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请求专家协助：使用 JSL 和 Python 在 JMP 中接收实时库存数据

我正在开展一个使用 JMP 软件接收实时股票市场数据的项目，需要您的指导。JMP 支持其脚本语言 (JSL) 和嵌入式 Python 执行，我希望利用这些功能。我的目标是从 32 位 DLL ( 库存Drv.dll ) 中捕获特定股票数据字段并将其存储在 JMP 数据表中。我已经开发了一个解决方案，但我非常感谢您的审查和建议，以确保它强大而高效。

Background

我在我:\DZH\HighLive\HighLive.EXE安装了股票数据客户端，它提供了一个 32 位 DLL ( 我:\DZH\HailiLive\StockDrv.dll )。此 DLL 通过 Windows 消息提供实时股票数据。数据采用名为RCV_REPORT_STRUCTExV3的格式构造，通过工作模式为RCV_WORK_SENDMSG （值 4）的自定义消息 ( WM_APP + 1 ) 发送。相关头文件 ( 股票走势图 ) 定义了 DLL 的接口，包括库存初始化和股票退出等关键函数以及数据结构。

我只需要以下字段：

Market: Stock market identifier (e.g., 'HS' for Shanghai).
Code: Stock code (e.g., "600050").
Name: Stock name.
Time: Transaction time.
LastClose: Previous closing price.
Open: Opening price.
High: Highest price.
Low: Lowest price.
NewPrice: Latest price.
Volume: Transaction volume.
Amount: Transaction amount.
BuyPrice1 to BuyPrice5: Five levels of bid prices.
BuyVolume1 to BuyVolume5: Five levels of bid volumes.
SellPrice1 to SellPrice5: Five levels of ask prices.
SellVolume1 to SellVolume5: Five levels of ask volumes.

自动化和脚本视窗回复：请求专家协助：使用 JSL 和 Python 在 JMP 中接收实时库存数据

数据被包装在接收数据结构中，其中m_pReportV3指向RCV_REPORT_STRUCTExV3记录数组。JSL 可以使用窥视加载 DLL 并解析二进制数据，而 Python 可以通过ctypes处理 Windows 消息循环。

Challenge

JSL 本身无法创建 Windows 消息循环，因此我集成了 Python 来管理它。DLL 使用窗口句柄和消息 ID 进行初始化，然后将数据发送到该窗口。我需要在 JSL 中解析这些数据，并使用指定的字段填充 JMP 表。

My Proposed Solution

以下是我的实现。它使用 JSL 定义表并解析数据，使用 Python 处理消息循环。我添加了注释来解释每个步骤。您能否查看并提出改进建议？

// StockReceiver.jsl

// Create a JMP data table with required columns
dt = New Table("Stock Data",
    New Column("Market", Character, Width(4)),        // Market identifier (e.g., 'HS')
    New Column("Code", Character, Width(10)),         // Stock code
    New Column("Name", Character, Width(32)),         // Stock name
    New Column("Time", Numeric, Format("yyyy-mm-dd hh:mm:ss")), // Transaction time
    New Column("LastClose", Numeric, Format("Fixed Dec", 12, 2)), // Previous close
    New Column("Open", Numeric, Format("Fixed Dec", 12, 2)),      // Opening price
    New Column("High", Numeric, Format("Fixed Dec", 12, 2)),      // Highest price
    New Column("Low", Numeric, Format("Fixed Dec", 12, 2)),       // Lowest price
    New Column("NewPrice", Numeric, Format("Fixed Dec", 12, 2)),  // Latest price
    New Column("Volume", Numeric, Format("Fixed Dec", 12, 2)),    // Volume
    New Column("Amount", Numeric, Format("Fixed Dec", 12, 2)),    // Amount
    New Column("BuyPrice1", Numeric, Format("Fixed Dec", 12, 3)), // Bid price 1
    New Column("BuyVolume1", Numeric, Format("Fixed Dec", 12, 2)),// Bid volume 1
    New Column("SellPrice1", Numeric, Format("Fixed Dec", 12, 3)),// Ask price 1
    New Column("SellVolume1", Numeric, Format("Fixed Dec", 12, 2)),// Ask volume 1
    New Column("BuyPrice2", Numeric, Format("Fixed Dec", 12, 3)), // Bid price 2
    New Column("BuyVolume2", Numeric, Format("Fixed Dec", 12, 2)),// Bid volume 2
    New Column("SellPrice2", Numeric, Format("Fixed Dec", 12, 3)),// Ask price 2
    New Column("SellVolume2", Numeric, Format("Fixed Dec", 12, 2)),// Ask volume 2
    New Column("BuyPrice3", Numeric, Format("Fixed Dec", 12, 3)), // Bid price 3
    New Column("BuyVolume3", Numeric, Format("Fixed Dec", 12, 2)),// Bid volume 3
    New Column("SellPrice3", Numeric, Format("Fixed Dec", 12, 3)),// Ask price 3
    New Column("SellVolume3", Numeric, Format("Fixed Dec", 12, 2)),// Ask volume 3
    New Column("BuyPrice4", Numeric, Format("Fixed Dec", 12, 3)), // Bid price 4
    New Column("BuyVolume4", Numeric, Format("Fixed Dec", 12, 2)),// Bid volume 4
    New Column("SellPrice4", Numeric, Format("Fixed Dec", 12, 3)),// Ask price 4
    New Column("SellVolume4", Numeric, Format("Fixed Dec", 12, 2)),// Ask volume 4
    New Column("BuyPrice5", Numeric, Format("Fixed Dec", 12, 3)), // Bid price 5
    New Column("BuyVolume5", Numeric, Format("Fixed Dec", 12, 2)),// Bid volume 5
    New Column("SellPrice5", Numeric, Format("Fixed Dec", 12, 3)),// Ask price 5
    New Column("SellVolume5", Numeric, Format("Fixed Dec", 12, 2)) // Ask volume 5
);

// Global variables for managing the receiver
global:hwnd = 0;     // Window handle
global:dll = 0;      // DLL object
global:running = 1;  // Flag to control the message loop

// Function to parse RCV_DATA and extract RCV_REPORT_STRUCTExV3 fields
ParseStockData = Function({lParam},
    // Check the data type (RCV_REPORT = 0x3f001234)
    dataType = Peek(lParam, 0, "int");
    If(dataType == 1061153620, // RCV_REPORT
        // Get number of records and pointer to report data
        packetNum = Peek(lParam, 4, "int");          // m_nPacketNum
        reportPtr = Peek(lParam, 276, "int");        // m_pReportV3 offset
        
        // Process each record
        For(i = 0, i < packetNum, i++,
            baseOffset = reportPtr + i * Peek(reportPtr, 0, "short"); // Offset based on m_cbSize
            
            // Extract fields from RCV_REPORT_STRUCTExV3
            time = Peek(baseOffset, 2, "int");       // m_time (time_t)
            market = Peek(baseOffset, 6, "short");   // m_wMarket
            code = Peek(baseOffset, 8, "char[10]");  // m_szLabel
            name = Peek(baseOffset, 18, "char[32]"); // m_szName
            lastClose = Peek(baseOffset, 50, "float"); // m_fLastClose
            open = Peek(baseOffset, 54, "float");    // m_fOpen
            high = Peek(baseOffset, 58, "float");    // m_fHigh
            low = Peek(baseOffset, 62, "float");     // m_fLow
            newPrice = Peek(baseOffset, 66, "float"); // m_fNewPrice
            volume = Peek(baseOffset, 70, "float");  // m_fVolume
            amount = Peek(baseOffset, 74, "float");  // m_fAmount
            buyPrice1 = Peek(baseOffset, 78, "float");  // m_fBuyPrice[0]
            buyPrice2 = Peek(baseOffset, 82, "float");  // m_fBuyPrice[1]
            buyPrice3 = Peek(baseOffset, 86, "float");  // m_fBuyPrice[2]
            buyPrice4 = Peek(baseOffset, 126, "float"); // m_fBuyPrice4
            buyPrice5 = Peek(baseOffset, 134, "float"); // m_fBuyPrice5
            buyVolume1 = Peek(baseOffset, 90, "float");  // m_fBuyVolume[0]
            buyVolume2 = Peek(baseOffset, 94, "float");  // m_fBuyVolume[1]
            buyVolume3 = Peek(baseOffset, 98, "float");  // m_fBuyVolume[2]
            buyVolume4 = Peek(baseOffset, 130, "float"); // m_fBuyVolume4
            buyVolume5 = Peek(baseOffset, 138, "float"); // m_fBuyVolume5
            sellPrice1 = Peek(baseOffset, 102, "float"); // m_fSellPrice[0]
            sellPrice2 = Peek(baseOffset, 106, "float"); // m_fSellPrice[1]
            sellPrice3 = Peek(baseOffset, 110, "float"); // m_fSellPrice[2]
            sellPrice4 = Peek(baseOffset, 142, "float"); // m_fSellPrice4
            sellPrice5 = Peek(baseOffset, 150, "float"); // m_fSellPrice5
            sellVolume1 = Peek(baseOffset, 114, "float"); // m_fSellVolume[0]
            sellVolume2 = Peek(baseOffset, 118, "float"); // m_fSellVolume[1]
            sellVolume3 = Peek(baseOffset, 122, "float"); // m_fSellVolume[2]
            sellVolume4 = Peek(baseOffset, 146, "float"); // m_fSellVolume4
            sellVolume5 = Peek(baseOffset, 154, "float"); // m_fSellVolume5
            
            // Convert time_t to readable format (milliseconds for JMP)
            timeStr = Format(DateTime(time * 1000), "yyyy-mm-dd hh:mm:ss");
            
            // Add row to table
            dt << Add Rows(1);
            row = N Rows(dt);
            :Market[row] = Char(market);     // Convert market code to string
            :Code[row] = code;
            :Name[row] = name;
            :Time[row] = timeStr;
            :LastClose[row] = lastClose;
            :Open[row] = open;
            :High[row] = high;
            :Low[row] = low;
            :NewPrice[row] = newPrice;
            :Volume[row] = volume;
            :Amount[row] = amount;
            :BuyPrice1[row] = buyPrice1;
            :BuyPrice2[row] = buyPrice2;
            :BuyPrice3[row] = buyPrice3;
            :BuyPrice4[row] = buyPrice4;
            :BuyPrice5[row] = buyPrice5;
            :BuyVolume1[row] = buyVolume1;
            :BuyVolume2[row] = buyVolume2;
            :BuyVolume3[row] = buyVolume3;
            :BuyVolume4[row] = buyVolume4;
            :BuyVolume5[row] = buyVolume5;
            :SellPrice1[row] = sellPrice1;
            :SellPrice2[row] = sellPrice2;
            :SellPrice3[row] = sellPrice3;
            :SellPrice4[row] = sellPrice4;
            :SellPrice5[row] = sellPrice5;
            :SellVolume1[row] = sellVolume1;
            :SellVolume2[row] = sellVolume2;
            :SellVolume3[row] = sellVolume3;
            :SellVolume4[row] = sellVolume4;
            :SellVolume5[row] = sellVolume5;
        );
        Return(1); // Message processed
    ,
        Return(0); // Unknown data type, not processed
    );
);

// Load the DLL
dll = Load DLL("I:\DZH\HailiLive\StockDrv.dll");
If(Is Empty(dll),
    Throw("Failed to load StockDrv.dll");
);
global:dll = dll;

// Run Python code to handle Windows message loop
Run Python(
    "
    import ctypes
    from ctypes import wintypes
    import jmp

    # Constants for message handling
    WM_APP = 0x8000
    My_Msg_StkData = WM_APP + 1
    RCV_REPORT = 0x3f001234

    # Windows API type definitions
    HWND = wintypes.HWND
    UINT = wintypes.UINT
    WPARAM = wintypes.WPARAM
    LPARAM = wintypes.LPARAM
    WNDPROC = ctypes.WINFUNCTYPE(ctypes.c_long, HWND, UINT, WPARAM, LPARAM)

    # Load user32.dll for Windows API calls
    user32 = ctypes.WinDLL('user32')

    # Define WNDCLASSEX structure for window registration
    class WNDCLASSEX(ctypes.Structure):
        _fields_ = [
            ('cbSize', UINT),
            ('style', UINT),
            ('lpfnWndProc', WNDPROC),
            ('cbClsExtra', ctypes.c_int),
            ('cbWndExtra', ctypes.c_int),
            ('hInstance', wintypes.HINSTANCE),
            ('hIcon', wintypes.HICON),
            ('hCursor', wintypes.HCURSOR),
            ('hbrBackground', wintypes.HBRUSH),
            ('lpszMenuName', wintypes.LPCWSTR),
            ('lpszClassName', wintypes.LPCWSTR),
            ('hIconSm', wintypes.HICON)
        ]

    # Window procedure to handle messages
    @WNDPROC
    def WndProc(hWnd, msg, wParam, lParam):
        if msg == My_Msg_StkData and wParam == RCV_REPORT:
            # Call JSL to process the data
            result = jmp.run_jsl('ParseStockData(' + str(lParam) + ');')
            return result
        return user32.DefWindowProcW(hWnd, msg, wParam, lParam)

    # Get global variables from JSL
    hInstance = ctypes.windll.kernel32.GetModuleHandleW(None)  # Current module handle
    dll = jmp.get_global('dll')                                # DLL object
    running = jmp.get_global('running')                        # Loop control flag

    # Register window class
    wcex = WNDCLASSEX()
    wcex.cbSize = ctypes.sizeof(WNDCLASSEX)
    wcex.style = 0x3  # CS_HREDRAW | CS_VREDRAW
    wcex.lpfnWndProc = WNDPROC(WndProc)
    wcex.cbClsExtra = 0
    wcex.cbWndExtra = 0
    wcex.hInstance = hInstance
    wcex.hIcon = 0
    wcex.hCursor = 0
    wcex.hbrBackground = 0
    wcex.lpszMenuName = None
    wcex.lpszClassName = 'StockDataWindow'
    wcex.hIconSm = 0
    if not user32.RegisterClassExW(ctypes.byref(wcex)):
        raise Exception('Failed to register window class')

    # Create window
    hWnd = user32.CreateWindowExW(
        0, 'StockDataWindow', 'Stock Receiver', 0,
        0, 0, 100, 100, 0, 0, hInstance, None
    )
    if not hWnd:
        raise Exception('Failed to create window')
    jmp.set_global('hwnd', hWnd)  # Store window handle in JSL

    # Initialize the DLL
    stock_init = dll.Stock_Init
    stock_init.argtypes = [HWND, UINT, ctypes.c_int]
    stock_init.restype = ctypes.c_int
    result = stock_init(hWnd, My_Msg_StkData, 4)  # 4 = RCV_WORK_SENDMSG
    if result != 1:
        raise Exception('Stock_Init failed: ' + str(result))

    # Message loop
    msg = ctypes.wintypes.MSG()
    while running[0]:
        if user32.GetMessageW(ctypes.byref(msg), 0, 0, 0) > 0:
            user32.TranslateMessage(ctypes.byref(msg))
            user32.DispatchMessageW(ctypes.byref(msg))
        else:
            break

    # Cleanup
    stock_quit = dll.Stock_Quit
    stock_quit.argtypes = [HWND]
    stock_quit.restype = ctypes.c_int
    stock_quit(hWnd)
    user32.DestroyWindow(hWnd)
    user32.UnregisterClassW('StockDataWindow', hInstance)
    print('Stock data receiver stopped')
    ",
    "Stock data receiver started"  // Output when Python starts
);

// Function to stop the receiver
StopReceiver = Function({},
    global:running = 0;  // Signal Python to exit loop
    If(global:hwnd != 0,
        Call DLL("Stock_Quit", dll, global:hwnd);  // Cleanup DLL
        global:hwnd = 0;
    );
    Write("Stock data receiver stopped.\!n");
);

// Display startup message
Write("Stock data receiver initialized. Run StopReceiver() to stop.\!n");

关键细节

• DLL函数：
  • Stock_Init（HWND hWnd，UINT Msg，int nWorkMode） ：初始化 DLL，成功时返回 1。
  • Stock_Quit(HWND hWnd) ：停止消息发送，成功时返回 1。
• 数据结构偏移：
  • 接收数据： m_pReportV3位于字节 276（在m_wDataType 、 m_nPacketNum 、 m_文件 、 磁盘管理之后）。
  • RCV_REPORT_STRUCTExV3 ：与#pragma pack(1)对齐的字段，例如m_时间为 2、 m_fBuyPrice5为 134、 m_fSellVolume5为 154。
• 执行：
  • JSL 加载 DLL 并定义表。
  • Python 创建一个窗口，初始化 DLL，并运行消息循环。
  • 消息触发解析股票数据来填充表。

您的问题

1. 使用窥视进行的二进制解析对于偏移量是否正确？我假设由于#pragma pack(1)而没有填充。
2. 消息循环是否可以针对高频数据进行优化？
3. 我是否应该添加缓冲来减少表更新（例如每 100 行）？

如果您能就潜在问题、性能增强或替代方法提供反馈，我将不胜感激。提前感谢您的专业知识！

此致敬意，谢谢专家！

回复：请求专家协助：使用 JSL 和 Python 在 JMP 中接收实时库存数据

当然我让grok3根据两段C++代码以及相关接口规范把这些内容合成过来了。

这是否可行。我诚心需要专家的帮助。

回复：请求专家协助：使用 JSL 和 Python 在 JMP 中接收实时库存数据

看起来是一个复杂的问题。
最终采用了grok3 feed方案：
使用原始 C 代码与 MinGW Installer 创建一个 32 位 EXE 来监听 32 位 DLL 以接收数据。
这样就无需安装 C++Builder XE7。
数据仍使用 64 位 JMP 处理。

谢谢专家！