Before I started CTP development, I also consulted a lot of other materials, and found that they all made the market and trading in the same project. I have also worked on a futures-related trading platform before, and I feel that this method of combining market prices and transactions lacks scalability. For example, if I have opened multiple CTP accounts and want to trade at the same time, it is difficult to do this together; in addition, if I want to connect to other exchanges, how should I connect?
The following is my software architecture diagram:
In order to facilitate the description of CTP market and transaction development, this architecture diagram is the original version. In the future, it will be deepened on this basis and developed into a scalable trading platform that can be used in actual combat.
Theoretically, one CTP account can perform multi-login in six places; in addition, in actual combat, some customers will have multiple CTP accounts to conduct quantitative transactions at the same time. Therefore, this software architecture diagram can meet the requirements of simultaneous transactions of multiple CTP accounts.
1. Class file description
（1）CTPMdSpi.h、CTPMdSpi.cpp
Inherit the CThostFtdcMdSpi class, which implements all callback functions, and is the most important class.
（2）MarketL1Core.h、MarketL1Core.cpp
The main class contains the main logic relationship of the program call.
（3）Main.cpp
Write the class for the main() function.
2. Code Description
（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() method
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 () method
#include "MarketL1Core.h"
int main(int argc,char *argv[])
{
MarketL1Core core;
core.start();
}Well, these are the basic steps. Finally, after make passes on the Unix operating system, it can run!