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 _synchronize_market_data(self, md_update, wait_time=0.5):
"""For a short period only receive market data without taking any
actions. Every time a new piece of market data arrives,
parse it and call 'md_update' with the parsed struct
"""
logging.debug('Synchronizing market data')
poller = zmq.Poller()
poller.register(self.md_socket, zmq.POLLIN)
start_time = time.time()
while time.time() < start_time + wait_time:
ready_sockets = dict(poller.poll(1000))
if ready_sockets.get(self.md_socket) == zmq.POLLIN:
bbo = spot_fx_md_1_pb2.instrument_bbo()
msg = self.md_socket.recv()
bbo.ParseFromString(msg)
md_update(bbo)
print 'Waited', wait_time, 'seconds, entering main loop'
