CTP_API.rar_CTP API_CTP__ctp_ctp_api_交易开发实例

#include <iostream> using namespace std; #include ".\ThostTraderApi\ThostFtdcTraderApi.h" #include "TraderSpi.h" #pragma warning(disable : 4996) // USER_API参数 extern CThostFtdcTraderApi* pUserApi; // 配置参数 extern char FRONT_ADDR[]; // 前置地址 extern char BROKER_ID[]; // 经纪公司代码 extern char INVESTOR_ID[]; // 投资者代码 extern char PASSWORD[]; // 用户密码 extern char INSTRUMENT_ID[]; // 合约代码 extern TThostFtdcPriceType LIMIT_PRICE; // 价格 extern TThostFtdcDirectionType DIRECTION; // 买卖方向 // 请求编号 extern int iRequestID; // 会话参数 TThostFtdcFrontIDType FRONT_ID; //前置编号 TThostFtdcSessionIDType SESSION_ID; //会话编号 TThostFtdcOrderRefType ORDER_REF; //报单引用 void CTraderSpi::OnFrontConnected() { cerr << "--->>> " << "OnFrontConnected" << endl; ///用户登录请求 ReqUserLogin(); } void CTraderSpi::ReqUserLogin() { CThostFtdcReqUserLoginField req; memset(&req, 0, sizeof(req)); strcpy(req.BrokerID, BROKER_ID); strcpy(req.UserID, INVESTOR_ID); strcpy(req.Password, PASSWORD); int iResult = pUserApi->ReqUserLogin(&req, ++iRequestID); cerr << "--->>> 发送用户登录请求: " << ((iResult == 0) ? "成功" : "失败") << endl; } void CTraderSpi::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { cerr << "--->>> " << "OnRspUserLogin" << endl; if (bIsLast && !IsErrorRspInfo(pRspInfo)) { // 保存会话参数 FRONT_ID = pRspUserLogin->FrontID; SESSION_ID = pRspUserLogin->SessionID; int iNextOrderRef = atoi(pRspUserLogin->MaxOrderRef); iNextOrderRef++; sprintf(ORDER_REF, "%d", iNextOrderRef); ///获取当前交易日 cerr << "--->>> 获取当前交易日 = " << pUserApi->GetTradingDay() << endl; ///投资者结算结果确认 ReqSettlementInfoConfirm(); } } void CTraderSpi::ReqSettlementInfoConfirm() { CThostFtdcSettlementInfoConfirmField req; memset(&req, 0, sizeof(req)); strcpy(req.BrokerID, BROKER_ID); strcpy(req.InvestorID, INVESTOR_ID); int iResult = pUserApi->ReqSettlementInfoConfirm(&req, ++iRequestID); cerr << "--->>> 投资者结算结果确认: " << ((iResult == 0) ? "成功" : "失败") << endl; } void CTraderSpi::OnRspSettlementInfoConfirm(CThostFtdcSettlementInfoConfirmField *pSettlementInfoConfirm, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { cerr << "--->>> " << "OnRspSettlementInfoConfirm" << endl; if (bIsLast && !IsErrorRspInfo(pRspInfo)) { ///请求查询合约 ReqQryInstrument(); } } void CTraderSpi::ReqQryInstrument() { CThostFtdcQryInstrumentField req; memset(&req, 0, sizeof(req)); strcpy(req.InstrumentID, INSTRUMENT_ID); int iResult = pUserApi->ReqQryInstrument(&req, ++iRequestID); cerr << "--->>> 请求查询合约: " << ((iResult == 0) ? "成功" : "失败") << endl; } void CTraderSpi::OnRspQryInstrument(CThostFtdcInstrumentField *pInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { cerr << "--->>> " << "OnRspQryInstrument" << endl; if (bIsLast && !IsErrorRspInfo(pRspInfo)) { ///请求查询合约 ReqQryTradingAccount(); } } void CTraderSpi::ReqQryTradingAccount() { CThostFtdcQryTradingAccountField req; memset(&req, 0, sizeof(req)); strcpy(req.BrokerID, BROKER_ID); strcpy(req.InvestorID, INVESTOR_ID); int iResult = pUserApi->ReqQryTradingAccount(&req, ++iRequestID); cerr << "--->>> 请求查询资金账户: " << ((iResult == 0) ? "成功" : "失败") << endl; } void CTraderSpi::OnRspQryTradingAccount(CThostFtdcTradingAccountField *pTradingAccount, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { cerr << "--->>> " << "OnRspQryTradingAccount" << endl; if (bIsLast && !IsErrorRspInfo(pRspInfo)) { ///请求查询投资者持仓 ReqQryInvestorPosition(); } } void CTraderSpi::ReqQryInvestorPosition() { CThostFtdcQryInvestorPositionField req; memset(&req, 0, sizeof(req)); strcpy(req.BrokerID, BROKER_ID); strcpy(req.InvestorID, INVESTOR_ID); strcpy(req.InstrumentID, INSTRUMENT_ID); int iResult = pUserApi->ReqQryInvestorPosition(&req, ++iRequestID); cerr << "--->>> 请求查询投资者持仓: " << ((iResult == 0) ? "成功" : "失败") << endl; } void CTraderSpi::OnRspQryInvestorPosition(CThostFtdcInvestorPositionField *pInvestorPosition, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { cerr << "--->>> " << "OnRspQryInvestorPosition" << endl; if (bIsLast && !IsErrorRspInfo(pRspInfo)) { ///报单录入请求 ReqOrderInsert(); } } void CTraderSpi::ReqOrderInsert() { CThostFtdcInputOrderField req; memset(&req, 0, sizeof(req)); ///经纪公司代码 strcpy(req.BrokerID, BROKER_ID); ///投资者代码 strcpy(req.InvestorID, INVESTOR_ID); ///合约代码 strcpy(req.InstrumentID, INSTRUMENT_ID); ///报单引用 strcpy(req.OrderRef, ORDER_REF); ///用户代码 // TThostFtdcUserIDType UserID; ///报单价格条件: 限价 req.OrderPriceType = THOST_FTDC_OPT_LimitPrice; ///买卖方向: req.Direction = DIRECTION; ///组合开平标志: 开仓 req.CombOffsetFlag[0] = THOST_FTDC_OF_Open; ///组合投机套保标志 req.CombHedgeFlag[0] = THOST_FTDC_HF_Speculation; ///价格 req.LimitPrice = LIMIT_PRICE; ///数量: 1 req.VolumeTotalOriginal = 1; ///有效期类型: 当日有效 req.TimeCondition = THOST_FTDC_TC_GFD; ///GTD日期 // TThostFtdcDateType GTDDate; ///成交量类型: 任何数量 req.VolumeCondition = THOST_FTDC_VC_AV; ///最小成交量: 1 req.MinVolume = 1; ///触发条件: 立即 req.ContingentCondition = THOST_FTDC_CC_Immediately; ///止损价 // TThostFtdcPriceType StopPrice; ///强平原因: 非强平 req.ForceCloseReason = THOST_FTDC_FCC_NotForceClose; ///自动挂起标志: 否 req.IsAutoSuspend = 0; ///业务单元 // TThostFtdcBusinessUnitType BusinessUnit; ///请求编号 // TThostFtdcRequestIDType RequestID; ///用户强评标志: 否 req.UserForceClose = 0; int iResult = pUserApi->ReqOrderInsert(&req, ++iRequestID); cerr << "--->>> 报单录入请求: " << ((iResult == 0) ? "成功" : "失败") << endl; } void CTraderSpi::OnRspOrderInsert(CThostFtdcInputOrderField *pInputOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { cerr << "--->>> " << "OnRspOrderInsert" << endl; IsErrorRspInfo(pRspInfo); } void CTraderSpi::ReqOrderAction(CThostFtdcOrderField *pOrder) { static bool ORDER_ACTION_SENT = false; //是否发送了报单 if (ORDER_ACTION_SENT) return; CThostFtdcInputOrderActionField req; memset(&req, 0, sizeof(req)); ///经纪公司代码 strcpy(req.BrokerID, pOrder->BrokerID); ///投资者代码 strcpy(req.InvestorID, pOrder->InvestorID); ///报单操作引用 // TThostFtdcOrderActionRefType OrderActionRef; ///报单引用 strcpy(req.OrderRef, pOrder->OrderRef); ///请求编号 // TThostFtdcRequestIDType RequestID; ///前置编号 req.FrontID = FRONT_ID; ///会话编号 req.SessionID = SESSION_ID; ///交易所代码 // TThostFtdcExchangeIDType ExchangeID; ///报单编号 // TThostFtdcOrderSysIDType OrderSysID; ///操作标志 req.ActionFlag = THOST_FTDC_AF_Delete; ///价格 // TThostFtdcPriceType LimitPrice; ///数量变化 // TThostFtdcVolumeType VolumeChange; ///用户代码 // TThostFtdcUserIDType UserID; ///合约代码 strcpy(req.InstrumentID, pOrder->InstrumentID); int iResult = pUserApi->ReqOrderAction(&req, ++iRequestID); cerr << "--->>> 报单操作请求: " << ((iResult == 0) ? "成功" : "失败") << endl; ORDER_ACTION_SENT = true; } void CTraderSpi::OnRspOrderAction(CThostFtdcInputOrderActionField *pInputOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) { cerr << "--->>> " << "OnRspOrderAction" << endl; IsErrorRspInfo(pRspInfo); } ///报单通知 void CTraderSpi::OnRtnOrder(CThostFtdcOrderField *pOrder) { cerr << "--->>> " << "OnRtnOrder" << endl; if (IsMyOrder(pOrder)) { if (IsTradingOrder(pOrder)) ReqOrderAction(pOrder); else if (pOrder->OrderStatus == THOST_FTDC_OST_Canceled) cout << "--->>> 撤单成功" << endl; } } ///成交通知 void CTraderSp