Disruptor.cr

An ongoing attempt at implementing the Disruptor pattern for algotrading (and other things) with crystal.

I used this ruby implementation as a guide.

Suggestions for improvements are welcome as an issue.

Installation

Add the dependency to your shard.yml:

dependencies:
  disruptor:
    github: nolantait/disruptor.cr

Run shards install

Usage

Running examples

You can run a live example using Binance websocket to stream trades using a Channel from two different streams.

To start the example run crystal examples/binance.cr

To see how the disruptor handles backpressure you can try the example crystal examples/overload.cr

Ring buffer

The disruptor pattern uses a ring buffer queue of a fixed size which manages taking messages from producers and passing them to consumers without stepping on each others toes.

require "disruptor"

# Create a disruptor queue with a length of 1024 items.
# This number must be a power of 2 to exploit performance

disruptor = Disruptor::Queue(String).new(1024)

disruptor.push "Hello"
puts disruptor.pop #=> "Hello"

Normally there is a business logic framework wrapped around these queues which lets you process everything in memory. More to be implemented soon.

Waiting strategies

Right now there are 3 waiting strategies:

WaitWithSpin

From the technical paper:

Once a producer has copied the relevant data to the claimed entry it can make it public to consumers by committing the sequence. This can be done without CAS by a simple busy spin until the other producers have reached this sequence in their own commit. Then this producer can advance the cursor signifying the next available entry for consumption. Producers can avoid wrapping the ring by tracking the sequence of consumers as a simple read operation before they write to the ring buffer.

# Spins in a while loop waiting for the cursors to sync
disruptor = Disruptor::Queue(String).new(1024, Disruptor::WaitWithSpin.new)

WaitWithYield

From the technical paper:

Consumers wait for a sequence to become available in the ring buffer before they read the entry. Various strategies can be employed while waiting. If CPU resource is precious they can wait on a condition variable within a lock that gets signalled by the producers. This obviously is a point of contention and only to be used when CPU resource is more important than latency or throughput. The consumers can also loop checking the cursor which represents the currently available sequence in the ring buffer. This could be done with or without a thread yield by trading CPU resource against latency. This scales very well as we have broken the contended dependency between the producers and consumers if we do not use a lock and condition variable. Lock free multi-producer – multi-consumer queues do exist but they require multiple CAS operations on the head, tail, size counters. The Disruptor does not suffer this CAS contention

# Yields to the fiber to allow other threads to continue
disruptor = Disruptor::Queue(String).new(1024, Disruptor::WaitWithYield.new)

WaitWithReturn

Used for running tests.

# Returns immediately (used in tests)
disruptor = Disruptor::Queue(String).new(1024, Disruptor::WaitWithReturn.new)

Development

Run benchmarks with make run_benchmarks

To test run crystal specs

Current benchmarks:

Producer/Consumer multithreading with 2 workers

                 user     system      total        real
disruptor:   0.100912   0.067791   0.168703 (  0.169126)
channels:    2.749560   0.082247   2.831807 (  1.617937)

Throughput of simple pop/push in a single thread

  spin disruptor:  21.73M ( 46.02ns) (± 3.46%)  0.0B/op   2.61× slower
 yield disruptor:  21.82M ( 45.83ns) (± 4.91%)  0.0B/op   2.60× slower
return disruptor:  21.89M ( 45.67ns) (± 7.20%)  0.0B/op   2.59× slower
           queue:  54.70M ( 18.28ns) (±12.40%)  0.0B/op   1.04× slower
           array:  56.65M ( 17.65ns) (± 7.54%)  0.0B/op        fastest

For comparison to the likely much better performance of the Java implementation see page 10 of the Disruptor Technical Paper

Pull requests and discussion are encouraged.

Contributing

Fork it (https://github.com/nolantait/disruptor.cr/fork)
Create your feature branch (git checkout -b my-new-feature)
Commit your changes (git commit -am 'Add some feature')
Push to the branch (git push origin my-new-feature)
Create a new Pull Request

Contributors

Nolan J Tait - creator and maintainer

CrystalDoc.info

disruptor