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PostPosted: Wed May 16, 2018 4:17 am 
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Joined: Tue May 15, 2018 1:33 am
Posts: 8
Hi, Dear Alexei Kurov, Dr. Anton Fokin
I am trying the OpenQuant 2014. But I am confused about the thread model. Could you please give me a Clarification?
We know that the event handlers are invoked allways in the same thread. So the strategy is thread safe. How about the requests from strategy to Providers? For example there two strategys send multi orders to same ExecutionProvider concurrently. Do we need add synchronizing code in the ExecutionProvider?


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PostPosted: Wed May 16, 2018 10:54 am 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6810
Hi,

orders go directly to order execution provider with

order.Provider.Send(command);

call in the OrderManager.

If there is a lock / order queue in the particular execution provider, then this call can be thread safe and concurrent.

On the other hand you send orders from event handlers (like OnBar) in strategies in a startegy tree, which are triggered sequentially. Which means there should be no conncurrency if you send orders from different strategies in one strategy tree.

Regards,
Anton


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