一、期货行情数据

Tick数据一般指市场上的逐笔数据，例如一笔委托会产生一笔行情，一笔成交也会产生一笔行情。目前国内期货交易所还不支持推送逐笔数据，只推送切片（快照）数据。

切片数据是指将一定时间内的逐笔数据统计成一个快照发出，一般是1秒2笔。CTP行情转发的交易所行情，500ms一次快照。

二、CTP行情

1、CTP行情API简介

CThostFtdcMdApi行情API接口包含CThostFtdcMdApi和CThostFtdcMdSpi，通过CThostFtdcMdApiApi向CTP发送命令，通过CThostFtdcMdSpi接收CTP响应。

（1）创建CTP API实例

CThostFtdcMdApi *pMarketDataApi = CThostFtdcMdApi::CreateFtdcMdApi(dirName);

调用CreateFtdcMdApi()创建API实例，pMarketDataApi，通过API实例发起各种请求，如连接服务器、用户登录、订阅合约、退订合约等。

（2）创建CTP API回调实例

MarketDataSource *pDataSource = new MarketDataSource(pMarketDataApi, this);

开发者需要继承上期技术提供的CThostFtdcMdSpi类，重写类方法，以处理服务器发过来的各类数据。

（3）注册CTP API回调实例

pMarketDataApi->RegisterSpi(pDataSource);

（4）连接行情前置服务器

pMarketDataApi_->RegisterFront((char *)serverAddr_.c_str());pMarketDataApi_->Init();

连接请求发出后，OnFrontConnected()会响应请求，通常在OnFrontConnected()函数内进行用户登录。

（5）用户登录

在OnFrontConnected()函数内进行用户登录操作。

CThostFtdcReqUserLoginField loginReq;
std::string BrokerID, InvestorID, Password;
memset(&loginReq, 0, sizeof(loginReq));
strcpy(loginReq.BrokerID, BrokerID.c_str());
strcpy(loginReq.UserID, InvestorID.c_str());
strcpy(loginReq.Password, Password.c_str());
static int requestID = 0;
int rt = pMarketDataApi->ReqUserLogin(&loginReq, requestID++);

登录请求后OnRspUserLogin()返回响应，如果登录成功，可以订阅合约。

（6）订阅期货合约

在OnRspUserLogin()函数内订阅期货合约。

const size_t count = contracts.size();
char *instruments[count];
pMarketDataApi_->SubscribeMarketData(instruments, (int)count);

（7）合约订阅响应

在OnRspSubMarketData函数内返回合约订阅结果，如果客户端订阅行情的请求是不合法的，返回服务器端给出的错误信息(pRspInfo)；即使客户端发送的订阅请求是合法的，函数也会被回调，而返回的信息则是CTP:No Error。

（8）接收行情

void CTPMarketDataSource::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData);

合约订阅成功后，在交易时间段内，所订阅合约行情数据会源源不断的推送过来。在非交易时间段，经常会接收脏数据，脏数据通常是浮点数最大值。

行情数据落地时，如果直接在OnRtnDepthMarketData中将行情数据写入到CSV中，一旦IO写磁盘操作变多便会和API底层接收行情数据相互干扰，轻则写入文件中的数据落后于实时数据，重则直接导致订阅行情进程宕机。

解决方案有两种，一种是将SPI线程收数据和行情数据落地写入CSV两个操作隔离开来，SPI线程将收到行情数据写入队列，另起一个线程从队列里读取数据写入CSV；另一种是线收取完成切片的所有合约行情数据，然后再落地行情数据，由于切片行情数据收取完成后到下一个切片推送时存在数百ms的时间间隔，可以用于数据落地。

行情数据中有些字段是无效值，CTP统一用double的上限值1.7976931348623157e+308表示，如期货合约的PreDelta、CurrDelta、ClosePrice、SettlementPrice。

2、CTP行情推送规则

CTP行情推送规则为：

（1）1秒2次快照行情。

（2）有更新才推送，没有更新的合约推送。

（3）第一次连接后推送初始行情。

CTP推送行情的基本原则是每秒推送两次，但推送时间(毫秒级)并不是严格的000、500，即有可能推送时间是300、800。

通过CTP API连上CTP系统后，CTP会惯例的推送一笔最近的行情数据，用于提醒客户端当前市场是否有行情。

开盘前的集合竞价撮合阶段，交易所也会推送行情。开盘时刻的行情的时间戳可能大于等于500，也可能小于 500。

互联网环境下，开盘后CTP会推送合约的状态(如开盘后，合约状态更新为连续交易)，消息推送时间与开盘后第一笔行情时间几乎是重合的。

3、CTP行情接收

CTPMarketDataSource.h文件：

#ifndef CTPMARKETDATASOURCE_H
#define CTPMARKETDATASOURCE_H#include <vector>
#include <iostream>
#include <fstream>
#include <unordered_map>
#include <unordered_set>
#include <string.h>
#include <stdio.h>
#include "ThostFtdcMdApi.h"class CTPMarketDataSource : public CThostFtdcMdSpi
{
public:explicit CTPMarketDataSource(const char* yml);void startMarketDataSource();~CTPMarketDataSource();
public:///当客户端与交易后台建立起通信连接时（还未登录前）被调用。void OnFrontConnected();///当客户端与交易后台通信连接断开时被调用。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 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void OnHeartBeatWarning(int nTimeLapse);///登录请求响应void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin,   CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///登出请求响应void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///错误应答void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///订阅行情应答void OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///取消订阅行情应答void OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);///深度行情通知void OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData);
private:CThostFtdcMdApi *m_pMdUserApi;
};#endif // CTPMARKETDATASOURCE_H

CTPMarketDataSource.cpp文件：

#include "CTPMarketDataSource.h"CTPMarketDataSource::CTPMarketDataSource(const char *yml)
{// 创建行情API实例m_pMdUserApi = CThostFtdcMdApi::CreateFtdcMdApi();
}void CTPMarketDataSource::startMarketDataSource()
{// 注册事件类m_pMdUserApi->RegisterSpi(this);// 设置行情前置地址std::string FrontAddr;m_pMdUserApi->RegisterFront(const_cast<char *>(FrontAddr.c_str()));m_pMdUserApi->Init();// 等到线程退出m_pMdUserApi->Join();
}CTPMarketDataSource::~CTPMarketDataSource()
{
}void CTPMarketDataSource::OnFrontConnected()
{CThostFtdcReqUserLoginField loginReq;std::string BrokerID, InvestorID, Password;memset(&loginReq, 0, sizeof(loginReq));strcpy(loginReq.BrokerID, BrokerID.c_str());strcpy(loginReq.UserID, InvestorID.c_str());strcpy(loginReq.Password, Password.c_str());static int requestID = 0;int rt = m_pMdUserApi->ReqUserLogin(&loginReq, requestID++);
}void CTPMarketDataSource::OnFrontDisconnected(int nReason)
{}void CTPMarketDataSource::OnHeartBeatWarning(int nTimeLapse)
{}void CTPMarketDataSource::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin,CThostFtdcRspInfoField *pRspInfo,int nRequestID, bool bIsLast)
{bool bResult = pRspInfo && (pRspInfo->ErrorID != 0);if (bIsLast && !bResult){printf("账户登录成功\n");printf("交易日： %s", pRspUserLogin->TradingDay);printf("登录时间： %s", pRspUserLogin->LoginTime);printf("经纪商： %s", pRspUserLogin->BrokerID);printf("账户名： %s", pRspUserLogin->UserID);printf("SystemName： %s", pRspUserLogin->SystemName);printf("ApiVersion: %s", m_pMdUserApi->GetApiVersion());// 读取合约配置int instrumentNum = 6;char *instruments[instrumentNum];int i = 0;// 开始订阅行情int rt = m_pMdUserApi->SubscribeMarketData(instruments, instrumentNum);}
}void CTPMarketDataSource::OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout,CThostFtdcRspInfoField *pRspInfo,int nRequestID, bool bIsLast)
{bool bResult = pRspInfo && (pRspInfo->ErrorID != 0);
}void CTPMarketDataSource::OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
{bool bResult = pRspInfo && (pRspInfo->ErrorID != 0);
}void CTPMarketDataSource::OnRspSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument,CThostFtdcRspInfoField *pRspInfo,int nRequestID, bool bIsLast)
{bool bResult = pRspInfo && (pRspInfo->ErrorID != 0);if (!bResult){// 订阅成功}
}void CTPMarketDataSource::OnRspUnSubMarketData(CThostFtdcSpecificInstrumentField *pSpecificInstrument,CThostFtdcRspInfoField *pRspInfo,int nRequestID, bool bIsLast)
{bool bResult = pRspInfo && (pRspInfo->ErrorID != 0);
}void CTPMarketDataSource::OnRtnDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData)
{// 接收行情数据// 处理订阅合约行情数据
}

main.cpp文件：

#include "CTPMarketDataSource.h"
#include "Logger.h"int main(int argc, char *argv[])
{CTPMarketDataSource *pMdSource = new CTPMarketDataSource("config.yml");pMdSource->startMarketDataSource();return 0;
}

CMakeLists.txt文件：

cmake_minimum_required(VERSION 3.17)PROJECT(CTPMarketDataSource)set(CMAKE_CXX_FLAGS "-fPIC -O3")
set(CMAKE_INCLUDE_CURRENT_DIR ON)# 默认输出debug版
#SET(CMAKE_BUILD_TYPE "Release")
SET(CMAKE_BUILD_TYPE "debug")
set(CMAKE_CXX_STANDARD 11)set(CTP_INCLUDE ${CMAKE_SOURCE_DIR}/CTPLib/include)
include_directories(${CTP_INCLUDE})set(CTP_LIB ${CMAKE_SOURCE_DIR}/CTPLib/lib)
link_directories(${CTP_LIB})set(SOURCES main.cpp CTPMarketDataSource.cpp)
add_executable(${PROJECT_NAME} main.cpp CTPMarketDataSource.cpp)
target_link_libraries(${PROJECT_NAME} thostmduserapi_se pthread)

三、Sina行情

1、Sina行情简介

Sina财经提供实时行情数据的API接口可以用于获取股票和指数现货的行情，但通常存在延迟。通过访问http://hq.sinajs.cn/list=sz002307,sh600928
可以获取sz002307,sh600928的行情数据。

var hq_str_sz002307="北新路桥,8.700,8.820,9.080,9.310,8.630,9.080,9.100,108452484,968707402.800,42300,9.080,91100,9.070,17500,9.060,42200,9.050,19200,9.040,7048,9.100,16600,9.110,47300,9.120,20460,9.130,21400,9.140,2019-03-27,14:33:03,00";var hq_str_sh600928="西安银行,11.470,11.550,11.560,11.890,11.280,11.560,11.570,101874307,1186320558.000,46300,11.560,82562,11.550,57300,11.540,64300,11.530,27000,11.520,1100,11.570,6100,11.580,12700,11.590,27727,11.600,40600,11.610,2019-03-27,14:33:02,00";

2、Sina行情获取

SinaMarketDataSource.h文件：

#include <unistd.h>
#include <string>#include <sys/socket.h>
#include <netdb.h>
#include <unistd.h>
#include <netinet/in.h>
#include <arpa/inet.h>
#include <stdlib.h>#include <hpsocket/HPSocket4C.h>class SinaMarketDataSource
{
public:SinaMarketDataSource(){}void StartMarketDataSource(const char* yml);void Stop();virtual ~SinaMarketDataSource();
private:bool SendHTTPRequest(const char *data);protected:static EnHandleResult __HP_CALL OnConnect(HP_HttpClient pSender, CONNID dwConnID);static EnHandleResult __HP_CALL OnHandShake(HP_HttpClient pSender, CONNID dwConnID);static EnHandleResult __HP_CALL OnSend(HP_HttpClient pSender, CONNID dwConnID, const BYTE *pData, int iLength);static EnHandleResult __HP_CALL OnReceive(HP_HttpClient pSender, CONNID dwConnID, const BYTE *pData, int iLength);static EnHandleResult __HP_CALL OnClose(HP_HttpClient pSender, CONNID dwConnID, EnSocketOperation enOperation, int iErrorCode);static EnHttpParseResult __HP_CALL OnMessageBegin(HP_HttpClient pSender, CONNID dwConnID);static EnHttpParseResult __HP_CALL OnStatusLine(HP_HttpClient pSender, CONNID dwConnID, USHORT usStatusCode, LPCSTR lpszDesc);static EnHttpParseResult __HP_CALL OnHeader(HP_HttpClient pSender, CONNID dwConnID, LPCSTR lpszName, LPCSTR lpszValue);static EnHttpParseResult __HP_CALL OnHeadersComplete(HP_HttpClient pSender, CONNID dwConnID);static EnHttpParseResult __HP_CALL OnBody(HP_HttpClient pSender, CONNID dwConnID, const BYTE *pData, int iLength);static EnHttpParseResult __HP_CALL OnChunkHeader(HP_HttpClient pSender, CONNID dwConnID, int iLength);static EnHttpParseResult __HP_CALL OnChunkComplete(HP_HttpClient pSender, CONNID dwConnID);static EnHttpParseResult __HP_CALL OnMessageComplete(HP_HttpClient pSender, CONNID dwConnID);static EnHttpParseResult __HP_CALL OnUpgrade(HP_HttpClient pSender, CONNID dwConnID, EnHttpUpgradeType enUpgradeType);static EnHttpParseResult __HP_CALL OnParseError(HP_HttpClient pSender, CONNID dwConnID, int iErrorCode, LPCSTR lpszErrorDesc);static EnHandleResult __HP_CALL OnWSMessageHeader(HP_HttpClient pSender, CONNID dwConnID, BOOL bFinal, BYTE iReserved, BYTE iOperationCode, const BYTE lpszMask[4], ULONGLONG ullBodyLen);static EnHandleResult __HP_CALL OnWSMessageBody(HP_HttpClient pSender, CONNID dwConnID, const BYTE *pData, int iLength);static EnHandleResult __HP_CALL OnWSMessageComplete(HP_HttpClient pSender, CONNID dwConnID);
private:SinaMarketDataSource &operator=(const SinaMarketDataSource &);SinaMarketDataSource(const SinaMarketDataSource &);
private:HP_HttpClient m_pHTTPClient;HP_HttpClientListener m_pHTTPClientListener;static std::unordered_map<std::string, std::string> m_sTickerMarketData;std::string m_URL;
};

SinaMarketDataSource.cpp文件：

#include "SinaMarketDataSource.h"std::unordered_map<std::string, std::string> SinaMarketDataSource::m_sTickerMarketData;SinaMarketDataSource::SinaMarketDataSource()
{m_URL = "http://hq.sinajs.cn?list=sh601003,sh601001";m_pHTTPClientListener = ::Create_HP_HttpClientListener();m_pHTTPClient = ::Create_HP_HttpClient(m_pHTTPClientListener);::HP_Set_FN_HttpClient_OnConnect(m_pHTTPClientListener, OnConnect);::HP_Set_FN_HttpClient_OnHandShake(m_pHTTPClientListener, OnHandShake);::HP_Set_FN_HttpClient_OnReceive(m_pHTTPClientListener, OnReceive);::HP_Set_FN_HttpClient_OnSend(m_pHTTPClientListener, OnSend);::HP_Set_FN_HttpClient_OnClose(m_pHTTPClientListener, OnClose);::HP_Set_FN_HttpClient_OnMessageBegin(m_pHTTPClientListener, OnMessageBegin);::HP_Set_FN_HttpClient_OnStatusLine(m_pHTTPClientListener, OnStatusLine);::HP_Set_FN_HttpClient_OnHeader(m_pHTTPClientListener, OnHeader);::HP_Set_FN_HttpClient_OnHeadersComplete(m_pHTTPClientListener, OnHeadersComplete);::HP_Set_FN_HttpClient_OnBody(m_pHTTPClientListener, OnBody);::HP_Set_FN_HttpClient_OnChunkHeader(m_pHTTPClientListener, OnChunkHeader);::HP_Set_FN_HttpClient_OnChunkComplete(m_pHTTPClientListener, OnChunkComplete);::HP_Set_FN_HttpClient_OnMessageComplete(m_pHTTPClientListener, OnMessageComplete);::HP_Set_FN_HttpClient_OnUpgrade(m_pHTTPClientListener, OnUpgrade);::HP_Set_FN_HttpClient_OnParseError(m_pHTTPClientListener, OnParseError);::HP_Set_FN_HttpClient_OnWSMessageHeader(m_pHTTPClientListener, OnWSMessageHeader);::HP_Set_FN_HttpClient_OnWSMessageBody(m_pHTTPClientListener, OnWSMessageBody);::HP_Set_FN_HttpClient_OnWSMessageComplete(m_pHTTPClientListener, OnWSMessageComplete);::HP_HttpClient_SetUseCookie(m_pHTTPClient, true);::HP_TcpClient_SetKeepAliveTime(m_pHTTPClient, 60000);
}SinaMarketDataSource::~SinaMarketDataSource()
{::Destroy_HP_HttpClient(m_pHTTPClient);::Destroy_HP_HttpClientListener(m_pHTTPClientListener);::HP_HttpCookie_MGR_SaveToFile("./cookie", TRUE);
}void SinaMarketDataSource::StartMarketDataSource(const char *yml)
{bool ret = ::HP_Client_StartWithBindAddress(m_pHTTPClient, "183.232.24.241", 80, false, NULL);if (!ret){printf("%s\n", ::HP_Client_GetLastErrorDesc(m_pHTTPClient));}while (true){// 发送行情查询请求bool ok = SendHTTPRequest(m_URL.c_str());if (!ok){printf("%s\n", ::HP_Client_GetLastErrorDesc(m_pHTTPClient));}// 行情数据每3秒推送一次sleep(3);}
}void SinaMarketDataSource::Stop()
{::HP_Client_Stop(m_pHTTPClient);
}EnHandleResult __HP_CALL SinaMarketDataSource::OnConnect(HP_HttpClient pSender, CONNID dwConnID)
{TCHAR szAddress[50];int iAddressLen = sizeof(szAddress) / sizeof(TCHAR);USHORT usPort;::HP_Client_GetRemoteHost(pSender, szAddress, &iAddressLen, &usPort);printf("connected to %s:%d successed\n", szAddress, usPort);return HR_OK;
}EnHandleResult __HP_CALL SinaMarketDataSource::OnHandShake(HP_HttpClient pSender, CONNID dwConnID)
{return HR_OK;
}EnHandleResult __HP_CALL SinaMarketDataSource::OnSend(HP_HttpClient pSender, CONNID dwConnID, const BYTE *pData, int iLength)
{return HR_OK;
}EnHandleResult __HP_CALL SinaMarketDataSource::OnReceive(HP_HttpClient pSender, CONNID dwConnID, const BYTE *pData, int iLength)
{return HR_OK;
}EnHandleResult __HP_CALL SinaMarketDataSource::OnClose(HP_HttpClient pSender, CONNID dwConnID, EnSocketOperation enOperation, int iErrorCode)
{TCHAR szAddress[50];int iAddressLen = sizeof(szAddress) / sizeof(TCHAR);USHORT usPort;::HP_Client_GetRemoteHost(pSender, szAddress, &iAddressLen, &usPort);printf("{}:{} closed\n", szAddress, usPort);return HR_OK;
}EnHttpParseResult __HP_CALL SinaMarketDataSource::OnMessageBegin(HP_HttpClient pSender,CONNID dwConnID)
{return HPR_OK;
}EnHttpParseResult __HP_CALL SinaMarketDataSource::OnStatusLine(HP_HttpClient pSender, CONNID dwConnID, USHORT usStatusCode, LPCSTR lpszDesc)
{return HPR_OK;
}EnHttpParseResult __HP_CALL SinaMarketDataSource::OnHeader(HP_HttpClient pSender, CONNID dwConnID, LPCSTR lpszName, LPCSTR lpszValue)
{return HPR_OK;
}EnHttpParseResult __HP_CALL SinaMarketDataSource::OnHeadersComplete(HP_HttpClient pSender, CONNID dwConnID)
{return HPR_OK;
}EnHttpParseResult __HP_CALL SinaMarketDataSource::OnBody(HP_HttpClient pSender, CONNID dwConnID, const BYTE *pData, int iLength)
{std::string response = (const char *)pData;// 接收并且处理行情数据return HPR_OK;
}EnHttpParseResult __HP_CALL SinaMarketDataSource::OnChunkHeader(HP_HttpClient pSender, CONNID dwConnID, int iLength)
{return HPR_OK;
}EnHttpParseResult __HP_CALL SinaMarketDataSource::OnChunkComplete(HP_HttpClient pSender, CONNID dwConnID)
{return HPR_OK;
}EnHttpParseResult __HP_CALL SinaMarketDataSource::OnMessageComplete(HP_HttpClient pSender, CONNID dwConnID)
{return HPR_OK;
}EnHttpParseResult __HP_CALL SinaMarketDataSource::OnUpgrade(HP_HttpClient pSender, CONNID dwConnID, EnHttpUpgradeType enUpgradeType)
{return HPR_OK;
}EnHttpParseResult __HP_CALL SinaMarketDataSource::OnParseError(HP_HttpClient pSender,     CONNID dwConnID, int iErrorCode, LPCSTR lpszErrorDesc)
{return HPR_OK;
}EnHandleResult __HP_CALL SinaMarketDataSource::OnWSMessageHeader(HP_HttpClient pSender, CONNID dwConnID, BOOL bFinal, BYTE iReserved, BYTE iOperationCode, const BYTE lpszMask[4], ULONGLONG ullBodyLen)
{return HR_OK;
}EnHandleResult __HP_CALL SinaMarketDataSource::OnWSMessageBody(HP_HttpClient pSender,CONNID dwConnID, const BYTE *pData, int iLength)
{return HR_OK;
}EnHandleResult __HP_CALL SinaMarketDataSource::OnWSMessageComplete(HP_HttpClient pSender, CONNID dwConnID)
{BYTE iOperationCode;::HP_HttpClient_GetWSMessageState(pSender, nullptr, nullptr, &iOperationCode, nullptr, nullptr, nullptr);if (iOperationCode == 0x8)return HR_ERROR;return HR_OK;
}bool SinaMarketDataSource::SendHTTPRequest(const char *url)
{return HP_HttpClient_SendGet(m_pHTTPClient, url, NULL, 0);
}