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Hello CTP (IV) - CTP transaction API

2022-06-25 04:03:00 【Tianshan old demon】

One 、CTP transaction API brief introduction

1、CTP transaction API brief introduction

CThostFtdcTraderApi transaction API The interface contains CThostFtdcTraderApi and CThostFtdcTraderSpi, adopt CThostFtdcTraderApi towards CTP Send operation request , adopt CThostFtdcTraderSpi receive CTP Operation response .

2、CTP API Transaction process

（1） establish CTP API example

CThostFtdcTraderApi *pTradeApi = CThostFtdcTraderApi::CreateFtdcTraderApi(dirName);

API Instances are used to initiate various requests , Such as connecting to the server 、 The user login 、 declaration form 、 cancel the order 、 Query position 、 Query funds, etc .

（2） establish CTP API Callback instance

CFtdcTradeSpi *pTradeSpi = new CFtdcTradeSpi(pTradeApi, this);

Developers need to implement the last issue CThostFtdcTraderSpi class , Override class methods , Handle CTP All kinds of data returned by the server .

（3） Register callback instance

pTradeApi->RegisterSpi(pTradeSpi);

（4） Connect to the front-end server

pTradeApi_->RegisterFront((char *)serverAddr_.c_str());

pTradeApi_->Init();

After the connection request is sent ,OnFrontConnected() Will respond to the request .

（5） Identity Authentication

Before the user logs in ,CTP The server needs to authenticate the client , The client can only request login after passing the authentication .

Whether the identity authentication function is enabled can be configured on the settlement platform used by the business personnel of the futures company . Futures companies can choose to turn off the identity authentication function , Then the client does not have to authenticate . Otherwise, the futures company needs to maintain the authentication code of the client program on the settlement platform (AuthCode).

The function interface used to request identity authentication is ReqAuthenticate( Request authentication ) and OnRspAuthenticate( The authentication response returned by the server ).

（6） The user login

OnRspAuthenticate() The login function can be called inside the function pTradeApi->ReqUserLogin() Complete the user login operation .

After successful login ,OnRspUserLogin In the parameter pRspUserLogin Contains a leading number (FrontID)、 Session number (SessionID)、 Maximum entry number (MaxOrderRef).

Prefix number ： The number of the front-end machine to which the client is connected .

Session number ： The connection session number of the client connected to the front-end processor .

Maximum entry number ： Each entry has a unique and non repetitive number (OrderRef). If the client does not assign a value , Server automatic assignment ; If the client assigns a value , Can be obtained from MaxOrderRef Step up one by one , Prevent duplication with other entries , You can also specify a unique non duplicate number according to the time stamp .

adopt ReqUserLogout Log out of the system , Will break the existing link first , Re create a new link , After logging in again SessionID Reset , therefore MaxOrderRef Will come back from 0 Count .

（7）Topic subscribe

OnRspUserLogin() In function subscription Topic After completion , You can place orders normally .

pTradeApi_->SubscribePublicTopic(THOST_TERT_QUICK);

pTradeApi_->SubscribePrivateTopic(THOST_TERT_QUICK);

CTP Public flow and private flow provide three subscription methods ,

TERT_RESTART： Retransmission from this trading day .
TERT_RESUME： The sequel received since last time .

TERT_QUICK： Send only the logged in content .

As domestic futures need to confirm the settlement results of investors when they log in for the first time within the trading day , Therefore, it is necessary to request the investor to confirm the settlement result when the login is successful .

int ReqSettlementInfoConfirm(CThostFtdcSettlementInfoConfirmField *pSettlementInfoConfirm, int nRequestID);

（8） Declaration operation

virtual int ReqOrderInsert(CThostFtdcInputOrderField *pInputOrder, int nRequestID) = 0;

The declaration operation is as follows ：

CThostFtdcInputOrderField reqField;

memset(&reqField, 0, sizeof(CThostFtdcInputOrderField));

// Entry conditions

pTradeApi_->ReqOrderInsert(&reqField, orderInsertReqId_);

You need to fill in the trading direction correctly 、 Open up 、 close a position 、 market price 、 Fixed price 、 Number of consignments 、 Entrusted price, etc , call ReqOrderInsert() declaration form .

Call function ReqOrderInsert After the declaration , If in CTP The end-to-end capital verification and warehouse inspection can not pass , The client will call back the function OnRspOrderInsert and OnErrRtnOrderInsert; If it passes, call back once first OnRtnOrder.

CTP Then report the report to the exchange , If the exchange fails to pass the capital verification, it will return an error to CTP, The client will call back OnRtnOrder; If the exchange checks correctly, it will call back again OnRtnOrder.

InvestorID： Investor code

InstrumentID： Contract code

Direction： Business direction

CombOffsetFlag： Kaiping logo

CombHedgeFlag： Speculative hedging identification

LimitPrice： Price

VolumeTotalOriginal： Number

TimeCondition： Validity type

OrderPriceType： Price terms of the entry

VolumeCondition： Volume type

MinVolume： Minimum volume

ContingentCondition： The trigger condition

StopPrice： Stop-loss price

IsSwapOrder： Interchange single mark

ExchangeID： Exchange code

（9） Entry response

void CFtdcTradeSpi::OnRspOrderInsert(CThostFtdcInputOrderField *pInputOrder, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

CTP To simplify logic , In fact, it will not be recalled after the declaration , Will be in CTP Callback when the check fails .

（10） Order status return

void CFtdcTradeSpi::OnRtnOrder(CThostFtdcOrderField *pOrder);

When the delegate status changes , Will be recalled . Common delegation statuses include ： Unknown 、 No deal is still in the queue 、 Some deals are still in the queue 、 Complete deal, etc . One entry , If the quantity is large , Generally, not all transactions are completed at one time , It will be sold in multiple batches , So it will be called back again and again . With constant callback , The number of delegates returned each time 、 volume 、 Data such as remaining quantity will change constantly .

（11） Transaction return

void CFtdcTradeSpi::OnRtnTrade(CThostFtdcTradeField *pTrade);

Each piece of information returned is transaction information , Including trading volume 、 The closing price 、 Transaction costs, etc .

CTP Declaration instruction

1、OrderPriceType Order price type

Fixed price （LimitPrice）： The execution price must be equal to or better than the limit price specified in the entrustment , That is, only match with the counterparty whose price in the matching queue is equal to or better than the pricing ,CTP identification THOST_FTDC_OPT_LimitPrice.

market price （AnyPrice）： Entrustment can be executed at any price available in the market , That is, it can be matched with any counterparty entry in the matching queue ,CTP identification THOST_FTDC_OPT_AnyPrice.

Best price （BestPrice）： Only with the top in the matchmaking queue 1 Match up with the counterparty's quotation at a price ,CTP identification THOST_FTDC_OPT_BestPrice.

Five market prices （FiveLevelPrice）： There is a certain price protection belt , Only with the top of the matchmaking queue 5 Match up with the counterparty's quotation at a price ,CTP identification THOST_FTDC_OPT_FiveLevelPrice.

2、TimeCondition Time condition

THOST_FTDC_TC_IOC： Do it now , Otherwise, cancel

THOST_FTDC_TC_GFS： This section is valid

THOST_FTDC_TC_GFD： Effective on that day

THOST_FTDC_TC_GTC： Valid until revoked

THOST_FTDC_TC_GFA： Call auction is valid

3、VolumeCondition Volume conditions

Any number （AV）： Execute... In the maximum number possible ,CTP identification THOST_FTDC_VC_AV.

Minimum quantity （MV）： Delegates contain a minimum number that must be executed , If the execution is unsuccessful, the delegation is completely cancelled ,CTP identification THOST_FTDC_VC_MV.

All the quantity （CV）： The entrustment must be executed in full according to the specified quantity , If the execution is unsuccessful, the delegation is completely cancelled ,CTP identification THOST_FTDC_VC_CV.

ContingentCondition The trigger condition

THOST_FTDC_CC_Immediately： The declaration is valid immediately .

THOST_FTDC_CC_Touch： Stop loss orders .

THOST_FTDC_CC_TouchProfit： Profit stop sheet .

THOST_FTDC_CC_ParkedOrder： Pre paid Bill . Embedded bill refers to embedded in CTP Server side , It requires non trading time to report , Automatically report to the exchange after the opening of the market .

5、 Price limit list

LIMIT Ordinary limit order ： After placing the order , Within a specified time frame ( This section is valid 、 Valid on the same day, etc ), Waiting for the number of orders to be completed .

FAK(Fill And kill)： After the declaration is received by the exchange , The exchange will scan the market , How many hands can be traded immediately under the current market, that is, how many hands can participate in the matching transaction , The remaining quantity shall be withdrawn immediately .

FOK(Fill Or Kill)： After the declaration is received by the exchange , The exchange will scan the market , If under the current market conditions, all orders can be traded immediately , Then the entry will participate in the matching transaction , Otherwise, it shall be revoked immediately .

3、 ... and 、 declaration form

1、 declaration form

The declaration refers to the passing of the order to buy and sell futures contracts API Function to CTP Counter ,CTP After receiving the order, the counter will conduct a series of checks , After passing the inspection, it will be sent to the exchange .

CTP There is no need to write declaration flow control logic in the whole declaration process , because CTP There is no limit on the frequency of entry , But there are query frequency restrictions ; Eason trading API There is no frequency limit , The declaration has a frequency limit .

Call function ReqOrderInsert After the declaration , If in CTP End verification failed , The client will call back the function OnRspOrderInsert and OnErrRtnOrderInsert; If CTP If the client verification passes, it will call back once first OnRtnOrder,CTP Then report the report to the exchange ; If the exchange fails the verification , Return an error to CTP, The client will call back OnRtnOrder; If the exchange passes the verification , Will call back again OnRtnOrder.

virtual int ReqOrderInsert(CThostFtdcInputOrderField *pInputOrder, int nRequestID) = 0;

CThostFtdcInputOrderField Used to fill in the entry parameters ,nRequestID Number used to fill in the order request .

BrokerID： Brokerage code

InvestorID： Investor code

ExchangeID： Exchange code ,CFFEX、CZCE、DCE、INE、SHFE

InstrumentID： Contract code

OrderPriceType： Entry price type

Direction： Business direction

LimitPrice： Price

VolumeTotalOriginal： Number

CombOffsetFlag： Combined leveling sign ,THOST_FTDC_OF_Open It's opening ,THOST_FTDC_OF_Close It's closing / Yesterday ,THOST_FTDC_OF_CloseToday It's Pingjin .

CombHedgeFlag： Portfolio speculative hedging flag

ContingentCondition： The trigger condition , Usually it is THOST_FTDC_CC_Immediately, That is, the declaration is valid immediately .THOST_FTDC_CC_Touch and THOST_FTDC_CC_TouchProfit It's a stop loss and profit order , You need the support of the exchange to fill in .THOST_FTDC_CC_ParkedOrder It's an embedded Bill .

TimeCondition： Validity type ,THOST_FTDC_TC_GFD Means effective on that day , The order will be hung on the exchange until the transaction or closing is automatically cancelled .THOST_FTDC_TC_IOCIOC Yes, complete immediately, or cancel

VolumeCondition： Volume type

MinVolume： Minimum volume .

ForceCloseReason： Qiang Ping's reason

Fixed price GFD single ：

CThostFtdcInputOrderField orderfield = { 0};

strcpy(orderfield.BrokerID, "9999");

strcpy(orderfield.InvestorID, "000001");

strcpy(orderfield.ExchangeID, “SHFE”);

strcpy(orderfield.InstrumentID, "au1912");

orderfield.OrderPriceType = THOST_FTDC_OPT_LimitPrice;

orderfield.Direction = THOST_FTDC_D_Sell;

orderfield.LimitPrice = 400.0;

orderfield.VolumeTotalOriginal = 10;

orderfield.ContingentCondition = THOST_FTDC_CC_Immediately;

orderfield.CombOffsetFlag[0] = THOST_FTDC_OF_Open;

orderfield.CombHedgeFlag[0] = THOST_FTDC_HF_Speculation;

orderfield.TimeCondition = THOST_FTDC_TC_GFD ;

orderfield.VolumeCondition = THOST_FTDC_VC_AV;

orderfield.ForceCloseReason = THOST_FTDC_FCC_NotForceClose;

int ret = g_pTradeapi->ReqOrderInsert(&orderfield, 0);

Fixed price FOK single ：

CThostFtdcInputOrderField orderfield ={ 0};

strcpy(orderfield.BrokerID, "9999");

strcpy(orderfield.InvestorID, "000001");

strcpy(orderfield.ExchangeID, “SHFE”);

strcpy(orderfield.InstrumentID, "au1912");

orderfield.OrderPriceType = THOST_FTDC_OPT_LimitPrice;

orderfield.Direction = THOST_FTDC_D_Sell;

orderfield.LimitPrice = 400.0;

orderfield.VolumeTotalOriginal = 10;

orderfield.ContingentCondition = THOST_FTDC_CC_Immediately;

orderfield.CombOffsetFlag[0] = THOST_FTDC_OF_Open;

orderfield.CombHedgeFlag[0] = THOST_FTDC_HF_Speculation;

orderfield.TimeCondition = THOST_FTDC_TC_IOC;

orderfield.VolumeCondition = THOST_FTDC_VC_CV;

orderfield.ForceCloseReason = THOST_FTDC_FCC_NotForceClose;

int ret = g_pTradeapi->ReqOrderInsert(&orderfield, 0);

2、 Orders index

Entry request and entry return usually use the following fields to determine an order .

FrontID： Prefix number

SessionID： Session number

OrderRef： Entry reference

ExchangeID： Exchange code

TraderID： Exchange trader code

OrderLocalID：CTP Local entry number

OrderSysID： Exchange Order No

（1）FrontID + SessionID + OrderRef

FrontID yes CTP Background prefix , SessionID Is the number of the session link , The login success report will return FrontID and SessionID, This session does not change in the connection .

OrderRef Return the corresponding field filled in when the customer's declaration request , If not ,CTP The field is automatically incrementally assigned . therefore , You can use... Every time you report FrontID + SessionID + OrderRef Form a key Deposit a unique entry in the local id , When a return is returned , The original request entry can be found according to the three fields in the return , Update the current status of the original request entry with the status in the return . During cancellation, three fields can be filled into the fields corresponding to the request for cancellation .

When the customer's order is closed ,CTP Will push OnRtnTrade Transaction return , There is no... In the transaction return FrontID and SessionID Field , Only OrderRef Field .

（2）ExchangeID + TraderID + OrderLocalID

OrderLocalID yes CTP Order number , The customer cannot change .OrderLocalID stay ExchangeID、TraderID Monotonically increasing when two fields are fixed , Each return is returned to the customer .

3）ExchangeID + OrderSysID

OrderSysID It is the unique number assigned by the exchange to the order when the entry is reported to the exchange . The first arrival of the entry request CTP, After passing the risk control, return to the... Page 1 individual OnRtnOrder Return , It has not been reported to the exchange at this time , So in return OrderSysID It's empty . When canceling, you can use OrderSysID Specify order .

There are two schemes for order index maintenance in development ：

（1） Use... When reporting FrontID + SessionID + OrderRef Maintain the entry , When the first 2 individual OnRtnOder After you come back , Find the original entry , take OrderSysID Fill in the local entry , Use later ExchangeID + OrderSysID Maintenance order .

（2） Local maintenance OrderRef Field , In the current trading day, no matter how many links have been monotonously increasing , Per basis OrderRef You can determine the only entry . But Multi Strategy and multi link transactions may have problems , It's going to involve multiple API Between links OrderRef Fields are synchronized with each other .

3、 Correct return

After the declaration request , If CTP If the check is passed, the correct return will be returned , Only callback OnRtnOrder function （ If there is a transaction, it will be recalled separately OnRtnTrade function ）. The callback parameter type is CThostFtdcOrderField.

OrderStatus： Entry status

OrderSubmitStatus： Declaration submission status

StatusMsg： State information

VolumeTotalOriginal： The original quantity is the entry

VolumeTraded： Number of transactions today , Cumulative order volume

VolumeTotal： The remaining quantity , The remaining outstanding quantity of the order

OrderStatus The order status is as follows ：

THOST_FTDC_OST_AllTraded： All transactions

THOST_FTDC_OST_PartTradedQueueing： Some deals are still in the queue THOST_FTDC_OST_PartTradedNotQueueing： Some transactions are not in the queue

THOST_FTDC_OST_NoTradeQueueing： No deal is still in the queue

THOST_FTDC_OST_NoTradeNotQueueing： No deal is not in the queue

THOST_FTDC_OST_Canceled： cancel the order

THOST_FTDC_OST_Unknown： Unknown

THOST_FTDC_OST_NotTouched： Not yet triggered

THOST_FTDC_OST_Touched： Triggered

4、CTP Rejection

If the declaration is CTP Direct rejection , Callbacks OnRspOrderInsert and OnErrRtnOrderInsert function .

OnRspOrderInsert Is the callback received by the current reporter ,OnErrRtnOrderInsert It is the callback that all session links under the account will receive .

5、 The exchange refused to order

The Declaration passed CTP After the counter risk control inspection is reported to the exchange , Rejected by the exchange , Only callback functions OnRtnOrder, Orders will be cancelled passively .

Return OnRtnOrder Medium OrderStatus by THOST_FTDC_OST_Canceled cancel the order ,OrderSubmitStatus by THOST_FTDC_OSS_InsertRejected The declaration has been rejected , It means that the order is rejected by the exchange （ In the state of passive cancellation ）,StatusMsg There is a specific reason for rejection of the transaction in the field .

6、 Transaction return

Declaration return means that the status of each declaration is updated CTP Send back to API User messages , Transaction return refers to every transaction of an order CTP The transaction notification message sent back to the user . If there is a transaction, it must correspond to the change of entry status , Therefore, there will be an order return before the transaction return .

CThostFtdcTradeField The fields are as follows ：

ExchangeID： Exchange code

TradeID： Transaction No

Direction： Business direction

TradeID： The number of each transaction by the exchange , Because the two transaction numbers of each other's counterparties at the time of transaction are the same in exchanges other than Zheng Shangsuo , So we need to add Direction Field .

OrderRef： Entry reference

OrderSysID： Exchange entry No

TraderID： Exchange trader code

OrderLocalID：CTP Local entry number

InstrumentID： Contract code

Direction： Business direction

OffsetFlag： Kaiping sign

Price： Closing price

Volume： Number of deals

Four 、 cancel the order

1、 cancel the order

call ReqOrderAction after , If in CTP End verification passed , It will call back OnRtnOrder And submit the cancellation order to the exchange ; If in CTP End verification failed , It will call back OnRspOrderAction and OnErrRtnOrderAction. If the exchange passes the verification , Through OnRtnOrder Return the cancellation return ; If the exchange fails the verification , Through OnRtnOrder and OnErrRtnOrderAction Return to the exchange to cancel the order and refuse to return .

virtual int ReqOrderAction(CThostFtdcInputOrderActionField * pInputOrderAction, int nRequestID) = 0;

CTP The return of the declaration OrderSysID It's right aligned , Cancellation must be filled in with CTP The consistency of return .OrderSysID The significant bits are 12 Bytes , When canceling the order, fill in the right alignment .

If at the time of reporting OrderRef Assign values to customers themselves , The same value shall be assigned when canceling the order . If you fill in the blank when reporting , be CTP Will automatically assign ,OrderRef Also right aligned . When canceling the order, you should also fill in the right alignment as it is .

2、 Error returns

If the cancellation is CTP Or the exchange refuses to order , Callbacks OnRspOrderAction or OnErrRtnOrderAction function , Print the parameters in the callback function pRspInfo You can know the reason for rejection .

3、 Correct return

If the cancellation request passes CTP Check , Back to the first 1 individual OnRtnOrder For the declaration at CTP The present state of , And the last time I received OnRtnOrder Agreement . Back to the first 2 individual OnRtnOrder Indicates that the entry has been successfully cancelled , In the cancellation return OrderSubmitStatus by THOST_FTDC_OSS_Accepted,OrderStatus by THOST_FTDC_OST_Canceled.

5、 ... and 、CTP Inquire about

1、 Fund inquiry

virtual int ReqQryTradingAccount(CThostFtdcQryTradingAccountField *pQryTradingAccount, int nRequestID) = 0;

virtual void OnRspQryTradingAccount(CThostFtdcTradingAccountField *pTradingAccount, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast);

2、 Position inquiry

virtual int ReqQryInvestorPosition(CThostFtdcQryInvestorPositionField *pQryInvestorPosition, int nRequestID) = 0;

CThostFtdcQryInvestorPositionField No required fields , Fill in the fields InstrumentID, If you just want to check the position of a contract , You can just fill in nstrumentID Field ; If you don't fill in any fields , Query all position records of the current account .

CThostFtdcQryInvestorPositionField qrypositionfield = {0};

pTradeApi->ReqQryInvestorPosition(&qrypositionfield, 0);

Position query response function ：

void CFtdcTradeSpi::OnRspQryInvestorPosition(CThostFtdcInvestorPositionField *pInvestorPosition, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast)

The position data under the account will not be returned all at once , But return in batches , Developers need to make summary calculations according to the multi space direction .

The returned result is in the first parameter pInvestorPosition in , Parameter type is CThostFtdcInvestorPositionField, Yes 6 One field can distinguish the only position record , As the key value of position record （Key）.

InstrumentID： Contract code

BrokerID： Brokerage code

InvestorID： Investor code

PosiDirection： Long and short positions ,PosiDirection Is enumerated values ,'2' Indicates a long position ;'3' Indicates a short position , Positions in different directions of the same contract are CTP Is returned through different records .

HedgeFlag： Speculative hedging flag

PositionDate： Position date ,‘1’ Indicates the position on the current trading day ;‘2’ It means history warehouse （ Yesterday warehouse ）.

Last issue 、 The energy center divides today's warehouse and yesterday's warehouse into two records , according to PositionDate You can distinguish between today's warehouse and yesterday's warehouse , according to PosiDirection Distinguish between short and long positions .

Today's and yesterday's positions on other futures exchanges are on a record , according to PosiDirection Distinguish between short and long positions .

Position： Total position under current key value , Changes as customers open and close their positions

TodayPosition： The number of new positions today under the current key value , With the change of customers' opening positions today

YdPosition： Yesterday position under current key value , Is a static value , Is the historical position of the contract at the beginning of the current trading day , It will not decrease as the customer closes yesterday's position ; The current actual yesterday's position is Position-TodayPosition.

LongFrozen： Long freeze

ShortFrozen： Short freeze

Freezing refers to the quantity of orders that have been submitted but not traded , For long positions , Long freeze refers to the number of newly opened long positions that are not traded , Short position freeze refers to the number of open long position orders ; Short positions are the opposite .