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ApiStruct.h
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604 lines (525 loc) · 10.5 KB
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#ifndef _API_STRUCT_H_
#define _API_STRUCT_H_
#include "ApiDataType.h"
#include "ApiEnum.h"
struct PositionField
{
///唯一符号
SymbolType Symbol;
///合约代码
InstrumentIDType InstrumentID;
///交易所代码
ExchangeIDType ExchangeID;
PositionSide Side;
/// 总持仓
QtyType Position;
/// 今日持仓
QtyType TdPosition;
/// 昨日持仓
QtyType YdPosition;
/// 可用持仓
QtyType AvbPosition;
/// 可用昨日持仓
QtyType AvbYdPosition;
/// 可用申赎数
QtyType AvbETFPosition;
InstrumentIDType InstrumentName;
//QtyType
/// 成本价
PriceType HoldPrice;
/// 市值
PriceType MktValue;
HedgeFlagType HedgeFlag;
int StockAskFrn; //卖出冻结
int StockBidFrn; //买入冻结
//TThostFtdcPositionDateType 还没处理
};
struct QuoteField
{
InstrumentIDType InstrumentID;
ExchangeIDType ExchangeID;
QtyType AskQty;
PriceType AskPrice;
OpenCloseType AskOpenClose;
HedgeFlagType AskHedgeFlag;
QtyType BidQty;
PriceType BidPrice;
OpenCloseType BidOpenClose;
HedgeFlagType BidHedgeFlag;
///询价编号
OrderIDType QuoteReqID;
OrderIDType ID;
OrderIDType AskID;
OrderIDType BidID;
OrderIDType AskOrderID;
OrderIDType BidOrderID;
OrderStatus Status;
ExecType ExecType;
ErrorIDType ErrorID;
ErrorMsgType Text;
/*
QtyType LeavesQty;
QtyType CumQty;
PriceType AvgPx;
long DateTime;*/
};
struct EtfSubscribeField
{
///用户代码
UserIDType UserID;
//用户资金账号
UserAccountNoType UserAccountNo;
InstrumentIDType InstrumentID;
QtyType Qty;
OrderSide Side;
OrderIDType OrderID;
};
struct OrderField
{
InstrumentNameType InstrumentName;
InstrumentIDType InstrumentID;
ExchangeIDType ExchangeID;
OrderType Type;
OrderSide Side;
QtyType Qty;
PriceType Price;
OpenCloseType OpenClose;
HedgeFlagType HedgeFlag;
PriceType StopPx;
TimeInForce TimeInForce;
OrderStatus Status;
ExecType ExecType;
QtyType LeavesQty;
QtyType CumQty;
PriceType AvgPx;
ErrorIDType ErrorID;
ErrorMsgType Text;
OrderIDType ID;
OrderIDType OrderID;
int DateTime;
TimeType Time;
long OrderRef;
ShareholderIDType ShareHolderID;
};
struct OrderCancelField
{
///用户代码
UserIDType UserID;
//用户资金账号
UserAccountNoType UserAccountNo;
//撤销合同号
OrderIDType OrderID;
};
struct TradeField
{
InstrumentIDType InstrumentID;
ExchangeIDType ExchangeID;
OrderSide Side;
QtyType Qty;
PriceType Price;
OpenCloseType OpenClose;
HedgeFlagType HedgeFlag;
MoneyType Commission;
int MatchedDate; //成交或撤单日期
TimeType Time;
OrderIDType ID;
TradeIDType TradeID;
InstrumentNameType InstrumentName;
ShareholderIDType ShareHolderID;
OrderStatus Status;
QtyType LeavesQty;
OrderStatus OdStatus;
OrderIDType RefID;
};
struct ServerInfoField
{
bool IsUsingUdp;
bool IsMulticast;
int TopicId;
int Port;
ResumeType MarketDataTopicResumeType;
ResumeType PrivateTopicResumeType;
ResumeType PublicTopicResumeType;
ResumeType UserTopicResumeType;
BrokerIDType BrokerID;
ProductInfoType UserProductInfo;
AuthCodeType AuthCode;
AddressType Address;
ExtendInformationType ExtendInformation;
};
struct ConfigInfoField
{
};
// 用户信息
struct UserInfoField
{
///用户代码
UserIDType UserID;
//用户资金账号
UserAccountNoType UserAccountNo;
///密码
PasswordType Password;
};
// 错误信息
struct ErrorField
{
// 错误代码
ErrorIDType ErrorID;
// 错误信息
ErrorMsgType ErrorMsg;
};
// 登录回报
struct RspUserLoginField
{
///交易日
DateType TradingDay;
// 时间
TimeType LoginTime;
// 会话ID
SessionIDType SessionID;
// 错误代码
ErrorIDType ErrorID;
// 错误信息
ErrorMsgType ErrorMsg;
// 交易所编号
ExchangeIDType ExchangeID;
// 股东编号
UserIDType SecurityID;
// 请求索引
ReferIDType ReferID;
};
///深度行情
struct DepthMarketDataField
{
///交易所时间
DateIntType TradingDay; // 交易日，用于给数据接收器划分到同一文件使用，基本没啥别的用处
DateIntType ActionDay;
TimeIntType UpdateTime;
TimeIntType UpdateMillisec;
///唯一符号
SymbolType Symbol;
///合约代码
InstrumentIDType InstrumentID;
///交易所代码
ExchangeIDType ExchangeID;
///最新价
PriceType LastPrice;
///数量
LargeVolumeType Volume;
///成交金额
MoneyType Turnover;
///持仓量
LargeVolumeType OpenInterest;
///当日均价
PriceType AveragePrice;
///今开盘
PriceType OpenPrice;
///最高价
PriceType HighestPrice;
///最低价
PriceType LowestPrice;
///今收盘
PriceType ClosePrice;
///本次结算价
PriceType SettlementPrice;
///涨停板价
PriceType UpperLimitPrice;
///跌停板价
PriceType LowerLimitPrice;
///昨收盘
PriceType PreClosePrice;
///上次结算价
PriceType PreSettlementPrice;
///昨持仓量
LargeVolumeType PreOpenInterest;
///申买价一
PriceType BidPrice1;
///申买量一
VolumeType BidVolume1;
///申卖价一
PriceType AskPrice1;
///申卖量一
VolumeType AskVolume1;
///申买价二
PriceType BidPrice2;
///申买量二
VolumeType BidVolume2;
///申卖价二
PriceType AskPrice2;
///申卖量二
VolumeType AskVolume2;
///申买价三
PriceType BidPrice3;
///申买量三
VolumeType BidVolume3;
///申卖价三
PriceType AskPrice3;
///申卖量三
VolumeType AskVolume3;
///申买价四
PriceType BidPrice4;
///申买量四
VolumeType BidVolume4;
///申卖价四
PriceType AskPrice4;
///申卖量四
VolumeType AskVolume4;
///申买价五
PriceType BidPrice5;
///申买量五
VolumeType BidVolume5;
///申卖价五
PriceType AskPrice5;
///申卖量五
VolumeType AskVolume5;
};
///Tick行情
struct TickField
{
///交易所时间
DateIntType Date;
TimeIntType Time;
TimeIntType Millisecond;
PriceType LastPrice;
///数量
LargeVolumeType Volume;
///持仓量
LargeVolumeType OpenInterest;
PriceType BidPrice1;
PriceType AskPrice1;
VolumeType BidSize1;
VolumeType AskSize1;
};
///Bar行情
struct BarField
{
///交易所时间
DateIntType Date;
TimeIntType Time;
///开
PriceType Open;
///高
PriceType High;
///低
PriceType Low;
///收
PriceType Close;
///数量
LargeVolumeType Volume;
///持仓量
LargeVolumeType OpenInterest;
///成交金额
MoneyType Turnover;
};
///发给做市商的询价请求
struct QuoteRequestField
{
///唯一符号
SymbolType Symbol;
///合约代码
InstrumentIDType InstrumentID;
///交易所代码
ExchangeIDType ExchangeID;
///交易日
DateType TradingDay;
///询价编号
OrderIDType QuoteID;
///询价时间
TimeType QuoteTime;
};
///合约
struct InstrumentField
{
///唯一符号
SymbolType Symbol;
///合约代码
InstrumentIDType InstrumentID;
///交易所代码
ExchangeIDType ExchangeID;
///合约名称
InstrumentNameType InstrumentName;
///合约类型
InstrumentType Type;
///合约数量乘数
VolumeMultipleType VolumeMultiple;
///最小变动价位
PriceType PriceTick;
///到期日
DateType ExpireDate;
///基础商品代码
InstrumentIDType UnderlyingInstrID;
///执行价
PriceType StrikePrice;
///期权类型
PutCall OptionsType;
};
///账号
struct AccountField
{
///上次结算准备金
MoneyType PreBalance;
///当前保证金总额
MoneyType CurrMargin;
///平仓盈亏
MoneyType CloseProfit;
///持仓盈亏
MoneyType PositionProfit;
///期货结算准备金
MoneyType Balance;
///可用资金
MoneyType Available;
///入金金额
MoneyType Deposit;
///出金金额
MoneyType Withdraw;
///冻结的过户费
MoneyType FrozenTransferFee;
///冻结的印花税
MoneyType FrozenStampTax;
///冻结的手续费
MoneyType FrozenCommission;
///冻结的资金
MoneyType FrozenCash;
///过户费
MoneyType TransferFee;
///印花税
MoneyType StampTax;
///手续费
MoneyType Commission;
///资金差额
MoneyType CashIn;
};
///账号
struct SettlementInfoField
{
///交易日
DateType TradingDay;
///消息正文
ContentType Content;
};
struct HistoricalDataRequestField
{
///唯一符号
SymbolType Symbol;
///合约代码
InstrumentIDType InstrumentID;
///交易所代码
ExchangeIDType ExchangeID;
int Date1;
int Date2;
int Time1;
int Time2;
DataObjetType DataType;
BarType BarType;
long BarSize;
int RequestId;
int CurrentDate;
int lRequest;
};
//ETF清单请求响应
struct ETFListField
{
//ETF代码
InstrumentIDType ETFInstrumentID;
//ETF名称
InstrumentNameType ETFInstrumentName;
///交易所代码
ExchangeIDType ExchangeID; //一级交易板块
double dMaxCashRatio; //现金替代比例上限
int nCreationRedemption; //基金当天申购赎回状态(1,0)
int nCreationRedemptionUnit; //最小申购赎回单位
PriceType dEstimateCashComponent; //T日预估现金余额
int nTradingDay; //T日日期
InstrumentIDType InstrumentID;
PriceType dCashComponent; //T-1日现金差额(单位：元)
double dNAVperCU; //T-1日最小申购、赎回单位资产净值(单位：元)
int nItemDataSize; //成份股数量
int size;
};
struct ETFListDataField
{
InstrumentIDType InstrumentID; //股票代码
InstrumentNameType InstrumentName;//股票名称
ExchangeIDType ExchangeID; //交易所代码
int nNum; //股票数量
int nFlag; //现金替代标志
double dRatio; //溢价比例
double dReplaceAmount; //替代金额
};
//ETF申赎请求
struct ETFSubscribeInfo
{
int eSubscribeFlag; //申赎标志
InstrumentIDType InstrumentID; //ETF代码
int nSubscribeQty; //申赎份额
OrderIDType OrderID; //合同序号
};
//分级基金
struct RspStruFundInfoQry
{
InstrumentIDType FundInstrumentID;
InstrumentNameType FundInstrumentName;
InstrumentIDType FundAInstrumentID;
InstrumentNameType FundAInstrumentName;
InstrumentIDType FundBInstrumentID;
InstrumentNameType FundBInstrumentName;
int nFundAShare; //分级A比例(0,100), 默认:50
int nFundBShare; //分级B比例(0,100), 默认:50
};
///深度行情N档
struct DepthMarketDataNField
{
///占用总字节大小
SizeType Size;
///交易所时间
DateIntType TradingDay; // 交易日，用于给数据接收器划分到同一文件使用，基本没啥别的用处
DateIntType ActionDay;
TimeIntType UpdateTime;
TimeIntType UpdateMillisec;
///交易所代码
ExchangeType Exchange;
///唯一符号
SymbolType Symbol;
///合约代码
InstrumentIDType InstrumentID;
///最新价
PriceType LastPrice;
///数量
LargeVolumeType Volume;
///成交金额
MoneyType Turnover;
///持仓量
LargeVolumeType OpenInterest;
///当日均价
PriceType AveragePrice;
///今开盘
PriceType OpenPrice;
///最高价
PriceType HighestPrice;
///最低价
PriceType LowestPrice;
///今收盘
PriceType ClosePrice;
///本次结算价
PriceType SettlementPrice;
///涨停板价
PriceType UpperLimitPrice;
///跌停板价
PriceType LowerLimitPrice;
///昨收盘
PriceType PreClosePrice;
///上次结算价
PriceType PreSettlementPrice;
///昨持仓量
LargeVolumeType PreOpenInterest;
///买档个数
SizeType BidCount;
char status;
};
struct DepthField
{
PriceType Price;
VolumeType Size;
VolumeType Count;
};
#endif