Read incoming async messages?

Community Support
1

Hello everybody,

I’m developing a backtesting system and need some advice with KDB IPC. Here is my stack:

Process A (tick + order router): recieves data from A, recieves order commands from clients (like C), sends order commands to B.

Process B (historical feed + order engine): reads data from hdb and pushes it to the A, receives order commands from A and emulates their execution.

Process C (client, specific strategy): subscribes to data from A, to manage orders sends sync requests to A.

From the process B, I send data in portions asynchronously and flush them at the end of every portion:

/ For every 100ms time interval:

/ Async send data from current interval

while[…; (neg h) (“.u.upd”;`fut_trades__deal; …); …];

while[…; (neg h) (“.u.upd”;`opt_trades__deal; …); …];

while[…; (neg h) (“.u.upd”;`fut_common__common; …); …];

while[…; (neg h) (“.u.upd”;`opt_common__common; …); …];

while[…; (neg h) (“.u.upd”;`orders_aggr__orders_aggr; …); …];

/ Flush pending messages

neg[h];

Process A recieves this data and pushes it to C successfully. 

The hard part is when I’m trying to send async request from A to B (e.g. AddOrder) while historical feed is active (B sends a lot of data to A in the manner described earlier).

I have handlers for such requests and they are executed, but it happens only when B stops feeding A with historical data. Until then all such order management requests are queued. 

Of course, I want theese requests to be handled ASAP, at the end of every time interval, after flushing data to A.

/ …

/ Flush pending messages

neg[h];

/ Read incoming async messages, execute their handlers

???

Is it possible in KDB?

I have C++ application, which replaces process B in production system to interact with broker and there it uses a separate thread, which repeatedely calls r = k(kdbh,(S)0); to check for incoming messages. It works perfect.

Best regards,

Yury Smykalov

2

you can drain incoming messages on a handle through sending a sync request on that handle.
e.g.

h""

will block until

all queued outgoing msgs on that handle have been sent

all incoming msgs on that handle have been processed

the response msg has been received

3

Thanks a lot, Charles!

???, 30 ??? 2014 ?., 16:57:16 UTC+4 ??? Charles Skelton ???:

you can drain incoming messages on a handle through sending a sync request on that handle.
e.g.

h""

will block until

all queued outgoing msgs on that handle have been sent

all incoming msgs on that handle have been processed

the response msg has been received