quantconnect--lean/Brokerages/BrokerageConcurrentMessageHandler.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System;
using System.Threading;
using QuantConnect.Logging;
using System.Collections.Generic;

namespace QuantConnect.Brokerages
{
    /// <summary>
    /// Brokerage helper class to lock message stream while executing an action, for example placing an order
    /// </summary>
    public class BrokerageConcurrentMessageHandler<T> where T : class
    {
        private readonly Action<T> _processMessages;
        private readonly Queue<T> _messageBuffer;
        private readonly object _streamLocked;

        /// <summary>
        /// Creates a new instance
        /// </summary>
        /// <param name="processMessages">The action to call for each new message</param>
        public BrokerageConcurrentMessageHandler(Action<T> processMessages)
        {
            _processMessages = processMessages;
            _messageBuffer = new Queue<T>();
            _streamLocked = new object();
        }

        /// <summary>
        /// Will process or enqueue a message for later processing it
        /// </summary>
        /// <param name="message">The new message</param>
        public void HandleNewMessage(T message)
        {
            lock (_messageBuffer)
            {
                if (Monitor.TryEnter(_streamLocked))
                {
                    try
                    {
                        ProcessMessages(message);
                    }
                    finally
                    {
                        Monitor.Exit(_streamLocked);
                    }
                }
                else
                {
                    if (message != default)
                    {
                        // if someone has the lock just enqueue the new message they will process any remaining messages
                        // if by chance they are about to free the lock, no worries, we will always process first any remaining message first see 'ProcessMessages'
                        _messageBuffer.Enqueue(message);
                    }
                }
            }
        }

        /// <summary>
        /// Lock the streaming processing while we're sending orders as sometimes they fill before the call returns.
        /// </summary>
        public void WithLockedStream(Action code)
        {
            Monitor.Enter(_streamLocked);
            try
            {
                code();
            }
            finally
            {
                // once we finish our 'code' we will process any message that come through,
                // to make sure no message get's left behind (race condition between us finishing 'ProcessMessages'
                // and some message being enqueued to it, we just take a lock on the buffer
                lock (_messageBuffer)
                {
                    // we release the '_streamLocked' first so by the time we release '_messageBuffer' any new message is processed immediately and not enqueued
                    Monitor.Exit(_streamLocked);
                    ProcessMessages();
                }
            }
        }

        /// <summary>
        /// Process any pending message and the provided one if any
        /// </summary>
        /// <remarks>To be called owing the stream lock</remarks>
        private void ProcessMessages(T message = null)
        {
            try
            {
                // double check there isn't any pending message
                while (_messageBuffer.TryDequeue(out var e))
                {
                    _processMessages(e);
                }

                if (message != null)
                {
                    _processMessages(message);
                }
            }
            catch (Exception e)
            {
                Log.Error(e);
            }
        }
    }
}