期货 软件开发工程师 ctp(期货软件定制开发公司)

我在做CTP开发之前，也参考了不少其他的资料，发现他们都是把行情和交易做在同一个工程里的。我呢之前也做过期货相关的交易平台，感觉这种把行情和交易做在一起的方法缺乏可扩展性。比如我开了多个CTP账户，要同时交易，这种做在一起的方法就很难实现；另外，如果我还要接入其他的交易所，该怎么接？

下面是我的软件架构图：

为了便于说明CTP行情、交易的开发，这个架构图是最初始版的。以后会在这个基础上进行深化，开发成可以实战的可扩展的交易平台。

理论上，1个CTP账号可以在6个地方进行多点登录；另外在实战中，有的客户会有多个CTP账号同时进行量化交易。所以，这个软件架构图是能满足多CTP账号同时交易的要求的。

1、类文件说明

（1）CTPMdSpi.h、CTPMdSpi.cpp

继承CThostFtdcMdSpi类，里面实现所有的回调函数，是最重要的类。

（2）MarketL1Core.h、MarketL1Core.cpp

主类，里面包含着程序调用的主要逻辑关系。

（3）Main.cpp

写main()函数的类。

2、代码说明

（1）CTPMdSpi.h

#pragma once#include <string>#include <vector>#include "ctp/ThostFtdcMdApi.h"class CTPMdSpi : public CThostFtdcMdSpi{public: CTPMdSpi() = default; ~CTPMdSpi() = default; ///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();  ///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);  ///登录请求响应 virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin,        CThostFtdcRspInfoField *pRspInfo,        int nRequestID,        bool bIsLast); ///登出请求响应 virtual void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout,        CThostFtdcRspInfoField *pRspInfo,        int nRequestID,        bool bIsLast); ///请求查询组播合约响应 virtual void OnRspQryMulticastInstrument(CThostFtdcMulticastInstrumentField *pMulticastInstrument,        CThostFtdcRspInfoField *pRspInfo,        int nRequestID,        bool bIsLast); ///错误应答 virtual void OnRspError(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); ///订阅询价应答 virtual void OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument,        CThostFtdcRspInfoField *pRspInfo,        int nRequestID,        bool bIsLast); ///取消订阅询价应答 virtual void OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument,        CThostFtdcRspInfoField *pRspInfo,        int nRequestID,        bool bIsLast); ///深度行情通知 virtual void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData); ///询价通知 virtual void OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp);private: void ReqUserLogin(); void SubscribeMarketData();    bool IsErrorRspInfo(CThostFtdcRspInfoField *pRspInfo);private:    static int iRequestID;};

（2）CTPMdSpi.cpp

#include <iostream>#include <fstream>#include <string.h>#include <chrono>#include <thread>#include "CTPMdSpi.h"using namespace std;int CTPMdSpi::iRequestID = 0;extern CThostFtdcMdApi *g_pMdApi;extern std::string g_brokerId;extern std::string g_userId;extern std::string g_password;extern std::vector<std::string> *g_pInstrumentIds;//----------------------------- private methods ------------------------------void CTPMdSpi::ReqUserLogin(){ std::cout<<"ReqUserLogin g_brokerId:"<<g_brokerId<<" ,g_userId:"<<g_userId<<", g_password"<<g_password<<std::endl; CThostFtdcReqUserLoginField req; memset(&req, 0, sizeof(req)); strcpy(req.BrokerID, g_brokerId.c_str()); strcpy(req.UserID, g_userId.c_str()); strcpy(req.Password, g_password.c_str()); int iResult = g_pMdApi->ReqUserLogin(&req, ++iRequestID); cerr << "--->>> Req user Lgoin: " << ((iResult == 0) ? "Success" : "Fail") << endl;}void CTPMdSpi::SubscribeMarketData(){  int len = g_pInstrumentIds->size(); cout<<"SubscribeMarketData len:"<<len<<endl;    char** ppInstrumentID = new char*[len];        int index = 0;    vector<string>::iterator it;    for (it = g_pInstrumentIds->begin(); it != g_pInstrumentIds->end(); it++){        *(ppInstrumentID + index) = (char*)it->c_str();        std::cout<<"InstrumentID index["<<index<<"] : "<<*(ppInstrumentID + index)<<endl;        index ++;    } int iResult0 = g_pMdApi->UnSubscribeMarketData(ppInstrumentID, len); cerr << "--->>> UnSubscribeMarketData: " << ((iResult0 == 0) ? "Success" : "Fail") << endl; std::this_thread::sleep_for(std::chrono::seconds(1)); int iResult = g_pMdApi->SubscribeMarketData(ppInstrumentID, len); cerr << "--->>> SubscribeMarketData: " << ((iResult == 0) ? "Success" : "Fail") << endl;    delete[] ppInstrumentID;}bool CTPMdSpi::IsErrorRspInfo(CThostFtdcRspInfoField *pRspInfo){ // 如果ErrorID != 0, 说明收到了错误的响应 bool bResult = ((pRspInfo) && (pRspInfo->ErrorID != 0)); if (bResult)  cerr << "--->>> ErrorID=" << pRspInfo->ErrorID << ", ErrorMsg=" << pRspInfo->ErrorMsg << endl; return bResult;}//----------------------------- public methods -------------------------------///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 CTPMdSpi::OnFrontConnected(){    std::cout << "=====FrontConnected Success=====" << std::endl;    ReqUserLogin();}///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 CTPMdSpi::OnFrontDisconnected(int nReason){ std::cerr << "=====FrontDisconnected=====" << std::endl; std::cerr << "ErrorCode: " << nReason << std::endl;} ///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 CTPMdSpi::OnHeartBeatWarning(int nTimeLapse){ std::cerr << "=====HeartBeat Timeout=====" << std::endl; std::cerr << "Timeout lap: " << nTimeLapse << std::endl;}///登录请求响应void CTPMdSpi::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin,       CThostFtdcRspInfoField *pRspInfo,       int nRequestID,       bool bIsLast){ if (bIsLast && !IsErrorRspInfo(pRspInfo)){  std::cout << "=====OnRspUserLogin success=====" << std::endl;  std::cout << "TradingDay: " << pRspUserLogin->TradingDay << std::endl;  std::cout << "LoginTime: " << pRspUserLogin->LoginTime << std::endl;  std::cout << "BrokerID: " << pRspUserLogin->BrokerID << std::endl;  std::cout << "UserID: " << pRspUserLogin->UserID << std::endl;  ///获取当前交易日  cerr << "--->>> GetTradingDay: " << g_pMdApi->GetTradingDay() << endl;  // 请求订阅行情  SubscribeMarketData(); }}///登出请求响应void CTPMdSpi::OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout,       CThostFtdcRspInfoField *pRspInfo,       int nRequestID,       bool bIsLast){}///请求查询组播合约响应void CTPMdSpi::OnRspQryMulticastInstrument(CThostFtdcMulticastInstrumentField *pMulticastInstrument,       CThostFtdcRspInfoField *pRspInfo,       int nRequestID,       bool bIsLast){}///错误应答void CTPMdSpi::OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast){    IsErrorRspInfo(pRspInfo);}///订阅行情应答void CTPMdSpi::OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument,       CThostFtdcRspInfoField *pRspInfo,       int nRequestID,       bool bIsLast){    if (bIsLast && !IsErrorRspInfo(pRspInfo)){     cout<< "--->>> OnRspSubMarketData: " <<pSpecificInstrument->InstrumentID<<" Success"<<endl;  char filePath[100] = { '\0' };  sprintf(filePath, ".//sql_data//%s_market_data.csv", pSpecificInstrument->InstrumentID);  std::ofstream outFile;  outFile.open(filePath, std::ios::out); // 新开文件  outFile << "InstrumentID" << ","   << "UpdateTime" << ","   << "LastPrice" << ","   << "Volume" << ","   << "BidPrice1" << ","   << "BidVolume1" << ","   << "AskPrice1" << ","   << "AskVolume1" << ","   << "OpenInterest" << ","   << "Turnover"   << std::endl;  outFile.close();    }}///取消订阅行情应答void CTPMdSpi::OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument,       CThostFtdcRspInfoField *pRspInfo,       int nRequestID,       bool bIsLast){}///订阅询价应答void CTPMdSpi::OnRspSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument,       CThostFtdcRspInfoField *pRspInfo,       int nRequestID,       bool bIsLast){}///取消订阅询价应答void CTPMdSpi::OnRspUnSubForQuoteRsp(CThostFtdcSpecificInstrumentField *pSpecificInstrument,       CThostFtdcRspInfoField *pRspInfo,       int nRequestID,       bool bIsLast){}///深度行情通知void CTPMdSpi::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData){    // 生成5档盘口和成交数据 std::cout << "=====OnRtnDepthMarketData=====" << std::endl; std::cout << "TradingDay: " << pDepthMarketData->TradingDay << std::endl; std::cout << "ExchangeID: " << pDepthMarketData->ExchangeID << std::endl; std::cout << "InstrumentID: " << pDepthMarketData->InstrumentID << std::endl; std::cout << "ExchangeInstID: " << pDepthMarketData->ExchangeInstID << std::endl; //合约在交易所的代码 std::cout << "LastPrice: " << pDepthMarketData->LastPrice << std::endl; std::cout << "Volume: " << pDepthMarketData->Volume << std::endl;        //生成Tick数据 // 将行情写入到csv文件中 // 如果只获取某一个合约行情，可以逐tick地存入文件或数据库 char filePath[100] = { '\0' }; sprintf(filePath, ".//sql_data//%s_market_data.csv", pDepthMarketData->InstrumentID); //sprintf(filePath, "%s_market_data.csv", pDepthMarketData->InstrumentID); std::ofstream outFile; outFile.open(filePath, std::ios::app); // 文件追加写入  outFile << pDepthMarketData->InstrumentID << ","  << pDepthMarketData->UpdateTime << "." << pDepthMarketData->UpdateMillisec << ","  << pDepthMarketData->LastPrice << ","  << pDepthMarketData->Volume << ","  << pDepthMarketData->BidPrice1 << ","  << pDepthMarketData->BidVolume1 << ","  << pDepthMarketData->AskPrice1 << ","  << pDepthMarketData->AskVolume1 << ","  << pDepthMarketData->OpenInterest << ","  << pDepthMarketData->Turnover << std::endl; outFile.close();}///询价通知void CTPMdSpi::OnRtnForQuoteRsp(CThostFtdcForQuoteRspField *pForQuoteRsp){}

（3）MarketL1Core.h

#pragma once#include <string>#include <vector>#include "CTPMdSpi.h"class MarketL1Core{public: MarketL1Core() = default; ~MarketL1Core(); bool start();    bool stop();    //启动客户端监听    bool startListenClient();private: bool checkConfig();    //连接上手服务器(CTP)    bool connectUpServer();    private: std::string serviceName; std::string serviceIp; int servicePort; std::string CTP_Address1; //主地址 std::string CTP_Address2; //备地址    std::vector<std::string> instrumentIds; CThostFtdcMdSpi *pMdUserSpi = new CTPMdSpi;};

（4）MarketL1Core.cpp

#include <iostream>#include "MarketL1Core.h"#include "com/xini_file.h"#include "Util.h"using namespace std;CThostFtdcMdApi *g_pMdApi;std::string g_brokerId;std::string g_userId;std::string g_password;std::vector<std::string> *g_pInstrumentIds;//---------------------------------- private methods --------------------------------bool MarketL1Core::checkConfig(){    CTP_Address1 = "tcp://218.202.237.33:10213";    CTP_Address2 = "";    g_brokerId = "9999";    g_userId = "xxx"; //填入你自己申请到的账号、密码    g_password = "xxx"; //        string ids = "sc2302|sc2403|bu2306|IO2303-C-3900|ag2302|WH301"; //需要订阅的行情    instrumentIds = Util::split(ids, "|");    g_pInstrumentIds = &instrumentIds;    cout<<"CTP_Address1:"<<CTP_Address1<<", instrumentIds:"<<ids<<endl;}//连接上手服务器(CTP)bool MarketL1Core::connectUpServer(){    // 初始化UserApi g_pMdApi = CThostFtdcMdApi::CreateFtdcMdApi("./market_data/", true); g_pMdApi->RegisterSpi(pMdUserSpi);                      // 注册事件类 g_pMdApi->RegisterFront((char*)CTP_Address1.c_str());     // connect  优先行情地址 //pMdApi->RegisterFront();                        // connect  备用行情地址，1B断开，自动连接2B地址 g_pMdApi->Init();    std::cout<<"Version:"<<g_pMdApi->GetApiVersion()<<std::endl;}//---------------------------------- public methods ---------------------------------MarketL1Core::~MarketL1Core(){ if(g_pMdApi){  g_pMdApi->Join();  g_pMdApi->Release(); } if(pMdUserSpi){  delete pMdUserSpi;  pMdUserSpi = nullptr; }}bool MarketL1Core::start(){    // 初始化log    // 读取配置    checkConfig();    connectUpServer();}bool MarketL1Core::stop(){}

（5）split()方法

class Util{public:    static std::vector<std::string> split(std::string str, std::string pattern)    {     std::string::size_type pos;     std::vector<std::string> result;     str += pattern;//扩展字符串以方便操作       int size = str.size();     for (int i = 0; i < size; i++)     {         pos = str.find(pattern, i);         if (pos < size)         {             std::string s = str.substr(i, pos - i);             result.push_back(s);             i = pos + pattern.size() - 1;         }     }     return result;    }};

（6）main()方法

#include "MarketL1Core.h"int main(int argc,char *argv[]){    MarketL1Core core;    core.start();}

好了，基本步骤就这些。最后在Unix操作系统上make通过后，就可以运行了！