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copied!<p>Here is an approach that might be more portable. Hope it helps.</p> <pre><code>public class SafeQueue<T> : Queue<T> { public T SafeDequeue() { lock (this) { return (Count > 0) ? Dequeue() : null; } } public void SafeEnqueue(T entry) { lock (this) { Enqueue(entry); } } } Task.Factory.StartNew(() => { while (true) { Iterate(); } }, TaskCreationOptions.LongRunning); private void Iterate() { bool marketDataUpdated = false; while ((Order order = ordersToRegister.SafeDequeue()) != null) { marketDataUpdated = true; // Stage1, Process } while ((var entry = aggrUpdates.SafeDequeue()) != null) { marketDataUpdated = true; // Stage1, Process } while ((var entry = commonUpdates.SafeDequeue()) != null) { marketDataUpdated = true; // Stage1, Process } while ((var entry = infoUpdates.SafeDequeue()) != null) { marketDataUpdated = true; // Stage1, Process } while ((var entry = tradeUpdates.SafeDequeue()) != null) { marketDataUpdated = true; // Stage1, Process } if (marketDataUpdated) { // Stage2 ! // make a lot of work. expensive operation. recalculate strategies, place orders etc. } } private readonly SafeQueue<Order> ordersToRegister = new SafeQueue<Order>(); private readonly SafeQueue<AggrEntry> aggrUpdates = new SafeQueue<AggrEntry>(); private readonly SafeQueue<CommonEntry> commonUpdates = new SafeQueue<CommonEntry>(); private readonly SafeQueue<InfoEntry> infoUpdates = new SafeQueue<InfoEntry>(); private readonly SafeQueue<TradeEntry> tradeUpdates = new SafeQueue<TradeEntry>(); public void RegistorOrder(object sender, Gate.RegisterOrderArgs e) { ordersToRegister.SafeEnqueue(e.order); } public void TradeUpdated(object sender, Gate.TradeArgs e) { foreach (var entry in e.entries) { tradeUpdates.SafeEnqueue(entry); } } public void InfoUpdated(object sender, Gate.InfoArgs e) { foreach (var entry in e.entries) { infoUpdates.SafeEnqueue(entry); } } public void CommonUpdated(object sender, Gate.CommonArgs e) { foreach (var entry in e.entries) { commonUpdates.SafeEnqueue(entry); } } public void AggrUpdated(object sender, Gate.AggrArgs e) { foreach (var entry in e.entries) { aggrUpdates.SafeEnqueue(entry); } } </code></pre>

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