并联交易软件

本文介绍了并联交易软件的处理方法，对大家解决问题具有一定的参考价值，需要的朋友们下面随着小编来一起学习吧！

问题描述

我的交易软件是很慢，我想提高它。有两个瓶颈

My trading software is pretty slow, I want to boost it. There are two bottle-necks.

第一瓶颈：

当新的数据串被接收（新的报价，交易等）的所有战略需要尽快更新。他们需要重新计算其状态/订单等。当新的数据串是准备读 AllTablesUpdated 方法被调用。然后，此方法要求每个特定的策略 AllTablesUpdated 方法。

When new bunch of data is received (new quotes, trades etc.) all strategies need to be updated asap. They need to recalculate their state/orders etc. When new bunch of data is ready to be read AllTablesUpdated method is called. This method calls then AllTablesUpdated method for each particular strategy.

     public void AllTablesUpdated()
    {
        Console.WriteLine("Start updating all tables.");

        foreach (Strategy strategy in strategies)
        {
            strategy.AllTablesUpdated();
        }
        Console.WriteLine("All tables updated in " + sw.ElapsedMilliseconds);
    }

结果推迟。有时需要0或1毫秒（这是很不错的），有时它需要8-20毫秒，但有时它需要800毫秒。

The result defers. Sometimes it takes 0 or 1 milliseconds (that's very good), sometimes it takes 8-20 milliseconds, but sometimes it takes 800 milliseconds

有两个问题与当前实施

它使用一个线程，所以不使用多核心处理器

策略。 AllTablesUpdated（）使用的共享资源，并且可以阻止了一段时间。如果某些特定的战略正在等待被释放的资源，所有其他的策略等待太（而不是可我们却不知何故推迟封锁战略，并开始处理其他策略？）

第二个瓶颈是非常相似的：

Second bottleneck is pretty similar:

    private OrdersOrchestrator()
    {
        // A simple blocking consumer with no cancellation.
        Task.Factory.StartNew(() =>
        {
            while (!dataItems.IsCompleted)
            {

                OrdersExecutor ordersExecutor = null;
                // Blocks if number.Count == 0
                // IOE means that Take() was called on a completed collection.
                // Some other thread can call CompleteAdding after we pass the
                // IsCompleted check but before we call Take. 
                // In this example, we can simply catch the exception since the 
                // loop will break on the next iteration.
                try
                {
                    ordersExecutor = dataItems.Take();
                }
                catch (InvalidOperationException) { }

                if (ordersExecutor != null)
                {
                    ordersExecutor.IssueOrders();
                }
            }
        });
    }

ordersExecutor 可以等待直到一些资源被释放。如果是这样所有其他 ordersExecutors 被封锁

ordersExecutor may wait until some resources are released. If so all other ordersExecutors are blocked.

在详细情况：每个策略包含一个 ordersExecutor ，他们使用的是共享的资源。 strategy.AllTablesUpdated（）可等待资源被释放由它的 ordersExecutor ，反之亦然。如果这种情况发生时所有其他 stretegies / ordersExecutors 是太堵了。。有超过100的策略

In details: each strategy contains one ordersExecutor, they are using shared resources. strategy.AllTablesUpdated() may wait for resources to be released by it's ordersExecutor and vice versa. If this condition occurs all others stretegies/ordersExecutors are blocked too. There are more than 100 strategies.

如何修改代码来实现：

如果有一个策略或 ordersExecutor 被阻止别人不应该被阻止？

多核处理器和可能的多处理器平台？

if one strategy or ordersExecutor is blocked others shouldn't be blocked?
use power of multi-core processors and probably multi-processors platform?

ordersExecutor

问题描述

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