MeowBot / q_Wind

kdb+/q interface library for Wind Quant API.

q_Wind

kdb+/q interface for Wind APIs (non-COM version)

This project provides kdb+/q support for 4 distinct sets of APIs provided by Wind Information Co., Ltd, a Chinese financial information and solutions provider:

• Wind Quant API, a Quants API that also provides some market data feeds;
• Wind TDF API, a read-time data feed API for Chinese financial market data;
  • Development suspended (prefer utilizing TDF API for any supported languages to construct feedhandler executables directly, which should be much easier than building TDF into a DLL).
• Wind TDB API, a historical database API for what is provided by TDF API at real-time;
• Wind RD Database, a Quants research database for global markets.

Wind 万得 kdb+/q 数据接口（non-COM version）

本项目提供了四个kdb+/q的接口，用于连接万得Wind几个不同的编程接口：

• Wind Quant API——量化编程接口（机构版）；
• Wind TDF API——实时市场数据流接口；
  • 暂停开发（推荐使用各种语言的TDF API直接写feedhandler程序，这样做远比把TDF封包成DLL要容易得多）
• Wind TDB API——对应TDF API的历史市场数据接口；
• Wind RD Database——量化研究数据库。

本项目是使用Visual Studio 2013编译的工程。与zwz的《WindKdb+数据及交易接口V1.1》不同，本工程对Wind Quant API的支持直接使用WindQuantData.dll的API而不须使用基于COM的WAPIWrapperCpp.dll。虽然没有使用WAPIWrapperCpp.dll，不过本接口已经把所有接数的函数封装为同步函数（WSQ/TDQ数据订阅函数除外），以方便在q程序内使用。

License

Apache License v2.0

Build

如果您使用正版的Visual Studio 2013，则本工程只需要Kx的k.h（须作少许改动）和q.lib即可编译通过。（如需运行单元测试项目Test_kdb+.util，则还额外需要c.lib和c.dll。）

如果您使用的是免费版的Visual Studio Express 2013，则本工程还额外需要Windows Driver Kit (WDK) v7.1.0中的头文件和库方可编译。为方便直接使用，压缩包里还包括了工程编译后生成的DLL（在Release目录中）。

对k.h所作的改动：

1. Lines 88–89:

    #define isnan _isnan
    #define finite _finite
   

   Comment out these two lines to avoid masking corresponding C++11 functions from MSVC 2013.

2. Line 90:

    extern double log(double);
   

   Comment out this line to avoid conflicting signature in math.h from MSVC 2013.

Change Log

• 2015.02.27
  • Initial version to support most APIs in WindQuantData.dll
• 2015.03.06
  • Initial merge into GitHub
  • Added missing support for WST function
  • Fixed problem with WSQ subscribers being not able to modify global data in q
• 2015.03–04
  • Various bug fixes
• 2015.07
  • Added support for Wind TDF/TDB APIs -- Only part of the APIs have been implemented, still work in progress...
• 2015.08
  • Suspended development for TDF API due to the lack of need
  • More complete API support for TDB
• 2015.12
  • Added simple ODBC-based wrapper for RD database
• 2016.01
  • Upgrade TDB to v3 API (on-the-wire data compression, faster access)
  • Merged multiple tick data extraction functions (TDB v3 change)
  • Added support for OHLC (a.k.a. K-line) data extraction

References

About Wind万得

• 公司：http://www.wind.com.cn
• 大奖章：http://www.dajiangzhang.com
  • http://www.dajiangzhang.com/q?32571fd0-4861-4f5b-b8e4-5d4e26b06036

About kdb+/q

• 公司：http://www.kx.com
  • Wikipedia: http://en.wikipedia.org/wiki/Q_(programming_language_from_Kx_Systems)
  • 中文介绍：http://itfin.f3322.org/opt/cgi/wiki.pl/KdbPlus
• 开源：http://code.kx.com
• GitHub: https://kxsystems.github.io