期货、期权tick数据接收

功能：

1、开启之后，7*24自动运行。

2、在共享内存中存放当个交易日的tick数据，方便随时取用。

3、支持多行情源取数据。经过测试一个行情源峰值带宽要求为20M，所以使用时要配合带宽限制。

4、夜盘结束时输出一下tick数据，白盘结束时输出所有tick。

5、支持查询指令：

运行时如下：

贴上代码：

// FutureDataReceive.cpp : 定义控制台应用程序的入口点。
//

#include "stdafx.h"
#include "ThostFtdcMdSpiImpl.hpp"
#include "ThostFtdcTraderSpiImpl.hpp"
#include "future_helper.h"
#include "TinyConfig.h"
#include "FileMap.h"
#include <boost/lockfree/queue.hpp>
#include <iostream>
#include <conio.h>

CFileMap g_fileMap;
TinyConfig g_config;
CThostFtdcTraderSpiImpl g_trade;
vector<shared_ptr<CThostFtdcMdSpiImpl>> g_vecQuote;

int g_nPreTradingDay;
int g_nTradingDay;
bool g_bThread = true;

boost::lockfree::queue<CThostFtdcDepthMarketDataField> g_buffer(1000);
shared_ptr<thread> g_thdDealData = nullptr;
vector<CThostFtdcDepthMarketDataField> g_vecBuffer;

void OnLog(const char* p)
{
	printf(p);
	ofstream ofs_log("./log.data.receive.txt", ios_base::app);
	ofs_log << future_helper::get_local_datetime().c_str() << " " << p;
	ofs_log.close();
}

#pragma region trade module
///trade call back
bool g_bTradeLoginIn = false;
void OnTradeComplete()
{
	int nTradingDay = atoi(g_trade.GetTradingDay());
	if (g_nTradingDay != 0 && g_nTradingDay != nTradingDay)
		g_nPreTradingDay = g_nTradingDay;

	g_nTradingDay = nTradingDay;
	g_bTradeLoginIn = true;
	printf("交易日:%d-%d\n", g_nPreTradingDay, g_nTradingDay);
}

void OnTradeRspMessage(const char* from, const char* msg, future_msg_type msg_type)
{
	OnLog(future_helper::format_string("%s%s:%s\n", msg_type == future_msg_type::CTP_SUCCESS ? "" : "*", from, msg).c_str());
}

void TradeLogin()
{
	int retry_time = 3;
	while (1)
	{
		g_bTradeLoginIn = false;
		g_trade.SetCallBackFunc(OnTradeComplete, nullptr, OnTradeRspMessage);
		g_trade.SetAuthenticate(g_config.GetValue("Trade", "product").c_str(), g_config.GetValue("Trade", "id").c_str(), g_config.GetValue("Trade", "code").c_str());
		g_trade.InitParams(g_config.GetValue("Trade", "ip").c_str(), g_config.GetValue("Trade", "broker").c_str(),
			g_config.GetValue("Trade", "user").c_str(), g_config.GetValue("Trade", "password").c_str());

		int tick = GetTickCount();
		while (1)
		{
			if (g_bTradeLoginIn) break;
			this_thread::sleep_for(chrono::milliseconds(100));
			if (GetTickCount() - tick > 60 * 1000) break;
		}

		g_trade.Release();
		g_fileMap.SetTradingDay(g_nPreTradingDay, g_nTradingDay);
		if (g_bTradeLoginIn) break;
		retry_time--;
		OnLog("交易 登录超时[1分钟]，重新登录\n");
		if (retry_time == 0)
		{
			OnLog("交易 登录次数达到3次，不再尝试重新登录！\n");
			break;
		}
	}
}
//////////////////////////////////////////////////////////////////////////
#pragma endregion trade module

///market call back
int g_nMarketLoginIn = 0;
void OnMarketComplete()
{
	g_nMarketLoginIn++;
}

void OnMarketRspMessage(const char* from, const char* msg, future_msg_type msg_type)
{
	OnLog(future_helper::format_string("%s%s:%s\n", msg_type == future_msg_type::CTP_SUCCESS ? "" : "*", from, msg).c_str());
}

void OnDepthMarketData(CThostFtdcDepthMarketDataField* p)
{
	if (!p) return;
	g_buffer.push(*p);
}

void MarketLogin()
{
	int retry_time = 3;
	std::vector<CThostFtdcInstrumentField> vecTradingCode;
	g_trade.GetTradingCode(vecTradingCode, THOST_FTDC_PC_Futures);
	g_trade.GetTradingCode(vecTradingCode, THOST_FTDC_PC_Options);
	printf("订阅合约：%d\n", vecTradingCode.size());
	g_fileMap.SetTradingCode(vecTradingCode);
	while (1)
	{
		g_nMarketLoginIn = 0;
		for (int i = 1; i <= 3; i++)
		{
			string this_ip = g_config.GetValue("Market", future_helper::format_string("ip%d", i).c_str());
			if (this_ip == "") break;
			auto pMdSpi = make_shared<CThostFtdcMdSpiImpl>();
			g_vecQuote.push_back(pMdSpi);
			pMdSpi->SetTradingCode(vecTradingCode);
			pMdSpi->SetCallBackFunc(OnDepthMarketData, OnMarketRspMessage, nullptr, OnMarketComplete);
			pMdSpi->InitParams(this_ip.c_str(), "8888", "88888888", "88888888");
		}

		int tick = GetTickCount();
		while (1)
		{
			if (g_nMarketLoginIn == g_vecQuote.size()) break;
			this_thread::sleep_for(chrono::milliseconds(100));
			if (GetTickCount() - tick > 60 * 1000) break;
		}

		if (g_nMarketLoginIn > 0 && g_nMarketLoginIn != g_vecQuote.size())
		{
			int nUnconnectIndex = 1;
			OnLog("***********************\n");
			OnLog("*有未能正常登录的行情账号:\n");
			for (auto iter = g_vecQuote.begin(); iter != g_vecQuote.end(); iter++)
			{
				if (!(*iter)->IsConnected())
				{
					OnLog(future_helper::format_string("%d、%s\n", nUnconnectIndex, (*iter)->GetFrontIP()).c_str());
					nUnconnectIndex++;
				}
			}
			OnLog("***********************\n");
			OnLog("已有行情连接成功，未连接的不尝试重连\n");
		}

		if (g_nMarketLoginIn > 0) break;
		OnLog("行情 登录超时[1分钟]，重新登录\n");
		retry_time--;
		if (retry_time == 0)
		{
			OnLog("行情 登录次数达到3次，不再尝试重新登录！\n");
			break;
		}
	}
}

void ThreadConsumeTick()
{
	OnLog("处理线程已启动\n");
	map<string, CThostFtdcDepthMarketDataField> m_mapShot;
	while (g_bThread)
	{
		if (g_buffer.empty())
		{
			this_thread::sleep_for(chrono::milliseconds(5));
			continue;
		}

		CThostFtdcDepthMarketDataField data;
		g_buffer.pop(data);
		if (data.UpdateTime[2] == ':') {
			data.UpdateTime[2] = data.UpdateTime[3];
			data.UpdateTime[3] = data.UpdateTime[4];
			data.UpdateTime[4] = data.UpdateTime[6];
			data.UpdateTime[5] = data.UpdateTime[7];
			data.UpdateTime[6] = 0;
		}

		if (atoi(data.UpdateTime) > 180000) {
			_snprintf_s(data.TradingDay, 9, "%d", g_nPreTradingDay);
		}
		else {
			_snprintf_s(data.TradingDay, 9, "%d", g_nTradingDay);
		}

		bool bNewTick = false;
		auto find_shot = m_mapShot.find(data.InstrumentID);
		if (find_shot == m_mapShot.end())
		{
			bNewTick = true;
			m_mapShot[data.InstrumentID] = data;
		}
		else
		{
			long long llThis = future_helper::to_longlong(atoi(data.TradingDay), atoi(data.UpdateTime)) * 1000 + data.UpdateMillisec;
			long long llLast = future_helper::to_longlong(atoi(find_shot->second.TradingDay), atoi(find_shot->second.UpdateTime)) * 1000 + find_shot->second.UpdateMillisec;
			if (llThis > llLast || find_shot->second.Volume < data.Volume)
			{//郑商所没有毫秒
				bNewTick = true;
				find_shot->second = data;
			}
		}

		if (bNewTick && g_fileMap.IsOK()) {
			g_fileMap.AddDepthData(&data);
		}
		else if (bNewTick) {
			g_vecBuffer.push_back(data);
		}
	}
	OnLog("处理线程已退出\n");
}

//bReset == true:清空共享内存中的tick数据
void OutPutTickData(bool bReset)
{
	unsigned int* exist_size;
	CThostFtdcDepthMarketDataField* p = g_fileMap.GetDepthData(&exist_size);
	if (!p || *exist_size <= 0) {
		OnLog("共享内存中无任何tick数据\n从内存中导出\n");

		if (g_vecBuffer.size() == 0)
		{
			OnLog("内存中无任何tick数据\n");
			return;
		}

		future_helper::safe_create_floder((g_config.GetValue("Path", "tick_normal") + "\\" + future_helper::to_string(g_nTradingDay / 10000)).c_str());
		ofstream ofs_tick(g_config.GetValue("Path", "tick_normal") + "\\" + future_helper::to_string(g_nTradingDay / 10000) +
			"\\data_" + future_helper::to_string(g_nTradingDay) + ".txt", ios_base::out);
		for (auto& field : g_vecBuffer)
		{
			char szBuf[1024];
			_snprintf_s(szBuf, 1024,
				//交易日,最后修改时间,最后修改毫秒,合约代码,
				//最新价,上次结算价,昨收盘,昨持仓量,
				//今开盘,最高价,最低价,数量,成交金额,持仓量,
				//涨停板价,跌停板价,
				//申买价一,申买量一,申卖价一,申卖量一,
				//当日均价
				"%s,%s,%d,%s,%.4f,%.4f,%.4f,%.4f,%.4f,%.4f,%.4f,%d,%.4f,%.4f,%.4f,%.4f,%.4f,%d,%.4f,%d,%.4f\n",
				field.TradingDay, field.UpdateTime, field.UpdateMillisec, field.InstrumentID,
				field.LastPrice, field.PreSettlementPrice, field.PreClosePrice, field.PreOpenInterest,
				field.OpenPrice, field.HighestPrice, field.LowestPrice, field.Volume, field.Turnover, field.OpenInterest,
				field.UpperLimitPrice, field.LowerLimitPrice,
				field.BidPrice1, field.BidVolume1, field.AskPrice1, field.AskVolume1,
				field.AveragePrice);
			ofs_tick << szBuf;
		}
		return;
	}

	OnLog(future_helper::format_string("输出共享内存中的tick数据 %d 个\n", *exist_size).c_str());
	future_helper::safe_create_floder((g_config.GetValue("Path", "tick_normal") + "\\" + future_helper::to_string(g_nTradingDay / 10000)).c_str());
	ofstream ofs_tick(g_config.GetValue("Path", "tick_normal") + "\\" + future_helper::to_string(g_nTradingDay / 10000) +
		"\\data_" + future_helper::to_string(g_nTradingDay) + ".txt", ios_base::out);
	for (int i = 0; i < *exist_size; i++)
	{
		auto& field = *(CThostFtdcDepthMarketDataField*)(p + i);
		char szBuf[1024];
		_snprintf_s(szBuf, 1024,
			//交易日,最后修改时间,最后修改毫秒,合约代码,
			//最新价,上次结算价,昨收盘,昨持仓量,
			//今开盘,最高价,最低价,数量,成交金额,持仓量,
			//涨停板价,跌停板价,
			//申买价一,申买量一,申卖价一,申卖量一,
			//当日均价
			"%s,%s,%d,%s,%.3f,%.4f,%.4f,%.4f,%.4f,%.4f,%.4f,%d,%.4f,%.4f,%.4f,%.4f,%.4f,%d,%.4f,%d,%.4f",
			field.TradingDay, field.UpdateTime, field.UpdateMillisec, field.InstrumentID,
			future_helper::check_double(field.LastPrice), future_helper::check_double(field.PreSettlementPrice), future_helper::check_double(field.PreClosePrice), future_helper::check_double(field.PreOpenInterest),
			future_helper::check_double(field.OpenPrice), future_helper::check_double(field.HighestPrice), future_helper::check_double(field.LowestPrice), field.Volume, future_helper::check_double(field.Turnover), future_helper::check_double(field.OpenInterest),
			future_helper::check_double(field.UpperLimitPrice), future_helper::check_double(field.LowerLimitPrice),
			future_helper::check_double(field.BidPrice1), field.BidVolume1, future_helper::check_double(field.AskPrice1), field.AskVolume1,
			future_helper::check_double(field.AveragePrice));
		ofs_tick << szBuf << endl;
	}
	ofs_tick.flush();
	ofs_tick.close();

	if (bReset)
		*exist_size = 0;
}

void Open()
{
	printf("%s\n", future_helper::get_local_datetime().c_str());
	g_nMarketLoginIn = 0;
	OnLog("区间交易开始！\n");
	if (!g_thdDealData) {
		g_bThread = true;
		g_thdDealData = make_shared<thread>(ThreadConsumeTick);
	}

	if (!g_fileMap.CreateFileMap(FILE_MAP_KEY))
	{
		OnLog("共享内存创建失败！直接存文件...\n");
	}
	else
	{
		g_fileMap.InitDefaultRange();
	}

	TradeLogin();
	unsigned int* exist_count;
	auto pTick = g_fileMap.GetDepthData(&exist_count);
	int local_time = atoi(future_helper::get_local_time(false).c_str());
	if ((!pTick || *exist_count == 0) && (local_time < 151500 || local_time > 180000))
	{
		ifstream ifs_tick(g_config.GetValue("Path", "tick_normal") + "\\" + future_helper::to_string(g_nTradingDay / 10000) +
			"\\data_" + future_helper::to_string(g_nTradingDay) + ".txt", ios_base::in);
		if (ifs_tick.is_open())
		{
			OnLog("本地加载tick到共享内存：");
			int tick_count = 0;
			CThostFtdcDepthMarketDataField data;
			char szLine[1024];
			while (ifs_tick.getline(szLine, 1024))
			{
				future_helper::LineToStruct(szLine, data);
				g_fileMap.AddDepthData(&data);
				tick_count++;
			}
			OnLog(future_helper::format_string("%d条\n", tick_count).c_str());
		}
	}
	MarketLogin();
}

void Close()
{
	printf("%s\n", future_helper::get_local_datetime().c_str());
	int close_count = 0;
	for (auto& md : g_vecQuote)
	{
		if (md->IsConnected()) {
			close_count++;
			md->ReleaseAPI();
		}
	}
	g_vecQuote.clear();
	if (close_count > 0) {
		OnLog(future_helper::format_string("区间交易结束！关闭行情接收:%d\n", close_count).c_str());
		if (g_thdDealData && g_thdDealData->joinable()) {
			g_bThread = false;
			g_thdDealData->join();
			g_thdDealData = nullptr;
		}
	}

	g_nMarketLoginIn = 0;
	OnLog(future_helper::format_string("共享内存使用%d/%d(mb)=%.2f%%%%\n",
		g_fileMap.GetTotalUsedSpace() / 1024 / 1024, MAX_PAGE_SIZE / 1024 / 1024,
		(double)g_fileMap.GetTotalUsedSpace() * 100 / MAX_PAGE_SIZE).c_str());
}

int main()
{
	if (!g_config.Open((future_helper::GetWorkingDir() + "\\system.ini").c_str()))
	{
		OnLog("system.ini打开失败\n");
		system("pause");
	}

	OnLog("执行开启共享内存测试...");
	if (!g_fileMap.CreateFileMap(FILE_MAP_KEY))
	{
		OnLog("失败！");
		system("pause");
	}
	else
	{
		OnLog("成功！\n");
		g_fileMap.Release();
	}

	OnLog("==========start==========\n");

	printf("初次启动需要输入前交易日，用来更新夜盘的日期...");
	scanf_s("%d", &g_nPreTradingDay);
	int night_tick_count = -1;
	int last_local_time = atoi(future_helper::get_local_time(false).c_str());

	while (1)
	{
		if (_kbhit() != 0)
		{
			printf("**********不要长时间阻塞此处，这样将导致软件无法正常工作！***********\n");
			printf("**********记得输入完之后按回车键哦！                      ***********\n");
			string str;
			std::getline(std::cin, str);
			if (str == "quit")
			{
				Close();
				break;
			}
			else if (str == "help")
			{
				printf("quit:退出\n");
				printf("help:帮助\n");
				printf("open:手动开启接收\n");
				printf("close:手动关闭接收\n");
				printf("tradingday:交易日\n");
				printf("tradingcode:可交易合约\n");
				printf("tickdata:输出接收到的tick数据\n");
				printf("sharememory:共享内存使用率\n");
			}
			else if (str == "open")
			{
				Open();
			}
			else if (str == "close")
			{
				Close();
			}
			else if (str == "tradingday")
			{
				printf("交易日：%d-%d\n", g_nPreTradingDay, g_nTradingDay);
			}
			else if (str == "tradingcode")
			{
				printf("期货可交易合约：\n");
				map<string, vector<CThostFtdcInstrumentField>> mapClasses;
				vector<CThostFtdcInstrumentField> vec;
				g_trade.GetTradingCode(vec, THOST_FTDC_PC_Futures);
				for (auto& item : vec)
				{
					mapClasses[item.ProductID].push_back(item);
				}

				for (auto iter = mapClasses.begin(); iter != mapClasses.end(); iter++)
				{
					printf("%s:", iter->first.c_str());
					for (auto& item : iter->second)
					{
						printf("%s ", item.InstrumentID);
					}
					printf("\n");
				}
			}
			else if (str == "tickdata")
			{
				OutPutTickData(false);
			}
			else if (str == "sharememory")
			{
				unsigned int* exist_size;
				CThostFtdcDepthMarketDataField* p = g_fileMap.GetDepthData(&exist_size);
				OnLog(future_helper::format_string("tick数据个数:%d\n共享内存使用%d/%d(mb)=%.2f%%%%\n",
					p ? *exist_size : 0,
					g_fileMap.GetTotalUsedSpace() / 1024 / 1024, MAX_PAGE_SIZE / 1024 / 1024,
					(double)g_fileMap.GetTotalUsedSpace() * 100 / MAX_PAGE_SIZE).c_str());
			}
		}

		int local_time = atoi(future_helper::get_local_time(false).c_str());
		if ((local_time >= 23500 && last_local_time < 23500) ||
			(local_time >= 155000 && last_local_time < 155000))
		{
			unsigned int* exist_count;
			auto pTick = g_fileMap.GetDepthData(&exist_count);
			Close();
			if ((local_time >= 155000 && last_local_time < 155000)){
				OnLog("交易日结束了？...");
				if (night_tick_count == -1 || *exist_count > night_tick_count) {
					OnLog("是的！\n");
					OutPutTickData(true);
					if (night_tick_count != -1) {
						OnLog("打开TickToKline.exe\n");
						::ShellExecute(NULL, "open", (future_helper::GetWorkingDir() + "\\TickToKline.exe").c_str(), "1", NULL, SW_SHOW);
					}

					night_tick_count = -1;
				}
				else
				{
					OnLog(future_helper::format_string("没有！（共享内存的数据没有比夜盘多%d-%d）！\n",
						night_tick_count, *exist_count).c_str());
				}
			}
			else
			{
				OnLog("夜盘结束了？...");
				if (night_tick_count == -1 && *exist_count > 0) {
					OnLog("是的！输出一次夜盘数据\n");
					night_tick_count = *exist_count;
					OutPutTickData(false);
				}
				else
				{
					OnLog("现在不是夜盘结束时间！（没有夜盘数据 或者 已经输出过一次夜盘数据了）\n");
				}
			}
		}
		if ((local_time >= 82000 && last_local_time < 82000) ||
			(local_time >= 202000 && last_local_time < 202000))
		{
			Close();
			Open();
		}

		last_local_time = local_time;
		this_thread::sleep_for(chrono::seconds(1));
	}

    return 0;
}

　　

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