private Order GetTip(Order order, Iceberg iceberg)
{
var quantity = iceberg.TipQuantity < iceberg.TotalQuantity ? iceberg.TipQuantity : iceberg.TotalQuantity;
iceberg.TotalQuantity -= quantity;
if (iceberg.TotalQuantity == 0)
{
_currentIcebergOrders.Remove(order.OrderId);
}
return(new Order {
IsBuy = order.IsBuy, Price = order.Price, OrderId = order.OrderId, IsTip = true, OpenQuantity = quantity, CancelOn = order.CancelOn, Cost = iceberg.Cost
});
}
public OrderMatchingResult AddOrder(OrderWrapper orderWrapper, bool isOrderTriggered = false)
{
var incomingOrder = orderWrapper.Order;
if (incomingOrder == null)
{
throw new ArgumentNullException(nameof(incomingOrder));
}
incomingOrder.IsTip = false;
if (incomingOrder.Price < 0 || (incomingOrder.OpenQuantity <= 0 && orderWrapper.OrderAmount == 0) || (incomingOrder.OpenQuantity == 0 && orderWrapper.OrderAmount <= 0) || orderWrapper.StopPrice < 0 || orderWrapper.TotalQuantity < 0)
{
return(OrderMatchingResult.InvalidPriceQuantityStopPriceOrderAmountOrTotalQuantity);
}
if (orderWrapper.OrderCondition == OrderCondition.BookOrCancel && (incomingOrder.Price == 0 || orderWrapper.StopPrice != 0))
{
return(OrderMatchingResult.BookOrCancelCannotBeMarketOrStopOrder);
}
if (incomingOrder.OpenQuantity % _stepSize != 0 || orderWrapper.TotalQuantity % _stepSize != 0)
{
return(OrderMatchingResult.QuantityAndTotalQuantityShouldBeMultipleOfStepSize);
}
if (orderWrapper.OrderCondition == OrderCondition.ImmediateOrCancel && (orderWrapper.StopPrice != 0))
{
return(OrderMatchingResult.ImmediateOrCancelCannotBeStopOrder);
}
if (orderWrapper.OrderCondition == OrderCondition.FillOrKill && orderWrapper.StopPrice != 0)
{
return(OrderMatchingResult.FillOrKillCannotBeStopOrder);
}
if (incomingOrder.CancelOn < 0)
{
return(OrderMatchingResult.InvalidCancelOnForGTD);
}
if (incomingOrder.CancelOn > 0 && (orderWrapper.OrderCondition == OrderCondition.FillOrKill || orderWrapper.OrderCondition == OrderCondition.ImmediateOrCancel))
{
return(OrderMatchingResult.GoodTillDateCannotBeIOCorFOK);
}
if (incomingOrder.Price == 0 && orderWrapper.OrderAmount != 0 && incomingOrder.OpenQuantity != 0)
{
return(OrderMatchingResult.MarketOrderOnlySupportedOrderAmountOrQuantityNoBoth);
}
if (orderWrapper.OrderAmount != 0 && (incomingOrder.Price != 0 || !incomingOrder.IsBuy))
{
return(OrderMatchingResult.OrderAmountOnlySupportedForMarketBuyOrder);
}
if (orderWrapper.TotalQuantity > 0)
{
incomingOrder.OpenQuantity = orderWrapper.TipQuantity;
if (orderWrapper.OrderCondition == OrderCondition.FillOrKill || orderWrapper.OrderCondition == OrderCondition.ImmediateOrCancel)
{
return(OrderMatchingResult.IcebergOrderCannotBeFOKorIOC);
}
if (orderWrapper.StopPrice != 0 || incomingOrder.Price == 0)
{
return(OrderMatchingResult.IcebergOrderCannotBeStopOrMarketOrder);
}
if (orderWrapper.TotalQuantity <= orderWrapper.TipQuantity)
{
return(OrderMatchingResult.InvalidIcebergOrderTotalQuantity);
}
}
if (_acceptedOrders.Contains(incomingOrder.OrderId))
{
return(OrderMatchingResult.DuplicateOrder);
}
_acceptedOrders.Add(incomingOrder.OrderId);
_tradeListener?.OnAccept(incomingOrder.OrderId);
if (orderWrapper.OrderAmount != 0 && orderWrapper.StopPrice != 0)
{
_orderAmount.Add(orderWrapper.Order.OrderId, orderWrapper.OrderAmount);
}
Quantity?quantity = null;
bool canBeFilled = false;
if (orderWrapper.Order.IsBuy && orderWrapper.Order.OpenQuantity == 0 && orderWrapper.StopPrice == 0)
{
var quantityAndFill = GetQuantity(orderWrapper.OrderAmount);
if (quantityAndFill.Quantity.HasValue)
{
quantity = quantityAndFill.Quantity.Value;
canBeFilled = quantityAndFill.CanFill;
}
}
var timeNow = _timeProvider.GetSecondsFromEpoch();
CancelExpiredOrders(timeNow);
if (orderWrapper.OrderCondition == OrderCondition.BookOrCancel && ((incomingOrder.IsBuy && _book.BestAskPrice <= incomingOrder.Price) || (!incomingOrder.IsBuy && incomingOrder.Price <= _book.BestBidPrice)))
{
if (orderWrapper.TotalQuantity == 0)
{
_tradeListener?.OnCancel(incomingOrder.OrderId, incomingOrder.OpenQuantity, incomingOrder.Cost, CancelReason.BookOrCancel);
}
else
{
_tradeListener?.OnCancel(incomingOrder.OrderId, orderWrapper.TotalQuantity, incomingOrder.Cost, CancelReason.BookOrCancel);
}
}
else if (orderWrapper.OrderCondition == OrderCondition.FillOrKill && orderWrapper.OrderAmount == 0 && !_book.CheckCanFillOrder(incomingOrder.IsBuy, incomingOrder.OpenQuantity, incomingOrder.Price))
{
_tradeListener?.OnCancel(incomingOrder.OrderId, incomingOrder.OpenQuantity, incomingOrder.Cost, CancelReason.FillOrKill);
}
else if (orderWrapper.OrderCondition == OrderCondition.FillOrKill && orderWrapper.OrderAmount != 0 && canBeFilled == false)
{
_tradeListener?.OnCancel(incomingOrder.OrderId, 0, 0, CancelReason.FillOrKill);
}
else if (incomingOrder.CancelOn > 0 && incomingOrder.CancelOn <= timeNow)
{
if (orderWrapper.TotalQuantity == 0)
{
_tradeListener?.OnCancel(incomingOrder.OrderId, incomingOrder.OpenQuantity, incomingOrder.Cost, CancelReason.ValidityExpired);
}
else
{
_tradeListener?.OnCancel(incomingOrder.OrderId, orderWrapper.TotalQuantity, incomingOrder.Cost, CancelReason.ValidityExpired);
}
}
else
{
if (orderWrapper.TotalQuantity > 0)
{
var iceberg = new Iceberg()
{
TipQuantity = orderWrapper.TipQuantity, TotalQuantity = orderWrapper.TotalQuantity
};
_currentIcebergOrders.Add(incomingOrder.OrderId, iceberg);
incomingOrder = GetTip(incomingOrder, iceberg);
}
if (incomingOrder.CancelOn > 0)
{
AddGoodTillDateOrder(incomingOrder.CancelOn, incomingOrder.OrderId);
}
_currentOrders.Add(incomingOrder.OrderId, incomingOrder);
if (orderWrapper.StopPrice != 0 && !isOrderTriggered && ((incomingOrder.IsBuy && orderWrapper.StopPrice > _marketPrice) || (!incomingOrder.IsBuy && (orderWrapper.StopPrice < _marketPrice || _marketPrice == 0))))
{
_book.AddStopOrder(incomingOrder, orderWrapper.StopPrice);
}
else
{
if (orderWrapper.Order.IsBuy && orderWrapper.Order.OpenQuantity == 0)
{
if (quantity.HasValue)
{
orderWrapper.Order.OpenQuantity = quantity.Value;
MatchAndAddOrder(incomingOrder, orderWrapper.OrderCondition);
}
else
{
_currentOrders.Remove(orderWrapper.Order.OrderId);
_tradeListener?.OnCancel(orderWrapper.Order.OrderId, 0, 0, CancelReason.MarketOrderNoLiquidity);
}
}
else
{
MatchAndAddOrder(incomingOrder, orderWrapper.OrderCondition);
}
}
}
return(OrderMatchingResult.OrderAccepted);
}