private async Task ProcessOrdersAsync(
Order order,
IReliableDictionary <OrderQueueKey, OrderQueue> storage,
OrderQueueKey orderQueueKey,
OrderQueueKey oppositeOrderQueueKey)
{
using (var tx = _stateManager.CreateTransaction())
{
var orderQueue = await storage.GetOrAddAsync(
tx,
orderQueueKey,
new OrderQueue(order.CurrencyPair, order.Side));
var oppositeOrderQueue = await storage.GetOrAddAsync(
tx,
oppositeOrderQueueKey,
new OrderQueue(order.CurrencyPair, order.Side == Side.Buy ? Side.Sell : Side.Buy));
while (true)
{
var oppositeOrder = oppositeOrderQueue.Peek();
if (oppositeOrder == null)
{
break;
}
var matched = _ordersMatchingRule.IsMatched(order, oppositeOrder);
if (matched)
{
matched = _ordersMatchingRule.IsMatched(order, oppositeOrder);
if (matched)
{
ProcessOrders(order, orderQueue, oppositeOrder, oppositeOrderQueue);
}
else
{
// process further if some thread is here
continue;
}
}
if (order.IsClosed || !matched || oppositeOrderQueue.IsEmpty)
{
break;
}
}
await storage.AddOrUpdateAsync(tx, orderQueueKey, orderQueue, (key, old) => orderQueue);
await storage.AddOrUpdateAsync(tx, oppositeOrderQueueKey, oppositeOrderQueue, (key, old) => orderQueue);
await tx.CommitAsync();
}
}
public async Task PlaceAsync(Order order)
{
var storage = await _stateManager
.GetOrAddAsync <IReliableDictionary <OrderQueueKey, OrderQueue> >(OrdersCollectionName);
var orderQueueKey = new OrderQueueKey(order.CurrencyPair, order.Side);
var oppositeOrderQueueKey = new OrderQueueKey(order.CurrencyPair, order.Side == Side.Buy ? Side.Sell : Side.Buy);
await AddOrderAsync(order, storage, orderQueueKey);
RaiseOrderOpened(order);
await ProcessOrdersAsync(order, storage, orderQueueKey, oppositeOrderQueueKey);
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderQueue"/> class.
/// </summary>
/// <param name="currencyPair">The currency pair.</param>
/// <param name="side">The side.</param>
public OrderQueue(CurrencyPair currencyPair, Side side)
{
Key = new OrderQueueKey(currencyPair, side);
_orders = new SortedList <OrderSortedKey, Order>();
}
private async Task AddOrderAsync(Order order, IReliableDictionary <OrderQueueKey, OrderQueue> storage, OrderQueueKey orderQueueKey)
{
using (var tx = _stateManager.CreateTransaction())
{
var orderQueue = await storage.GetOrAddAsync(
tx,
orderQueueKey,
new OrderQueue(order.CurrencyPair, order.Side));
orderQueue.Add(order);
await storage.AddOrUpdateAsync(tx, orderQueueKey, orderQueue, (key, old) => orderQueue);
await tx.CommitAsync();
}
}