xtp_api_java/cpp/src/XtpQuoteApi.cpp at master · ztsec/xtp_api_java

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#include "include/XtpQuoteApi.h"

#include "include/glog/logging.h"

#include <chrono>

#include <numeric>

#include <algorithm>

#include <math.h>

#include <exception>

#include <string.h>

using namespace std;

std::string get_now_date()

{

char tmp[20];

memset(tmp,0x00,20);

time_t nowtime;

struct tm* p;

time(&nowtime);

p = localtime(&nowtime);

sprintf(tmp, "%04d%02d%02d",p->tm_year+1900,p->tm_mon+1,p->tm_mday);

return std::string(tmp);

}

double get_mean(std::vector<int64_t>& vec)

{

double sum = std::accumulate(std::begin(vec), std::end(vec), 0.0);

double mean = sum / vec.size();

return mean;

}

double get_stdev(std::vector<int64_t>& vec)

{

double mean = get_mean(vec);

double accum = 0.0;

std::for_each (std::begin(vec), std::end(vec), [&](const double d) {

accum += (d-mean)*(d-mean);

});

double stdev = sqrt(accum/(vec.size()));

return stdev;

}

XtpQuote::XtpQuote(uint64_t thread_num, uint64_t ring_buffer_size, uint16_t full_market_data_available)

:live_(true),count_(0),marketdata_available_(false),quote_thread_available_(false),

thread_num_(thread_num), ring_buffer_size_(ring_buffer_size), full_market_data_available_(full_market_data_available)

{

server_ip_ = "";

server_port_ = 0;

username_ = "";

password_ = "";

socket_type_ = XTP_PROTOCOL_TYPE::XTP_PROTOCOL_TCP;

client_id_ = 13;

file_path_ = "./";

//initialize the jvm parameters

att_args_.version = JNI_VERSION_1_8;

att_args_.name = NULL;

att_args_.group = NULL;

std::string delay_file_name = std::string("delay_log_") + get_now_date() + ".log";

std::string delay_log_file = std::string("/usr/local/project/log/") + delay_file_name;

delay_log_file_.open(delay_log_file.c_str() , std::ios::app);

#ifdef COUNT_QUOTE

std::string count_file_name = std::string("queue_deep_log_") + get_now_date() + ".log";

std::string count_log_file = std::string("/usr/local/project/log/") + count_file_name;

queue_deep_file_.open(count_log_file.c_str() , std::ios::app);

#endif

if (thread_num_ < thread_num_min_) {

thread_num_ = thread_num_min_;

}

if (thread_num_ > thread_num_max_) {

thread_num_ = thread_num_max_;

}

if (ring_buffer_size_ < ring_buffer_size_min_) {

ring_buffer_size_ = ring_buffer_size_min_;

}

if (ring_buffer_size_ > ring_buffer_size_max_) {

ring_buffer_size_ = ring_buffer_size_max_;

}

queue_lock_ = new std::mutex[thread_num_];

queue_lock_order_book_ = new std::mutex[thread_num_];

if (full_market_data_available_ == 1) {

queue_full_ = new RingBuffer<XTPFMD>*[thread_num_];

for(int i=0; i<thread_num_; i++)

{

queue_full_[i] = new RingBuffer<XTPFMD>(ring_buffer_size_);

}

} else {

queue_ = new RingBuffer<XTPMD>*[thread_num_];

for(int i=0; i<thread_num_; i++)

{

queue_[i] = new RingBuffer<XTPMD>(ring_buffer_size_);

}

queue_order_book_ = new RingBuffer<XTPOB>*[thread_num_];

for (int i = 0; i < thread_num_; i++) {

queue_order_book_[i] = new RingBuffer<XTPOB>(ring_buffer_size_);

}

queue_ticker_ = new RingBuffer<XTPTBT>*[thread_num_];

for (int i = 0; i < thread_num_; i++) {

queue_ticker_[i] = new RingBuffer<XTPTBT>(ring_buffer_size_);

}

thread_ = new std::thread[thread_num_];

thread_order_book_ = new std::thread[thread_num_];

thread_ticker_ = new std::thread[thread_num_];

for(int i=0; i<thread_num_; i++)

{

thread_[i] = std::thread([=](){ DealDepthMarketData(i); });

thread_order_book_[i] = std::thread([=](){ DealOrderBook(i); });

thread_ticker_[i] = std::thread([=]() { DealTickByTick(i);});

}

#ifdef COUNT_QUOTE

count_quote_thread_ = std::thread([=](){ CountDepthMarketData(); });

#endif

}

XtpQuote:: ~XtpQuote(){

if (api_){

api_->Release();

}

live_ = false;

#ifdef COUNT_QUOTE

count_quote_thread_.join();

queue_deep_file_.close();

#endif

for(int i=0; i<thread_num_; i++) {

thread_[i].join();

thread_order_book_[i].join();

thread_ticker_[i].join();

}

for(int i=0; i<thread_num_; i++)

{

XTPMD xtpmd;

while (!queue_[i]->isEmpty())

queue_[i]->pop(xtpmd);

delete queue_[i];

}

delete [] queue_;

delete [] thread_;

delete [] queue_lock_;

delete [] queue_order_book_;

delete [] thread_order_book_;

delete [] queue_lock_order_book_;

delete [] queue_ticker_;

delete [] thread_ticker_;

delete [] queue_lock_ticker_;

delay_log_file_.close();

}

JNIEnv* XtpQuote::preInvoke() {

JNIEnv* env;

if (jvm_ == NULL){

return NULL;

}

// attach the current thread to the JVM

jint res = jvm_->AttachCurrentThread((void**) &env, NULL);//&att_args_

if (res !=0) {

return NULL;

}

return env;

}

JNIEnv* XtpQuote::preInvokeMarketDataF() {

if (jvm_ == NULL) {

LOG(ERROR) << "XtpQuoteApi jvm_ is null." ;

return NULL;

}

try {

int status = jvm_->GetEnv((void **)&envMarketData, JNI_VERSION_1_8);

if ( envMarketData == NULL || status != JNI_OK )

{

LOG(ERROR) << " preInvokeMarketDataF status is " << status;

jint resMarketData = jvm_->AttachCurrentThread((void**) &envMarketData, &att_args_);

if (resMarketData != 0) {

LOG(ERROR) << "XtpQuoteApi OnDepthMarketData AttachCurrentThread failed." ;

return NULL;

}

} catch (exception& e) {

LOG(ERROR) << "have exception " ;

}

return envMarketData;

}

void XtpQuote::OnDisconnected(int reason) {

//LOG(INFO) << __PRETTY_FUNCTION__ ;

JNIEnv* env;

// prepare the invocation

env = preInvoke();

jclass pluginClass = env->GetObjectClass(quote_plugin_obj_);

assert(pluginClass != NULL);

jmethodID jm_event = env->GetMethodID(pluginClass, "onDisconnected", "(I)V");

assert(jm_event != NULL);

env->CallVoidMethod(quote_plugin_obj_, jm_event, reason);

jvm_->DetachCurrentThread();

}

void XtpQuote::OnError(XTPRI *error_info) {

//LOG(INFO) << __PRETTY_FUNCTION__ ;

}

void XtpQuote::OnSubMarketData(XTPST *ticker, XTPRI *error_info, bool is_last) {

//LOG(INFO) << __PRETTY_FUNCTION__ ;

if (error_info != NULL) {

if(error_info->error_id!=0){

LOG(ERROR) << __PRETTY_FUNCTION__ << " error_info:" << error_info->error_msg;

}

JNIEnv* env;

// prepare the invocation

env = preInvoke();

jclass pluginClass = env->GetObjectClass(quote_plugin_obj_);

assert(pluginClass != NULL);

jmethodID jm_event = env->GetMethodID(pluginClass, "onSubMarketData",

"(Lcom/zts/xtp/quote/model/response/SpecificTickerResponse;Lcom/zts/xtp/common/model/ErrorMessage;)V");

//generate the error msg object

//fetch the errormsg default construct

jmethodID defaultErrorConstr = env->GetMethodID(xtp_error_msg_class_, "<init>","()V");

if (defaultErrorConstr == NULL) {

jvm_->DetachCurrentThread();

return;

}

//create the errormsg object

jobject errorMsgObj = env->NewObject(xtp_error_msg_class_, defaultErrorConstr);

if (errorMsgObj == NULL) {

jvm_->DetachCurrentThread();

return;

}

generateErrorMsgObj(env, errorMsgObj, error_info, 0);

jobject rspObj=NULL;

//error_info = null or error_id =0 means successful

if (error_info == NULL || error_info->error_id == 0) {

//fetch the default construct

jmethodID defaultConstr = env->GetMethodID(xtp_specific_ticker_class_, "<init>","()V");

if (defaultConstr == NULL) {

jvm_->DetachCurrentThread();

return;

}

//create the object

rspObj = env->NewObject(xtp_specific_ticker_class_, defaultConstr);

if (rspObj == NULL) {

jvm_->DetachCurrentThread();

return;

}

jmethodID jm_setExchangeType= env->GetMethodID(xtp_specific_ticker_class_, "setExchangeType", "(I)V");

assert(jm_setExchangeType != NULL);

env->CallVoidMethod(rspObj, jm_setExchangeType, ticker->exchange_id);

jstring jstr_ticker = env->NewStringUTF(ticker->ticker);

jmethodID jm_setTicker = env->GetMethodID(xtp_specific_ticker_class_, "setTicker", "(Ljava/lang/String;)V");

env->CallVoidMethod(rspObj, jm_setTicker, jstr_ticker);

jmethodID jm_setLastResp = env->GetMethodID(xtp_specific_ticker_class_, "setLastResp", "(Z)V");

assert(jm_setLastResp != NULL);

env->CallVoidMethod(rspObj, jm_setLastResp, is_last);

}

env->CallVoidMethod(quote_plugin_obj_, jm_event, rspObj, errorMsgObj);

jvm_->DetachCurrentThread();

}

void XtpQuote::OnUnSubMarketData(XTPST *ticker, XTPRI *error_info, bool is_last) {

//LOG(INFO) << __PRETTY_FUNCTION__ ;

if (error_info != NULL) {

if(error_info->error_id!=0){

LOG(ERROR) << __PRETTY_FUNCTION__ << " error_info:" << error_info->error_msg;

}

JNIEnv* env;

// prepare the invocation

env = preInvoke();

jclass pluginClass = env->GetObjectClass(quote_plugin_obj_);

assert(pluginClass != NULL);

jmethodID jm_event = env->GetMethodID(pluginClass, "onUnSubMarketData",

"(Lcom/zts/xtp/quote/model/response/SpecificTickerResponse;Lcom/zts/xtp/common/model/ErrorMessage;)V");

//generate the error msg object

//fetch the errormsg default construct

jmethodID defaultErrorConstr = env->GetMethodID(xtp_error_msg_class_, "<init>","()V");

if (defaultErrorConstr == NULL) {

jvm_->DetachCurrentThread();

return;

}

//create the errormsg object

jobject errorMsgObj = env->NewObject(xtp_error_msg_class_, defaultErrorConstr);

if (errorMsgObj == NULL) {

return;

}

generateErrorMsgObj(env, errorMsgObj, error_info, 0);

jobject rspObj=NULL;

//error_info = null or error_id =0 means successful

if (error_info == NULL || error_info->error_id == 0) {

//fetch the default construct

jmethodID defaultConstr = env->GetMethodID(xtp_specific_ticker_class_, "<init>","()V");

if (defaultConstr == NULL) {

jvm_->DetachCurrentThread();

return;

}

//create the object

rspObj = env->NewObject(xtp_specific_ticker_class_, defaultConstr);

if (rspObj == NULL) {

jvm_->DetachCurrentThread();

return;

}

jmethodID jm_setExchangeType= env->GetMethodID(xtp_specific_ticker_class_, "setExchangeType", "(I)V");

assert(jm_setExchangeType != NULL);

env->CallVoidMethod(rspObj, jm_setExchangeType, ticker->exchange_id);

jstring jstr_ticker = env->NewStringUTF(ticker->ticker);

jmethodID jm_setTicker = env->GetMethodID(xtp_specific_ticker_class_, "setTicker", "(Ljava/lang/String;)V");

env->CallVoidMethod(rspObj, jm_setTicker, jstr_ticker);

jmethodID jm_setLastResp = env->GetMethodID(xtp_specific_ticker_class_, "setLastResp", "(Z)V");

assert(jm_setLastResp != NULL);

env->CallVoidMethod(rspObj, jm_setLastResp, is_last);

}

env->CallVoidMethod(quote_plugin_obj_, jm_event, rspObj, errorMsgObj);

jvm_->DetachCurrentThread();

}

void XtpQuote::CountDepthMarketData()

{

std::vector<int64_t> queue_deep;

int64_t num = 0;

while(live_)

{

std::this_thread::sleep_for(std::chrono::seconds(1));

for(int i=0; i<thread_num_; i++)

{

num = queue_[i]->amount();

queue_deep.push_back(num);

}

for(int i=0; i<thread_num_; i++)

{

#ifdef COUNT_QUOTE

queue_deep_file_ << queue_deep[i] << ",";

#endif

}

auto mean = get_mean(queue_deep);

auto stdev= get_stdev(queue_deep);

#ifdef COUNT_QUOTE

queue_deep_file_ << mean << "," << stdev << ",";

if(mean == 0)

{

queue_deep_file_ << 0 << std::endl;

} else{

queue_deep_file_ << stdev/mean << std::endl;

}

#endif

queue_deep.clear();

}

void XtpQuote::OnDepthMarketData(XTPMD *market_data, int64_t bid1_qty[], int32_t bid1_count, int32_t max_bid1_count, int64_t ask1_qty[], int32_t ask1_count, int32_t max_ask1_count) {

{

int64_t id = int64_t(market_data->ticker[5]-'0');

//int64_t id = count_;

count_++;

id = id%thread_num_;

{

auto ret = true;

if (full_market_data_available_ == 1) {

XTPFMD full_market_data;

memset(&full_market_data,0, sizeof(XTPFMD));

full_market_data.market_data = *market_data;

full_market_data.bid1_count = bid1_count;

full_market_data.max_bid1_count = max_bid1_count;

full_market_data.ask1_count = ask1_count;

full_market_data.max_ask1_count = max_ask1_count;

if ( bid1_qty != nullptr && ask1_qty != nullptr) {

copy(bid1_qty, bid1_qty+(sizeof(bid1_qty)), full_market_data.bid1_qty);

memcpy(&full_market_data.ask1_qty, &ask1_qty, sizeof(ask1_qty)* sizeof(int64_t));

copy(ask1_qty, ask1_qty+(sizeof(ask1_qty)), full_market_data.ask1_qty);

}

ret = queue_full_[id]->push(full_market_data);

if(!ret)

LOG(ERROR) << "queue_full_[" << id << "] push failed for RingBuffer is full";

if(queue_full_[id]->isEmpty())

LOG(ERROR) << "queue_full_[" << id << "] push success; and RingBuffer`s rear[" << queue_full_[id]->rear() << "] pass its front["<< queue_full_[id]->front() <<"]";

} else {

ret = queue_[id]->push(market_data);

if(!ret)

LOG(ERROR) << "queue_[" << id << "] push failed for RingBuffer is full";

if(queue_[id]->isEmpty())

LOG(ERROR) << "queue_[" << id << "] push success; and RingBuffer`s rear[" << queue_[id]->rear() << "] pass its front["<< queue_[id]->front() <<"]";

}

if(!marketdata_available_)

{

memcpy(&market_data_for_gene_1_, market_data, sizeof(XTPMD));

marketdata_available_ = true;

}

void XtpQuote::DealDepthMarketData(int64_t id)

{

JNIEnv* env = NULL;

jclass pluginClass = NULL;

jmethodID jm_event = NULL;

int count = 0;

int mask = 10000;

int64_t id_ = id;

XTPMD market_data;

XTPFMD full_market_data;

while(live_)

{

if (full_market_data_available_ == 1) {

while (!queue_full_[id_]->isEmpty())

{

auto ret = queue_full_[id_]->pop(full_market_data);

if(!ret)

{

LOG(ERROR) << "queue_full_[" << id << "] pop failed for RingBuffer`s rear[" << queue_full_[id_]->rear() << "] pass its front["<< queue_full_[id_]->front() <<"]";

std::this_thread::sleep_for(std::chrono::milliseconds(1));

continue;

}

if(count%mask == 0)

{

env = preInvoke();

pluginClass = env->GetObjectClass(quote_plugin_obj_);

assert(pluginClass != NULL);

jm_event = env->GetMethodID(pluginClass, "onDepthFullMarketData","(IIIDDDDDDDDJJDDDDDDDDDDDDDDDDDDDDDDJJJJJJJJJJJJJJJJJJJJJLjava/lang/String;DILcom/zts/xtp/quote/model/response/MarketDataStockExDataResponse;Lcom/zts/xtp/quote/model/response/MarketDataOptionExDataResponse;Lcom/zts/xtp/quote/model/response/MarketDataBondExDataResponse;[JII[JII)V");

}

OnDepthFullMarketData(&full_market_data, env, jm_event);

if(count%mask == mask-1)

{

jvm_->DetachCurrentThread();

env = NULL;

}

count++;

}

} else {

while (!queue_[id_]->isEmpty())

{

auto ret = queue_[id_]->pop(market_data);

if(!ret)

{

LOG(ERROR) << "queue_[" << id << "] pop failed for RingBuffer`s rear[" << queue_[id_]->rear() << "] pass its front["<< queue_[id_]->front() <<"]";

std::this_thread::sleep_for(std::chrono::milliseconds(1));

continue;

}

if(count%mask == 0)

{

env = preInvoke();

pluginClass = env->GetObjectClass(quote_plugin_obj_);

assert(pluginClass != NULL);

jm_event = env->GetMethodID(pluginClass, "onDepthMarketData","(IIIDDDDDDDDJJDDDDDDDDDDDDDDDDDDDDDDJJJJJJJJJJJJJJJJJJJJJLjava/lang/String;DILcom/zts/xtp/quote/model/response/MarketDataStockExDataResponse;Lcom/zts/xtp/quote/model/response/MarketDataOptionExDataResponse;Lcom/zts/xtp/quote/model/response/MarketDataBondExDataResponse;)V");

}

OnDepthMarketData2(&market_data, 0, 0, 0, 0, 0, 0, env, jm_event);

if(count%mask == mask-1)

{

jvm_->DetachCurrentThread();

env = NULL;

}

count++;

}

std::this_thread::sleep_for(std::chrono::microseconds(10));

}

if(env != NULL)

{

jvm_->DetachCurrentThread();

}

void XtpQuote::OnDepthFullMarketData(XTPFMD *full_market_data, JNIEnv* env2, jmethodID jm_event2) {

JNIEnv* env;

jmethodID jm_event;

if(env2==NULL || (jvm_->GetEnv((void **)&env2, JNI_VERSION_1_8) != JNI_OK))

{

env = preInvoke();

jclass pluginClass = env->GetObjectClass(quote_plugin_obj_);

assert(pluginClass != NULL);

} else {

env = env2;

jm_event = jm_event2;

}

uint32_t nTicker = atol(full_market_data->market_data.ticker);

uint32_t nTickerLength = strlen(full_market_data->market_data.ticker);

jstring jstr_ticker_status = env->NewStringUTF(full_market_data->market_data.ticker_status);

double bid[10];

double ask[10];

long long bidQty[10];

long long askQty[10];

for (int i=0; i<10; i++) {

bid[i] = full_market_data->market_data.bid[i];

ask[i] = full_market_data->market_data.ask[i];

bidQty[i] = full_market_data->market_data.bid_qty[i];

askQty[i] = full_market_data->market_data.ask_qty[i];

}

//md ex data

jobject mdseObj = NULL;

jobject mdoeObj = NULL;

jobject mdbeObj = NULL;

jmethodID mdseConstr = env->GetMethodID(xtp_market_data_se_class_, "<init>","()V");

jmethodID mdoeConstr = env->GetMethodID(xtp_market_data_oe_class_, "<init>","()V");

jmethodID mdbeConstr = env->GetMethodID(xtp_market_data_be_class_, "<init>","()V");

if (mdseConstr == NULL || mdoeConstr == NULL || mdbeConstr == NULL) {

jvm_->DetachCurrentThread();

return;

}

mdseObj = env->NewObject(xtp_market_data_se_class_, mdseConstr);

mdoeObj = env->NewObject(xtp_market_data_oe_class_, mdoeConstr);

mdbeObj = env->NewObject(xtp_market_data_be_class_, mdbeConstr);

if (mdseObj == NULL || mdoeObj == NULL || mdbeObj == NULL) {

jvm_->DetachCurrentThread();

return;

}

jlongArray jarray_setBid1Qty = env->NewLongArray(50);

env->SetLongArrayRegion(jarray_setBid1Qty, 0, 50, (jlong *)full_market_data->bid1_qty);

jlongArray jarray_setAsk1Qty = env->NewLongArray(50);

env->SetLongArrayRegion(jarray_setAsk1Qty, 0, 50, (jlong *)full_market_data->ask1_qty);

if (full_market_data->market_data.data_type_v2 == XTP_MARKETDATA_V2_ACTUAL) {

generateMarketDataSeObj(env, mdseObj, &full_market_data->market_data);

env->CallVoidMethod(quote_plugin_obj_, jm_event, full_market_data->market_data.exchange_id, nTicker, nTickerLength, full_market_data->market_data.last_price,

full_market_data->market_data.pre_close_price, full_market_data->market_data.open_price, full_market_data->market_data.high_price,

full_market_data->market_data.low_price, full_market_data->market_data.close_price, full_market_data->market_data.upper_limit_price,

full_market_data->market_data.lower_limit_price, full_market_data->market_data.data_time, full_market_data->market_data.qty,

full_market_data->market_data.turnover, full_market_data->market_data.avg_price,

bid[0], bid[1], bid[2], bid[3], bid[4], bid[5], bid[6],bid[7], bid[8], bid[9],

ask[0], ask[1], ask[2], ask[3], ask[4], ask[5], ask[6],ask[7], ask[8], ask[9],

bidQty[0], bidQty[1], bidQty[2], bidQty[3], bidQty[4], bidQty[5], bidQty[6],bidQty[7], bidQty[8], bidQty[9],

askQty[0], askQty[1], askQty[2], askQty[3], askQty[4], askQty[5], askQty[6],askQty[7], askQty[8], askQty[9],

full_market_data->market_data.trades_count, jstr_ticker_status, full_market_data->market_data.stk.iopv, full_market_data->market_data.data_type_v2,

mdseObj, mdoeObj, mdbeObj, jarray_setBid1Qty, full_market_data->bid1_count, full_market_data->max_bid1_count,

jarray_setAsk1Qty, full_market_data->ask1_count, full_market_data->max_ask1_count);

}

if (full_market_data->market_data.data_type_v2 == XTP_MARKETDATA_V2_OPTION) {

generateMarketDataOeObj(env, mdoeObj, &full_market_data->market_data);