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Tongshi supports subscribe using regex string #26

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Tongshi supports subscribe using regex string #26

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3c80d76
Tongshi supports subscribe using regex string
gzadigo Nov 1, 2015
076e223
instrument filter changed to map, and some spelling check
gzadigo Nov 1, 2015
c68d4ba
suggest new subscribe interface
gzadigo Nov 2, 2015
f9656f6
Revert "suggest new subscribe interface"
gzadigo Nov 2, 2015
b2992d6
subscribe interface suggest
gzadigo Nov 2, 2015
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42 changes: 28 additions & 14 deletions QuantBox_TongShi_Quote/MdUserApi.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -21,6 +21,7 @@

#include <mutex>
#include <vector>
#include <regex>

#include "resource.h"
#include "DialogStockDrv.h"
Expand All @@ -47,14 +48,10 @@ LRESULT CMdUserApi::_OnMsg(WPARAM wParam, LPARAM lParam)
RCV_REPORT_STRUCTEx* pFirst = &pHeader->m_pReport[0];
RCV_REPORT_STRUCTEx* pLast = &pHeader->m_pReport[pHeader->m_nPacketNum - 1];

// 前后都不合要求才跳过
if (FilterExchangeInstrument(pFirst->m_wMarket, 0) || FilterExchangeInstrument(pLast->m_wMarket, 0))
for (i = 0; i < pHeader->m_nPacketNum; i++)
{
for (i = 0; i < pHeader->m_nPacketNum; i++)
{
// 数据处理
OnRtnDepthMarketData(&pHeader->m_pReport[i], i, pHeader->m_nPacketNum);
}
// 数据处理
OnRtnDepthMarketData(&pHeader->m_pReport[i], i, pHeader->m_nPacketNum);
}
}
break;
Expand Down Expand Up @@ -289,6 +286,23 @@ void CMdUserApi::Disconnect()
}
}

void CMdUserApi::Subscribe(const string& szInstrumentIDs, const string& szExchangeID)
{
if (nullptr == m_hThread)
return;

set<string>& instruments = m_DictSet[szExchangeID];
instruments.insert(szInstrumentIDs);
}

void CMdUserApi::Unsubscribe(const string& szInstrumentIDs, const string& szExchangeID)
{
if (nullptr == m_hThread)
return;
set<string>& instruments = m_DictSet[szExchangeID];
instruments.erase(szInstrumentIDs);
}

void CMdUserApi::OnRspQryInstrument(DepthMarketDataNField* _pField,RCV_REPORT_STRUCTEx *pDepthMarketData, int index, int Count)
{
InstrumentField* pField = (InstrumentField*)m_msgQueue->new_block(sizeof(InstrumentField));
Expand Down Expand Up @@ -324,20 +338,20 @@ void CMdUserApi::OnRspQryInstrument(DepthMarketDataNField* _pField,RCV_REPORT_ST
}


bool CMdUserApi::FilterExchangeInstrument(WORD wMarket, int instrument)
bool CMdUserApi::FilterExchangeInstrument(WORD wMarket, string instrument)
{
// 行情太多，需要过滤
return (bool)m_msgQueue->Input_Output(ResponeType::OnFilterSubscribe, m_msgQueue, m_pClass, Market_2_ExchangeType(wMarket), 0, nullptr, instrument, nullptr, 0, nullptr, 0);
// 这里我乱写一个，暂时不知道通视对市场的定义
string szExchangeID = wMarket == 0 ? "SS" : "SZ";
set<string>& instruments = m_DictSet[szExchangeID];
set<string>::iterator it = instruments.find(instrument);
return it != instruments.end();
}

//行情回调，得保证此函数尽快返回
void CMdUserApi::OnRtnDepthMarketData(RCV_REPORT_STRUCTEx *pDepthMarketData, int index, int Count)
{
// 把不想要的过滤了，加快速度
if (!FilterExchangeInstrument(
pDepthMarketData->m_wMarket,
atoi(pDepthMarketData->m_szLabel))
)
if (!FilterExchangeInstrument(pDepthMarketData->m_wMarket, pDepthMarketData->m_szLabel))
return;

DepthMarketDataNField* pField = (DepthMarketDataNField*)m_msgQueue->new_block(sizeof(DepthMarketDataNField)+sizeof(DepthField)* 10);
Expand Down
26 changes: 19 additions & 7 deletions QuantBox_TongShi_Quote/MdUserApi.h
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Original file line number Diff line number Diff line change
Expand Up @@ -19,6 +19,7 @@
#include <atomic>
#include <mutex>
#include <thread>
#include <map>

using namespace std;

Expand Down Expand Up @@ -56,13 +57,22 @@ class CMdUserApi

void InitDriver(HWND hWnd, UINT Msg);
void QuitDriver();
//void Subscribe(const string& szInstrumentIDs, const string& szExchageID);
//void Unsubscribe(const string& szInstrumentIDs, const string& szExchageID);

//void SubscribeQuote(const string& szInstrumentIDs, const string& szExchageID);
//void UnsubscribeQuote(const string& szInstrumentIDs, const string& szExchageID);
// ������¶��Ľӿ�
#define Subscibe_Regex = 0x00000001, // �ַ������������ʽ
#define Subscibe_Last = 0x00000002, // ���һ������������ʱ��ײ�Ӧ�ð�ǰ�����еĶ�������(����)�ۺ�������һ�𷢳�
#define Subscibe_All = 0x00000004, // ȫ�����ģ� ��ʱInstrumentIDָ������������

void Subscribe(const string& InstrumentID, int Flags);
void Unsubscribe(const string& InstrumentID, int Flags);

void Subscribe(const string& szInstrumentIDs, const string& szExchangeID);
void Unsubscribe(const string& szInstrumentIDs, const string& szExchangeID);

//void SubscribeQuote(const string& szInstrumentIDs, const string& szExchangeID);
//void UnsubscribeQuote(const string& szInstrumentIDs, const string& szExchangeID);
private:
bool FilterExchangeInstrument(WORD wMarket, int instrument);
bool FilterExchangeInstrument(WORD wMarket, string instrument);

void StartThread();
void StopThread();
Expand All @@ -84,8 +94,8 @@ class CMdUserApi
//int _ReqUserLogin(char type, void* pApi1, void* pApi2, double double1, double double2, void* ptr1, int size1, void* ptr2, int size2, void* ptr3, int size3);

//��������
void Subscribe(const set<string>& instrumentIDs, const string& szExchageID);
void SubscribeQuote(const set<string>& instrumentIDs, const string& szExchageID);
void Subscribe(const set<string>& instrumentIDs, const string& szExchangeID);
void SubscribeQuote(const set<string>& instrumentIDs, const string& szExchangeID);

//virtual void OnFrontConnected();
//virtual void OnFrontDisconnected(int nReason);
Expand Down Expand Up @@ -121,6 +131,8 @@ class CMdUserApi
UserInfoField m_UserInfo;
int m_nSleep;

map<string,set<string>> m_DictSet; //��Լ��

CMsgQueue* m_msgQueue; //��Ϣ����ָ��
//CMsgQueue* m_msgQueue_Query;
void* m_pClass;
Expand Down
7 changes: 7 additions & 0 deletions QuantBox_TongShi_Quote/suggest.txt
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Original file line number Diff line number Diff line change
@@ -0,0 +1,7 @@
// ������¶��Ľӿ�
#define Subscibe_Regex = 0x00000001, // �ַ������������ʽ
#define Subscibe_Last = 0x00000002, // ���һ������������ʱ��ײ�Ӧ�ð�ǰ�����еĶ�������(����)�ۺ�������һ�𷢳�
#define Subscibe_All = 0x00000004, // ȫ�����ģ� ��ʱInstrumentIDָ������������

void Subscribe(const string& InstrumentID, int Flags);
void Unsubscribe(const string& InstrumentID, int Flags);