{{Quickfixn}} Crack Message from String

[James A. Smith]

In .net 4.0 I was able to use:

 

BlockingCollection<QuickFix.FIX42.Message> blockingCollection = new
BlockingCollection<QuickFix.FIX42.Message>();

 

As a thread safe FIFO queue.  My OnMessage() would simply put a message
on the queue.  And for processing the queue it's simply a foreach loop:

 

foreach (QuickFix.FIX42.Message message in
blockingCollection.GetConsumingEnumerable())

{

                ...process each message

}

 

From: quickfixn-bounces at lists.quickfixn.com
[mailto:quickfixn-bounces at lists.quickfixn.com] On Behalf Of Phillip Wei
Sent: Monday, November 04, 2013 2:43 PM
To: Mailing list for QuickFIX/n
Subject: Re: {{Quickfixn}} Crack Message from String

 

Mike's answer seems right.

 

I would consider using the TPL Dataflow package (if you can) instead of
an explicit MessageQueue to consume the messages on a seperate task
(http://msdn.microsoft.com/en-us/library/hh228601(v=vs.110).aspx).  This
seems like it would be easier (and maybe more performant).

 

Phil

 

From: quickfixn-bounces at lists.quickfixn.com
[mailto:quickfixn-bounces at lists.quickfixn.com] On Behalf Of Mike Gatny
Sent: Monday, November 04, 2013 2:28 PM
To: Mailing list for QuickFIX/n
Subject: Re: {{Quickfixn}} Crack Message from String

 

The usual way to do this is to have your OnMessage callbacks do nothing
but put a copy of the msg onto a queue for later processing.  I.e.
similar to what you are doing, but you let QF do the parsing for you
before you do the queueing.  That should be doable at way faster than
60/sec.  Not sure if anyone has any QF/n perf numbers lying around...  

Anyway, in general you want to return from the QF callbacks asap,
otherwise you are blocking its processing thread.

On Nov 4, 2013 1:10 PM, "Gaull, James" <JGaull at ftportfolios.com> wrote:

Thank you very much for your reply.  I will look into getting this to
work with a FIX42.Message.

 

If it's not out of scope for this forum, I'd like to explain my thought
process behind using the message queue.  I need to be able to receive
about 1000 messages per second through my C# application from the FIX
hub we're using but I don't have a requirement to process all of these
messages that quickly.  I started out by writing code to process the
execution report messages in the FromApp function but found that I was
only able to process about 60 messages per second which was unacceptable
since it will slow down the FIX hub.  My thought was that if my
FromAdmin function just writes the FIX messages to a queue, I could then
have another process pop these FIX messages off the queue and I could
process them without slowing down the FIX hub.

 

Maybe I'm overthinking this.  I'd really be interested in hearing how
others are delegating the processing of the messages so they're not
slowing down the receiving of messages.  But I understand this may be
out of scope for this forum.

 

From: quickfixn-bounces at lists.quickfixn.com
[mailto:quickfixn-bounces at lists.quickfixn.com] On Behalf Of Mike Gatny
Sent: Monday, November 04, 2013 10:53 AM
To: Mailing list for QuickFIX/n
Subject: Re: {{Quickfixn}} Crack Message from String

 

The cracker delegates to OnMessage using the (C#) Type of the Message.
So you need to create a FIX42.Message instead of a Message in order for
your call to crack() to work.  See line 505 of Session.cs in the master
branch to see how QF itself does this.


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