private bool MatchWithOpenOrders(Order incomingOrder)
{
bool anyMatchHappend = false;
while (true)
{
Order restingOrder = _book.GetBestBuyOrderToMatch(!incomingOrder.IsBuy);
if (restingOrder == null)
{
break;
}
if ((incomingOrder.IsBuy && (restingOrder.Price <= incomingOrder.Price || incomingOrder.Price == 0)) || (!incomingOrder.IsBuy && (restingOrder.Price >= incomingOrder.Price)))
{
Price matchPrice = restingOrder.Price;
Quantity maxQuantity = 0;
if (incomingOrder.OpenQuantity > 0)
{
maxQuantity = incomingOrder.OpenQuantity >= restingOrder.OpenQuantity ? restingOrder.OpenQuantity : incomingOrder.OpenQuantity;
incomingOrder.OpenQuantity -= maxQuantity;
}
else
{
throw new Exception("not expected");
}
var cost = Math.Round(maxQuantity * matchPrice, _quoteCurrencyDecimalPlaces);
restingOrder.Cost += cost;
incomingOrder.Cost += cost;
var incomingFee = _feeProvider.GetFee(incomingOrder.FeeId);
var restingFee = _feeProvider.GetFee(restingOrder.FeeId);
restingOrder.Fee += Math.Round((cost * restingFee.MakerFee) / 100, _quoteCurrencyDecimalPlaces);
incomingOrder.Fee += Math.Round((cost * incomingFee.TakerFee) / 100, _quoteCurrencyDecimalPlaces);
bool orderFilled = _book.FillOrder(restingOrder, maxQuantity);
bool isRestingTipAdded = false;
if (orderFilled)
{
_currentOrders.Remove(restingOrder.OrderId);
if (restingOrder.CancelOn > 0)
{
RemoveGoodTillDateOrder(restingOrder.CancelOn, restingOrder.OrderId);
}
if (restingOrder.IsTip)
{
isRestingTipAdded = AddTip(restingOrder, restingOrder.Cost, restingOrder.Fee);
}
}
bool isIncomingOrderFilled = incomingOrder.IsFilled;
if (incomingOrder.IsTip == true)
{
isIncomingOrderFilled = !_currentIcebergOrders.ContainsKey(incomingOrder.OrderId);
}
bool isRestingOrderFilled = restingOrder.IsFilled && !isRestingTipAdded;
Quantity?askRemainingQuanity = null;
Quantity?askFee = null;
Quantity?bidCost = null;
Quantity?bidFee = null;
if (incomingOrder.IsBuy)
{
if (isIncomingOrderFilled)
{
bidCost = incomingOrder.Cost;
bidFee = incomingOrder.Fee;
}
if (isRestingOrderFilled)
{
askRemainingQuanity = restingOrder.OpenQuantity;
askFee = restingOrder.Fee;
}
}
else
{
if (isRestingOrderFilled)
{
bidCost = restingOrder.Cost;
bidFee = restingOrder.Fee;
}
if (isIncomingOrderFilled)
{
askRemainingQuanity = incomingOrder.OpenQuantity;
askFee = incomingOrder.Fee;
}
}
_tradeListener?.OnTrade(incomingOrder.OrderId, restingOrder.OrderId, matchPrice, maxQuantity, askRemainingQuanity, askFee, bidCost, bidFee);
_marketPrice = matchPrice;
anyMatchHappend = true;
}
else
{
break;
}
if (incomingOrder.IsFilled)
{
break;
}
}
return(anyMatchHappend);
}
public bool CheckCanFillOrder(bool isBuy, Quantity requestedQuantity, Price limitPrice)
{
return(isBuy ? CheckBuyOrderCanBeFilled(requestedQuantity, limitPrice) : CheckSellOrderCanBeFilled(requestedQuantity, limitPrice));
}
private (bool anyMatch, bool isMarketOrderLessThanStepSize) MatchWithOpenOrders(Order incomingOrder)
{
bool anyMatchHappend = false;
bool isMarketOrderLessThanStepSize = false;
while (true)
{
Order restingOrder = _book.GetBestBuyOrderToMatch(!incomingOrder.IsBuy);
if (restingOrder == null)
{
break;
}
if ((incomingOrder.IsBuy && (restingOrder.Price <= incomingOrder.Price || incomingOrder.Price == 0)) || (!incomingOrder.IsBuy && (restingOrder.Price >= incomingOrder.Price)))
{
Price matchPrice = restingOrder.Price;
Quantity maxQuantity = 0;
if (incomingOrder.Price == 0 && incomingOrder.IsBuy == true && incomingOrder.OpenQuantity == 0 && incomingOrder.OrderAmount != 0)
{
Quantity quantity = incomingOrder.OrderAmount / matchPrice;
quantity = quantity - (quantity % _stepSize);
if (quantity == 0)
{
isMarketOrderLessThanStepSize = true;
break;
}
maxQuantity = quantity >= restingOrder.OpenQuantity ? restingOrder.OpenQuantity : quantity;
var tradeAmount = decimal.Round(maxQuantity * matchPrice * _power) / _power;
if (tradeAmount == 0)
{
isMarketOrderLessThanStepSize = true;
break;
}
incomingOrder.OrderAmount -= tradeAmount;
}
else if (incomingOrder.OpenQuantity != 0)
{
maxQuantity = incomingOrder.OpenQuantity >= restingOrder.OpenQuantity ? restingOrder.OpenQuantity : incomingOrder.OpenQuantity;
incomingOrder.OpenQuantity -= maxQuantity;
}
else
{
throw new Exception("not expected");
}
bool orderFilled = _book.FillOrder(restingOrder, maxQuantity);
if (orderFilled)
{
_currentOrders.Remove(restingOrder.OrderId);
if (restingOrder.CancelOn > 0)
{
RemoveGoodTillDateOrder(restingOrder.CancelOn, restingOrder.OrderId);
}
if (restingOrder.IsTip)
{
AddTip(restingOrder);
}
}
bool isIncomingOrderFilled = incomingOrder.IsFilled;
if (incomingOrder.IsTip == true)
{
isIncomingOrderFilled = !_currentIcebergOrders.ContainsKey(incomingOrder.OrderId);
}
_tradeListener?.OnTrade(incomingOrder.OrderId, restingOrder.OrderId, matchPrice, maxQuantity, isIncomingOrderFilled);
_marketPrice = matchPrice;
anyMatchHappend = true;
}
else
{
break;
}
if (incomingOrder.IsFilled)
{
break;
}
}
return(anyMatchHappend, isMarketOrderLessThanStepSize);
}