private static void ProcessOrder(Order order)
{
// Update timestamp to server time
order.Timestamp = DateTime.UtcNow;
// Try to match the order
var orderBook = _orderBooks[order.Symbol];
var matches = orderBook.Orders
.Where(bookOrder => bookOrder.OrderSide != order.OrderSide &&
(order.OrderSide == OrderSide.Buy ? bookOrder.Price <= order.Price : bookOrder.Price >= order.Price) &&
bookOrder.Quantity == order.Quantity) // TODO: temporary (remove when handle partial fills)
.OrderBy(bookOrder => bookOrder.Price)
.ThenBy(bookOrder => bookOrder.Timestamp)
.ToList();
// TODO: handle partial fills (execute some trades and put the rest of the order in the queue)
if (matches.Any())
{
// Delete from orders if matched and broadcast the trade to everyone
var match = matches.First();
orderBook.Orders.Remove(match);
BroadcastProcessedOrder(ProcessedOrder.CreateFromOrder(match));
BroadcastProcessedOrder(ProcessedOrder.CreateFromOrder(order));
}
else
{
// Put in order book if not matched
orderBook.Orders.Add(order);
BroadcastOrderAddedToOrderBook(order);
}
}
