kdb+/q interface library for Wind Quant API.
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Freddie Wu
Latest commit 81aa22a Nov 13, 2018

README.md

q_Wind

kdb+/q interface for Wind APIs (non-COM version)

This project provides kdb+/q support for 4 distinct sets of APIs provided by Wind Information Co., Ltd, a Chinese financial information and solutions provider:

  • Wind Quant API, a Quants API that also provides some market data feeds;
  • Wind TDF API, a read-time data feed API for Chinese financial market data;
    • Development suspended (prefer utilizing TDF API for any supported languages to construct feedhandler executables directly, which should be much easier than building TDF into a DLL).
  • Wind TDB API, a historical database API for what is provided by TDF API at real-time;
  • Wind RD Database, a Quants research database for global markets.

Wind 万得 kdb+/q 数据接口(non-COM version)

本项目提供了四个kdb+/q的接口,用于连接万得Wind几个不同的编程接口:

  • Wind Quant API——量化编程接口(机构版);
  • Wind TDF API——实时市场数据流接口;
    • 暂停开发(推荐使用各种语言的TDF API直接写feedhandler程序,这样做远比把TDF封包成DLL要容易得多)
  • Wind TDB API——对应TDF API的历史市场数据接口;
  • Wind RD Database——量化研究数据库。

本项目是使用Visual Studio 20132015编译的工程。与zwz的《WindKdb+数据及交易接口V1.1》不同,本工程对Wind Quant API的支持直接使用WindQuantData.dll的API而不须使用基于COM的WAPIWrapperCpp.dll。虽然没有使用WAPIWrapperCpp.dll,不过本接口已经把所有接数的函数封装为同步函数(WSQ/TDQ数据订阅函数除外),以方便在q程序内使用。

License

Apache License v2.0

Build

本工程需要使用正版的Visual Studio 2013Visual Studio 2015(包括社区版)进行编译。

如果您使用的是免费版的Visual Studio Express 2013,则本工程还额外需要Windows Driver Kit (WDK) v7.1.0中的头文件和库方可编译。为方便直接使用,压缩包里还包括了工程编译后生成的DLL(在Release目录中)。

Note

万得金融终端安装时,缺省只会把安装目录下的bin子目录加入到PATH环境变量中。这种情况下只能正常使用32位版的接口。

如果需要使用64位版的接口,请务必在kdb+启动前,先把万得金融终端安装目录下的x64子目录加入到PATH环境变量最前面,以便让q.exe进程能在32位版本之前先找到64位版本的库。

Change Log

  • 2018.04
    • Include dependent headers and libraries into the project
    • Add support for x64 build
    • Add support for the new WSES and WSEE functions
  • 2018.01
    • Upgraded from MSVC 2013 to 2015
    • Various bug fixes for Wind_RD.q module
  • 2017.05
    • Add support for the new h2code function
  • 2017.03
    • Move code documentation to q-doc format
  • 2017.01
    • Upgrade TDB to v3.20161219 API (server-side upgrade)
    • WindQuantAPI queries: missing (N/A) data items return as identities (::) instead of empty lists ()
    • Add preliminary support for COM automation
    • Various bugfixes
  • 2016.01
    • Upgrade TDB to v3 API (on-the-wire data compression, faster access)
    • Merged multiple tick data extraction functions (TDB v3 change)
    • Added support for OHLC (a.k.a. K-line) data extraction
  • 2015.12
    • Added simple ODBC-based wrapper for RD database
  • 2015.08
    • Suspended development for TDF API due to the lack of need
    • More complete API support for TDB
  • 2015.07
    • Added support for Wind TDF/TDB APIs -- Only part of the APIs have been implemented, still work in progress...
  • 2015.03–04
    • Various bug fixes
  • 2015.03.06
    • Initial merge into GitHub
    • Added missing support for WST function
    • Fixed problem with WSQ subscribers being not able to modify global data in q
  • 2015.02.27
    • Initial version to support most APIs in WindQuantData.dll

References

About Wind万得

About kdb+/q