下面是我的软件架构图：
软件架构图
为了便于说明CTP行情、交易的开发，这个架构图是最初始版的。以后会在这个基础上进行深化，开发成可以实战的可扩展的交易平台。
理论上，1个CTP账号可以在6个地方进行多点登录；另外在实战中，有的客户会有多个CTP账号同时进行量化交易。所以，这个软件架构图是能满足多CTP账号同时交易的要求的。
1、类文件说明
（1）CTPMdSpi.h、CTPMdSpi.cpp
继承CThostFtdcMdSpi类，里面实现所有的回调函数，是最重要的类。
（2）MarketL1Core.h、MarketL1Core.cpp
主类，里面包含着程序调用的主要逻辑关系。
（3）Main.cpp
写main()函数的类。
2、代码说明
（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UserApig_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()方法
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()方法
#include "MarketL1Core.h"int main(int argc,char argv[]){ MarketL1Core core; core.start();}
好了，基本步骤就这些。最后在Unix操作系统上make通过后，就可以运行了！
