May 26, 2016
Recently I’ve been rediscovering the fact that threading is hard. I’ve been extending the SpreadServe Addin to support Tiingo‘s IEX market data feed. Real live ticking market data is usually only found inside investment banks, brokers and big hedge funds as it takes a lot of cash and infrastructure to connect to exchanges directly or to subscribe via Reuters. Even newer internet contenders like xignite are very expensive too. Tiingo’s IEX feed provides live ticking equity top of book data at an unprecedented price point. That is an exciting new development that I want to support in SSAddin. Coding it up has renewed my appreciation of how tricky multithreaded code can be. The SSAddin is implemented in C# packaged as an XLL using ExcelDNA. As with any Excel XLL, the worksheet functions it defines are executed on the main Excel thread. If they are long running, then they’ll block the GUI. So the worksheet functions pass off their work to a background thread. This means that SSAddin can do quandl and tiingo historical data queries without blocking the main Excel thread. Query results are cached, and there’s a set of worksheet functions to pull results out of the cache. So far so good. However, adding subscriptions to Tiingo’s IEX market data adds more complexity. In .net callbacks for web socket events are dispatched on pool threads. Ticking data is pushed back into Excel via RTD. So lots of lock statements are necessary to coordinate access to the queue for passing work from the Excel thread to the background thread, and for coordinating access to subscription management data structures and the RTDServer between the background thread and the pool threads that dispatch the socket callbacks. All good fun which has prompted a few thoughts. Firstly, threading is hard! Secondly, I must get round to learning Rust and understanding the borrow checker. Thirdly, thanks heavens for lock reentrancy in .net!