量化交易期货ctp使用说明（企业版，穿透式监管）（值得收藏）
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代码说明
1.1 期货账户
要连接期货交易所交易，需要开设自己的账户，实现期货交易、银期转账、保证金等功能，由于小白一般不会用实盘资金交易，所以此处推荐用上期所提供的simnow虚拟交易平台申请一个虚拟账户。simnow地址：www.simnow.com.cn
1.2 账户信息
1.BrokerID
简称期商编码，是指该期货公司在CTP系统上的编码，为四位数。例如海通期货是8000。
2.TradeFront, MarketFront
TradeFront是指CTP系统的交易前置IP地址，客户用来连接下单撤单等；MarketFront是指行情前置IP地址，用来订阅收取行情。
3.InvestorID（UserID,InvestUnitID）
投资者代码，是指该客户在CTP系统上的唯一ID，在期货公司开户后由期货公司分配得到。UserID是操作员代码，InvestUnitID是投资单元代码，普通投资者遇到要填这两个值的，直接填InvestorID即可。
4.Password
开户时设置的密码。需要注意的是开户完首次登录CTP系统需要修改密码，在期货公司官网上下载快期客户端登录，点修改密码就可以。
5.AppID
客户终端软件代码。
6.AuthCode
客户终端软件认证码。
1.3 测试环境
simnow数据前置地址：
（1）交易时段的地址，如09:00-15:00和21:00-02:30，使用第一套地址，这些数据是真实的行情数据，只是时间上比真实的行情会有延迟30秒左右(SIMNOW从交易所接收后转发出来的)。
（2）非交易时段地址，这时的数据是历史行情的播放，比如昨天的数据之类的，可以用来做程序调试。
1.4 期货ctp的api文件
ThostFtdcTraderApi.h：C++头文件，包含交易相关的指令，如报单。
ThostFtdcMdApi.h：C++头文件，包含获取行情相关的指令。
ThostFtdcUserApiStruct.h：包含了所有用到的数据结构。
ThostFtdcUserApiDataType.h：包含了所有用到的数据类型。
CTP的所有接口都分为Spi和Api两种，分别对应C++中的类：XXXXSpi和XXXXApi。下面说的Api和Spi指的都是这两种东西。
我们主动对服务器发出的请求都是通过Api进行
而服务器的所有响应消息，都得用Spi，通过重写虚函数的形式接收
所有Api都有自己的创建（实例化）方法：XXXXApi::CreateXXXXApi，不应使用new
Spi没有自己的实例化方法，可以按自己喜欢的方式实例化。但是Spi必须注册到Api中才会有用。
Spi和Api一般是配套的
3 交易api
大家按照下面的流程登录期货ctp，查询数据，发送委托报单
3.1 建立继承CThostFtdcTraderSpi的类TdAdapterCtp
class TdAdapterCtp : public CThostFtdcTraderSpi
public:
TdAdapterCtp();
virtual ~TdAdapterCtp();
public:
void Connect(CtpConfig &config);
void LogOut();
bool IsLogin() const;
public:
//查询资金
int ReqQueryBalance();
//查询委托
int ReqQueryOrder();
//查询成交
int ReqQueryTrade();
//查询持仓
int ReqQueryPosition();
//查询合约
int ReqQryInstrument();
///请求查询合约保证金率
int ReqQryInstrumentMarginRate(string szInstrumentId);
///请求查询合约手续费率
int ReqQryInstrumentCommissionRate(string szInstrumentId);
///请求查询报单手续费
int ReqQryInstrumentOrderCommRate(string szInstrumentId);
//请求查询经纪公司交易参数
int ReqQryBrokerTradingParams();
//请求查询结算信息确认
int ReqQrySettlementInfoConfirm();
///请求查询投资者结算结果
int ReqQrySettlementInfo();
///投资者结算结果确认
int ReqSettlementInfoConfirm();
//请求查询行情
int ReqQryDepthMarketData(string szInstrumentId = "", string szExchangeId = "");
//委托
TdResponse<string> ReqPlaceOrder(const string& szOrderRef, const string &szStockCode, const char &cAction, const double dPrice, const int iQuantity);
//撤单
TdResponse<string> ReqCancelOrder(int iFrontID, int iSessionID, const string& szOrderRef, const string& szInstrumentID);
private:
virtual void OnFrontConnected();
virtual void OnFrontDisConnected(int nReason);
///客户端认证响应
virtual void OnRspAuthenticate(CThostFtdcRspAuthenticateField *pRspAuthenticateField, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
///用户口令更新请求响应
virtual void OnRspUserPasswordUpdate(CThostFtdcUserPasswordUpdateField *pUserPasswordUpdate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
//登录响应
virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
//退出响应
virtual void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
//查询资金响应
virtual void OnRspQryTradingAccount(CThostFtdcTradingAccountField *pTradingAccount, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
//查询委托响应
virtual void OnRspQryOrder(CThostFtdcOrderField *pOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
//查询成交响应
virtual void OnRspQryTrade(CThostFtdcTradeField *pTrade, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
//查询持仓响应
virtual void OnRspQryInvestorPosition(CThostFtdcInvestorPositionField *pInvestorPosition, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
///请求查询合约响应
virtual void OnRspQryInstrument(CThostFtdcInstrumentField *pInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
///请求查询合约保证金率响应
virtual void OnRspQryInstrumentMarginRate(CThostFtdcInstrumentMarginRateField *pInstrumentMarginRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
///请求查询合约手续费率响应
virtual void OnRspQryInstrumentCommissionRate(CThostFtdcInstrumentCommissionRateField *pInstrumentCommissionRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
///请求查询报单手续费响应
virtual void OnRspQryInstrumentOrderCommRate(CThostFtdcInstrumentOrderCommRateField *pInstrumentOrderCommRate, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
///请求查询经纪公司交易参数响应
virtual void OnRspQryBrokerTradingParams(CThostFtdcBrokerTradingParamsField *pBrokerTradingParams, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
///请求查询结算信息确认响应
virtual void OnRspQrySettlementInfoConfirm(CThostFtdcSettlementInfoConfirmField *pSettlementInfoConfirm, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
///请求查询投资者结算结果响应
virtual void OnRspQrySettlementInfo(CThostFtdcSettlementInfoField *pSettlementInfo, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
///投资者结算结果确认响应
virtual void OnRspSettlementInfoConfirm(CThostFtdcSettlementInfoConfirmField *pSettlementInfoConfirm, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
///请求查询行情响应
virtual void OnRspQryDepthMarketData(CThostFtdcDepthMarketDataField *pDepthMarketData, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
private:
//委托回报
virtual void OnRtnOrder(CThostFtdcOrderField *pOrder);
//成交回报
virtual void OnRtnTrade(CThostFtdcTradeField *pTrade);
///报单录入请求响应
virtual void OnRspOrderInsert(CThostFtdcInputOrderField *pInputOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
///报单操作请求响应
virtual void OnRspOrderAction(CThostFtdcInputOrderActionField *pInputOrderAction, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
///错误应答
virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);
///报单录入错误回报
virtual void OnErrRtnOrderInsert(CThostFtdcInputOrderField *pInputOrder, CThostFtdcRspInfoField *pRspInfo);
///报单操作错误回报
virtual void OnErrRtnOrderAction(CThostFtdcOrderActionField *pOrderAction, CThostFtdcRspInfoField *pRspInfo);
private:
BalanceT ConvertBalance(const CThostFtdcTradingAccountField *pAccount);
OrderT ConvertOrder(const CThostFtdcOrderField *pOrder);
TradeT ConvertTrade(const CThostFtdcTradeField *pTrade);
PositionT ConvertPosition(const CThostFtdcInvestorPositionField *pPos);
int GetRequestId();
private:
CThostFtdcTraderApi *m_pTraderApi;
CtpConfig m_Config;
int m_iRequestId;
bool m_IsLogin;
mutex m_RequestIdMtx; //锁 m_iRequestId
;
3.2 登录
3.2.1 连接到期货CTP
读取配置文件中的期货ctp的ip和端口，存储到CtpConfig中
调用Connect函数连接期货ctp
void TdAdapterCtp::Connect(CtpConfig &config)
m_Config = config;
m_pTraderApi = CThostFtdcTraderApi::CreateFtdcTraderApi();
if (!m_pTraderApi)
LError("ctp create traderapi failed");
return;
m_pTraderApi->RegisterSpi(this);
string szTmpFrontAddr = "tcp://" + m_Config.szTradeIp + \':\' + to_string(m_Config.iTradePort);
printf("Trade FrontAddress=%s\\n", szTmpFrontAddr.c_str());
char szFrontAddr[100] = 0 ;
sprintf(szFrontAddr, "%s", szTmpFrontAddr.c_str());
m_pTraderApi->SubscribePublicTopic(THOST_TERT_QUICK);
m_pTraderApi->SubscribePrivateTopic(THOST_TERT_QUICK);
m_pTraderApi->RegisterFront(szFrontAddr);
m_pTraderApi->Init(); //调用Init，开始连接
3.2.2 连接响应函数
如果连接成功，则调用客户端认证函数ReqAuthenticate
void TdAdapterCtp::OnFrontConnected()
printf("ctp OnFrontConnected\\n");
LInfo("ctp OnFrontConnected");
CThostFtdcReqAuthenticateField ReqAuthenticateField;
memset(ReqAuthenticateField.BrokerID, 0, sizeof(ReqAuthenticateField.BrokerID));
memset(ReqAuthenticateField.UserID, 0, sizeof(ReqAuthenticateField.UserID));
memset(ReqAuthenticateField.AuthCode, 0, sizeof(ReqAuthenticateField.AuthCode));
memset(ReqAuthenticateField.AppID, 0, sizeof(ReqAuthenticateField.AppID));
sprintf(ReqAuthenticateField.BrokerID, "%s", m_Config.szBrokerId.c_str());
sprintf(ReqAuthenticateField.UserID, "%s", m_Config.szUserId.c_str());
sprintf(ReqAuthenticateField.AuthCode, "%s", m_Config.szAuthCode.c_str());
sprintf(ReqAuthenticateField.AppID, "%s", m_Config.szAppID.c_str());
int iRet = m_pTraderApi->ReqAuthenticate(&ReqAuthenticateField, GetRequestId());
if (iRet != 0)
LError("send ctp ReqAuthenticate Error ,iRet=[0]", iRet);
3.2.3 客户端认证响应
客户端认证响应函数中调用ReqUserLogin登录函数。
void TdAdapterCtp::OnRspAuthenticate(CThostFtdcRspAuthenticateField *pRspAuthenticateField, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
if (!pRspInfo || pRspInfo->ErrorID == 0)
printf("ctp OnRspAuthenticate OK\\n");
LInfo("ctp OnRspAuthenticate OK");
CThostFtdcReqUserLoginField ReqUserLoginField;
memset(ReqUserLoginField.BrokerID, 0, sizeof(ReqUserLoginField.BrokerID));
memset(ReqUserLoginField.UserID, 0, sizeof(ReqUserLoginField.UserID));
memset(ReqUserLoginField.Password, 0, sizeof(ReqUserLoginField.Password));
sprintf(ReqUserLoginField.BrokerID, "%s", m_Config.szBrokerId.c_str());
sprintf(ReqUserLoginField.UserID, "%s", m_Config.szUserId.c_str());
sprintf(ReqUserLoginField.Password, "%s", m_Config.szPassword.c_str());
int iRet = m_pTraderApi->ReqUserLogin(&ReqUserLoginField, GetRequestId());
if (iRet != 0)
LError("ctp send ReqUserLogin fail ,iRet=[0]", iRet);
else
printf("ctp OnRspAuthenticate error, ErrorMsg=[%s]\\n", pRspInfo->ErrorMsg);
LError("ctp OnRspAuthenticate ErrorID=[0,ErrorMsg=[1]]", pRspInfo->ErrorID, pRspInfo->ErrorMsg);
3.2.4 登录响应函数
如果需要修改密码，可以看注释部分的代码
void TdAdapterCtp::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
if (0 == pRspInfo->ErrorID)
printf("ctp TdAdapterCtp OnRspUserLogin success\\n");
LInfo("ctp TdAdapterCtp OnRspUserLogin success");
m_IsLogin = true;
else
printf("ctp TdAdapterCtp OnRspUserLogin Error,error_msg=[%s]\\n", pRspInfo->ErrorMsg);
LError("ctp TdAdapterCtp OnRspUserLogin Error, error_code=[0],error_msg=[1]", pRspInfo->ErrorID, pRspInfo->ErrorMsg);
//首次登录需要修改登录密码
/*
CThostFtdcUserPasswordUpdateField UserPasswordUpdate;
memset(&UserPasswordUpdate, 0, sizeof(UserPasswordUpdate));
sprintf(UserPasswordUpdate.BrokerID, "%s", m_Config.szBrokerId.c_str());
sprintf(UserPasswordUpdate.UserID, "%s", m_Config.szUser.c_str());
sprintf(UserPasswordUpdate.OldPassword, "%s", m_Config.szPassword.c_str());
sprintf(UserPasswordUpdate.NewPassword, "%s", "simnow!!123456");
int iRet = m_pTraderApi->ReqUserPasswordUpdate(&UserPasswordUpdate, GetRequestId());
if (iRet != 0)
LError("ctp send ReqUserPasswordUpdate fail ,iRet=[0]", iRet);
*/
3.3 查询
3.3.1 查询资金请求
int TdAdapterCtp::ReqQueryBalance()
LInfo("ctp ReqQueryBalance");
CThostFtdcQryTradingAccountField ReqParam;
memset(&ReqParam, 0, sizeof(ReqParam));
strcpy(ReqParam.BrokerID, m_Config.szBrokerId.c_str());
strcpy(ReqParam.InvestorID, m_Config.szUserId.c_str());
int iRequestId = GetRequestId();
int iRet = m_pTraderApi->ReqQryTradingAccount(&ReqParam, iRequestId);
if (iRet != 0)
LError("send ctp ReqQryTradingAccount Error,iRet=[0]", iRet);
return RET_SEND_JYS_FAIL;
return iRequestId;
3.3.2 查询资金响应
void TdAdapterCtp::OnRspQryTradingAccount(CThostFtdcTradingAccountField *pTradingAccount, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
if (!pRspInfo || 0 == pRspInfo->ErrorID)
LInfo("---- ctp OnRspQryTradingAccount success ----");
if (NULL == pTradingAccount)
LDebug("没有数据");
return;
LDebug("Available=[0]", pTradingAccount->Available);
LDebug("Balance=[0]", pTradingAccount->Balance);
LDebug("PreBalance=[0]", pTradingAccount->PreBalance);
LDebug("CurrMargin=[0]", pTradingAccount->CurrMargin);
LDebug("PreMargin=[0]", pTradingAccount->PreMargin);
LDebug("FrozenMargin=[0]", pTradingAccount->FrozenMargin);
LDebug("FrozenCash=[0]", pTradingAccount->FrozenCash);
LDebug("CloseProfit=[0]", pTradingAccount->CloseProfit);
LDebug("PositionProfit=[0]", pTradingAccount->PositionProfit);
BalanceT BalanceData = ConvertBalance(pTradingAccount);
TdResponse<BalanceT> TdResponseData;
TdResponseData.RspResult = BalanceData;
TdResponseData.iErrCode = 0;
TdResponseData.szMsg = "";
TdResponseData.iRequestId = nRequestID;
ExecuteEngine::GetInstance()->HandleQueryBalanceRsp(TdResponseData);
else
LError("ctp OnRspQryTradingAccount Error ,error_code=[0],error_msg=[1]", pRspInfo->ErrorID, pRspInfo->ErrorMsg);
3.3.3 查询委托请求
int TdAdapterCtp::ReqQueryOrder()
LInfo("ctp ReqQueryOrder");
CThostFtdcQryOrderField ReqParam;
memset(&ReqParam, 0, sizeof(ReqParam));
strcpy(ReqParam.BrokerID, m_Config.szBrokerId.c_str());
strcpy(ReqParam.InvestorID, m_Config.szUserId.c_str());
// query all orders
int iRequestId = GetRequestId();
int iRet = m_pTraderApi->ReqQryOrder(&ReqParam, iRequestId);
if (iRet != 0)
LError("send ctp ReqQryOrder Error,iRet=[0]", iRet);
return RET_SEND_JYS_FAIL;
return iRequestId;
3.3.4 查询委托响应
void TdAdapterCtp::OnRspQryOrder(CThostFtdcOrderField *pOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
if (!pRspInfo || 0 == pRspInfo->ErrorID)
LInfo("---- ctp OnRspQryOrder success ----");
if (NULL == pOrder)
LDebug("没有数据");
return;
LDebug("pOrder=[0]", pOrder->ExchangeID);
LDebug("InstrumentID=[0]", pOrder->InstrumentID);
LDebug("OrderRef=[0]", pOrder->OrderRef);
LDebug("Direction=[0]", pOrder->Direction);
LDebug("LimitPrice=[0]", pOrder->LimitPrice);
LDebug("VolumeTotalOriginal=[0]", pOrder->VolumeTotalOriginal);
LDebug("ForceCloseReason=[0]", pOrder->ForceCloseReason);
LDebug("OrderLocalID=[0]", pOrder->OrderLocalID);
LDebug("TradingDay=[0]", pOrder->TradingDay);
LDebug("OrderSysID=[0]", pOrder->OrderSysID);
LDebug("OrderSource=[0]", pOrder->OrderSource);
LDebug("OrderStatus=[0]", pOrder->OrderStatus);
LDebug("VolumeTraded=[0]", pOrder->VolumeTraded);
LDebug("VolumeTotal=[0]", pOrder->VolumeTotal);
LDebug("InsertDate=[0]", pOrder->InsertDate);
LDebug("InsertTime=[0]", pOrder->InsertTime);
OrderT OrderData = ConvertOrder(pOrder);
TdResponse<OrderT> TdResponseData;
TdResponseData.RspResult = OrderData;
TdResponseData.iErrCode = 0;
TdResponseData.szMsg = "";
TdResponseData.bIsLast = bIsLast;
TdResponseData.iRequestId = nRequestID;
ExecuteEngine::GetInstance()->HandleQueryOrderRsp(TdResponseData);
else
LError("ctp OnRspQryOrder Error,error_code=[0],error_msg=[1]", pRspInfo->ErrorID, pRspInfo->ErrorMsg);
3.3.5 查询成交请求
int TdAdapterCtp::ReqQueryTrade()
LInfo("ctp ReqQueryTrade");
CThostFtdcQryTradeField ReqParam;
memset(&ReqParam, 0, sizeof(ReqParam));
strcpy(ReqParam.BrokerID, m_Config.szBrokerId.c_str());
strcpy(ReqParam.InvestorID, m_Config.szUserId.c_str());
// query all trades
int iRequestId = GetRequestId();
int iRet = m_pTraderApi->ReqQryTrade(&ReqParam, iRequestId);
if (iRet != 0)
LError("send ctp ReqQryTrade Error,iRet=[0]", iRet);
return RET_SEND_JYS_FAIL;
return iRequestId;
3.3.6 查询成交响应
void TdAdapterCtp::OnRspQryTrade(CThostFtdcTradeField *pTrade, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
if (!pRspInfo || 0 == pRspInfo->ErrorID)
LInfo("---- ctp OnRspQryTrade success ----");
if (NULL == pTrade)
LDebug("没有数据");
return;
LDebug("ExchangeID=[0]", pTrade->ExchangeID);
LDebug("InstrumentID=[0]", pTrade->InstrumentID);
LDebug("OrderRef=[0]", pTrade->OrderRef);
LDebug("TradeID=[0]", pTrade->TradeID);
LDebug("Direction=[0]", pTrade->Direction);
LDebug("OrderSysID=[0]", pTrade->OrderSysID);
LDebug("OffsetFlag=[0]", pTrade->OffsetFlag);
LDebug("Price=[0]", pTrade->Price);
LDebug("Volume=[0]", pTrade->Volume);
LDebug("TradeDate=[0]", pTrade->TradeDate);
LDebug("TradeTime=[0]", pTrade->TradeTime);
LDebug("OrderLocalID=[0]", pTrade->OrderLocalID);
TradeT TradeData = ConvertTrade(pTrade);
TdResponse<TradeT> TdResponseData;
TdResponseData.RspResult = TradeData;
TdResponseData.iErrCode = 0;
TdResponseData.szMsg = "";
TdResponseData.bIsLast = bIsLast;
TdResponseData.iRequestId = nRequestID;
ExecuteEngine::GetInstance()->HandleQueryTradeRsp(TdResponseData);
else
LError("ctp OnRspQryTrade Error ,error_code=[0],error_msg=[1]", pRspInfo->ErrorID, pRspInfo->ErrorMsg);
3.3.7 查询持仓请求
int TdAdapterCtp::ReqQueryPosition()
LInfo("ctp ReqQueryPosition");
CThostFtdcQryInvestorPositionField ReqParam;
memset(&ReqParam, 0, sizeof(ReqParam));
strcpy(ReqParam.BrokerID, m_Config.szBrokerId.c_str());
strcpy(ReqParam.InvestorID, m_Config.szUserId.c_str());
// query all positions
int iRequestId = GetRequestId();
int iRet = m_pTraderApi->ReqQryInvestorPosition(&ReqParam, iRequestId);
if (iRet != 0)
LError("send ctp ReqQryInvestorPosition Error,iRet=[0]", iRet);
return RET_SEND_JYS_FAIL;
return iRequestId;
3.3.8 查询持仓响应
void TdAdapterCtp::OnRspQryInvestorPosition(CThostFtdcInvestorPositionField *pInvestorPosition, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
if (!pRspInfo || 0 == pRspInfo->ErrorID)
LInfo("---- ctp OnRspQryInvestorPosition success ----");
if (NULL == pInvestorPosition)
LDebug("没有数据");
return;
LDebug("ExchangeID=[0]", pInvestorPosition->ExchangeID);
LDebug("InstrumentID=[0]", pInvestorPosition->InstrumentID);
LDebug("PosiDirection=[0]", pInvestorPosition->PosiDirection);
LDebug("HedgeFlag=[0]", pInvestorPosition->HedgeFlag);
LDebug("PositionDate=[0]", pInvestorPosition->PositionDate);
LDebug("YdPosition=[0]", pInvestorPosition->YdPosition);
LDebug("Position=[0]", pInvestorPosition->Position);
LDebug("LongFrozen=[0]", pInvestorPosition->LongFrozen);
LDebug("ShortFrozen=[0]", pInvestorPosition->ShortFrozen);
LDebug("LongFrozenAmount=[0]", pInvestorPosition->LongFrozenAmount);
LDebug("ShortFrozenAmount=[0]", pInvestorPosition->ShortFrozenAmount);
LDebug("OpenVolume=[0]", pInvestorPosition->OpenVolume);
LDebug("CloseVolume=[0]", pInvestorPosition->CloseVolume);
LDebug("OpenAmount=[0]", pInvestorPosition->OpenAmount);
LDebug("CloseAmount=[0]", pInvestorPosition->CloseAmount);
LDebug("PositionCost=[0]", pInvestorPosition->PositionCost);
LDebug("PreMargin=[0]", pInvestorPosition->PreMargin);
LDebug("UseMargin=[0]", pInvestorPosition->UseMargin);
LDebug("FrozenMargin=[0]", pInvestorPosition->FrozenMargin);
LDebug("FrozenCash=[0]", pInvestorPosition->FrozenCash);
LDebug("FrozenCommission=[0]", pInvestorPosition->FrozenCommission);
LDebug("Commission=[0]", pInvestorPosition->Commission);
LDebug("CashIn=[0]", pInvestorPosition->CashIn);
LDebug("CloseProfit=[0]", pInvestorPosition->CloseProfit);
LDebug("PositionProfit=[0]", pInvestorPosition->PositionProfit);
LDebug("PreSettlementPrice=[0]", pInvestorPosition->PreSettlementPrice);
LDebug("SettlementPrice=[0]", pInvestorPosition->SettlementPrice);
LDebug("TradingDay=[0]", pInvestorPosition->TradingDay);
LDebug("SettlementID=[0]", pInvestorPosition->SettlementID);
LDebug("OpenCost=[0]", pInvestorPosition->OpenCost);
LDebug("ExchangeMargin=[0]", pInvestorPosition->ExchangeMargin);
LDebug("CloseProfitByDate=[0]", pInvestorPosition->CloseProfitByDate);
LDebug("CloseProfitByTrade=[0]", pInvestorPosition->CloseProfitByTrade);
LDebug("TodayPosition=[0]", pInvestorPosition->TodayPosition);
LDebug("MarginRateByMoney=[0]", pInvestorPosition->MarginRateByMoney);
LDebug("MarginRateByVolume=[0]", pInvestorPosition->MarginRateByVolume);
LDebug("StrikeFrozenAmount=[0]", pInvestorPosition->StrikeFrozenAmount);
LDebug("AbandonFrozen=[0]", pInvestorPosition->AbandonFrozen);
LDebug("YdStrikeFrozen=[0]", pInvestorPosition->YdStrikeFrozen);
LDebug("InvestUnitID=[0]", pInvestorPosition->InvestUnitID);
PositionT PositionData = ConvertPosition(pInvestorPosition);
TdResponse<PositionT> TdResponseData;
TdResponseData.RspResult = PositionData;
TdResponseData.iErrCode = 0;
TdResponseData.szMsg = "";
TdResponseData.bIsLast = bIsLast;
TdResponseData.iRequestId = nRequestID;
ExecuteEngine::GetInstance()->HandleQueryPositionRsp(TdResponseData);
else
LError("ctp OnRspQryInvestorPosition Error,error_code=[0],error_msg=[1]", pRspInfo->ErrorID, pRspInfo->ErrorMsg);
3.3.9 查询合约请求
int TdAdapterCtp::ReqQryInstrument()
LInfo("ctp ReqQryInstrument");
CThostFtdcQryInstrumentField Req;
memset(&Req, 0, sizeof(Req));
int iRequestId = GetRequestId();
int iRet = m_pTraderApi->ReqQryInstrument(&Req, iRequestId);
if (iRet != 0)
LError("send ctp ReqQryTrade Error,iRet=[0]", iRet);
return RET_SEND_JYS_FAIL;
return iRequestId;
3.3.10 查询合约响应
void TdAdapterCtp::OnRspQryInstrument(CThostFtdcInstrumentField *pInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)
if (!pRspInfo || 0 == pRspInfo->ErrorID)
LInfo("---- ctp OnRspQryInstrument success ----");
if (NULL == pInstrument)
LDebug("没有数据");
return;
/*
LDebug("InstrumentID=[0]", pInstrument->InstrumentID);
LDebug("ExchangeID=[0]", pInstrument->ExchangeID);
LDebug("InstrumentName=[0]", pInstrument->InstrumentName);
LDebug("ExchangeInstID=[0]", pInstrument->ExchangeInstID);
LDebug("ProductID=[0]", pInstrument->ProductID);
LDebug("ProductClass=[0]", pInstrument->ProductClass);
LDebug("DeliveryYear=[0]", pInstrument->DeliveryYear);
LDebug("DeliveryMonth=[0]", pInstrument->DeliveryMonth);
LDebug("IsTrading=[0]", pInstrument->IsTrading);
LDebug("PriceTick=[0]", pInstrument->PriceTick);
LDebug("StrikePrice=[0]", pInstrument->StrikePrice);
*/
InstrumentT InstrumentData;
InstrumentData.szExchangeId = pInstrument->ExchangeID;
InstrumentData.szInstrumentId = pInstrument->InstrumentID;
InstrumentData.szInstrumentName = pInstrument->InstrumentName;
InstrumentData.szProductId = pInstrument->ProductID;
InstrumentData.szProductClass = pInstrument->ProductClass;
InstrumentData.iDeliveryYear = pInstrument->DeliveryYear;
InstrumentData.iDeliveryMonth = pInstrument->DeliveryMonth;
InstrumentData.iMaxMarketOrderVolume = pInstrument->MaxMarketOrderVolume;
InstrumentData.iMinMarketOrderVolume = pInstrument->MinMarketOrderVolume;
InstrumentData.iMaxLimitOrderVolume = pInst以上是关于量化交易期货ctp使用说明（企业版，穿透式监管）（值得收藏）的主要内容，如果未能解决你的问题，请参考以下文章