public void ConsumerSubscribe(IMarketDataConsumer <T> cons)
{
//Experiment: test to see if spreading the load between two straggler handlers improves performance
/*if (!_disruptorHasStarted)
* {
* BufferEventHandler<T> newHandler = new BufferEventHandler<T>();
* newHandler.ThrowEvent += cons.NewDataHandler;
* _eventHandlers.Add(newHandler);
* }
* else
* {*/
if (_numExtraHandlersAdded % 2 == 0)
{
stragglerHandlers.Enqueue(cons);
}
else
{
stragglerHandlers2.Enqueue(cons);
}
_numExtraHandlersAdded++;
//}
}
public bool AddTradeConsumer(InstrInfo[] instruments, IMarketDataConsumer <TradeInfo> consumer)
{
string instrumentsString = Utilities.InstrToStr(instruments);
if (_tradeSubsciberDictionary.ContainsKey(instrumentsString))
{
//this implies that a dataconsumer has alread subscribed, and thus that we are
//already subscribed to this quote's feed
if (_tradeSubsciberDictionary[instrumentsString].Contains(consumer))
{
return(false);
}
else
{
_tradeSubsciberDictionary[instrumentsString].Add(consumer);
}
}
else
{
//first time we are hearing about this instrument
_tradeSubsciberDictionary[instrumentsString] = new List <IMarketDataConsumer <TradeInfo> >(5);
_tradeSubsciberDictionary[instrumentsString].Add(consumer);
SubscribeToTradeFeed(instruments);
}
return(_tradeFeed.AddTradeConsumer(instrumentsString, consumer));
}
public void ConsumerUnsubscribe(IMarketDataConsumer <T> cons)
{
if (stragglerHandlers.Contains <IMarketDataConsumer <T> >(cons))
{
lock (stragglerHandlers)
{
//WILL HAVE TO WRITE THIS EVENTUALLY
}
}
}
public void getLastSpreadQuote(InstrInfo[] instruments, IMarketDataConsumer <QuoteBook> cons)
{
Console.WriteLine(_spreadInitialQuotes.Keys.Count);
ThreadPool.QueueUserWorkItem(new WaitCallback((o) =>
{
GetSpreadQuote(instruments, cons);
}), null);
}
public bool AddTradeConsumer(string instrumentName, IMarketDataConsumer <TradeInfo> consumer)
{
if (_tradeFeedBuffers.ContainsKey(instrumentName))
{
_tradeFeedBuffers[instrumentName].ConsumerSubscribe(consumer);
return(true);
}
else
{
_tradeFeedBuffers[instrumentName] = new TradeFeedBuffer(instrumentName);
_tradeFeedBuffers[instrumentName].ConsumerSubscribe(consumer);
return(false);
}
}
public void GetSpreadQuote(InstrInfo[] instruments, IMarketDataConsumer <QuoteBook> cons)
{
if (instruments.Length > 1)
{
Console.WriteLine("Getting spread quote...");
FastOMS.Data_Structures.QuoteBook qb = new Data_Structures.QuoteBook();
while (!_spreadInitialQuotes.TryGetValue(Utilities.InstrToStr(instruments), out qb))
{
Thread.Sleep(1000);
Console.WriteLine("waiting for spread quote");
}
cons.NewDataHandler(qb);
}
}
public bool AddQuoteConsumer(string instrumentName, IMarketDataConsumer <QuoteBook> consumer)
{
if (_quoteFeedBuffers.ContainsKey(instrumentName))
{
_quoteFeedBuffers[instrumentName].ConsumerSubscribe(consumer);
return(true);
}
else
{
bool success = _quoteFeedBuffers.TryAdd(instrumentName, new QuoteFeedBuffer(instrumentName));
// _quoteFeedBuffers[instrumentName] = new QuoteFeedBuffer(instrumentName);
_quoteFeedBuffers[instrumentName].ConsumerSubscribe(consumer);
return(false);
}
}
public void RemoveTradeConsumer(InstrInfo[] instruments, IMarketDataConsumer <TradeInfo> consumer)
{
string instrumentsString = Utilities.InstrToStr(instruments);
if (_tradeSubsciberDictionary.ContainsKey(instrumentsString))
{
//this implies that a dataconsumer has alread subscribed, and thus that we are
//already subscribed to this quote's feed
if (_tradeSubsciberDictionary[instrumentsString].Contains(consumer))
{
_tradeSubsciberDictionary[instrumentsString].Remove(consumer);
if (_quoteSubsciberDictionary[instrumentsString].Count == 0)
{
//UnsubscribeFromInstrumentTrades(instruments);
_tradeFeed._tradeFeedBuffers[instrumentsString].ConsumerUnsubscribe(consumer);
}
}
}
else
{
return;
}
}
public bool AddQuoteConsumer(InstrInfo[] instruments, IMarketDataConsumer <QuoteBook> consumer)
{
Console.WriteLine("add quote consumer: " + Utilities.InstrToStr(instruments));
string instrumentsString = Utilities.InstrToStr(instruments);
if (_quoteSubsciberDictionary.ContainsKey(instrumentsString))
{
//this implies that a dataconsumer has alread subscribed, and thus that we are
//already subscribed to this quote's feed
if (_quoteSubsciberDictionary[instrumentsString].Contains(consumer))
{
return(false);
}
else
{
_quoteSubsciberDictionary[instrumentsString].Add(consumer);
}
}
else
{
//first time we are hearing about this instrument
_quoteSubsciberDictionary[instrumentsString] = new List <IMarketDataConsumer <QuoteBook> >(5);
_quoteSubsciberDictionary[instrumentsString].Add(consumer);
if (instruments.Length > 1)
{
SubscribeToSpreadQuoteFeed(instruments);
}
else
{
SubscribeToQuoteFeed(instruments);
}
}
return(_quoteFeed.AddQuoteConsumer(instrumentsString, consumer));
}
