sse_hpf_define.h

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/*!****************************************************************************
    @file       sse_hpf_define.h
 
    @brief      盛立行情输出结构体
******************************************************************************/
#pragma once
#include <cstring>
 
#define     SSE_EXCHANGE_ID             (100)
 
#define        SSE_SYMBOL_LEN                   (9)                     // 上交所合约长度
#define        SSE_LEV2_DEPTH                   (10)                    // 上交所lev2档位深度
#define        SSE_OPTION_DEPTH                 (5)                     // 上交所期权档位深度
 
#define        SSE_SECURITY_NAME_LEN            (9)
#define        SSE_PRODUCT_STATUS_LEN           (21)
#define        DATE_LEN                         (9)
 
#define     SSE_ORDER_MSG_TYPE          (32)
#define     SSE_INDEX_MSG_TYPE          (33)
#define     SSE_EXECUTION_MSG_TYPE      (34)
#define     SSE_OPTION_MSG_TYPE         (35)
#define     SSE_TREE_MSG_TYPE           (38)
#define     SSE_LEV2_MSG_TYPE           (39)
#define     SSE_BOND_SNAP_MSG_TYPE      (60)
#define     SSE_BOND_TICK_MSG_TYPE      (61)
#define     SSE_LEV2_STATIC_INFO_MSG_TYPE    (255)                   // 上交所lev2静态信息类型
 
 
#define     SSE_HB_TICK_MSG_TYPE        (132)
#define     SSE_HB_INDEX_MSG_TYPE       (133)
#define     SSE_HB_OPTION_MSG_TYPE      (135)
#define     SSE_HB_TREE_MSG_TYPE        (138)
#define     SSE_HB_FULL_MSG_TYPE        (139)
#define     SSE_HB_BOND_MSG_TYPE        (160)       // 债券lev2快照心跳
#define     SSE_HB_BOND_TICK_MSG_TYPE   (161)       // 债券逐笔心跳
 
#pragma pack(push, 1)
struct sse_hpf_heartbt_pkt
{
    sse_hpf_heartbt_pkt()
    {
        memset(this, 0, sizeof(sse_hpf_heartbt_pkt));
    }
 
    unsigned int                        m_sequence;                     // 取当前输出通道内最新消息的SeqNum
    unsigned char                       m_reserved_0[4];                // 4个字节的保留字段
    unsigned char                       m_message_type;                 // 等于各通道msgtype+100
    unsigned char                       m_reserved_1[7];                // 保留字段
};
 
struct sse_hpf_head
{
    unsigned int                        m_sequence;
    unsigned short                      m_tick1;
    unsigned short                      m_tick2;
    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 px_level
{
    px_level()
    {
        memset(this, 0, sizeof(px_level));
    }
    char                                m_lev_operator;
    char                                m_resv[3];
    unsigned int                        m_px;
    unsigned long long                  m_qty;
};
//逐笔委托
struct sse_hpf_order_pkt
{
    sse_hpf_order_pkt()
    {
        memset(this, 0, sizeof(sse_hpf_order_pkt));
    }
    sse_hpf_head                        m_head;
 
    unsigned int                        m_order_index;
    unsigned int                        m_channel;
    char                                m_symbol[9];
    unsigned int                        m_order_time;
    unsigned char                       m_order_type;
    unsigned long long                  m_order_no;
    unsigned int                        m_order_price;
    unsigned long long                  m_balance;
    unsigned char                       m_reserved_0[15];
    unsigned char                       m_order_bs_flag;
    unsigned long long                  m_biz_index;
    unsigned char                       m_reserved_1[4];
};
//指数
struct sse_hpf_index_pkt
{
    sse_hpf_index_pkt()
    {
        memset(this, 0, sizeof(sse_hpf_index_pkt));
    }
    sse_hpf_head                        m_head;
 
    unsigned int                        m_quote_update_time;
    char                                m_symbol[9];
    unsigned char                       m_security_type;            
    unsigned int                        m_previous_close_price;
    unsigned int                        m_open_price;
    unsigned long long                  m_total_value;
    unsigned int                        m_day_high;
    unsigned int                        m_day_low;
    unsigned int                        m_last_price;
    unsigned long long                  m_total_quantity;
    unsigned int                        m_today_close_price;
};
//逐笔成交
struct sse_hpf_exe_pkt
{
    sse_hpf_exe_pkt()
    {
        memset(this, 0, sizeof(sse_hpf_exe_pkt));
    }
    sse_hpf_head                        m_head;
 
    unsigned int                        m_trade_index;
    unsigned int                        m_channel;
    char                                m_symbol[9];
    unsigned int                        m_trade_time;
    unsigned int                        m_trade_price;
    unsigned long long                  m_trade_qty;
    unsigned long long                  m_trade_money;
    unsigned long long                  m_trade_buy_no;
    unsigned long long                  m_trade_sell_no;
    char                                m_trade_bs_flag;
    unsigned long long                  m_biz_index;
    unsigned int                        m_reserved;
};
//期权
struct stock_option_px_level
{
    stock_option_px_level()
    {
        memset(this, 0, sizeof(stock_option_px_level));
    }
    unsigned int                            m_px;
    unsigned long long                      m_qty;
};
struct sse_hpf_stock_option
{
    sse_hpf_stock_option()
    {
        memset(this, 0, sizeof(sse_hpf_stock_option));
    }
    sse_hpf_head                            m_head;
 
    unsigned int                            m_quote_update_time;
    unsigned char                           m_security_type;
    char                                    m_symbol[9];
    unsigned char                           m_image_status;
    unsigned char                           m_reserved1;
    unsigned int                            m_previous_close_price;
    unsigned int                            m_previous_settle_price;
    unsigned int                            m_open_price;
    unsigned int                            m_day_high;
    unsigned int                            m_day_low;
    unsigned int                            m_last_price;
    unsigned int                            m_today_close_price;
    unsigned int                            m_settle_price;
    unsigned int                            m_dynamic_price;
    unsigned char                           m_reserved2[3];
    unsigned char                           m_trading_status;
    unsigned long long                      m_open_interest;
    unsigned int                            m_num_trades;
    unsigned long long                      m_volume;
    unsigned long long                      m_turnover;
    unsigned char                           m_no_bid_level;
    unsigned char                           m_no_offer_level;
    stock_option_px_level                   m_bid_px[5];
    stock_option_px_level                   m_ask_px[5];
};
//快照
struct sse_hpf_lev2_header
{
    sse_hpf_head                        m_head;
 
    unsigned int                        m_quote_update_time;
    char                                m_symbol[9];
    unsigned char                       m_security_type;
    unsigned char                       m_data_type;
    unsigned char                       m_reserved1;
    unsigned int                        m_previous_close_price;
    unsigned int                        m_open_price;
    unsigned int                        m_day_high;
    unsigned int                        m_day_low;
    unsigned int                        m_last_price;
    unsigned int                        m_today_close_price;
    unsigned char                       m_instrument_status;
    unsigned char                       m_trading_status;
    unsigned short                      m_reserved2;
    unsigned int                        m_total_trade_number;
    unsigned long long                  m_total_quantity;
    unsigned long long                  m_total_value;
 
    unsigned long long                  m_total_bid_qty;
    unsigned int                        m_total_bid_weighted_avg_px;
    unsigned long long                  m_total_ask_qty;
    unsigned int                        m_total_ask_weighted_avg_px;
    unsigned int                        m_yield_to_maturity;
    unsigned char                       m_bid_depth;
    unsigned char                       m_ask_depth;
};
struct sse_hpf_lev2
{
    sse_hpf_lev2()
    {
        memset(this, 0, sizeof(sse_hpf_lev2));
    }
    sse_hpf_lev2_header                 m_lev2_header;
    px_level                            m_bid_px[10];
    px_level                            m_ask_px[10];
};
//建树
struct tree_px_level
{
    tree_px_level()
    {
        memset(this, 0, sizeof(tree_px_level));
    }
    unsigned int                            m_px;
    unsigned long long                      m_qty;
};
struct sse_hpf_tree_pkt
{
    sse_hpf_head                        m_head;
    unsigned int                        m_channel_id;
    unsigned int                        m_quote_update_time;
    char                                m_symbol[9];
    unsigned char                       m_security_type;
    unsigned long long                  m_biz_index;
    unsigned int                        m_previous_close_price;
    unsigned int                        m_open_price;
    unsigned int                        m_day_high;
    unsigned int                        m_day_low;
    unsigned int                        m_last_price;
    unsigned int                        m_today_close_price;
    unsigned char                       m_instrument_status;
    unsigned char                       m_trading_status;
    unsigned char                       m_reserved1[6];
    unsigned int                        m_total_trade_number;
    unsigned long long                  m_total_quantity;
    unsigned long long                  m_total_value;
    unsigned long long                  m_total_bid_qty;
    unsigned int                        m_total_bid_weighted_avg_px;
    unsigned long long                  m_total_ask_qty;
    unsigned int                        m_total_ask_weighted_avg_px;
    unsigned int                        m_yield_to_maturity;
    unsigned char                       m_bid_depth;
    unsigned char                       m_ask_depth;
    unsigned char                       m_reserved2[2];
    tree_px_level                       m_bid_px[10];
    tree_px_level                       m_ask_px[10];
};
 
// 债券档位信息
struct sse_msg_bond_level_unit
{
    unsigned int                    m_price;
    unsigned long long              m_volumn;
};
 
// 债券建树快照
struct sse_msg_bond_snap_pkt
{
    sse_hpf_head                    m_head;
    unsigned int                    m_update_time;                  // 行情时间
    char                            m_reserved_0[4];                // 保留字段
    char                            m_security_id[9];                   // 债券代码
    char                            m_secu_type;                    // 证券类型
    char                            m_sub_secu_type;                // 证券子类型
    char                            m_reserved_1[3];                // 保留字段
    unsigned int                    m_pre_close_px;                 // 昨收价
    unsigned int                    m_open_px;                      // 开盘价
    unsigned int                    m_day_high;                     // 最高价
    unsigned int                    m_day_low;                      // 最低价
    unsigned int                    m_last_px;                      // 现价
    unsigned int                    m_close_px;                     // 今日收盘价
    char                            m_instrument_status;            // 当前品种交易状态
    char                            m_reserved_2[3];                // 保留字段
    unsigned int                    m_trade_num;                    // 成交笔数
    unsigned long long              m_trade_volumn;                 // 成交总量
    unsigned long long              m_trade_value;                  // 成交总金额
    unsigned long long              m_total_qty_bid;                // 委托买入总量（手）
    unsigned int                    m_weighted_avg_px_bid;          // 债券加权平均委买价格
    unsigned long long              m_total_qty_ask;                // 委托卖出总量
    unsigned int                    m_weighted_avg_px_ask;          // 债券加权平均委卖价格
    unsigned int                    m_withdraw_buy_number;          // 买入撤单笔数
    unsigned long long              m_withdraw_buy_amount;          // 买入撤单数量
    unsigned long long              m_withdraw_buy_money;           // 买入撤单金额
    unsigned int                    m_withdraw_sell_number;         // 卖出撤单笔数
    unsigned long long              m_withdraw_sell_amount;         // 卖出撤单数量
    unsigned long long              m_withdraw_sell_money;          // 卖出撤单金额
    unsigned int                    m_total_bid_number;             // 买入总笔数
    unsigned int                    m_total_offer_number;           // 卖出总笔数
    int                             m_bid_trade_max_duration;       // 买入委托成交最大等待时间
    int                             m_offer_trade_max_duration;     // 卖出委托成交最大等待时间
    char                            m_bid_depth;                    // 申买档位数
    char                            m_ask_depth;                    // 申卖档位数
    char                            m_reserved_3[6];
    sse_msg_bond_level_unit         m_bid_levels[10];               // 申买信息
    sse_msg_bond_level_unit         m_offer_levels[10];             // 申卖信息
};
 
// 债券逐笔
struct sse_msg_bond_tick_pkt
{
    sse_hpf_head                    m_head;
    unsigned int                    m_tick_index;                   // 序号，从1开始，按通道连续
    unsigned int                    m_channel_id;                   // 通道号
    char                            m_security_id[9];                   // 标的名称
    char                            m_secu_type;                    // 证券类型
    char                            m_sub_secu_type;                // 证券子类型
    unsigned int                    m_tick_time;                    // 订单或成交时间
    char                            m_tick_type;                    // 类型， A新增订单， D删除订单， 删除订单， S产品状态订单， T成交
    unsigned long long              m_buy_order_no;                 // 买方订单号，对产品状态订单无意义
    unsigned long long              m_sell_order_no;                // 卖方订单号，对产品状态订单无意义
    unsigned int                    m_price;                        // 价格，对产品状态订单无意义
    unsigned long long              m_qty;                          // 数量（手），对产品状态订单无意义
    unsigned long long              m_trade_money;                  // 成交金额（元），仅适用于成交消息
    char                            m_side_flag;                    // 买卖标志，若为订单： 买卖标志，若为订单： 买卖标志，若为订单： 买卖标志，若为订单： 买卖标志，若为订单： 买卖标志，若为订单： 买卖标志，若为订单： 买卖标志，若为订单： B - 买单， S - 卖单；若为成交： 卖单；若为成交： 卖单；若为成交： 卖单；若为成交： 卖单；若为成交： 卖单；若为成交： B - 外盘， 外盘， 主动买， S - 内盘， 主动卖N - 未知 。
    char                            m_instrument_status;            // 股票 / 标的状态，仅适用于产品状态订单
    char                            m_reserved[8];                  // 保留字段
};
 
struct sse_static_msg_header
{
    unsigned int                    m_seq_num;                          // 发包的消息序号 从1开始
    unsigned char                   m_reserved[4];                      // 4个字节保留字段
    unsigned char                   m_msg_type;                         // 消息类型
    unsigned short                  m_msg_body_len;                     // 消息体长度
    bool                            m_batch_finish_flag;                // 当前静态文件发送完成标志
};
 
struct sse_static_msg_body
{
    unsigned char                   m_exchange_id;                             // 交易所id
    char                            m_symbol[SSE_SYMBOL_LEN];                  // 证券代码
    unsigned int                    m_send_time;                               // 行情发送时间，时分秒毫秒
    char                            m_static_file_date[DATE_LEN];              // 静态文件日期，YYYYMMDD, 以'\0'结束
    //涨跌幅限制类型：******************************************************************************************
    // ‘ ’ (十进制数字为32)表示无定义
    // ‘N’表示交易规则（2013修订版）3.4.13规定的有涨跌幅限制类型或者权证管理办法第22条规定
    // ‘R’表示交易规则（2013修订版）3.4.15和3.4.16规定的无涨跌幅限制类型
    // ‘S’表示回购涨跌幅控制类型
    // ‘F’表示基于参考价格的涨跌幅控制
    // ‘P’表示IPO上市首日的涨跌幅控制类型
    // ‘U’表示无任何价格涨跌幅控制类型
    //******************************************************************************************
    char                            m_price_limit_type;                        // 跌涨停限制类型
    double                          m_up_limit_price;                          // 涨停价
    double                          m_down_limit_price;                        // 跌停价
    unsigned long long int          m_bid_qty_unit;                            // 买数量单位
    unsigned long long int          m_ask_qty_unit;                            // 卖数量单位
    unsigned long long int          m_limit_upper_qty;                         // 限价申报数量上限
    unsigned long long int          m_limit_lower_qty;                         // 限价申报数量下限
    double                          m_price_changge_unit;                      // 申报最小变价单位
    unsigned long long int          m_market_upper_qty;                        // 市价申报数量上限
    unsigned long long int          m_market_lower_qty;                        // 市价申报数量下限
    char                            m_security_name[SSE_SECURITY_NAME_LEN];    // 证券名称，以'\0'结束
    // *******************************************************************************************
    //     证券类型            证券子类型
    //     0            指数   0              指数
    //                         255            未分类
    //     1            股票   0              主板
    //                         1
    //                         2              创业板
    //                         3              B股
    //                         4              H股
    //                         5              科创板
    //                         255            未分类
    //     2            基金   248            LOF基金
    //                         249            ETF基金
    //                         255            未分类
    //     3            债券   248            国债
    //                         249            可转债
    //                         255            未分类
    //     4            回购   248            国债回购
    //                         255            未分类
    //     9            期权   248            股票期权
    //                         249            ETF期权
    //                         255            未分类
    //     10           其他
    // *******************************************************************************************
    unsigned char                   m_ssecurity_type;                          // 证券类型
    unsigned char                   m_sub_ssecurity_type;                      // 证券子类型
    char                            m_finance_target_mark;                     // 融资标的标志 ‘ ’ (十进制数字为32)表示无定义,‘T’表示是融资标的证券,‘F’表示不是融资标的证券。
    char                            m_ssecurity_target_mark;                   // 融券标的标志 ‘ ’ (十进制数字为32)表示无定义,‘T’表示是融资标的证券,‘F’表示不是融资标的证券。
    char                            m_product_status[SSE_PRODUCT_STATUS_LEN];  // 产品状态, 以'\0'结束
    char                            m_listing_date[DATE_LEN];                  // 上市日期，格式为YYYYMMDD, 以'\0'结束
};
 
struct sse_static_msg
{
    sse_static_msg_header           m_header;
    sse_static_msg_body             m_body;
};
 
#pragma pack(pop)