量化交易之CTP接口篇 - mdspi（基于QT）

// 01qt_ctp.pro

QT       += core gui

greaterThan(QT_MAJOR_VERSION, 4): QT += widgets

TARGET = 01qt_ctp
TEMPLATE = app

DEFINES += QT_DEPRECATED_WARNINGS

# 三种情况都可以, 但是最后一种情况不跨平台.
LIBS += -L(TARGET) -lthostmduserapi_se
#LIBS += -L./debug -lthostmduserapi_se
#LIBS += ./debug/thostmduserapi_se.dll

SOURCES += \
        main.cpp \
        UICTPWidget.cpp \
    MdSpi.cpp

HEADERS += \
        UICTPWidget.h \
    MdSpi.h \
    ThostFtdcMdApi.h

FORMS += \
        UICTPWidget.ui

// MdSpi.h

#ifndef MDSPI_H
#define MDSPI_H

#include <QObject>
#include "ThostFtdcMdApi.h"

class MdSpi : public QObject, public CThostFtdcMdApi
{
    Q_OBJECT
public:
    explicit MdSpi(QObject *parent = nullptr);

private:
    typedef struct
    {
       char FRONT_ADDR[100];
       TThostFtdcBrokerIDType BROKER_ID;
       TThostFtdcInvestorIDType INVESTOR_ID;
       TThostFtdcPasswordType PASSWORD;
    } MDStruct;
    MDStruct hq;

    ///错误应答
    virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

    ///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);

    ///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);

    ///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();

    ///登录请求响应
    virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

    ///订阅行情应答
    virtual void OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

    ///取消订阅行情应答
    virtual void OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

    ///深度行情通知
    virtual void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData);

    void ReqUserLogin();
    void SubscribeMarketData();

    bool IsErrorRspInfo(CThostFtdcRspInfoField *pRspInfo);

    CThostFtdcMdApi *pUserApi;

signals:

public slots:
};

#endif // MDSPI_H

// MdSpi.cpp

#include "MdSpi.h"
#include<iostream>
using namespace std;

#pragma warning(disable:4996)

char *contractID[] = {"rb2209,RM209"};
int contractSize = 2;

//请求编号
extern int iRequestID = 0;

MdSpi::MdSpi(QObject *parent): QObject(parent) {

}

void MdSpi::OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {
    cerr << "--->>>"<<__FUNCTION__<< endl;
    IsErrorRspInfo(pRspInfo);
}

void MdSpi::OnFrontDisconnected(int nReason) {
     cerr << "--->>>"<<__FUNCTION__<< endl;
     cerr << "___>>>Reason  = " << nReason << endl;
}

void MdSpi::OnHeartBeatWarning(int nTimeLapse)
{
    cerr << "--->>>"<<__FUNCTION__<< endl;
    cerr << "--->>>nTimeLapse = "<<nTimeLapse << endl;
}

void MdSpi::OnFrontConnected()
{
    cerr << "--->>>"<<__FUNCTION__<< endl;
    //用户登录请求
    ReqUserLogin();
}

void MdSpi::ReqUserLogin()
{
    CThostFtdcReqUserLoginField req;
    memset(&req, 0, sizeof(req));
    strcpy(req.BrokerID, hq.BROKER_ID);
    strcpy(req.UserID, "");
    strcpy(req.Password, "");
    int iResult = pUserApi->ReqUserLogin(&req, ++iRequestID);
    cerr << "--->>>发送用户登录请求: "<<((iResult == 0) ? "成功" : "失败") << endl;
}

void MdSpi::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
{
    cerr << "--->>>"<<__FUNCTION__<< endl;
    if(bIsLast && !IsErrorRspInfo(pRspInfo)) {
        //获取当前交易日
        cerr << "--->>>获取当前交易日 = "<<pUserApi->GetTradingDay()<<endl;
        SubscribeMarketData();
    }
}

void MdSpi::SubscribeMarketData()
{
    int iResult = pUserApi->SubscribeMarketData(contractID, contractSize);
    cerr << "--->>> 发送行情订阅请求: "<< ((iResult == 0) ? "成功" : "失败") << endl;
}

void MdSpi::OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
{
    cerr << "--->>>"<<__FUNCTION__<< endl;
}

void MdSpi::OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
{
    cerr << "--->>>"<<__FUNCTION__<< endl;
}

void MdSpi::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData)
{
    cerr << "--->>>"<<__FUNCTION__<< endl;
}

bool MdSpi::IsErrorRspInfo(CThostFtdcRspInfoField *pRspInfo)
{
    //如果ErrorID !=0, 说明收到错误的响应
    bool bResult = ((pRspInfo) && (pRspInfo->ErrorID !=0));
    if(bResult) {
        cerr << "--->> ErrorID = "<<pRspInfo->ErrorID << ", ErrorMsg = "<<pRspInfo->ErrorMsg << endl;
    }
    return bResult;
}