quote_sse_define.h

浏览该文件的文档.

 
#pragma once
#include <string.h>
 
#define        SSE_EXCHANGE_ID                  (100)
#define        SSE_SYMBOL_LEN                   (9)
#define        SSE_LEV2_DEPTH                   (10)
#define        SSE_OPTION_DEPTH                 (5)
#define        SSE_SECURITY_NAME_LEN            (9)
#define        SSE_PRODUCT_STATUS_LEN           (21)
#define        DATE_LEN                         (9)
 
#define        SSE_LEV2_IDX_MSG_TYPE            (33)
#define        SSE_LEV2_EXE_MSG_TYPE            (34)
#define        SSE_LEV2_OPT_MSG_TYPE            (35)
#define        SSE_LEV2_SNAP_MSG_TYPE           (39)
#define        SSE_LEV2_ORDER_MSG_TYPE          (32)
#define        SSE_LEV2_TREE_MSG_TYPE           (38)
#define        SSE_LEV2_BOND_SNAP_MSG_TYPE      (60)
#define        SSE_LEV2_BOND_TICK_MSG_TYPE      (61)
#define        SSE_LEV2_TICK_MERGE_MSG_TYPE     (62)
#define        SSE_LEV2_ETF_MSG_TYPE            (63)
#define        SSE_LEV2_STATIC_INFO_MSG_TYPE    (255)
 
#define        SSE_LEV2_IDX_HT_MSG_TYPE         (133)
#define        SSE_LEV2_TICK_HT_MSG_TYPE        (132)
#define        SSE_LEV2_OPT_HT_MSG_TYPE         (135)
#define        SSE_LEV2_TREE_HT_MSG_TYPE        (138)
#define        SSE_LEV2_SNAP_HT_MSG_TYPE        (139)
#define        SSE_LEV2_BOND_SNAP_HT_MSG_TYPE   (160)
#define        SSE_LEV2_BOND_TICK_HT_MSG_TYPE   (161)
#define        SSE_LEV2_TICK_MERGE_HT_MSG_TYPE  (162)
#define        SSE_LEV2_ETF_HT_MSG_TYPE         (163)
 
 
#pragma pack(push, 1)
 
struct EMQSseHeartbeat
{
    unsigned int                      m_sequence;
    unsigned int                      m_reserved_1;
    unsigned char                     m_message_type;
    unsigned char                     m_reserved_2[7];
};
 
struct EMQSseHead
{
    unsigned int                      m_sequence;
    unsigned int                      m_reserved_1;
    unsigned char                     m_message_type;
    unsigned short                    m_message_len;
    unsigned char                     m_exchange_id;
    unsigned short                    m_quote_date_year;
    unsigned char                     m_quote_date_month;
    unsigned char                     m_quote_date_day;
    unsigned int                      m_send_time;
    unsigned char                     m_category_id;
    unsigned int                      m_msg_seq_id;
    unsigned char                     m_seq_lost_flag;
};
 
struct EMQSseL2PriceQuantityUnit
{
    char                              m_reserved[4];
    unsigned int                      m_price;
    unsigned long long                m_quantity;
};
 
struct EMQSseSnap
{
    EMQSseSnap()
    {
        memset(this, 0, sizeof(EMQSseSnap));                          // 初始化结构体
    }
 
    EMQSseHead                   m_head;
    unsigned int                      m_quote_update_time;
    char                              m_symbol[SSE_SYMBOL_LEN];
    unsigned char                     m_security_type;
    unsigned char                     m_image_status;
    unsigned char                     m_reserved_1;
    unsigned int                      m_pre_close_price;
    unsigned int                      m_open_price;
    unsigned int                      m_day_high_price;
    unsigned int                      m_day_low_price;
    unsigned int                      m_last_price;
    unsigned int                      m_today_close_price;
    unsigned char                     m_instrument_status;
 
    unsigned char                     m_trading_status;
    unsigned short                    m_reserved_2;
    unsigned int                      m_total_trade_num;
    unsigned long long                m_total_quantity;
    unsigned long long                m_total_value;
    unsigned long long                m_total_bid_quantity;
    unsigned int                      m_total_bid_weighted_avg_price;
    unsigned long long                m_total_ask_quantity;
    unsigned int                      m_total_ask_weighted_avg_price;
    unsigned int                      m_yield_to_maturity;
    unsigned char                     m_bid_depth;
    unsigned char                     m_ask_depth;
    EMQSseL2PriceQuantityUnit         m_bid_unit[SSE_LEV2_DEPTH];
    EMQSseL2PriceQuantityUnit         m_ask_unit[SSE_LEV2_DEPTH];
};
 
struct EMQSseIdx
{
    EMQSseIdx()
    {
        memset(this, 0, sizeof(EMQSseIdx));
    }
 
    EMQSseHead                   m_head;
    unsigned int                      m_quote_update_time;
    char                              m_symbol[SSE_SYMBOL_LEN];
    unsigned char                     m_security_type;
    unsigned int                      m_pre_close_price;
    unsigned int                      m_open_price;
    unsigned long long                m_total_value;
    unsigned int                      m_day_high_price;
    unsigned int                      m_day_low_price;
    unsigned int                      m_last_price;
    unsigned long long                m_total_quantity;
    unsigned int                      m_today_close_price;
};
 
struct EMQSseL2TreePriceQuantityUnit
{
    unsigned int                      m_price;
    unsigned long long                m_quantity;
};
 
struct EMQSseTree
{
    EMQSseTree()
    {
        memset(this, 0, sizeof(EMQSseTree));
    }
 
    EMQSseHead                        m_head;
    unsigned int                      m_channel_num;
    unsigned int                      m_quote_update_time;
    char                              m_symbol[SSE_SYMBOL_LEN];
    unsigned char                     m_security_type;
    unsigned long long                m_biz_index;
    unsigned int                      m_pre_close_price;
    unsigned int                      m_open_price;
    unsigned int                      m_day_high_price;
    unsigned int                      m_day_low_price;
    unsigned int                      m_last_price;
    unsigned int                      m_today_close_price;
 
    unsigned char                     m_instrument_status;
 
    unsigned char                     m_trading_status;
 
    unsigned char                     m_reserved_0[6];
    unsigned int                      m_total_trade_num;
    unsigned long long                m_total_quantity;
    unsigned long long                m_total_value;
    unsigned long long                m_total_bid_quantity;
    unsigned int                      m_total_bid_weighted_avg_price;
    unsigned long long                m_total_ask_quantity;
    int                               m_total_ask_weighted_avg_price;
    int                               m_yield_to_maturity;
    unsigned char                     m_bid_depth;
    unsigned char                     m_ask_depth;
    unsigned char                     m_reserved_1[2];
    EMQSseL2TreePriceQuantityUnit m_bid_unit[SSE_LEV2_DEPTH];
    EMQSseL2TreePriceQuantityUnit m_ask_unit[SSE_LEV2_DEPTH];
};
 
struct EMQSseL2BondPriceQuantityUnit
{
    unsigned int                      m_price;
    unsigned long long                m_quantity;
};
// 上交所lev2债券快照
struct EMQSseBondSnap
{
    EMQSseBondSnap()
    {
        memset(this, 0, sizeof(EMQSseBondSnap));                  // 初始化结构体
    }
 
    EMQSseHead                   m_head;
    unsigned int                      m_quote_update_time;
    unsigned char                     m_reserved_0[4];
    char                              m_symbol[SSE_SYMBOL_LEN];
 
    unsigned char                     m_security_type;
    unsigned char                     m_sub_security_type;
    unsigned char                     m_reserved_1[3];
    unsigned int                      m_pre_close_price;
    unsigned int                      m_open_price;
    unsigned int                      m_day_high_price;
    unsigned int                      m_day_low_price;
    unsigned int                      m_last_price;
    unsigned int                      m_today_close_price;
 
    unsigned char                     m_instrument_status;
    unsigned char                     m_reserved_2[3];
    unsigned int                      m_total_trade_num;
    unsigned long long                m_total_quantity;
    unsigned long long                m_total_value;
    unsigned long long                m_total_bid_quantity;
    unsigned int                      m_total_bid_weighted_avg_price;
    unsigned long long                m_total_ask_quantity;
    unsigned int                      m_total_ask_weighted_avg_price;
    unsigned int                      m_withdraw_bid_num;
    unsigned long long                m_withdraw_bid_amount;
    unsigned long long                m_withdraw_bid_price;
    unsigned int                      m_withdraw_ask_num;
    unsigned long long                m_withdraw_ask_amount;
    unsigned long long                m_withdraw_ask_price;
    unsigned int                      m_total_bid_num;
    unsigned int                      m_total_ask_num;
    unsigned int                      m_bid_trade_max_duration;
    unsigned int                      m_ask_trade_max_duration;
    unsigned char                     m_bid_depth;
    unsigned char                     m_ask_depth;
    unsigned char                     m_reserved_3[6];
    EMQSseL2BondPriceQuantityUnit   m_bid_unit[SSE_LEV2_DEPTH];
    EMQSseL2BondPriceQuantityUnit   m_ask_unit[SSE_LEV2_DEPTH];
};
 
struct EMQSseBondTick
{
    EMQSseBondTick()
    {
        memset(this, 0, sizeof(EMQSseBondTick));
    }
 
    EMQSseHead                   m_head;
    unsigned int                      m_tick_index;
    unsigned int                      m_channel_num;
    char                              m_symbol[SSE_SYMBOL_LEN];
 
    unsigned char                     m_security_type;
    unsigned char                     m_sub_security_type;
    unsigned int                      m_tick_time;
    unsigned char                     m_tick_type;
    unsigned long long                m_buy_num;
    unsigned long long                m_sell_num;
    unsigned int                      m_price;
    unsigned long long                m_quantity;
    unsigned long long                m_trade_value;
    char                              m_side_flag;
    unsigned char                     m_instrument_status;
    unsigned char                     m_reserved[8];
};
 
struct EMQSseTick
{
    EMQSseTick()
    {
        memset(this, 0, sizeof(EMQSseTick));
    }
 
    unsigned int                      m_sequence;
    unsigned int                      m_reserved_1;
    unsigned char                     m_message_type;
    unsigned long long                m_tick_index;
    unsigned short                    m_channel_num;
    unsigned short                    m_reserved_2;
    char                              m_symbol[SSE_SYMBOL_LEN];
    unsigned int                      m_tick_time;
    unsigned char                     m_tick_type;
    unsigned long long                m_buy_num;
    unsigned long long                m_sell_num;
    unsigned int                      m_price;
    unsigned long long                m_quantity;
 
    unsigned long long                m_trade_value;
 
 
    unsigned char                     m_side_flag;
};
 
#pragma pack(pop)