public MockOrderBook HandleOrder(ExchangeOrder incomingOrder)
{
switch (incomingOrder.Status)
{
case ExchangeOrderStatus.Canceled:
return(CancelOrder(incomingOrder));
case ExchangeOrderStatus.Pending:
return(PlaceOrder(incomingOrder));
default:
throw new Exception(string.Format("Unhandled incoming order status {0}", incomingOrder.Status));
}
}
//if the bid > ask or one and only of the orders is a market order, return the price of the transaction
//else return -1
//two birds one stone:
//allows me to know IF there was a transaction and if so, tells me what the price is
private decimal GetTransactionPrice(ExchangeOrder incomingOrder, ExchangeOrder targetOrder)
{
if (incomingOrder.OSide == targetOrder.OSide)
{
throw new ArgumentException("Cannot compute transaction price for two same-side orders");
}
if (incomingOrder.Status != ExchangeOrderStatus.Open || targetOrder.Status != ExchangeOrderStatus.Open)
{
throw new Exception("A transaction price can only be evaluated between two Open orders");
}
decimal price = -1;
if (!((incomingOrder.OType == OrderType.Market) && (targetOrder.OType == OrderType.Market)))//there is no transaction if they are two market orders
{
if (incomingOrder.OType == OrderType.Market)
{
//at this point we are sure the target order is a limit order
price = targetOrder.Price;
}
else if (targetOrder.OType == OrderType.Market)
{
//at this point we are sure the incoming order is a limit order
price = incomingOrder.Price;
}
else
{
//they are both limit orders
//we choose the price that favors the target order because it arrived first (first come best served)
if (((incomingOrder.OSide == OrderSide.Buy) && (incomingOrder.Price >= targetOrder.Price)) ||
((incomingOrder.OSide == OrderSide.Sell) && (incomingOrder.Price <= targetOrder.Price))
)
{
price = incomingOrder.Price;
}
}
}
return(price);
}
public MockOrderBook PlaceOrder(ExchangeOrder pendingOrder)
{
if (pendingOrder == null)
{
throw new ArgumentNullException("pendingOrder");
}
if (pendingOrder.Status != ExchangeOrderStatus.Pending)
{
throw new Exception(string.Format("Cannot insert order with '{0}' status in the OrderBook", pendingOrder.Status));
}
//Now the order is opened
var openOrder = pendingOrder.WithUpdatedStatus(ExchangeOrderStatus.Open);
var orders = this.Orders;
var bids = this.Bids;
var asks = this.Asks;
ImmutableSortedSet <ExchangeOrder> oppositeSideOrders = null;
ImmutableSortedSet <ExchangeOrder> sameSideOrders = null;
if (openOrder.OSide == OrderSide.Buy)
{
oppositeSideOrders = asks;
sameSideOrders = bids;
}
else
{
oppositeSideOrders = bids;
sameSideOrders = asks;
}
var matchOuput = MatchOrder(Tuple.Create(openOrder, oppositeSideOrders));
ExchangeOrder resultingOrder = matchOuput.Item1;
ImmutableSortedSet <ExchangeOrder> resultingSameSideOrders = null;
if (resultingOrder.RemainingVolume > 0)
{
resultingSameSideOrders = sameSideOrders.Add(resultingOrder);
}
else
{
resultingSameSideOrders = sameSideOrders;
}
ImmutableSortedSet <ExchangeOrder> resultingOppositeSideOrders = matchOuput.Item2;
#region update orders
var ordersBuilder = orders.ToBuilder();
ordersBuilder[resultingOrder.ID] = resultingOrder;
var oppositeSideOrdersDiff = resultingOppositeSideOrders.SymmetricExcept(oppositeSideOrders). //contains all the elements which are NOT PRESENT IN BOTH sets. for updated orders, both the old and new one will be returned
GroupBy(o => o.ID, (_, g) => g.OrderBy(o => o.RemainingVolume).FirstOrDefault()). //for changed orders, take only the latest one
ToList();
foreach (var item in oppositeSideOrdersDiff)
{
//add or update the value in dictionary
ordersBuilder[item.ID] = item;
}
#endregion
#region reconstruct bids and asks
ImmutableSortedSet <ExchangeOrder> resultingBids = null;
ImmutableSortedSet <ExchangeOrder> resultingAsks = null;
if (openOrder.OSide == OrderSide.Buy)
{
resultingBids = resultingSameSideOrders;
resultingAsks = resultingOppositeSideOrders;
}
else
{
resultingBids = resultingOppositeSideOrders;
resultingAsks = resultingSameSideOrders;
}
resultingBids = resultingBids.Where(o => o.Status == ExchangeOrderStatus.Open).ToImmutableSortedSet(OrderComparer.DescBidComparer());
resultingAsks = resultingAsks.Where(o => o.Status == ExchangeOrderStatus.Open).ToImmutableSortedSet(OrderComparer.DescAskComparer());
#endregion
//return all orders + bids and asks from which completed orders are removed
return(new MockOrderBook(this.ExchangeID,
ordersBuilder.ToImmutable(),
resultingBids,
resultingAsks));
}
