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Using MathLink to Communicate between Mathematica Sessions

LinkCreate["name"]create a link for another program to connect to
LinkConnect["name"]connect to a link created by another program
LinkClose[link]close a MathLink connection
LinkWrite[link,expr]write an expression to a MathLink connection
LinkRead[link]read an expression from a MathLink connection
LinkRead[link,Hold]read an expression and immediately wrap it with Hold
LinkReadyQ[link]find out whether there is data ready to be read from a link
LinkReadyQ[link,t]wait for up to t seconds to see if an expression becomes ready to read
LinkReadyQ[{link1,link2,...}]find out whether there is data ready to be read from one of the links
LinkReadyQ[{link1,link2,...},t]wait for up to t seconds to see if an expression becomes ready to read

MathLink connections between Mathematica sessions.

Session A
This starts up a link on port number 8000.
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Session B
This connects to the link on port 8000.
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Session A
This evaluates and writes it to the link.
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Session B
This reads from the link, getting the that was sent.
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This writes data back on the link.
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Session A
And this reads the data written in session B.
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One use of MathLink connections between Mathematica sessions is simply as a way to transfer data without using intermediate files.
Another use is as a way to dispatch different parts of a computation to different sessions.
Session A
This writes the expression without evaluating it.
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Session B
This reads the expression from the link, immediately wrapping it in Hold.
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This evaluates the expression.
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When you call LinkWrite, it writes an expression to the MathLink connection and immediately returns. But when you call LinkRead, it will not return until it has read a complete expression from the MathLink connection.
You can tell whether anything is ready to be read by calling LinkReadyQ[link]. If LinkReadyQ returns True, then you can safely call LinkRead and expect immediately to start reading an expression. But if LinkReadyQ returns False, then LinkRead would block until an expression for it to read had been written by a LinkWrite in your other Mathematica session.
Session A
There is nothing waiting to be read on the link, so if LinkRead were to be called, it would block.
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Session B
This writes an expression to the link.
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Session A
Now there is an expression waiting to be read on the link.
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LinkRead can thus be called without fear of blocking.
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LinkReadyQ can take a list of link objects, evaluating each link in parallel to determine if there is data to read. As in the case of a single link, a second argument specifies a time out period, causing LinkReadyQ to wait until one of the links is ready to use.
LinkCreate[LinkProtocol->"TCPIP"]pick any unused port on your computer
use a specific port
connect to a port on the same computer
connect to a port on another computer

Ways to set up MathLink links over TCP/IP.

MathLink can use whatever mechanism for interprogram communication your computer system supports. In setting up connections between concurrent Mathematica sessions, a common mechanism is internet TCP ports.
Most computer systems have a few thousand possible numbered ports, some of which are typically allocated to standard system services.
You can use any of the unallocated ports for MathLink connections.
Session on
This finds an unallocated port on .
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Session on
This connects to the port on .
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This sends the current machine name over the link.
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Session on
This reads the expression written on .
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By using internet ports for MathLink connections, you can easily transfer data between Mathematica sessions on different machines. All that is needed is that an internet connection exists between the machines.
Note that because MathLink is completely system independent, the computers at each end of a MathLink connection do not have to be of the same type. MathLink nevertheless notices when they are, and optimizes data transmission in this case.