public OrderbookEvent_FillOrder(IOrder_Mutable order, double executionPrice, int volume, bool filled)
{
_order = order;
_executionPrice = executionPrice;
_volume = volume;
_filled = filled;
}
public bool flushOrder(IOrder_Mutable order)
{
_logger.DebugLog(SOURCE, "Orderbook flushOrder " + order);
IList <IOrder_Mutable> val;
if (order.isBid())
{
_bidsDict.TryGetValue(order.getPrice(), out val);
}
else
{
_asksDict.TryGetValue(order.getPrice(), out val);
}
bool result = val.Remove(order);
if (order.isBid())
{
_numBids--;
}
else
{
_numAsks--;
}
if (val.Count == 0)
{
if (order.isBid())
{
_bidsDict.Remove(order.getPrice());
_bids.Remove(order.getPrice());
}
else
{
_asksDict.Remove(order.getPrice());
_asks.Remove(order.getPrice());
}
}
return(result);
}
public OrderbookEvent_AddOrder(IOrder_Mutable order)
{
_order = order;
}
public OrderbookEvent_CancelOrder(IOrder_Mutable order)
{
_order = order;
}
// The Matcher receives an IOrderbook event of type OrderbookEvent_AddOrder
// whenever a bid or ask order is added to the Orderbook. This event is delivered
// asynchronously, thereby allowing orders to be added to the OB without agents
// needing to be written in a re-entrant manner.
public void recvOrderbookNotification(IOrderbook_Matcher ob, IOrderbookEvent evt)
{
_NumAddOrdersReceived++;
_logger.DebugLog(SOURCE, "Matcher receives " + evt);
IOrder_Mutable order = null;
if (evt is OrderbookEvent_AddOrder)
{
OrderbookEvent_AddOrder ordevt = (OrderbookEvent_AddOrder)evt;
order = ordevt.getOrder();
if (order.isFilled())
{
return;
}
// either the order is a bid
if (order.isBid())
{
do
{
if (ob.getNumAsks() > 0)
{
double p = ob.getLowestAsk();
// asks exist which can execute
// begin execution at the lowest ask
if (order.getPrice() >= p)
{
_logger.DebugLog(SOURCE, "Matcher attempts fill on " + order);
fill(order, p, ob);
}
else
{
break;
}
}
else
{
break;
}
}while (order.getVolume() > 0);
}
else // or the order is an ask
{
do
{
if (ob.getNumBids() > 0)
{
double p = ob.getHighestBid();
// bids exist which can execute
// begin execution at the higest bid
if (order.getPrice() <= p)
{
_logger.DebugLog(SOURCE, "Matcher attempts fill on " + order);
fill(order, p, ob);
}
else
{
break;
}
}
else
{
break;
}
}while (order.getVolume() > 0);
}
}
else
{
_logger.DebugLog(SOURCE, "Matcher attempts fill on " + order);
}
}
private void fill(IOrder_Mutable order, double p, IOrderbook_Matcher ob)
{
IDictionary <double, IList <IOrder_Mutable> > asksDict = ob.getAsks_Mutable();
IDictionary <double, IList <IOrder_Mutable> > bidsDict = ob.getBids_Mutable();
IList <IOrder_Mutable> orderlist;
if (!order.isBid())
{
orderlist = bidsDict[p];
}
else
{
orderlist = asksDict[p];
}
// use the dual orders at p to fill the pending order
while (orderlist != null && orderlist.Count > 0)
{
IOrder_Mutable o2 = orderlist[0];
int tradeVolume = Math.Min(o2.getVolume(), order.getVolume());
// collide o2 against the order
double executionPrice;
// symmetrized logic
if (order.isAsk())
{
// an Ask arrived
// the execution price is the Bid price (per conversation with KD)
executionPrice = o2.getPrice();
}
else
{
// a Bid arrived
// the execution price is the Ask price (per conversation with KD)
executionPrice = o2.getPrice();
}
_logger.DebugLog(SOURCE, "Matcher pairs: (A) " + order + " and (B) " + o2 + " -- tradeVol=" + tradeVolume + " price=" + executionPrice);
o2.setFilled(tradeVolume, executionPrice);
order.setFilled(tradeVolume, executionPrice);
_logger.DebugLog(SOURCE, "Matcher post trade: (A) " + order + " and (B) " + o2);
// if o2 gets filled, keep going through other orders at p
if (o2.isFilled())
{
ob.flushOrder(o2);
if (!order.isBid())
{
if (bidsDict.ContainsKey(p))
{
orderlist = bidsDict[p];
}
else
{
orderlist = null;
}
}
else
{
if (asksDict.ContainsKey(p))
{
orderlist = asksDict[p];
}
else
{
orderlist = null;
}
}
// notify o2's owner of fill
_NumFillsSent++;
_logger.DebugLog(SOURCE, "Matcher notify o2's owner of fill");
ob.notifyObserverSynchronous(new OrderbookEvent_FillOrder(o2, executionPrice, tradeVolume, true));
}
else
{
// notify o2's owener of partial fill
_NumPartialFillsSent++;
_logger.DebugLog(SOURCE, "Matcher notify o2's owner of partial fill");
ob.notifyObserverSynchronous(new OrderbookEvent_FillOrder(o2, executionPrice, tradeVolume, false));
}
// if order get filled
if (order.isFilled())
{
ob.flushOrder(order);
// notify order's owner of fill
_NumFillsSent++;
_logger.DebugLog(SOURCE, "Matcher notify o2's owner of fill");
ob.notifyObserverSynchronous(new OrderbookEvent_FillOrder(order, executionPrice, tradeVolume, true));
break;
}
else
{
// notify order's owner of partial fill
_NumPartialFillsSent++;
_logger.DebugLog(SOURCE, "Matcher notify o2's owner of partial fill");
ob.notifyObserverSynchronous(new OrderbookEvent_FillOrder(order, executionPrice, tradeVolume, false));
}
}
}
