很抱歉,这个问题变得如此之大。我开始考虑一个简单的问题。 我有历史报价数据。我想模拟交易代理和订单代理对数据和彼此做出反应。我可以使用另一个代理来控制事件的流程,这样前两个代理就没有机会比R / T更快地对事件作出反应。 - 但这看起来太模糊了,所以我经历了
但是当我看到它时,我真的还在问......#34;你是怎么做到的?"这真的不是SO的正确格式。正如丹尼尔所指出的那样,这个问题过于宽泛,最后菲尔的暗示和良好的睡眠让我想出了一个解决方案,我将其纳入下面。希望其他人能从中获益。我对我的方法仍然不满意,但我认为我的Code Review是一个更好的发布方式。
另外,感谢SO F#社区不要将我的微薄的代表投票给遗忘!
open System
open System.IO
let src = __SOURCE_DIRECTORY__
let myPath = Path.Combine(src, "Test_data.txt")
// Create some test data
let makeTestDataFile path lineCount =
let now = System.DateTime.Now
File.WriteAllLines(path,
seq { for i in 1 .. lineCount do
let dt = now.AddSeconds(float i)
yield sprintf "%s,%d" (dt.ToString("MM/dd/yyyy hh:mm:ss.fff tt")) i })
makeTestDataFile myPath 10
感谢Phil,我来到了一个工作原型:
type MsgType =
| HistEvent of DateTime * float
| AgentEvent of DateTime * float
type DataPoint = {time:DateTime; value:float}
type Agent<'T> = MailboxProcessor<'T>
type EventTrafficAgent () =
let event = new Event<DataPoint>()
let agent = Agent.Start(fun inbox ->
let rec loop eventQue now () = async {
let! msg = inbox.Receive()
// use some form of que managment to decide
let updatedQue =
match msg with
| HistEvent (dt, v) ->
let now = max now dt // log most recent date
// check if there are any pending events that can now be sent
// if so, send and remove
let updatedQue =
eventQue
|> List.filter(fun e ->
if e.time <= now then
event.Trigger(e)
let now = e.time
printfn "\tDequeing & Sending delayed event: {time = %s, value %f}" (e.time.ToString("mm:ss.fff")) e.value
false
else
true)
// just send the historical event as these are never delayed
event.Trigger({time = dt; value = v})
updatedQue
| AgentEvent (dt, v) ->
let tm = dt.AddSeconds(1.5) // time with lag added i.e. "intended time of arrival"
let cacheIt = tm >= now
// return an updated list of cached orders
(if cacheIt then
printfn "\tAdding to delayed que: {time = %s, value %f}" (tm.ToString("mm:ss.fff")) v
{time = tm; value=v} :: eventQue
else
printfn "\tJust sending without delay: {time = %s, value %f}" (tm.ToString("mm:ss.fff")) v
event.Trigger({time = tm; value = v})
eventQue)
return! loop updatedQue now ()
}
loop List.empty<DataPoint> DateTime.MinValue () )
member x.Post msg = agent.Post msg
member x.EventProduced = event.Publish
type OrderBookAgent () =
let event = new Event<DataPoint>()
let agent = Agent.Start(fun inbox ->
let rec loop () = async {
let! (msg:DataPoint) = inbox.Receive()
if msg.value = 42. then event.Trigger({time = msg.time; value = 99.})
return! loop ()
}
loop () )
member x.Post msg = agent.Post msg
member x.Publish = event.Publish
type TradingAgent () =
let event = new Event<DataPoint>()
let agent = Agent.Start(fun inbox ->
let rec loop () = async {
let! (msg:DataPoint) = inbox.Receive()
if msg.value = 7. then event.Trigger({time = msg.time; value = 42.})
return! loop ()
}
loop () )
member x.Post msg = agent.Post msg
member x.Publish = event.Publish
type StreamData(filePath, eventMgr:EventTrafficAgent) =
let sr = new StreamReader ((filePath:string))
member x.Reply() =
async { while not sr.EndOfStream do
let line = sr.ReadLine ()
let dtVal = line.Split(char(","))
let time =DateTime.Parse (dtVal.[0])
let value = Double.Parse(dtVal.[1])
do! Async.Sleep(250) // here to allow you to see it ticking by. set to 1 for full speed
do eventMgr.Post (HistEvent(time, value))}
|> Async.StartImmediate
let eventCop = new EventTrafficAgent()
let orderBook = new OrderBookAgent()
let tradeBot = new TradingAgent()
eventCop.EventProduced.Add(fun e -> printfn "event Cop publishing {time = %s, value %3f}" (e.time.ToString("mm:ss.fff")) e.value)
eventCop.EventProduced.Add(fun e -> orderBook.Post e )
eventCop.EventProduced.Add(fun e -> tradeBot.Post e )
orderBook.Publish.Add(fun e -> eventCop.Post (AgentEvent( e.time, e.value)) )
tradeBot.Publish.Add(fun e -> eventCop.Post (AgentEvent( e.time, e.value)) )
let stream = StreamData(myPath, eventCop )
do stream.Reply()
输出
event Cop publishing {time = 26:23.265, value 3.000000}
event Cop publishing {time = 26:24.265, value 4.000000}
event Cop publishing {time = 26:25.265, value 5.000000}
event Cop publishing {time = 26:26.265, value 6.000000}
event Cop publishing {time = 26:27.265, value 7.000000}
Adding to delayed que: {time = 26:28.765, value 42.000000}
event Cop publishing {time = 26:28.265, value 8.000000}
event Cop publishing {time = 26:28.765, value 42.000000}
Dequeing & Sending delayed event: {time = 26:28.765, value 42.000000}
event Cop publishing {time = 26:29.265, value 9.000000}
Adding to delayed que: {time = 26:30.265, value 99.000000}
event Cop publishing {time = 26:30.265, value 99.000000}
Dequeing & Sending delayed event: {time = 26:30.265, value 99.000000}
event Cop publishing {time = 26:30.265, value 10.000000}
我想我唯一剩下的问题是使用像AsyncSeq&lt;&#39; T&gt;这样的东西会更好。把数据吸收到事件mgr而不是像现在这样把它推进去。
答案 0 :(得分:4)
第一次尝试并不差,我认为你几乎就在那里,有一点突出的是loop
应该定义为一个函数,即
let rec loop () = async {
^^
并且对循环的调用应该使用unit作为参数,即
do! loop ()
^^
}
loop () )
^^
最后我建议使用return!结束了!用于递归,即
return! loop ()