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1 | | -///////////////////////////////////////////////////////////////////////// |
2 | | -///@author 中泰证券股份有限公司 |
3 | | -///@file algo_api_struct.h |
4 | | -///@brief 定义业务公共数据结构 |
5 | | -///////////////////////////////////////////////////////////////////////// |
6 | | -#ifndef _XTP_ALGO_API_STRUCT_H_ |
7 | | -#define _XTP_ALGO_API_STRUCT_H_ |
8 | | - |
9 | | -#include "algo_data_type.h" |
10 | | -#include "xtp_api_struct_common.h" |
11 | | - |
12 | | -#pragma pack(8) |
13 | | - |
14 | | -///策略信息结构体 |
15 | | -typedef struct XTPStrategyInfoStruct |
16 | | -{ |
17 | | - uint16_t m_strategy_type; ///< 策略类型 |
18 | | - XTPStrategyStateType m_strategy_state; ///< 策略状态 |
19 | | - uint64_t m_client_strategy_id; ///< 客户策略id |
20 | | - uint64_t m_xtp_strategy_id; ///< xtp策略id |
21 | | -} XTPStrategyInfoStruct; |
22 | | - |
23 | | -///策略中指定证券信息结构体 |
24 | | -typedef struct XTPStrategySymbolInfoStruct |
25 | | -{ |
26 | | - XTPStrategyInfoStruct m_strategy_info; ///< 策略信息 |
27 | | - char m_ticker[XTP_TICKER_LEN]; ///< 证券代码 |
28 | | - XTP_MARKET_TYPE m_market; ///< 市场 |
29 | | -} XTPStrategySymbolInfo; |
30 | | - |
31 | | -///策略状态结构体 |
32 | | -typedef struct XTPStrategyStateReportStruct |
33 | | -{ |
34 | | - XTPStrategyInfoStruct m_strategy_info; ///< 策略信息 |
35 | | - int64_t m_strategy_qty; ///< 策略总量 |
36 | | - int64_t m_strategy_ordered_qty; ///< 策略已委托数量 |
37 | | - int64_t m_strategy_cancelled_qty; ///< 策略已撤单数量 |
38 | | - int64_t m_strategy_execution_qty; ///< 策略已成交数量 |
39 | | - int64_t m_strategy_unclosed_qty; ///< 策略未平仓数量(T0卖出数量-买入数量) |
40 | | - double m_strategy_asset; ///< 策略总金额 |
41 | | - double m_strategy_ordered_asset; ///< 策略已委托金额 |
42 | | - double m_strategy_execution_asset; ///< 策略已成交金额 |
43 | | - double m_strategy_execution_price; ///< 策略执行价格 |
44 | | - double m_strategy_market_price; ///< 策略市场价 |
45 | | - double m_strategy_price_diff; ///< 策略执行价差 |
46 | | - double m_strategy_asset_diff; ///< 策略执行绩效(T0资金预净收入) |
47 | | - XTPRI m_error_info; ///< 错误信息 |
48 | | -} XTPStrategyStateReport; |
49 | | - |
50 | | -///指定策略指定证券的请求结构体 |
51 | | -typedef struct XTPStrategySymbolReqStruct |
52 | | -{ |
53 | | - uint64_t m_xtp_strategy_id; ///< xtp策略id |
54 | | - char m_ticker[XTP_TICKER_LEN]; ///< 证券代码 |
55 | | - XTP_MARKET_TYPE m_market; ///< 市场 |
56 | | -} XTPStrategySymbolReq; |
57 | | - |
58 | | -///策略中指定证券的算法执行状态结构体 |
59 | | -typedef struct XTPStrategySymbolStateReportStruct |
60 | | -{ |
61 | | - XTPStrategyInfoStruct m_strategy_info; ///< 策略信息 |
62 | | - char m_ticker[XTP_TICKER_LEN]; ///< 证券代码 |
63 | | - XTP_MARKET_TYPE m_market; ///< 市场 |
64 | | - XTP_SIDE_TYPE m_side; ///< 买卖方向，=0时为T0单 |
65 | | - int64_t m_strategy_qty; ///< 策略总量 |
66 | | - int64_t m_strategy_ordered_qty; ///< 策略已委托数量 |
67 | | - int64_t m_strategy_cancelled_qty; ///< 策略已撤单数量 |
68 | | - int64_t m_strategy_execution_qty; ///< 策略已成交数量 |
69 | | - int64_t m_strategy_buy_qty; ///< 策略已买入数量(T0) |
70 | | - int64_t m_strategy_sell_qty; ///< 策略已卖出数量(T0) |
71 | | - int64_t m_strategy_unclosed_qty; ///< 策略未平仓数量(T0卖出数量-买入数量) |
72 | | - double m_strategy_asset; ///< 策略总金额 |
73 | | - double m_strategy_ordered_asset; ///< 策略已委托金额 |
74 | | - double m_strategy_execution_asset; ///< 策略已成交金额 |
75 | | - double m_strategy_buy_asset; ///< 策略买入金额(T0) |
76 | | - double m_strategy_sell_asset; ///< 策略卖出金额(TO) |
77 | | - double m_strategy_unclosed_asset; ///< 策略未平仓金额(T0) |
78 | | - double m_strategy_asset_diff; ///< 策略毛收益增强金额(T0) |
79 | | - double m_strategy_execution_price; ///< 策略执行价格 |
80 | | - double m_strategy_market_price; ///< 策略市场价 |
81 | | - double m_strategy_price_diff; ///< 策略执行价差(T0时为毛增强收益率) |
82 | | - XTPRI m_error_info; ///< 错误信息 |
83 | | -} XTPStrategySymbolStateReport; |
84 | | - |
85 | | -///推荐算法结构体 |
86 | | -typedef struct XTPStrategyRecommendationInfoStruct |
87 | | -{ |
88 | | - uint16_t m_strategy_type; ///< 策略类型 |
89 | | - XTP_MARKET_TYPE m_market; ///< 交易市场 |
90 | | - char m_ticker[XTP_TICKER_LEN]; ///< 证券代码 |
91 | | - char m_reserved[64]; ///< 保留域 |
92 | | -} XTPStrategyRecommendationInfo; |
93 | | - |
94 | | -#pragma pack() |
95 | | - |
96 | | -#endif //_XTP_ALGO_API_STRUCT_H_ |
| 1 | +///////////////////////////////////////////////////////////////////////// |
| 2 | +///@author 中泰证券股份有限公司 |
| 3 | +///@file algo_api_struct.h |
| 4 | +///@brief 定义业务公共数据结构 |
| 5 | +///////////////////////////////////////////////////////////////////////// |
| 6 | +#ifndef _XTP_ALGO_API_STRUCT_H_ |
| 7 | +#define _XTP_ALGO_API_STRUCT_H_ |
| 8 | + |
| 9 | +#include "algo_data_type.h" |
| 10 | +#include "xtp_api_struct_common.h" |
| 11 | + |
| 12 | +#pragma pack(8) |
| 13 | + |
| 14 | +///策略信息结构体 |
| 15 | +typedef struct XTPStrategyInfoStruct |
| 16 | +{ |
| 17 | + uint16_t m_strategy_type; ///< 策略类型 |
| 18 | + XTPStrategyStateType m_strategy_state; ///< 策略状态 |
| 19 | + uint64_t m_client_strategy_id; ///< 客户策略id |
| 20 | + uint64_t m_xtp_strategy_id; ///< xtp策略id |
| 21 | +} XTPStrategyInfoStruct; |
| 22 | + |
| 23 | +///策略中指定证券信息结构体 |
| 24 | +typedef struct XTPStrategySymbolInfoStruct |
| 25 | +{ |
| 26 | + XTPStrategyInfoStruct m_strategy_info; ///< 策略信息 |
| 27 | + char m_ticker[XTP_TICKER_LEN]; ///< 证券代码 |
| 28 | + XTP_MARKET_TYPE m_market; ///< 市场 |
| 29 | +} XTPStrategySymbolInfo; |
| 30 | + |
| 31 | +///策略状态结构体 |
| 32 | +typedef struct XTPStrategyStateReportStruct |
| 33 | +{ |
| 34 | + XTPStrategyInfoStruct m_strategy_info; ///< 策略信息 |
| 35 | + int64_t m_strategy_qty; ///< 策略总量 |
| 36 | + int64_t m_strategy_ordered_qty; ///< 策略已委托数量 |
| 37 | + int64_t m_strategy_cancelled_qty; ///< 策略已撤单数量 |
| 38 | + int64_t m_strategy_execution_qty; ///< 策略已成交数量 |
| 39 | + int64_t m_strategy_unclosed_qty; ///< 策略未平仓数量(T0卖出数量-买入数量) |
| 40 | + double m_strategy_asset; ///< 策略总金额 |
| 41 | + double m_strategy_ordered_asset; ///< 策略已委托金额 |
| 42 | + double m_strategy_execution_asset; ///< 策略已成交金额 |
| 43 | + double m_strategy_execution_price; ///< 策略执行价格 |
| 44 | + double m_strategy_market_price; ///< 策略市场价 |
| 45 | + double m_strategy_price_diff; ///< 策略执行价差 |
| 46 | + double m_strategy_asset_diff; ///< 策略执行绩效(T0资金预净收入) |
| 47 | + XTPRI m_error_info; ///< 错误信息 |
| 48 | +} XTPStrategyStateReport; |
| 49 | + |
| 50 | +///指定策略指定证券的请求结构体 |
| 51 | +typedef struct XTPStrategySymbolReqStruct |
| 52 | +{ |
| 53 | + uint64_t m_xtp_strategy_id; ///< xtp策略id |
| 54 | + char m_ticker[XTP_TICKER_LEN]; ///< 证券代码 |
| 55 | + XTP_MARKET_TYPE m_market; ///< 市场 |
| 56 | +} XTPStrategySymbolReq; |
| 57 | + |
| 58 | +///策略中指定证券的算法执行状态结构体 |
| 59 | +typedef struct XTPStrategySymbolStateReportStruct |
| 60 | +{ |
| 61 | + XTPStrategyInfoStruct m_strategy_info; ///< 策略信息 |
| 62 | + char m_ticker[XTP_TICKER_LEN]; ///< 证券代码 |
| 63 | + XTP_MARKET_TYPE m_market; ///< 市场 |
| 64 | + XTP_SIDE_TYPE m_side; ///< 买卖方向，=0时为T0单 |
| 65 | + int64_t m_strategy_qty; ///< 策略总量 |
| 66 | + int64_t m_strategy_ordered_qty; ///< 策略已委托数量 |
| 67 | + int64_t m_strategy_cancelled_qty; ///< 策略已撤单数量 |
| 68 | + int64_t m_strategy_execution_qty; ///< 策略已成交数量 |
| 69 | + int64_t m_strategy_buy_qty; ///< 策略已买入数量(T0) |
| 70 | + int64_t m_strategy_sell_qty; ///< 策略已卖出数量(T0) |
| 71 | + int64_t m_strategy_unclosed_qty; ///< 策略未平仓数量(T0卖出数量-买入数量) |
| 72 | + double m_strategy_asset; ///< 策略总金额 |
| 73 | + double m_strategy_ordered_asset; ///< 策略已委托金额 |
| 74 | + double m_strategy_execution_asset; ///< 策略已成交金额 |
| 75 | + double m_strategy_buy_asset; ///< 策略买入金额(T0) |
| 76 | + double m_strategy_sell_asset; ///< 策略卖出金额(TO) |
| 77 | + double m_strategy_unclosed_asset; ///< 策略未平仓金额(T0) |
| 78 | + double m_strategy_asset_diff; ///< 策略毛收益增强金额(T0) |
| 79 | + double m_strategy_execution_price; ///< 策略执行价格 |
| 80 | + double m_strategy_market_price; ///< 策略市场价 |
| 81 | + double m_strategy_price_diff; ///< 策略执行价差(T0时为毛增强收益率) |
| 82 | + XTPRI m_error_info; ///< 错误信息 |
| 83 | +} XTPStrategySymbolStateReport; |
| 84 | + |
| 85 | +///推荐算法结构体 |
| 86 | +typedef struct XTPStrategyRecommendationInfoStruct |
| 87 | +{ |
| 88 | + uint16_t m_strategy_type; ///< 策略类型 |
| 89 | + XTP_MARKET_TYPE m_market; ///< 交易市场 |
| 90 | + char m_ticker[XTP_TICKER_LEN]; ///< 证券代码 |
| 91 | + char m_reserved[64]; ///< 保留域 |
| 92 | +} XTPStrategyRecommendationInfo; |
| 93 | + |
| 94 | +#pragma pack() |
| 95 | + |
| 96 | +#endif //_XTP_ALGO_API_STRUCT_H_ |
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