def say_hello(socket, strategy_id_bytes):
socket.send_multipart([hello_tag, strategy_id_bytes])
message_parts = poll_single_socket(socket, 1)
if message_parts:
[tag, venue_id] = message_parts
tag = int_from_bytes(tag)
venue_id = int_from_bytes(venue_id)
assert tag == order_engine_constants.STRATEGY_HELO_ACK, \
'Unexpected response to HELO: %d' % tag
return venue_id
else:
raise RuntimeError("Didn't get response to HELO from order engine"
)
def run(self, md_update, place_orders, order_first=False):
self._synchronize_market_data(md_update)
poller = zmq.Poller()
md_socket = self.md_socket
poller.register(md_socket, zmq.POLLIN)
print 'ORDER SOCKETS:', self.order_sockets
print 'ORDER SOCKET VALUES: ', self.order_sockets.values()
for order_socket in self.order_sockets.values():
poller.register(order_socket, zmq.POLLIN)
while True:
if order_first == True:
place_orders()
ready_sockets = poller.poll()
for (socket, state) in ready_sockets:
# ignore errors for now
if state == zmq.POLLERR:
print 'POLLERR on socket', socket, 'md socket = ', \
self.md_socket, 'order sockets = ', \
self.order_sockets
elif state == zmq.POLLIN:
if socket == md_socket:
msg = md_socket.recv()
bbo = spot_fx_md_1_pb2.instrument_bbo()
msg = md_socket.recv()
bbo.ParseFromString(msg)
md_update(bbo)
else:
[tag, msg] = socket.recv_multipart()
tag = int_from_bytes(tag)
self.order_manager.received_message_from_order_engine(tag,
msg)
place_orders()
def ping(socket, name=None):
t0 = time.time()
socket.send(int_to_bytes(order_engine_constants.PING))
message_parts = poll_single_socket(socket, 0.25)
if message_parts:
tag = int_from_bytes(message_parts[0])
tag == order_engine_constants.PING_ACK
return time.time() - t0
else:
if not name:
name = '<not given>'
raise RuntimeError('Timed out waiting for ping ack from %s'
% name)