market_data.hpp

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#pragma once
 
#include <cstdint>
#include <cstring>
#include <string>
 
namespace fix40 {
 
constexpr size_t INSTRUMENT_ID_LEN = 32;
 
constexpr size_t EXCHANGE_ID_LEN = 16;
 
constexpr size_t DATE_LEN = 9;
 
constexpr size_t TIME_LEN = 9;
 
struct MarketData {
    // =========================================================================
    // 合约标识
    // =========================================================================
    
    char instrumentID[INSTRUMENT_ID_LEN];  
    char exchangeID[EXCHANGE_ID_LEN];      
    char tradingDay[DATE_LEN];             
    char updateTime[TIME_LEN];             
    int32_t updateMillisec;                
 
    // =========================================================================
    // 价格信息
    // =========================================================================
    
    double lastPrice;           
    double preSettlementPrice;  
    double preClosePrice;       
    double openPrice;           
    double highestPrice;        
    double lowestPrice;         
    double closePrice;          
    double settlementPrice;     
    double upperLimitPrice;     
    double lowerLimitPrice;     
    double averagePrice;        
 
    // =========================================================================
    // 成交信息
    // =========================================================================
    
    int64_t volume;             
    double turnover;            
    double openInterest;        
    double preOpenInterest;     
 
    // =========================================================================
    // 买卖盘（5档）
    // =========================================================================
    
    double bidPrice1;           
    int32_t bidVolume1;         
    double askPrice1;           
    int32_t askVolume1;         
 
    double bidPrice2;           
    int32_t bidVolume2;         
    double askPrice2;           
    int32_t askVolume2;         
 
    double bidPrice3;           
    int32_t bidVolume3;         
    double askPrice3;           
    int32_t askVolume3;         
 
    double bidPrice4;           
    int32_t bidVolume4;         
    double askPrice4;           
    int32_t askVolume4;         
 
    double bidPrice5;           
    int32_t bidVolume5;         
    double askPrice5;           
    int32_t askVolume5;         
 
    // =========================================================================
    // 构造函数
    // =========================================================================
 
    MarketData() {
        std::memset(this, 0, sizeof(MarketData));
    }
 
    void setInstrumentID(const char* id) {
        std::strncpy(instrumentID, id, INSTRUMENT_ID_LEN - 1);
        instrumentID[INSTRUMENT_ID_LEN - 1] = '\0';
    }
 
    void setExchangeID(const char* id) {
        std::strncpy(exchangeID, id, EXCHANGE_ID_LEN - 1);
        exchangeID[EXCHANGE_ID_LEN - 1] = '\0';
    }
 
    void setTradingDay(const char* day) {
        std::strncpy(tradingDay, day, DATE_LEN - 1);
        tradingDay[DATE_LEN - 1] = '\0';
    }
 
    void setUpdateTime(const char* time) {
        std::strncpy(updateTime, time, TIME_LEN - 1);
        updateTime[TIME_LEN - 1] = '\0';
    }
 
    std::string getInstrumentID() const {
        return std::string(instrumentID);
    }
 
    std::string getExchangeID() const {
        return std::string(exchangeID);
    }
};
 
// 静态断言确保 trivially copyable 特性（可安全用于无锁队列）
static_assert(std::is_trivially_copyable<MarketData>::value, 
              "MarketData must be trivially copyable for lock-free queue");
 
} // namespace fix40