP_UNABLE_TO_DOWNLOAD_SCRIPT (WINHTTP_ERROR_BASE + 167) #define ERROR_WINHTTP_UNHANDLED_SCRIPT_TYPE (WINHTTP_ERROR_BASE + 176) #define ERROR_WINHTTP_SCRIPT_EXECUTION_ERROR (WINHTTP_ERROR_BASE + 177) #define ERROR_WINHTTP_NOT_INITIALIZED (WINHTTP_ERROR_BASE + 172) #define ERROR_WINHTTP_SECURE_FAILURE (WINHTTP_ERROR_BASE + 175) #define ERROR_WINHTTP_SECURE_CERT_DATE_INVALID (WINHTTP_ERROR_BASE + 37) #define ERROR_WINHTTP_SECURE_CERT_CN_INVALID (WINHTTP_ERROR_BASE + 38) #define ERROR_WINHTTP_SECURE_INVALID_CA (WINHTTP_ERROR_BASE + 45) #define ERROR_WINHTTP_SECURE_CERT_REV_FAILED (WINHTTP_ERROR_BASE + 57) #define ERROR_WINHTTP_SECURE_CHANNEL_ERROR (WINHTTP_ERROR_BASE + 157) #define ERROR_WINHTTP_SECURE_INVALID_CERT (WINHTTP_ERROR_BASE + 169) #define ERROR_WINHTTP_SECURE_CERT_REVOKED (WINHTTP_ERROR_BASE + 170) #define ERROR_WINHTTP_SECURE_CERT_WRONG_USAGE (WINHTTP_ERROR_BASE + 179) #define ERROR_WINHTTP_AUTODETECTION_FAILED (WINHTTP_ERROR_BASE + 180) #define ERROR_WINHTTP_HEADER_COUNT_EXCEEDED (WINHTTP_ERROR_BASE + 181) #define ERROR_WINHTTP_HEADER_SIZE_OVERFLOW (WINHTTP_ERROR_BASE + 182) #define ERROR_WINHTTP_CHUNKED_ENCODING_HEADER_SIZE_OVERFLOW (WINHTTP_ERROR_BASE + 183) #define ERROR_WINHTTP_RESPONSE_DRAIN_OVERFLOW (WINHTTP_ERROR_BASE + 184) #define ERROR_WINHTTP_CLIENT_CERT_NO_PRIVATE_KEY (WINHTTP_ERROR_BASE + 185) #define ERROR_WINHTTP_CLIENT_CERT_NO_ACCESS_PRIVATE_KEY (WINHTTP_ERROR_BASE + 186) #define ERROR_WINHTTP_CLIENT_AUTH_CERT_NEEDED_PROXY (WINHTTP_ERROR_BASE + 187) #define ERROR_WINHTTP_SECURE_FAILURE_PROXY (WINHTTP_ERROR_BASE + 188) #define ERROR_WINHTTP_RESERVED_189 (WINHTTP_ERROR_BASE + 189) #define ERROR_WINHTTP_HTTP_PROTOCOL_MISMATCH (WINHTTP_ERROR_BASE + 190) #define WINHTTP_ERROR_LAST (WINHTTP_ERROR_BASE + 188) enum WINHTTP_WEB_SOCKET_BUFFER_TYPE { WINHTTP_WEB_SOCKET_BINARY_MESSAGE_BUFFER_TYPE = 0, WINHTTP_WEB_SOCKET_BINARY_FRAGMENT_BUFFER_TYPE = 1, WINHTTP_WEB_SOCKET_UTF8_MESSAGE_BUFFER_TYPE = 2, WINHTTP_WEB_SOCKET_UTF8_FRAGMENT_BUFFER_TYPE = 3, WINHTTP_WEB_SOCKET_CLOSE_BUFFER_TYPE = 4 }; enum _WINHTTP_WEB_SOCKET_CLOSE_STATUS { WINHTTP_WEB_SOCKET_SUCCESS_CLOSE_STATUS = 1000, WINHTTP_WEB_SOCKET_ENDPOINT_TERMINATED_CLOSE_STATUS = 1001, WINHTTP_WEB_SOCKET_PROTOCOL_ERROR_CLOSE_STATUS = 1002, WINHTTP_WEB_SOCKET_INVALID_DATA_TYPE_CLOSE_STATUS = 1003, WINHTTP_WEB_SOCKET_EMPTY_CLOSE_STATUS = 1005, WINHTTP_WEB_SOCKET_ABORTED_CLOSE_STATUS = 1006, WINHTTP_WEB_SOCKET_INVALID_PAYLOAD_CLOSE_STATUS = 1007, WINHTTP_WEB_SOCKET_POLICY_VIOLATION_CLOSE_STATUS = 1008, WINHTTP_WEB_SOCKET_MESSAGE_TOO_BIG_CLOSE_STATUS = 1009, WINHTTP_WEB_SOCKET_UNSUPPORTED_EXTENSIONS_CLOSE_STATUS = 1010, WINHTTP_WEB_SOCKET_SERVER_ERROR_CLOSE_STATUS = 1011, WINHTTP_WEB_SOCKET_SECURE_HANDSHAKE_ERROR_CLOSE_STATUS = 1015 }; #define WINHTTP_WEB_SOCKET_MAX_CLOSE_REASON_LENGTH 123 #define WINHTTP_FLAG_SECURE 0x00800000 #define WINHTTP_ACCESS_TYPE_DEFAULT_PROXY 0 #define WINHTTP_OPTION_SECURITY_FLAGS 31 #define WINHTTP_OPTION_SECURE_PROTOCOLS 84 #define WINHTTP_OPTION_UPGRADE_TO_WEB_SOCKET 114 #define WINHTTP_OPTION_WEB_SOCKET_CLOSE_TIMEOUT 115 #define WINHTTP_OPTION_WEB_SOCKET_KEEPALIVE_INTERVAL 116 #define WINHTTP_OPTION_WEB_SOCKET_RECEIVE_BUFFER_SIZE 122 #define WINHTTP_OPTION_WEB_SOCKET_SEND_BUFFER_SIZE 123 #define SECURITY_FLAG_IGNORE_UNKNOWN_CA 0x00000100 #define SECURITY_FLAG_IGNORE_CERT_DATE_INVALID 0x00002000 #define SECURITY_FLAG_IGNORE_CERT_CN_INVALID 0x00001000 #define SECURITY_FLAG_IGNORE_CERT_WRONG_USAGE 0x00000200 #define ERROR_INVALID_PARAMETER 87L #define ERROR_INVALID_OPERATION 4317L #import "winhttp.dll" HINTERNET WinHttpOpen(string,DWORD,string,string,DWORD); HINTERNET WinHttpConnect(HINTERNET,string,INTERNET_PORT,DWORD); HINTERNET WinHttpOpenRequest(HINTERNET,string,string,string,string,string,DWORD); bool WinHttpSetOption(HINTERNET,DWORD,LPVOID[],DWORD); bool WinHttpQueryOption(HINTERNET,DWORD,LPVOID[],DWORD&); bool WinHttpSetTimeouts(HINTERNET,int,int,int,int); HINTERNET WinHttpSendRequest(HINTERNET,string,DWORD,LPVOID[],DWORD,DWORD,DWORD); bool WinHttpReceiveResponse(HINTERNET,LPVOID[]); HINTERNET WinHttpWebSocketCompleteUpgrade(HINTERNET,DWORD&); bool WinHttpCloseHandle(HINTERNET); DWORD WinHttpWebSocketSend(HINTERNET,WINHTTP_WEB_SOCKET_BUFFER_TYPE,BYTE&[],DWORD); DWORD WinHttpWebSocketReceive(HINTERNET,BYTE&[],DWORD,DWORD&,WINHTTP_WEB_SOCKET_BUFFER_TYPE&); DWORD WinHttpWebSocketClose(HINTERNET,ushort,BYTE&[],DWORD); DWORD WinHttpWebSocketQueryCloseStatus(HINTERNET,ushort&,BYTE&[],DWORD,DWORD&); #import //+------------------------------------------------------------------+