public void AddOrUpdateQuote(T quote)
{
// Typically this would be in a mapper/transformer/etc. likely, but for now simply adding some formating here
quote.Price = Math.Round(quote.Price, 8);
quote.Symbol = quote.Symbol.Trim();
if (quote.ExpirationTimestamp <= 0)
{
quote.ExpirationTimestamp = quote.ExpirationDate.ToUnixTimestamp();
}
// Intent write is essentially a single writer/many readers lock mode - only one thread can enter intent-write at a time, but readers
// are not blocked at all (which is the functionality we're looking for here). Note that we never actually enter a write-lock mode, which
// would allow a single writer and nothing else to occur...
_lockManager.EnterIntentWrite(quote.Symbol);
try
{
StorageService.AddOrUpdate(quote);
}
finally
{
_lockManager.ExitIntentWrite(quote.Symbol);
}
_observer.OnAddOrUpdate(quote);
}
public ITradeResult ExecuteTrade(string symbol, uint volumeRequested, ILockManager lockManager, IQuoteStorageService <T> quoteStorageService)
{
var response = new TradeResult
{
Id = Guid.NewGuid(),
Symbol = symbol,
VolumeRequested = volumeRequested
};
double weightedSum = 0;
var originalQuotes = new List <T>();
// Intent write is essentially a single writer/many readers lock mode - only one thread can enter intent-write at a time, but readers
// are not blocked at all (which is the functionality we're looking for here). Note that we never actually enter a write-lock mode, which
// would allow a single writer and nothing else to occur...
lockManager.EnterIntentWrite(symbol);
try
{
var quotes = quoteStorageService.GetQuotesByPrice(symbol);
if (quotes == null || quotes.Count == 0)
{
return(response);
}
foreach (var quote in quotes)
{ // Candidate quote, has to pass validation predicates to be considered
if (!_quoteValidationPredicates.All(p => p(quote)))
{
continue;
}
var volumeTaken = quote.AvailableVolume >= (response.VolumeRequested - response.VolumeExecuted)
? (response.VolumeRequested - response.VolumeExecuted)
: quote.AvailableVolume;
originalQuotes.Add((T)quote.Clone());
quote.AvailableVolume -= volumeTaken;
// Mostly here to mimic what would be needed if a non-reference based storage service were to be used...
quoteStorageService.Update(quote);
weightedSum += volumeTaken * quote.Price;
response.VolumeExecuted += volumeTaken;
if (response.VolumeExecuted >= response.VolumeRequested)
{
break;
}
}
}
catch when(RevertQuotesAndReturnFalse(originalQuotes, quoteStorageService))
{ // Unreachable throw - the above when filter will revert any modified quotes and return false, just rethrowing like an unhandled exception
// without unwinding the call stack
throw;
}
finally
{
lockManager.ExitIntentWrite(symbol);
}
if (response.VolumeExecuted > 0)
{
response.VolumeWeightedAveragePrice = weightedSum / response.VolumeExecuted;
}
return(response);
}
