Question

I am working on designing trade system using Java Realtime ( Sun JRTS 2.2 ) and would like to few questions about best practices, because I am afraid of inventing the wheel and pretty sure that my task was already solved.

So I have thread that continuously reading the socket, parsing bytes and extracting messages (binary protocol ). Afterwards, I should send messages to the algorithm, that actually does some calculation and make decision to trade or not.

So I think the way I should design this system is to split it into 2 parts. Producer ( periodic(?) Realtime thread that extracts bytes from socket, parse it ) and Consumer ( Realtime thread (periodic/sporadic?) that extracts messages from producer, manipulates with them etc ).

So the first question is how to design high performance communication between these 2 threads ( producer/consumer )? Also I would love to hear the comments about the existing experience in designing such systems, advices and etc.

Thank you for your help!

Answer 1

I am working with a similar problem but in a different domain:

Here is how I dealt with that:

public class Producer extends Thread{
   private BlockingQueue<E> consumerQueue = null;
   public setConsumerQueue(BlockingQueue<E> val){
      consumerQueue = val;
   }
   // main method where data is received from socket...
   public void run(){
      while(!interrupted()){
           data = socket.receive();// Receive data
           if(consumerQueue!=null) consumerQueue.offer(data);
      }
   }
}

public class Consumer extends Thread{
   private BlockingQueue<E> consumerQueue = new BlockingQueue<E>();
   public Consumer (Producer val){
      val.setConsumerQueue(consumerQueue);
   }
   public void run(){
      while(!interrupted()){
           data = consumerQueue.take();// block until there is data from producer
           if(data !=null) processData(data);
      }
   }
}