增加tick2trade延时测试代码

vnpy · Dec 7, 2016 · 0381032 · 0381032
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diff --git a/vn.ctp/vnctpmd/Visual Studio 2013/settings/Windows Azure Subscriptions.xml b/vn.ctp/vnctpmd/Visual Studio 2013/settings/Windows Azure Subscriptions.xml
@@ -1,5 +1,5 @@
 <?xml version="1.0"?>
 <SubscriptionDataContainer xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns="urn:Microsoft.VisualStudio.WindowsAzure.CommonAzureTools.Authentication.CacheManagement">
   <Items />
-  <TokenCache>AQAAANCMnd8BFdERjHoAwE/Cl+sBAAAAFu2zqVyKekyvVmiKknbo5gAAAAACAAAAAAAQZgAAAAEAACAAAAAAYmnCE5TZ7OTMycBfVOT5oRy7AAf9RG/yNygue3I/KgAAAAAOgAAAAAIAACAAAABNPnwcQSkIhCBqPDlzsY14A7QhHxWle3w4tJAd8EpvmhAAAADpa6MuW7qJqbUoGp68HfxTQAAAAFM1L12/VZX0bKg3A4QLJrHd62B2rhv4emdG+dsfUENr0YV2ELCAkb6TcoqTvRHrEn1GlvU9G5THu0m1mllqFPs=</TokenCache>
+  <TokenCache>AQAAANCMnd8BFdERjHoAwE/Cl+sBAAAAyRIhRmRN8UK7w5RuPHePCQAAAAACAAAAAAAQZgAAAAEAACAAAABOKZJ+rmRrqvwh5QNfnCozvUYDOg+U0BzjckGAMhcYjQAAAAAOgAAAAAIAACAAAABhb4q4toOQ9w2A0T0uaQRj2eZRLPM5uC94WAyAcK9T+RAAAADkg9a8iCcry5TKQN55FgXBQAAAAA/yyrOHkXNSwl7z644L4X680aDKtmMvD38Fwvi8mIW48PLSVfOFYjTlhO/lbIPFWfHENRgYSShBuwZq2JZC4Cg=</TokenCache>
 </SubscriptionDataContainer>
diff --git a/vn.ctp/vnctptd/Visual Studio 2013/settings/Windows Azure Subscriptions.xml b/vn.ctp/vnctptd/Visual Studio 2013/settings/Windows Azure Subscriptions.xml
@@ -0,0 +1,5 @@
+<?xml version="1.0"?>
+<SubscriptionDataContainer xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns="urn:Microsoft.VisualStudio.WindowsAzure.CommonAzureTools.Authentication.CacheManagement">
+  <Items />
+  <TokenCache>AQAAANCMnd8BFdERjHoAwE/Cl+sBAAAAyRIhRmRN8UK7w5RuPHePCQAAAAACAAAAAAAQZgAAAAEAACAAAADf91WYlm11XNlY7oqd3a/lm23SaZ+dbvdXbsHLH8XtIQAAAAAOgAAAAAIAACAAAACabh6Uk42N14p8/h/LJl5cueb8GnuquGzdgRt632QaqBAAAACJ3D67W4v3AJfMXokvrZL0QAAAACKDHSe4qcbNXTFiPSsWABZTXHPj/HA8LEdrFx2kT2ihCkykngHqEnoX0Jxjpb35ruIVUL0YVwZxLkAjjPPSttk=</TokenCache>
+</SubscriptionDataContainer>
diff --git a/vn.how/tick2trade/vn.ctp_t2t/CMakeLists.txt b/vn.how/tick2trade/vn.ctp_t2t/CMakeLists.txt
@@ -0,0 +1,106 @@
+cmake_minimum_required(VERSION 2.8)
+project(vn_ctp_api)
+
+# 设置使用的编译器
+set(CMAKE_BUILD_TYPE "Release")
+if (CMAKE_COMPILER_IS_GNUC OR CMAKE_COMPILER_IS_GNUCXX) 
+  set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -fPIC -std=c++11")
+endif ()
+
+# 设置输出目录
+set(EXECUTABLE_OUTPUT_PATH ${CMAKE_BINARY_DIR}/bin)
+set(LIBRARY_OUTPUT_PATH ${CMAKE_BINARY_DIR}/lib)
+
+# 使用64位编译
+option(USE_64BITS "comiple 64bits" ON)
+if (USE_64BITS)
+  add_definitions(-DUSE_64BITS)
+  #set(CMAKE_C_FLAGS "${CMAKE_C_FLAGS} -m32")
+  #set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -m32")
+endif()
+
+# 设置C++ API源文件的所在目录
+if (WIN32)
+    set(CTPAPI_PATH ctpapi)
+elseif (UNIX)
+    message("Under unix: " ${CMAKE_SIZEOF_VOID_P})
+    if (CMAKE_SIZEOF_VOID_P MATCHES "8")
+        set(CTPAPI_PATH ctpapi/x64_linux)
+    endif()
+endif()
+include_directories(${CTPAPI_PATH})
+set(CTPAPI_LIBRARY )
+find_library(CTPAPI_MD_LIBRARY
+  NAMES thostmduserapi
+  PATHS ${CTPAPI_PATH}) 
+find_library(CTPAPI_TD_LIBRARY
+  NAMES thosttraderapi
+  PATHS ${CTPAPI_PATH})
+
+
+# 设置编译源文件
+set (vnctpmd )
+set (vnctptd )
+
+option(BUILD_CTP_MD "build ctp md" ON)
+if (BUILD_CTP_MD)
+  add_definitions(-DBUILD_CTP_MD)
+  set(CTP_MD_PATH vnctpmd/vnctpmd)
+  include_directories(CTP_MD_PATH)
+  set(VN_CTP_MD_SOURCE ${CMAKE_CURRENT_SOURCE_DIR}/vnctpmd/vnctpmd/vnctpmd.cpp)
+  add_library(vnctpmd SHARED ${VN_CTP_MD_SOURCE})
+endif()
+option(BUILD_CTP_TD "build ctp td" ON)
+if (BUILD_CTP_TD)
+  add_definitions(-DBUILD_CTP_TD)
+  set(CTP_TD_PATH vnctptd/vnctptd)
+  include_directories(CTP_TD_PATH)
+  set(VN_CTP_TD_SOURCE ${CMAKE_CURRENT_SOURCE_DIR}/vnctptd/vnctptd/vnctptd.cpp)
+  add_library(vnctptd SHARED ${VN_CTP_TD_SOURCE})  
+endif()
+
+# 设置Python所在的目录
+set(PYTHON_LIBRARY )
+if (WIN32)
+set(PYTHON_INCLUDE_PATH C:/Python27/include)
+find_library(PYTHON_LIBRARY
+  NAMES python27
+  PATHS C:/Python27/libs)
+include_directories(${PYTHON_INCLUDE_PATH})
+else()
+set(PYTHON_INCLUDE_PATH /usr/include/python2.7/)
+find_library(PYTHON_LIBRARY
+  NAMES python2.7
+  PATHS /usr/lib/x86_64-linux-gnu)
+include_directories(${PYTHON_INCLUDE_PATH})
+endif()
+
+# 链接boost库，anaconda
+if (WIN32)
+    set(Boost_USE_STATIC_LIBS        ON)    #链接boost静态库
+endif()
+set(Boost_USE_MULTITHREADED      ON)
+find_package(Boost 1.55.0 COMPONENTS python thread date_time system chrono REQUIRED) # 如果boost库没有完全编译，需要将编译的库明确地指出，否者message(${Boost_LIBRARIES})会出错
+if(Boost_FOUND)
+  include_directories(${Boost_INCLUDE_DIRS})
+endif()
+
+# 去掉生成的so文件名中前缀的lib
+set_target_properties(vnctpmd PROPERTIES PREFIX "")
+
+# 链接生成.so文件
+target_link_libraries(vnctpmd  ${Boost_LIBRARIES} ${PYTHON_LIBRARY} ${CTPAPI_MD_LIBRARY})
+
+# 将生成的dll文件后缀名修改为pyd（仅在windows下）
+set(MD_DLL "${LIBRARY_OUTPUT_PATH}/Release/vnctpmd.dll")
+if (EXISTS ${MD_DLL})
+  file(RENAME ${MD_DLL} ${LIBRARY_OUTPUT_PATH}/Release/vnctpmd.pyd)
+endif()
+
+# 和上面的MD相同
+set_target_properties(vnctptd PROPERTIES PREFIX "")
+target_link_libraries(vnctptd  ${Boost_LIBRARIES} ${PYTHON_LIBRARY} ${CTPAPI_TD_LIBRARY})
+set(TD_DLL ${LIBRARY_OUTPUT_PATH}/Release/vnctptd.dll)
+if (EXISTS ${TD_DLL})
+  file(RENAME  ${TD_DLL} ${LIBRARY_OUTPUT_PATH}/Release/vnctptd.pyd)
+endif()
diff --git a/vn.how/tick2trade/vn.ctp_t2t/build.sh b/vn.how/tick2trade/vn.ctp_t2t/build.sh
@@ -0,0 +1,17 @@
+#!/bin/bash
+# Written by Suzhengchun on 20160213
+
+set -e
+BUILDDIR=build
+rm -rf $BUILDDIR
+if [ ! -f $BUILDDIR ]; then
+    mkdir -p $BUILDDIR
+fi
+pushd $BUILDDIR
+cmake ..
+make VERBOSE=1 -j 1
+ln -fs `pwd`/lib/vnctpmd.so ../vnctpmd/test/vnctpmd.so
+ln -fs `pwd`/lib/vnctptd.so ../vnctptd/test/vnctptd.so
+cp ../vnctpmd/test/vnctpmd.* ../../vn.trader/ctpGateway/
+cp ../vnctptd/test/vnctptd.* ../../vn.trader/ctpGateway/
+popd
diff --git a/vn.how/tick2trade/vn.ctp_t2t/ctpapi/ThostFtdcMdApi.h b/vn.how/tick2trade/vn.ctp_t2t/ctpapi/ThostFtdcMdApi.h
@@ -0,0 +1,162 @@
+/////////////////////////////////////////////////////////////////////////
+///@system 新一代交易所系统
+///@company 上海期货信息技术有限公司
+///@file ThostFtdcMdApi.h
+///@brief 定义了客户端接口
+///@history 
+///20060106	赵鸿昊		创建该文件
+/////////////////////////////////////////////////////////////////////////
+
+#if !defined(THOST_FTDCMDAPI_H)
+#define THOST_FTDCMDAPI_H
+
+#if _MSC_VER > 1000
+#pragma once
+#endif // _MSC_VER > 1000
+
+#include "ThostFtdcUserApiStruct.h"
+
+#if defined(ISLIB) && defined(WIN32)
+#ifdef LIB_MD_API_EXPORT
+#define MD_API_EXPORT __declspec(dllexport)
+#else
+#define MD_API_EXPORT __declspec(dllimport)
+#endif
+#else
+#define MD_API_EXPORT 
+#endif
+
+class CThostFtdcMdSpi
+{
+public:
+	///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) {};
+
+	///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) {};
+};
+
+class MD_API_EXPORT CThostFtdcMdApi
+{
+public:
+	///创建MdApi
+	///@param pszFlowPath 存贮订阅信息文件的目录，默认为当前目录
+	///@return 创建出的UserApi
+	///modify for udp marketdata
+	static CThostFtdcMdApi *CreateFtdcMdApi(const char *pszFlowPath = "", const bool bIsUsingUdp=false, const bool bIsMulticast=false);
+
+	///获取API的版本信息
+	///@retrun 获取到的版本号
+	static const char *GetApiVersion();
+
+	///删除接口对象本身
+	///@remark 不再使用本接口对象时,调用该函数删除接口对象
+	virtual void Release() = 0;
+
+	///初始化
+	///@remark 初始化运行环境,只有调用后,接口才开始工作
+	virtual void Init() = 0;
+
+	///等待接口线程结束运行
+	///@return 线程退出代码
+	virtual int Join() = 0;
+
+	///获取当前交易日
+	///@retrun 获取到的交易日
+	///@remark 只有登录成功后,才能得到正确的交易日
+	virtual const char *GetTradingDay() = 0;
+
+	///注册前置机网络地址
+	///@param pszFrontAddress：前置机网络地址。
+	///@remark 网络地址的格式为：“protocol://ipaddress:port”，如：”tcp://127.0.0.1:17001”。 
+	///@remark “tcp”代表传输协议，“127.0.0.1”代表服务器地址。”17001”代表服务器端口号。
+	virtual void RegisterFront(char *pszFrontAddress) = 0;
+
+	///注册名字服务器网络地址
+	///@param pszNsAddress：名字服务器网络地址。
+	///@remark 网络地址的格式为：“protocol://ipaddress:port”，如：”tcp://127.0.0.1:12001”。 
+	///@remark “tcp”代表传输协议，“127.0.0.1”代表服务器地址。”12001”代表服务器端口号。
+	///@remark RegisterNameServer优先于RegisterFront
+	virtual void RegisterNameServer(char *pszNsAddress) = 0;
+
+	///注册名字服务器用户信息
+	///@param pFensUserInfo：用户信息。
+	virtual void RegisterFensUserInfo(CThostFtdcFensUserInfoField * pFensUserInfo) = 0;
+
+	///注册回调接口
+	///@param pSpi 派生自回调接口类的实例
+	virtual void RegisterSpi(CThostFtdcMdSpi *pSpi) = 0;
+
+	///订阅行情。
+	///@param ppInstrumentID 合约ID  
+	///@param nCount 要订阅/退订行情的合约个数
+	///@remark 
+	virtual int SubscribeMarketData(char *ppInstrumentID[], int nCount) = 0;
+
+	///退订行情。
+	///@param ppInstrumentID 合约ID  
+	///@param nCount 要订阅/退订行情的合约个数
+	///@remark 
+	virtual int UnSubscribeMarketData(char *ppInstrumentID[], int nCount) = 0;
+
+	///订阅询价。
+	///@param ppInstrumentID 合约ID  
+	///@param nCount 要订阅/退订行情的合约个数
+	///@remark 
+	virtual int SubscribeForQuoteRsp(char *ppInstrumentID[], int nCount) = 0;
+
+	///退订询价。
+	///@param ppInstrumentID 合约ID  
+	///@param nCount 要订阅/退订行情的合约个数
+	///@remark 
+	virtual int UnSubscribeForQuoteRsp(char *ppInstrumentID[], int nCount) = 0;
+
+	///用户登录请求
+	virtual int ReqUserLogin(CThostFtdcReqUserLoginField *pReqUserLoginField, int nRequestID) = 0;
+
+
+	///登出请求
+	virtual int ReqUserLogout(CThostFtdcUserLogoutField *pUserLogout, int nRequestID) = 0;
+protected:
+	~CThostFtdcMdApi(){};
+};
+
+#endif