///登录请求响应
void CMdSpi::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
{
if (bIsLast && !IsErrorRspInfo(pRspInfo))
{
///获取当前交易日
LOG2("Current Trading Day", m_pMdUserApi->GetTradingDay());
// 请求订阅行情
SubscribeMarketData();
// 请求订阅询价,只能订阅郑商所的询价，其他交易所通过traderapi相应接口返回
SubscribeForQuoteRsp();
}
}
void CtpMdSpi::OnFrontConnected()
{
CXTraderApp* pApp = (CXTraderApp*)AfxGetApp();
if (g_pCWnd)
{
bRecconnect = TRUE;
CXTraderDlg* pDlg = (CXTraderDlg*)g_pCWnd;
//pDlg->SetStatusTxt(_T("MD√"),0);
ReqUserLogin(pApp->m_sBROKER_ID);//,pApp->m_sINVESTOR_ID,pApp->m_sPASSWORD);
DWORD dwRet = WaitForSingleObject(g_hEvent,WAIT_MS);
if (dwRet==WAIT_OBJECT_0)
{
pDlg->SetTipTxt(_T("行情在线"),IDS_MD_TIPS);
pDlg->SetPaneTxtColor(0,RED);
ResetEvent(g_hEvent);
}
else
{
return;
}
//int iLen = pDlg->m_szInst.GetLength();
char szInst[MAX_PATH];
uni2ansi(CP_ACP,(LPTSTR)(LPCTSTR)pDlg->m_szInst,szInst);
SubscribeMarketData(szInst);
dwRet = WaitForSingleObject(g_hEvent,WAIT_MS);
if (dwRet==WAIT_OBJECT_0)
{
ResetEvent(g_hEvent);
}
//Sleep(100);
bMdSignal = TRUE;
}
else
{
ReqUserLogin(pApp->m_sBROKER_ID);
}
//if (g_bOnce)SetEvent(g_hEvent);
}
void Z_DC_Spread_Policy::Init()
{
//初始化200更接近真实值
m_nHistoryCount = 90*15;
//memset(&InsField,0,sizeof(FutureInstrumentField));
strcpy(m_MyTradeA.InsField.InstrumentID, m_MyTradeA.m_InstrumentID);
strcpy(m_MyTradeB.InsField.InstrumentID, m_MyTradeB.m_InstrumentID);
if(!m_pTrader->GetInstrument(&m_MyTradeA.InsField)){
throw "Invalid instrument_id A, please check.";
Stop();
}
if(!m_pTrader->GetInstrument(&m_MyTradeB.InsField)){
throw "Invalid instrument_id B, please check.";
Stop();
}
if(strcmp(m_MyTradeA.m_InstrumentID,m_MyTradeB.m_InstrumentID) == 0){
throw "The Same InstrumentID";
}
//ClosePos();
cout<<"Price Tick: "<<m_MyTradeA.InsField.PriceTick<<" "<<m_MyTradeB.InsField.PriceTick<<" "<<m_MyTradeA.InsField.ExchangeID<<" "<<m_MyTradeB.InsField.ExchangeID<<" "<<strcmp(m_MyTradeB.InsField.ExchangeID,"SHFE")<<endl;
//sleep(10);
if(strcmp(m_MyTradeA.InsField.ExchangeID,"SHFE")==0){
m_pTrader->SetSHFE(true);
cout<<"~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~"<<endl;
}if(strcmp(m_MyTradeB.InsField.ExchangeID,"SHFE") == 0){
m_pTrader->SetSHFE(true);
cout<<"**********************************"<<endl;
}
GetStartTime(m_MyTradeA.m_InstrumentID);
//订阅行情
SubscribeMarketData(m_MyTradeA.m_InstrumentID);
SubscribeMarketData(m_MyTradeB.m_InstrumentID);
m_MyTradeA.m_nMaxAddPosInWin = this->m_fAddPosInWin*m_MyTradeA.m_nMaxPos;
m_MyTradeA.m_nMaxAddPosInLose = this->m_fAddPosInLose*m_MyTradeA.m_nMaxPos;
m_MyTradeB.m_nMaxAddPosInWin = this->m_fAddPosInWin*m_MyTradeB.m_nMaxPos;
m_MyTradeB.m_nMaxAddPosInLose = this->m_fAddPosInLose*m_MyTradeB.m_nMaxPos;
cout<<"Inited and StartA:"<<m_MyTradeA.m_CountID<<" "<<m_MyTradeA.m_InstrumentID<<" "<<m_MyTradeA.m_nMaxPos<<" "<<m_MyTradeA.m_nMaxAddPosInWin<<" "<<m_MyTradeA.m_nMaxAddPosInLose<<endl;
cout<<"Inited and StartB:"<<m_MyTradeB.m_CountID<<" "<<m_MyTradeB.m_InstrumentID<<" "<<m_MyTradeB.m_nMaxPos<<" "<<m_MyTradeB.m_nMaxAddPosInWin<<" "<<m_MyTradeB.m_nMaxAddPosInLose<<endl;
m_MyTradeA.m_pSeries = m_pBarsCollection->CreateSeries(m_MyTradeA.m_InstrumentID,m_MyTradeA.InsField.ExchangeID,Minute,15,m_MyTradeA.InsField.VolumeMultiply,500);
m_MyTradeA.m_pSeries->ReadHistoryLastN(10);
/*
m_MyTradeA.m_pSeries_1 = m_pBarsCollection->CreateSeries(m_MyTradeA.m_InstrumentID,m_MyTradeA.InsField.ExchangeID,m_nBarType_1,m_nBarLength_1,10,2048);
m_MyTradeA.m_pSeries_1->ReadHistoryLastN(1500);
*/
//m_pSeries = m_pBarsCollection->CreateSeries(m_InstrumentID, "CFFEX", m_nBarType, m_nBarLength, 10, 2048);
//m_pSeries->ReadHistoryLastN(m_nHistoryCount);
//m_MyPUBU2 = new MyPUBU2(m_pSeries);
/* m_MyTradeB.m_pSeries = m_pBarsCollection->CreateSeries(m_MyTradeB.m_InstrumentID,m_MyTradeB.InsField.ExchangeID,m_nBarType,m_nBarLength,10,2048);
m_MyTradeB.m_pSeries->ReadHistoryLastN(1500);
m_MyTradeB.m_pSeries_1 = m_pBarsCollection->CreateSeries(m_MyTradeB.m_InstrumentID,m_MyTradeB.InsField.ExchangeID,m_nBarType_1,m_nBarLength_1,10,2048);
m_MyTradeB.m_pSeries_1->ReadHistoryLastN(1500);
if(m_MyDCM != NULL){
delete m_MyDCM;
}
if(m_MyDCM_1 != NULL){
delete m_MyDCM_1;
}
m_MyDCM = new MyDCM(m_MyTradeA.m_pSeries,m_MyTradeB.m_pSeries,m_nN1,m_nN2,m_nN3);
int _sizeA = m_MyTradeA.m_pSeries->m_nCount;
int _sizeB = m_MyTradeB.m_pSeries->m_nCount;
int _count = min(_sizeA, _sizeB);
for(int i=_count; i>=2; i--){
m_MyDCM->Update(_sizeA - i,_sizeB - i);
}
if(m_MyTradeA.m_pSeries->GetBar(_sizeA - 1)->m_fHighest != m_MyTradeA.m_pSeries->GetBar(_sizeA - 1)->m_fLowest ||
m_MyTradeB.m_pSeries->GetBar(_sizeB - 1)->m_fHighest != m_MyTradeB.m_pSeries->GetBar(_sizeB - 1)->m_fLowest)
{
m_MyDCM->Update(_sizeA - 1,_sizeB - 1);
}
m_MyDCM_1 = new MyDCM(m_MyTradeA.m_pSeries_1,m_MyTradeB.m_pSeries_1,m_nN1,m_nN2,m_nN3);
int _sizeA_1 = m_MyTradeA.m_pSeries_1->m_nCount;
int _sizeB_1 = m_MyTradeB.m_pSeries_1->m_nCount;
int _count_1 = min(_sizeA_1,_sizeB_1);
for(int i=_count_1; i>=2; i--){
m_MyDCM_1->Update(_sizeA_1 - i,_sizeB_1 - i);
}
if(m_MyTradeA.m_pSeries_1->GetBar(_sizeA_1 - 1)->m_fHighest != m_MyTradeA.m_pSeries_1->GetBar(_sizeA_1 - 1)->m_fLowest ||
m_MyTradeB.m_pSeries_1->GetBar(_sizeB_1 - 1)->m_fHighest != m_MyTradeB.m_pSeries_1->GetBar(_sizeB_1 - 1)->m_fLowest)
{
m_MyDCM_1->Update(_sizeA_1 - 1,_sizeB_1 - 1);
}
cout<<m_MyTradeA.m_InstrumentID<<" init: "<<m_MyTradeA.m_pSeries->m_nCount<<" "<<m_MyDCM->m_fMA1<<" "<<m_MyDCM->m_fMA2<<" "<<m_MyDCM_1->m_fMA1<<" "<<m_MyDCM_1->m_fMA2<<endl;
cout<<m_MyTradeB.m_InstrumentID<<" init: "<<m_MyTradeB.m_pSeries->m_nCount<<" "<<m_MyDCM->m_fMA1<<" "<<m_MyDCM->m_fMA2<<" "<<m_MyDCM_1->m_fMA1<<" "<<m_MyDCM_1->m_fMA2<<endl;
*/
//初始化
m_bStopOnClose = false;
cout<<"Init end"<<endl;
}
