MBT 开发介绍(自动化交易)---原创

cww2 · 发表于 2009-3-14 21:20:38

使用版本是使用MBT Navigator SDK - ver 11.1.0.2
编程语言是 VC++

占个位置后面不断更新
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首先解释一下什么叫SDK，SDK的全称叫Software Development Kit，中文是软件开发工具，简单理解就是你可以通过MBT公司提供的SDK，不用通过登陆MBT给你的软件，而是用你自己写的程序就可以操作你的帐户，比如买入卖出，挂各种订单，撤销订单，等等。
他的运用只要是用于程序化交易，比如我设定 10天均线从下向上交叉26天均线交叉时买入，反之卖出，当然人不可能24小时看盘，所以当条件满足时，可以让电脑自动带你下单，入场离场等等。呵呵~~

MBT 的COM 对象有MbtCom ,MbtQuotes ,MbtHist 和MbtOrders .
MbtCom :主要是负责平台的用户名,密码的登陆,一些平台的基本信息,包括平台的警报,帐户字串等等基本信息，位于MBTSDK的顶层，是一个单体类。
MBTQuote ：提供了连接报价服务器的接口，并且可以查询到需要查询品种的当前BID，ASK价格，当然LEVEL 2报价接口也封装在这个类里面。
MbtHist ：提供查询历史数据的接口
MbtOrders ：这个比较复杂，有你的帐户的各项详细信息，你现在手上持有的单子（头寸），挂单，交易历史的信息，并且可以对这些单子进行操作的接口。

简单实例：
1。COM初始化
try // One great big try-catch block!
{
  if( FAILED(hResult = CoInitializeEx(NULL, COINIT_APARTMENTTHREADED)) )
  {
throw( (UINT)IDS_COINITFAILED );
  }
  else
  {
bOLEinited = true;
printf( "CoInitializeEx succeeded!\n" );
  }
  AfxOleInit();
  if( FAILED(m_pComMgr.CreateInstance (( __uuidof(MbtComMgr) )) ))
  {
throw( (UINT)IDS_COMMGRFAILED );
  }
  else
  {
printf( "MbtComMgr instantiation successful!\n" );
  }
2。平台登陆
m_pComMgr->EnableSplash(VARIANT_FALSE);
  // Disable all dialogs. IMPORTANT: If you do NOT supply a valid login, then
  // this line will make the app fail with no error message. It's best to
  // keep this line commented out.
  // m_pComMgr->SilentMode=VARIANT_TRUE;
  // Please enter your assigned SDK client ID into the Host ID below. You can
  // also enter your Username / Password below to circumvent the Login dialog box.
  long lHostId = 9;
  _bstr_t bstrUserName = "";
  _bstr_t bstrPassword = "";
  _bstr_t bstrHostVersion = "";
  if( m_pComMgr->DoLogin(lHostId, bstrUserName, bstrPassword, bstrHostVersion) )
  {
printf("DoLogin() succeeded!\n");
  }
  else
  {
throw( (UINT)IDS_DOLOGINFAILED );
  }
3。获得MBT登陆帐户信息
printf("OrderClient -------------------------\n");
  printf(" Remote address  : %s\n", (char*)m_pOrderClient->RemoteAddress);
  printf(" Remote port    : %d\n", m_pOrderClient->RemotePort);
  printf(" UserName       : %s\n", (char*)m_pOrderClient->UserName);
  m_pAccounts = m_pOrderClient->Accounts;
  int iCount = m_pAccounts->Count;
  printf("\n" );
  printf("We have %d account(s) ----------------\n", iCount);
  for( int i = 0; i < iCount; i++ )
  {
m_pAccount = m_pAccounts->Item;
m_pAccount->Load();
printf(" %s - %s\n", (char*)m_pAccount->Account, (char*)m_pAccount->Customer);
  }
  m_pDefaultAccount = m_pAccounts->DefaultAccount;
  printf("\n");
  if( m_pDefaultAccount )
  {
printf("DefaultAccount ----------------------\n");
printf(" Account       : %s - %s\n",
   (char*)m_pDefaultAccount->Account,
   (char*)m_pDefaultAccount->Customer);
printf(" Current BP    : %12.2f\n", m_pDefaultAccount->CurrentBP);
printf(" CurrentEquity : %12.2f\n", m_pDefaultAccount->CurrentEquity);
printf(" MorningBP    : %12.2f\n", m_pDefaultAccount->MorningBP );
printf(" MorningCash    : %12.2f\n", m_pDefaultAccount->MorningCash );
printf(" MorningEquity : %12.2f\n", m_pDefaultAccount->MorningEquity );
printf(" MornOvernightBP : %12.2f\n", m_pDefaultAccount->MornOvernightBP );
  }
  else
throw( (UINT)IDS_NODEFAULTACCOUNT );
  m_pQuotes = m_pComMgr->Quotes;
  printf("\n");
  printf("Quotes ------------------------------\n");
  printf(" Remote Address  : %s\n", (char*)m_pQuotes->RemoteAddress );
  printf(" Remote Port    : %d\n", (char*)m_pQuotes->RemotePort );
  printf(" Username       : %s\n\n", (char*)m_pQuotes->UserName );
4。查询EUR/USD报价
CConsoleQuotes qn(m_pQuotes);
  double dPrice;
  printf("Advising symbol...\n");
  if( qn.DoAdvise( _T("EUR/USD") ) )
  {
static int iMaxCBs = 9; // callbacks limit
int iMaxTime = 9000;    // milliseconds limit
printf("\n");
printf("Process callbacks until %dms timeout or %d callbacks:\n\n", iMaxTime, iMaxCBs);
// Hang out pump message loop subject to a timeout and a number of callbacks
// to get back a quote
DWORD dwStart = GetTickCount();
while( GetMessage( &msg, NULL, 0, 0 ) )
{
TranslateMessage( &msg );
DispatchMessage( &msg );
if( GetTickCount() > dwStart + iMaxTime ) // set a timeout
{
   printf("Timeout hit\n\n");
   break;
}
if( qn.GotQuote() )  // if we have a callback...
{
   // ...process it, reset our flag, and check max callback counter.
   const CurrentQuote& qt = qn.GetLastQuote();
   printf("%d.  %s  bid %g  ask %g  last %g  vol %d  tick %s\n",
   iMaxCBs, qt.sTime, qt.dBid, qt.dAsk, qt.dLast, qt.lVol, qt.eTick);
   qn.SetQuoteWaiting();
   dPrice = qt.dLast - 0.5;
   iMaxCBs--;
   if( 1 > iMaxCBs )
   {
   printf("Max callbacks received\n\n");
   break;
   }
}
}
  }
  else
throw( (UINT)IDS_DOADVISEFAILED );

5。下单买入EUR/USD
long lBuySell = VALUE_BUY;
  long lVol = 10000;
  CString sSym = "EUR/USD";
  // Arbitrary price. Should be filled in with the
  //  last price for all Market and Stop orders
  long lTIF = VALUE_GTC;
  long lOrdType = VALUE_LIMIT;
  long lVolType = VALUE_NORMAL;
  CString sRoute = "MBTX";
  BSTR bstrRetMsg = NULL; // NULL works, but still need to free below ::SysAllocString(L"");
  CString sOrder;
  sOrder.Format("Buy %d %s at $%.2f on %s\n", lVol, sSym, dPrice, sRoute);
  printf(sOrder);
  COleDateTime dDte;
  VARIANT_BOOL bSubmit = m_pOrderClient->Submit(
lBuySell,
lVol,
_bstr_t(sSym),
dPrice,
0,
lTIF,
0,
lOrdType,
lVolType,
0,
m_pDefaultAccount,
_bstr_t(sRoute),
"", 0, 0, dDte, dDte, 0, 0, 0, 0, 0,
&bstrRetMsg
  );
  if( bSubmit )
  {
printf("Order submission successful! bstrRetMsg = [%S]\n", bstrRetMsg); // wide string!
  }
  else
  {
printf("Order submission failed! bstrRetMsg = [%S]\n", bstrRetMsg); // wide string!
  }
  ::SysFreeString(bstrRetMsg);
}
catch( UINT sResID ) {
  CString sMsg;
  sMsg.LoadString(sResID);
  printf("%s\n", sMsg);
}
6。卸载COM
m_pQuotes = NULL;
m_pDefaultAccount = NULL;
m_pAccount = NULL;
m_pAccounts = NULL;
m_pOrderClient = NULL;
m_pComMgr = NULL;
if( bOLEinited )
{
  printf("Calling CoUninitialize()");
  CoUninitialize();
}
printf("\nHit ENTER key to EXIT...");
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[ 本帖最后由 cww2 于 2009-3-14 21:33 编辑 ]