private bool AddOrder(OrderTracker tracker, double price)
{
bool matched = false;
Order order = tracker.Order;
if (order.IsBuy)
{
matched = MatchBidOrder(tracker, price, Asks);
}
else
{
matched = MatchAskOrder(tracker, price, Bids);
}
if (tracker.Open != 0 && !tracker.IsImmediate)
{
if (order.IsBuy)
{
Bids.Add(price, tracker);
}
else
{
Asks.Add(price, tracker);
}
}
return(matched);
}
protected virtual bool Matches(OrderTracker inbound, double inboundPrice, int inboundOpen, OrderTracker current, double currentPrice, bool isInboundBuy)
{
if (isInboundBuy)
{
if (inboundPrice < currentPrice)
{
return(false);
}
}
else
{
if (inboundPrice > currentPrice)
{
return(false);
}
}
if (current.IsInseparable)
{
if (current.Open > inboundOpen)
{
return(false);
}
}
return(true);
}
protected virtual bool ValidateReplace(OrderTracker order, int deltaSize, double price)
{
bool sizeDecreased = deltaSize < 0;
if (sizeDecreased && (order.Open < Math.Abs(deltaSize)))
{
OnReplaceRejected(order.Order, "Insufficient open quantity", Transaction);
return(false);
}
return(true);
}
protected void CrossOrders(OrderTracker inbound, OrderTracker current)
{
int fillQuantity = Math.Min(inbound.Open, current.Open);
double crossPrice = current.Order.Price;
if (MarketOrderPrice == crossPrice)
{
crossPrice = inbound.Order.Price;
}
inbound.Fill(fillQuantity);
current.Fill(fillQuantity);
bool inboundFilled = inbound.IsFilled;
bool matchedFilled = current.IsFilled;
OnFilled(inbound.Order, current.Order, fillQuantity, crossPrice, inboundFilled, matchedFilled, Transaction);
}
public virtual bool Add(Order order, OrderConditions conditions = OrderConditions.None)
{
++Transaction;
bool matched = false;
if (!ValidateOrder(order, conditions))
{
// rejected
}
else
{
double price = SortPrice(order);
OrderTracker tracker = new OrderTracker(order, conditions);
matched = AddOrder(tracker, price);
if (matched)
{
// add tracker.Filled to OnAccepted
OnAccepted(order, Transaction, tracker.Filled);
}
else
{
OnAccepted(order, Transaction, 0);
}
if (tracker.IsImmediate && !tracker.IsFilled)
{
// cancel order, transaction
OnCanceled(order, 0, Transaction);
}
// update this, transaction
OnBookUpdated(Transaction);
}
return(matched);
}
public virtual void Replace(Order order, int deltaSize, double newPrice)
{
++Transaction;
bool matched = false;
bool found = false;
bool priceChanged = newPrice != 0 && newPrice != order.Price;
double price = (newPrice == PriceUnchanged) ? order.Price : newPrice;
if (order.IsBuy)
{
int index = FindBid(order);
if (index != -1)
{
found = true;
if (ValidateReplace(Bids.Values[index], deltaSize, price))
{
OrderTracker tracker = Bids.Values[index];
OnReplaced(order, tracker.Open, deltaSize, price, Transaction);
OnBookUpdated(Transaction);
int newOpen = tracker.Open + deltaSize;
tracker.ChangeQuantity(newOpen);
if (newOpen == 0)
{
OnCanceled(order, 0, Transaction);
Bids.RemoveAt(index);
}
else
{
matched = AddOrder(tracker, price);
Bids.RemoveAt(index);
}
}
}
}
else
{
int index = FindAsk(order);
if (index != -1)
{
found = true;
if (ValidateReplace(Asks.Values[index], deltaSize, price))
{
OrderTracker tracker = Asks.Values[index];
OnReplaced(order, tracker.Open, deltaSize, price, Transaction);
OnBookUpdated(Transaction);
int newOpen = tracker.Open + deltaSize;
tracker.ChangeQuantity(newOpen);
if (newOpen == 0)
{
OnCanceled(order, 0, Transaction);
Asks.RemoveAt(index);
}
else
{
matched = AddOrder(tracker, price);
Asks.RemoveAt(index);
}
}
}
}
if (!found)
{
OnReplaceRejected(order, "Order not found.", Transaction);
}
}
/// <summary>
/// Matches a new bid order to current asks.
/// </summary>
/// <param name="order"></param>
/// <param name="price"></param>
/// <param name="asks"></param>
/// <returns></returns>
protected virtual bool MatchBidOrder(OrderTracker order, double price, OrderList asks)
{
bool matched = false;
int matchedQuantity = 0;
int orderQuantity = order.Open;
for (int i = 0; i < asks.Count; i++)
{
if (Matches(order, price, order.Open - matchedQuantity, asks.Values[i], asks.Keys[i], true))
{
if (order.IsInseparable)
{
matchedQuantity += asks.Values[i].Open;
if (matchedQuantity >= orderQuantity)
{
matched = true;
// unwind deferred crosses
int adjustment = 0;
for (int j = 0; j < DeferredAskCrosses.Count; j++)
{
int index = DeferredAskCrosses[j] - adjustment;
CrossOrders(order, asks.Values[index]);
if (asks.Values[index].IsFilled)
{
asks.RemoveAt(index);
++adjustment;
DeferredAskCrosses.RemoveAt(j--);
}
else
{
DeferredAskCrosses[j] = index;
}
}
}
else
{
DeferredAskCrosses.Add(i);
}
}
else
{
matched = true;
}
if (matched)
{
CrossOrders(order, asks.Values[i]);
if (asks.Values[i].IsFilled)
{
asks.RemoveAt(i--);
}
if (order.IsFilled)
{
break;
}
}
}
else if (asks.Keys[i] > price)
{
break;
}
}
return(matched);
}
