public void CancelOrder(String id)
{
if (!OrderDict.ContainsKey(id))
{
return;
}
var orderToCancel = OrderDict[id];
if (orderToCancel.Status != OrderStatus.ON_MARKET)
{
return;
}
orderToCancel.Status = OrderStatus.CANCELED;
ulong openQuantity = orderToCancel.Quantity - orderToCancel.FilledQuantity;
OrderEntries[orderToCancel.Price].TotalQuantity -= openQuantity;
if (orderToCancel.Side == OrderSide.BUY)
{
while (OrderEntries[MaxBid].TotalQuantity == 0 && MaxBid > MinPrice)
{
MaxBid--;
}
}
else
{
while (OrderEntries[MinAsk].TotalQuantity == 0 && MinAsk < MaxPrice)
{
MinAsk++;
}
}
}
public void UpdateOrder(String orderId, OrderSide side, UInt32 price, UInt32 qty)
{
if (!OrderDict.ContainsKey(orderId))
{
return;
}
var orderToUpdate = OrderDict[orderId];
if (orderToUpdate.Status != OrderStatus.ON_MARKET)
{
return;
}
if (orderToUpdate.Type == OrderType.IOC)
{
return;
}
CancelOrder(orderId);
OrderDict.Remove(orderId);
var newOrder = new Order(side, price, qty, OrderType.GFD, orderId);
SendOrder(newOrder);
}
public void SendOrder(Order order)
{
if (!IsValid(order))
{
return;
}
if (OrderDict.ContainsKey(order.Id))
{
return;
}
OrderDict.Add(order.Id, order);
// making buy order
if (order.Side == OrderSide.BUY && order.Price < MinAsk)
{
if (order.Type == OrderType.IOC)
{
order.Status = OrderStatus.CANCELED;
return;
}
OrderEntries[order.Price].AddOrder(order);
if (order.Price > MaxBid)
{
MaxBid = order.Price;
}
order.Status = OrderStatus.ON_MARKET;
}
// making sell order
else if ((order.Side == OrderSide.SELL && order.Price > MaxBid))
{
if (order.Type == OrderType.IOC)
{
order.Status = OrderStatus.CANCELED;
return;
}
OrderEntries[order.Price].AddOrder(order);
if (order.Price < MinAsk)
{
MinAsk = order.Price;
}
order.Status = OrderStatus.ON_MARKET;
}
// taking order
else
{
TryMatch(order);
}
}
