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207 lines
8.7 KiB
207 lines
8.7 KiB
10 months ago
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/*****************************************************************************
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* Copyright [2019]
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at
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* http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*****************************************************************************/
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#ifndef CPPSRC_STARQUANT_DATA_TICKWRITER_H_
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#define CPPSRC_STARQUANT_DATA_TICKWRITER_H_
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#include <Common/config.h>
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#include <Common/util.h>
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#include <Common/datastruct.h>
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#include <APIs/Ctp/ThostFtdcUserApiDataType.h>
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#include <APIs/Ctp/ThostFtdcUserApiStruct.h>
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#include <APIs/Tap/TapQuoteAPIDataType.h>
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#include <APIs/Tap/TapAPICommDef.h>
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// #include <bson.h>
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// #include <bson/bcon.h>
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#include <bson/bson.h>
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#include <mongoc.h>
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#include <time.h>
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#include <condition_variable>
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#include <mutex>
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#include <vector>
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#include <string>
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using std::mutex;
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//////////////////////////////////////////////////////////////////////////
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// tick recorder
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//////////////////////////////////////////////////////////////////////////
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namespace StarQuant {
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struct TickWriter {
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int32_t bufSize;
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FILE* fp = nullptr;
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int32_t count = 0; // length of string in the buffer
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char* head = nullptr; // = raiibuf.get();
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// mongodb writer
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// mongoc_client_t *client;
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// mongoc_database_t *database;
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// mongoc_collection_t *collection;
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// bson_t *command, reply, *insert;
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bson_error_t error;
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mongoc_client_pool_t *pool;
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mongoc_uri_t *uri;
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TickWriter() {
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bufSize = 1024;
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head = new char[bufSize];
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mongoc_init();
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uri = mongoc_uri_new("mongodb://localhost:27017");
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pool = mongoc_client_pool_new(uri);
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// client = mongoc_client_new ("mongodb://localhost:27017");
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// database = mongoc_client_get_database (client, "findata");
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}
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~TickWriter() {
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if (fp) {
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fwrite(head, sizeof(char), count, fp);
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fflush(fp);
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fclose(fp);
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}
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delete[] head;
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// mongoc_collection_destroy (collection);
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// mongoc_database_destroy (database);
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// mongoc_client_destroy (client);
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mongoc_client_pool_destroy(pool);
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mongoc_uri_destroy(uri);
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mongoc_cleanup();
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}
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void put(const string& _str) {
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if (!_str.empty()) {
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char tmp[512] = {};
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// sprintf(tmp, "%lu@%s\n", getMicroTime(), _str.c_str());
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sprintf(tmp, "%s @%s\n", ymdhmsf().c_str(), _str.c_str());
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uint32_t strsize = strlen(tmp); // + 1;
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uint32_t required_buffer_len = count + strsize;
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if (required_buffer_len > bufSize) {
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size_t r = fwrite(head, sizeof(char), count, fp);
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// printf("write files\n");
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if (r == count) {
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memcpy(head, tmp, strsize * sizeof(char));
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count = strsize;
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fflush(fp);
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return;
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} else {
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// error
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// http://www.cplusplus.com/reference/cstdio/fwrite/
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}
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}
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memcpy(head + count, tmp, strsize * sizeof(char));
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count = required_buffer_len;
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}
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}
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void insertdb(const string& _str) {
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if (!_str.empty()) {
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vector<string> vs = stringsplit(_str, SERIALIZATION_SEPARATOR);
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if ((MSG_TYPE)(atoi(vs[0].c_str())) == MSG_TYPE::MSG_TYPE_TICK_L1) {
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vector<string> fullsym = stringsplit(vs[1], ' ');
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string collectionname = fullsym[2];
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mongoc_client_t *client = mongoc_client_pool_pop(pool);
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mongoc_collection_t *collection = mongoc_client_get_collection (client, "findata", collectionname.c_str());
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bson_t *doc = bson_new();
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BSON_APPEND_UTF8(doc, "contractno", fullsym[3].c_str());
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BSON_APPEND_DATE_TIME(doc, "datetime", string2unixtimems(vs[2]) + 8*3600000);
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BSON_APPEND_DOUBLE(doc, "price", atof(vs[3].c_str()));
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BSON_APPEND_INT32(doc, "size", atoi(vs[4].c_str()));
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BSON_APPEND_DOUBLE(doc, "bidprice1", atof(vs[5].c_str()));
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BSON_APPEND_INT32(doc, "bidsize1", atoi(vs[6].c_str()));
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BSON_APPEND_DOUBLE(doc, "askprice1", atof(vs[7].c_str()));
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BSON_APPEND_INT32(doc, "asksize1", atoi(vs[8].c_str()));
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BSON_APPEND_INT32(doc, "openinterest", atoi(vs[9].c_str()));
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BSON_APPEND_INT32(doc, "dominant", 0);
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// BSON_APPEND_DOUBLE(doc, "upperLimit", atof(vs[14].c_str()));
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// BSON_APPEND_DOUBLE(doc, "lowerLimit", atof(vs[15].c_str()));
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// 将bson文档插入到集合
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if (!mongoc_collection_insert(collection, MONGOC_INSERT_NONE, doc, NULL, &error)) {
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fprintf(stderr, "Count failed: %s\n", error.message);
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}
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bson_destroy(doc);
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mongoc_collection_destroy(collection);
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mongoc_client_pool_push(pool, client);
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} else if ((MSG_TYPE)(atoi(vs[0].c_str())) == MSG_TYPE::MSG_TYPE_TICK_L5) {
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// Tick_L5 k;
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// k.fullsymbol_ = vs[1];
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// k.time_ = vs[2];
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// k.price_ = atof(vs[3].c_str());
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// k.size_ = atoi(vs[4].c_str());
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// k.depth_ = 5;
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// k.bidprice_L1_ = atoi(vs[5].c_str());
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// k.bidsize_L1_ = atoi(vs[6].c_str());
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// k.askprice_L1_ = atoi(vs[7].c_str());
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// k.asksize_L1_ = atoi(vs[8].c_str());
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// k.bidprice_L2_ = atoi(vs[9].c_str());
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// k.bidsize_L2_ = atoi(vs[10].c_str());
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// k.askprice_L2_ = atoi(vs[11].c_str());
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// k.asksize_L2_ = atoi(vs[12].c_str());
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// k.bidprice_L3_ = atoi(vs[13].c_str());
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// k.bidsize_L3_ = atoi(vs[14].c_str());
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// k.askprice_L3_ = atoi(vs[15].c_str());
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// k.asksize_L3_ = atoi(vs[16].c_str());
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// k.bidprice_L4_ = atoi(vs[17].c_str());
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// k.bidsize_L4_ = atoi(vs[18].c_str());
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// k.askprice_L4_ = atoi(vs[19].c_str());
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// k.asksize_L4_ = atoi(vs[20].c_str());
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// k.bidprice_L5_ = atoi(vs[21].c_str());
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// k.bidsize_L5_ = atoi(vs[22].c_str());
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// k.askprice_L5_ = atoi(vs[23].c_str());
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// k.asksize_L5_ = atoi(vs[24].c_str());
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// k.open_interest = atoi(vs[25].c_str());
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// k.open_ = atoi(vs[26].c_str());
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// k.high_ = atoi(vs[27].c_str());
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// k.low_ = atoi(vs[28].c_str());
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// k.pre_close_ = atoi(vs[29].c_str());
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// k.upper_limit_price_ = atoi(vs[30].c_str());
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// k.lower_limit_price_ = atoi(vs[31].c_str());
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}
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}
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}
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void insertdb(const Tick& k){
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vector<string> fullsym = stringsplit(k.fullSymbol_, ' ');
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string collectionname = fullsym[2];
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mongoc_client_t *client = mongoc_client_pool_pop(pool);
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mongoc_collection_t *collection = mongoc_client_get_collection (client, "findata", collectionname.c_str());
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bson_t *doc = bson_new();
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BSON_APPEND_UTF8(doc, "contractno", fullsym[3].c_str());
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BSON_APPEND_DATE_TIME(doc, "datetime", string2unixtimems(k.time_) + 8*3600000);
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BSON_APPEND_DOUBLE(doc, "price", k.price_);
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BSON_APPEND_INT32(doc, "size", k.size_);
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BSON_APPEND_DOUBLE(doc, "bidprice1", k.bidPrice_[0]);
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BSON_APPEND_INT32(doc, "bidsize1", k.bidSize_[0]);
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BSON_APPEND_DOUBLE(doc, "askprice1", k.askPrice_[0]);
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BSON_APPEND_INT32(doc, "asksize1", k.askSize_[0]);
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BSON_APPEND_INT32(doc, "openinterest", k.openInterest_);
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BSON_APPEND_INT32(doc, "dominant", 0);
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// BSON_APPEND_DOUBLE(doc, "upperLimit", k.upper_limit_price_);
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// BSON_APPEND_DOUBLE(doc, "lowerLimit", k.lower_limit_price_);
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if (!mongoc_collection_insert(collection, MONGOC_INSERT_NONE, doc, NULL, &error)) {
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cout << "insert mongodb failed, errormsg = " << error.message;
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}
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bson_destroy(doc);
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mongoc_collection_destroy(collection);
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mongoc_client_pool_push(pool, client);
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}
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};
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} // namespace StarQuant
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#endif // CPPSRC_STARQUANT_DATA_TICKWRITER_H_
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