virtualAPI：CTP期货的最小系统

头文件(自有文件)

//Common.h
#pragma once
//
#include <string>
#include <iomanip>
#include <vector>

#include ".\ThostTraderApi\ThostFtdcTraderApi.h"
#include ".\ThostTraderApi\ThostFtdcMdApi.h"
#include "TraderSpi.h"
#include "MdSpi.h"

#pragma warning(disable : 4996)

// USER_API参数
extern CThostFtdcTraderApi* pUserApi;
// 配置参数	
extern TThostFtdcBrokerIDType	BROKER_ID;						//经纪商
extern TThostFtdcInvestorIDType INVESTOR_ID;					//
extern TThostFtdcPasswordType	PASSWORD;						//

extern	TThostFtdcInstrumentIDType	INSTRUMENT_ID;				// 交易合约代码
extern	TThostFtdcDirectionType		DIRECTION ;					// 交易买卖方向
extern	TThostFtdcOffsetFlagType	MARKETState ;				// 开平仓
extern	TThostFtdcPriceType			LIMIT_PRICE ;				// 交易价格

// 会话参数
//extern	bool		RunMode;
extern	TThostFtdcFrontIDType	FRONT_ID;						//前置编号
extern	TThostFtdcSessionIDType	SESSION_ID;						//会话编号
extern	TThostFtdcOrderRefType	ORDER_REF;						//报单引用
extern	TThostFtdcOrderActionRefType	ORDERACTION_REF[20];	//撤单引用

// 请求编号
extern	int iRequestID;
extern	TThostFtdcDateExprType	TradingDay;
// User行情数据


extern	char	*InstrumentID_name;	//
extern	string	Q_BarTime_s;		//时间字符串
extern	int		Q_BarTime_1;		//时间采用秒计
extern	double	Q_BarTime_2;		//时间格式0.145100
extern	double	Q_UpperLimit;	//
extern	double	Q_LowerLimit;	//

extern	double	NewPrice;		//
extern	int		FirstVolume;	//前一次成交量数据

extern	double  Mn_open[3];		// 
extern	double  Mn_high[3];		// 
extern	double  Mn_low[3];		// 
extern	double  Mn_close[3];	// 

extern	double  BuyPrice;		//开仓价
extern	double  SellPrice;		//开仓价
extern	int		BNum;			//开仓次数
extern	int		SNum;			//开仓次数

extern	bool	BuySignal;		//
extern	bool	SellSignal;		//

extern	double	BSVolume;		//开仓量

extern	int		TickABS;
extern  double  TickAPrice[4];		//
extern	int		TickBNum;
extern	double  TickBPrice[4];		//

extern	char    LogFilePaths[80];	//



void SendOrder(TThostFtdcInstrumentIDType FuturesId,int BuySell,int OpenClose)
{
	//INSTRUMENT_ID = FuturesId;
	DIRECTION = BuySell;
	MARKETState = OpenClose;

	if (BuySell==0 && OpenClose==0)
	{
			BuySignal = true;
			SellSignal= false;
	}
	if (BuySell==1 && OpenClose==0)
	{
			BuySignal = false;
			SellSignal = true;
	}
	if (BuySell==0 && OpenClose==3)
	{
			BuySignal = false;
			SellSignal = false;	
	}
	if (BuySell==1 && OpenClose==3)
	{
			BuySignal = false;
			SellSignal = false;
	}
	
	//Sleep(050);

	CThostFtdcInputOrderField req;
	memset(&req, 0, sizeof(req));

 	strcpy_s(req.ExchangeID, "SHFE");


	///经纪公司代码
	strcpy_s(req.BrokerID, BROKER_ID);
	///投资者代码
	strcpy_s(req.InvestorID, INVESTOR_ID);
	///合约代码											//INSTRUMENT_ID
	strcpy_s(req.InstrumentID, INSTRUMENT_ID);
	///报单引用
	//strcpy_s(req.OrderRef, ORDER_REF);
	///用户代码
//	TThostFtdcUserIDType	UserID;
	///报单价格条件: 限价
	req.OrderPriceType = THOST_FTDC_OPT_LimitPrice;

	///买卖方向:										//THOST_FTDC_D_Buy,THOST_FTDC_D_Sell
	if (BuySell==0)
	{
	req.Direction = THOST_FTDC_D_Buy;
	}
	else if (BuySell==1)
	{
	req.Direction = THOST_FTDC_D_Sell;
	}

	///组合开平标志: 开仓								//THOST_FTDC_OF_Open,THOST_FTDC_OF_Close,THOST_FTDC_OF_CloseToday
	if (OpenClose==0)
	{
	req.CombOffsetFlag[0] = THOST_FTDC_OF_Open;			//开仓
	}
	else if(OpenClose==1)
	{
	req.CombOffsetFlag[0] = THOST_FTDC_OF_Close;		//平仓
	}
	else if(OpenClose==3)
	{
	req.CombOffsetFlag[0] = THOST_FTDC_OF_CloseToday;	//平今
	}

	///组合投机套保标志
	req.CombHedgeFlag[0] = THOST_FTDC_HF_Speculation;	//投机

	///价格
	if (BuySell==0)
	{
	//LIMIT_PRICE = Q_UpperLimit;	//涨停价	
	LIMIT_PRICE = NewPrice;			//最新价
	}
	else if (BuySell==1)
	{
	//LIMIT_PRICE = Q_LowerLimit;	//跌停价
	LIMIT_PRICE = NewPrice;			//最新价
	}
	req.LimitPrice = LIMIT_PRICE;

	///数量: 1											//     开平仓数量
	req.VolumeTotalOriginal = 1;						
	///有效期类型: 当日有效
	req.TimeCondition = THOST_FTDC_TC_GFD;
	///GTD日期
//	TThostFtdcDateType	GTDDate;
	///成交量类型: 任何数量
	req.VolumeCondition = THOST_FTDC_VC_AV;
	///最小成交量: 1
	req.MinVolume = 1;
	///触发条件: 立即
	req.ContingentCondition = THOST_FTDC_CC_Immediately;
	///止损价
//	TThostFtdcPriceType	StopPrice;
	///强平原因: 非强平
	req.ForceCloseReason = THOST_FTDC_FCC_NotForceClose;
	///自动挂起标志: 否
	req.IsAutoSuspend = 0;
	///业务单元
//	TThostFtdcBusinessUnitType	BusinessUnit;
	///请求编号
//	TThostFtdcRequestIDType	RequestID;
	///用户强评标志: 否
	req.UserForceClose = 0;

	///报单引用,必须大于上次
	int iNextOrderRef = atoi(ORDER_REF);
	iNextOrderRef++;
	sprintf(ORDER_REF,"%d",iNextOrderRef);
	strcpy_s(req.OrderRef, ORDER_REF);

	//测试，不真正下单
	//if(RunMode)				//	仿真=0；实盘=1；
	//{
	int iResult = pUserApi->ReqOrderInsert(&req, ++iRequestID);		//实盘，会正式下单
	cerr << "--->>> 报单录入请求: " << ((iResult == 0) ? "成功" : "失败") << endl;
	//}
}

void _record0(double system_times, char *txt, double SPrice, double BPrice)
{
	ofstream o_file(LogFilePaths,ios::app);
	o_file << TradingDay << "_" << system_times << "_" << INSTRUMENT_ID << "_" << BSVolume << txt << "_" << SPrice << "_" << BPrice << endl; //将内容写入到文本文件中
	o_file.close();						//关闭文件
}

bool ReadConfiguration(char *filepaths)
{
	ifstream config(filepaths);

	if (!config)
	{
		cerr << "--->>> " << "Configuration File is missing!" << endl;
		return false;
	}
	else
	{
		cerr << "--->>> " << "Read Configuration File!" << endl;
	}

	vector < double > data(8);
	for (int i = 0; i < 8; i++)
	{
		config >> data[i];
		//cout << "Configuration:" << data[i] << endl;
	}
	
	Sleep(100);
	//								//
	//Q_BarTime_2 = data[1];		//Q_BarTime_2
	BSVolume	= data[2];			//BSVolume
	//								//
	Mn_open[0]	= data[4];			//Mn_open
	Mn_high[0]	= data[5];			//Mn_high
	Mn_low[0]	= data[6];			//Mn_low
	Mn_close[0] = data[7];			//Mn_close
	NewPrice	= data[7];

	config.close();
	return true;
}

void WriteConfiguration(char *filepaths)
{
	ofstream o_file(filepaths,ios::trunc);
	o_file << "20140428" << "\t" <<Q_BarTime_2<< "\t" << BSVolume <<"\t"<<"1409" <<"\t"<< Mn_open << "\t" << Mn_high << "\t" << Mn_low << "\t" << Mn_close << endl; //将内容写入到文本文件中
	o_file.close();						//关闭文件

}


void Erasefiles()
{
	system("del .\\thostmduserapi.dllDialogRsp.con");
	system("del .\\thostmduserapi.dllQueryRsp.con");
	system("del .\\thostmduserapi.dllTradingDay.con");

	system("del .\\thosttraderapi.dllDialogRsp.con");
	system("del .\\thosttraderapi.dllPrivate.con");
	system("del .\\thosttraderapi.dllPublic.con");
	system("del .\\thosttraderapi.dllQueryRsp.con");
	system("del .\\thosttraderapi.dllTradingDay.con");

}

//DataSniffer.h
#pragma once

#include <string>
#include <iomanip>
#include <vector>
#include <math.h>
#include <windows.h>
#include ".\ThostTraderApi\ThostFtdcTraderApi.h"
#include ".\ThostTraderApi\ThostFtdcMdApi.h"
#include "TraderSpi.h"
#include "MdSpi.h"

#pragma warning(disable : 4996)

#define EPSILON_E4 (float)(1E-2) 
#define EPSILON_E5 (float)(1E-3)


extern	int		TickABS;
extern	double  TickAPrice[4];		//
extern	int		TickBNum;
extern	double  TickBPrice[4];		//
extern	bool	CloseAll;					//收盘标志

 
void Sniffer()	//监听Tick数据已经指标计算 实盘用
{

	if (Q_BarTime_2>=0.1500 && CloseAll==false)
	{	
		cerr << "--->>> " <<TradingDay<<"准备收盘!" << endl;
		cerr << "--->>> " <<"WriteConfiguration!" << endl;
		WriteConfiguration("./AutoTrader.cfg");				//备份数据
		Sleep(3000);
		//ErasingTradeConfiguration();
		cerr << "--->>> " <<TradingDay<<"收盘!" << endl;
		CloseAll=true;
	}
 
	if (TickAPrice[0]>TickAPrice[1] && TickAPrice[1]>TickAPrice[2])
	{
			TickABS=1;	//连续2个TICK涨，buy
 	}
	else if (TickAPrice[0]<TickAPrice[1] && TickAPrice[1]<TickAPrice[2])
	{
			TickABS=2;	//连续2个TICK跌，Sell
 	}
	else
	{
			TickABS=0;
	}	
}

//InFile.h
#ifndef __INIFILE__H__
#define __INIFILE__H__
#include <windows.h>
#include <tchar.h>
//#include "STD.h"

char * ltrim(char *str) {
	char *s = str;
	while (*s == ' ') s++;
	//strcpy(str, s); //自己修改 sizeof
	strcpy_s(str,sizeof(str), s); //自己修改 sizeof
	return str;
}

char *rtrim(char *str) {
	char *s = str + strlen(str) - 1;
	while (s - str >= 0 && (*s == ' ' || *s == '\n')) s--;
	s++;
	*s = 0;
	return str;
}

char * alltrim(char *str)
{
	ltrim(str);
	rtrim(str);
	return str;
}



class CIniFile
{
protected:
	TCHAR	m_szFileName[500];
	WCHAR	m_wszFileName[500];

public:
	CIniFile(LPCTSTR  FileName)		{ lstrcpyn(m_szFileName, FileName, sizeof(m_szFileName) ); m_wszFileName[0] = 0; }
	virtual ~CIniFile() {};

public:
	/*
	LPTSTR	ReadString(LPCTSTR Section, LPCTSTR Name, LPCTSTR Default, LPTSTR out, DWORD size)
	{
		GetPrivateProfileString(Section, Name, Default, out, size, m_szFileName);
 
		//STD::
			alltrim(out);
		return out;
	}

	WCHAR*	ReadWString(WCHAR* Section, WCHAR* Name, WCHAR* Default, WCHAR* out, DWORD size)
	{
		if (m_wszFileName[0] == 0)
		{
			STD::ConvertToUnicode(m_wszFileName, dim(m_wszFileName), m_szFileName);
		}
		GetPrivateProfileStringW(Section, Name, Default, out, size, m_wszFileName);
		return out;
	}	*/
	int		ReadInt(LPCTSTR Section, LPCTSTR Name, int Default)
	{
		return GetPrivateProfileInt(Section, Name, Default, m_szFileName);
	}
	int		ReadInteger(LPCTSTR Section, LPCTSTR Name, int Default)
	{
		return ReadInt(Section, Name, Default);
	}

	/*
	bool	ReadBool(LPCTSTR Section, LPCTSTR Name, bool Default)
	{
		char str[50];
		ReadString(Section, Name, "", str, dim(str));
		if (str[0] == 0)
		{
			return Default;
		}
		///else if (stricmp_s(str, "yes") == 0)
		else if (stricmp(str, "yes") == 0)
		{
			return true;
		}
		else
		{
			return false;
		}
	}
	*/

public:
	BOOL	WriteString(LPCTSTR Section, LPCTSTR Name, LPCTSTR Value)
	{
		return WritePrivateProfileString(Section, Name, Value, m_szFileName);
	}
	BOOL	WriteInt(LPCTSTR Section, LPCTSTR Name, int Value)
	{
		TCHAR			tempbuf[256];

		_sntprintf_s(tempbuf,256,256,_T("%d"),Value);
		return WritePrivateProfileString(Section, Name, tempbuf, m_szFileName);
	}
};
//--------------------------------------------------------------------------------------------------------------------------------
#endif
//--------------------------------------------------------------------------------------------------------------------------------

//MdSpi.h
#pragma once
#include ".\ThostTraderApi\ThostFtdcMdApi.h"

class CMdSpi : public CThostFtdcMdSpi
{
public:
	///错误应答
	virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo,
		int nRequestID, bool bIsLast);

	///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);

	///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();
	
	///登录请求响应
	virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin,	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);

	///深度行情通知
	virtual void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData);

private:
	void ReqUserLogin();
	void SubscribeMarketData();
	// 
	bool IsErrorRspInfo(CThostFtdcRspInfoField *pRspInfo);
};

//MyTrader.h
#pragma once
//
#include <string>
#include <iomanip>
#include <vector>

#include ".\ThostTraderApi\ThostFtdcTraderApi.h"
#include ".\ThostTraderApi\ThostFtdcMdApi.h"
#include "TraderSpi.h"
#include "MdSpi.h"

#pragma warning(disable : 4996)


// User行情数据

extern	char	*InstrumentID_name;	//
extern	string	Q_BarTime_s;		//时间字符串
extern	int		Q_BarTime_1;		//时间采用秒计
extern	double	Q_BarTime_2;		//时间格式0.145100
extern	double	Q_UpperLimit;	//
extern	double	Q_LowerLimit;	//

extern	double	NewPrice;		//
extern	int		FirstVolume;	//前一次成交量数据

extern	double  Mn_open[3];		// 
extern	double  Mn_high[3];		// 
extern	double  Mn_low[3];		// 
extern	double  Mn_close[3];	// 

extern	double  BuyPrice;		//开仓价
extern	double  SellPrice;		//开仓价
extern	int		BNum;			//开仓次数
extern	int		SNum;			//开仓次数

extern	bool	BuySignal;		//
extern	bool	SellSignal;		//

extern	double	BSVolume;		//开仓量

extern	int		TickABS;
extern	double  TickAPrice[4];		//
extern	int		TickBNum;
extern	double  TickBPrice[4];		//

extern	char    LogFilePaths[80];	//


void Trading()	//下单以及订单管理
{
	void SendOrder(TThostFtdcInstrumentIDType FuturesId,int BuySell,int OpenClose);
	void _record0(double system_times, char *txt, double SPrice, double BPrice);
	void StopLoss(double system_times);

		bool TradingTime=(Q_BarTime_2>0.0910 && Q_BarTime_2<0.2355);	//交易时间
		bool fanshou=false;	//反手使能

		//调用止损子程序	************************优先判断是否符号止损止盈条件，在进行开仓处理；
		StopLoss(Q_BarTime_2);

		if (TickABS==1 && TradingTime)
		{

			if (SellSignal == true && fanshou)	//如果有持仓，先平仓
			{
 			SendOrder(INSTRUMENT_ID, 0, 3);		//买平
			cerr << "--->>> " << TradingDay << "_" << Q_BarTime_s << "_" << INSTRUMENT_ID << "_买_平仓" << endl;
			_record0(Q_BarTime_2, "_买_平仓", NewPrice, NewPrice);
			}

 			SendOrder(INSTRUMENT_ID, 0, 0);	

			BuyPrice=NewPrice;
			SellPrice=0;
			cerr << "--->>> " << TradingDay << "_" << Q_BarTime_s << "_" << INSTRUMENT_ID << "_买_开仓" << endl;
			_record0(Q_BarTime_2, "_买_开仓", BuyPrice, BuyPrice);

		}
		if (TickABS==2 && TradingTime)
		{
			if (BuySignal == true && fanshou)	//如果有持仓，先平仓
			{
 			SendOrder(INSTRUMENT_ID, 1, 3);	
			cerr << "--->>> " << TradingDay << "_" << Q_BarTime_s << "_" << INSTRUMENT_ID << "_卖_平仓" << endl;
			_record0(Q_BarTime_2, "_卖_平仓", NewPrice, NewPrice);
			}

 			SendOrder(INSTRUMENT_ID, 1, 0);	

			BuyPrice=0;
			SellPrice=NewPrice;
			cerr << "--->>> " << TradingDay << "_" << Q_BarTime_s << "_" << INSTRUMENT_ID << "_卖_开仓" << endl;
			_record0(Q_BarTime_2, "_卖_开仓", SellPrice, SellPrice);
		}

}





void StopLoss(double system_times)
{
	void SendOrder(TThostFtdcInstrumentIDType FuturesId,int a,int b);
	void _record0(double system_times, char *txt, double SPrice, double BPrice);
	
	bool stopwin =true;	//使能止盈
	bool stoploss=true;	//使能止损
	bool stoptime=true;	//使能收盘平仓

	double surplus	=20;	//止赢幅度
	double Stopline	=30;	//止损幅度

		//止赢平仓
	if (BuySignal == true && (NewPrice-BuyPrice) >= surplus && stopwin)
		{
			SendOrder(INSTRUMENT_ID, 1, 3);
			cerr << "--->>> " << TradingDay << "_" << Q_BarTime_s << "_" << INSTRUMENT_ID << "_卖_平仓止赢_" << BuyPrice << endl;
			_record0(system_times, "_卖_平仓止赢_", BuyPrice, BuyPrice);
		}
	if (SellSignal == true && (SellPrice-NewPrice) >= surplus && stopwin)
		{
			SendOrder(INSTRUMENT_ID, 0, 3);
			cerr << "--->>> " << TradingDay << "_" << Q_BarTime_s << "_" << INSTRUMENT_ID << "_买_平仓止赢_" << SellPrice << endl;
			_record0(system_times, "_买_平仓止赢_", SellPrice, SellPrice);
		}

		//止损平仓
	if (BuySignal == true && (BuyPrice-NewPrice)>Stopline && stoploss)
		{
			SendOrder(INSTRUMENT_ID,1,3);
			cerr << "--->>> " << TradingDay << "_" << Q_BarTime_s << "_" << INSTRUMENT_ID << "_卖_平仓止损_" << BuyPrice << endl;
			_record0(system_times, "_卖_平仓止损_", BuyPrice, BuyPrice);
		}
	if (SellSignal == true && (NewPrice-SellPrice)>Stopline && stoploss)
		{
			SendOrder(INSTRUMENT_ID,0,3);
			cerr << "--->>> " << TradingDay << "_" << Q_BarTime_s << "_" << INSTRUMENT_ID << "_买_平仓止损_" << SellPrice << endl;
			_record0(system_times, "_买_平仓止损_", SellPrice, SellPrice);
		}

		//收盘平仓
	if (BuySignal == true && Q_BarTime_2>0.1455 && stoptime)
		{
			SendOrder(INSTRUMENT_ID,1,3);
			cerr << "--->>> " << TradingDay << "_" << Q_BarTime_s << "_" << INSTRUMENT_ID << "_卖_平仓收盘_" << BuyPrice << endl;
			_record0(system_times, "_卖_平仓收盘_", BuyPrice, BuyPrice);
		}
	if (SellSignal == true && Q_BarTime_2>0.1455 && stoptime)
		{
			SendOrder(INSTRUMENT_ID,0,3);
			cerr << "--->>> " << TradingDay << "_" << Q_BarTime_s << "_" << INSTRUMENT_ID << "_买_平仓收盘_" << SellPrice << endl;
			_record0(system_times, "_买_平仓收盘_", SellPrice, SellPrice);
		}

}

// stdafx.h : 标准系统包含文件的包含文件，
// 或是经常使用但不常更改的
// 特定于项目的包含文件
//

#pragma once

#ifndef _WIN32_WINNT		// 允许使用特定于 Windows XP 或更高版本的功能。
#define _WIN32_WINNT 0x0501	// 将此值更改为相应的值，以适用于 Windows 的其他版本。
#endif						

#include <stdio.h>
#include <tchar.h>
#include <string.h>
#include <windows.h>

#include <iostream>
using namespace std;



// TODO: 在此处引用程序需要的其他头文件