开发l2行情接口怎么设计行情秒数据处理程序？

一般情况下币安行情数据，开发l2行情接口怎么设计行情秒数据处理程序可以精确到分或秒的，小编简单的示例一组程序：

#define MAX_ACCEPTABLE_PRICE (1.0E+15)

#define DEAL_TOO_MAX( x ) if( ((x)>MAX_ACCEPTABLE_PRICE) || ((x)<(0-MAX_ACCEPTABLE_PRICE)) ) x = 0

//HANDLE g_hEvent = CreateEvent(NULL, true, false, NULL);

namespace acsy

namespace monitor

//tools实现

namespace ff = boost::asio;

int tools::timer_loop(boost::asio::yield_context yield)

boost::asio::deadline_timer timer(svc);

try{

while (true)

timer.expires_from_now( boost::posix_time::seconds(600) );

timer.async_wait(yield);

if ( on_timer(yield) < 0 )

break;

catch (std::exception& e)

展开全文

ACSY_DEBUG_FUNC() << e.what();

catch (...)

ACSY_DEBUG_FUNC() << "error!";

return 0;

int tools::on_timer(boost::asio::yield_context yield)

static util::AcsyTimeSec ats_save_bg("15:30:00");

static util::AcsyTimeSec ats_save_ed("15:40:00");

util::AcsyTimeSec ats(util::AcsyDateTime::nowLocal());

obm.obtain();

return 0;

int tools::main()

/*obm.obtain();*/

boost::coroutines::attributes coattr;

coattr.size = 4* 1024 * 1024; //4M

boost::asio::spawn(svc, std::bind(&tools::timer_loop, this, std::placeholders::_1),coattr);

datasvrlog ds;

ref().logger().registerLogger(&ds);

// 产生一个CThostFtdcTraderApi实例

CThostFtdcTraderApi *pUserApi = CThostFtdcTraderApi::CreateFtdcTraderApi();

CThostFtdcMdApi *pUserApi1 = CThostFtdcMdApi::CreateFtdcMdApi();

// 产生一个事件处理的实例

CSimpleHandler sh(pUserApi, this);

CSimpleHandler1 sh1(pUserApi1, this);

// 注册 事件处理的实例

pUserApi->RegisterSpi(&sh);

pUserApi1->RegisterSpi(&sh1);

// 订阅私有流

// TERT_RESTART:从本交易日开始重传.

// TERT_RESUME:从上次收到的续传.

// TERT_QUICK:只传送登录后私有流的内容.

pUserApi->SubscribePrivateTopic(THOST_TERT_RESUME);

// 订阅公共流

// TERT_RESTART:从本交易日开始重传.

// TERT_RESUME:从上次收到的续传.

// TERT_QUICK:只传送登录后公共流的内容.

pUserApi->SubscribePublicTopic(THOST_TERT_RESUME);

// 设置交易托管系统服务的地址币安行情数据，可以注册多个地址备用.

pUserApi->RegisterFront("tcp://180.168.146.187:10000");

pUserApi1->RegisterFront("tcp://180.168.146.187:10010");

// 使客户端开始与后台服务建立连接.

pUserApi->Init();

pUserApi1->Init();

// 客户端等待报单操作完成

// WaitForSingleObject(g_hEvent, INFINITE);

svc.run();

std::string ss;

std::cin >> ss;

// 释放API实例

pUserApi->Release();

pUserApi1->Release();

system("pause");

return 0;

tools::tools():obm(this)

m_insok.value = false;

m_login.value = false;

strcpy(m_chBrokerID, "9999");

strcpy(m_chUserID, "020368");

strcpy(m_chUserPassword, "106317");

strcpy(m_instrumentID, "");

strcpy(m_exchangeID, "");

strcpy(m_productID, "");

//datasvrlog实现

int datasvrlog::log(const char *str)

std::string dir = tools::instance().conf().get("data.log", "");

std::string fname = "log.txt";

std::string filename = util::path_append(dir,fname);

std::ifstream ifs(filename);

if (ifs) //存在

std::ofstream fout(filename, std::ios::app);

fout << str;

fout.close();

else //不存在

std::ofstream fout(filename);

fout << str;

return 0;

//CSimpleHandler实现

CSimpleHandler::CSimpleHandler(CThostFtdcTraderApi *pUserApi,tools *tl)

this->tl = tl;

tl->m_pUserApi = pUserApi;

void CSimpleHandler::OnFrontConnected()

CThostFtdcReqUserLoginField reqUserLogin;

strcpy(reqUserLogin.BrokerID, tl->m_chBrokerID);

strcpy(reqUserLogin.UserID, tl->m_chUserID);

strcpy(reqUserLogin.Password, tl->m_chUserPassword);

tl->m_pUserApi->ReqUserLogin(&reqUserLogin, 0);

void CSimpleHandler::OnFrontDisconnected(int nReason)

// 当发生这个情况后币安行情数据，API会自动重新连接，客户端可不做处理

tools::instance().logger().log("OnFrontDisconnected.");

void CSimpleHandler::OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin,CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)

tools::instance().logger().log("OnRspUserLogin:");

tools::instance().logger().log("ErrorCode=[%d], ErrorMsg=[%s]", pRspInfo->ErrorID,

pRspInfo->ErrorMsg);

tools::instance().logger().log("RequestID= [%d], Chain=[%d]", nRequestID, bIsLast);

if (pRspInfo->ErrorID != 0) {

// 端登失败币安行情数据，客户端需进行错误处理

tools::instance().logger().log("Trader failed to login, errorcode=%d errormsg=%s requestid=%d chain = %d", pRspInfo->ErrorID, pRspInfo->ErrorMsg, nRequestID, bIsLast);

/*exit(-1);*/

util::sleep_msec(5000);

tl->cnt++;

CThostFtdcReqUserLoginField reqUserLogin;

strcpy(reqUserLogin.BrokerID, tl->m_chBrokerID);

strcpy(reqUserLogin.UserID, tl->m_chUserID);

strcpy(reqUserLogin.Password, tl->m_chUserPassword);

tl->m_pUserApi->ReqUserLogin(&reqUserLogin, 0);

tools::instance().logger().log("Trader登录失败后币安行情数据，第[%d]次登录!",tl->cnt);

//查询合约请求

else if (pRspInfo->ErrorID == 0)

CThostFtdcQryInstrumentField req;

strcpy(req.InstrumentID, tl->m_instrumentID);

strcpy(req.ExchangeInstID, tl->m_exchangeInstID);

strcpy(req.ExchangeID, tl->m_exchangeID);

strcpy(req.ProductID, tl->m_productID);

tl->m_pUserApi->ReqQryInstrument(&req, 0);

开发l2行情接口设计行情秒数据处理程序