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kraken: engine: DRY in trade matching

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This commit is contained in:
Bruno BELANYI 2022-03-12 13:56:08 +01:00
parent bc20b1ee9a
commit 1cf45d9125
1 changed files with 19 additions and 32 deletions
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51
src/engine/engine.cc
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@ -102,6 +102,23 @@ void Engine::operator()(TradeOrder const& trade_order) {
// Set-up automatic call-back in case top-of-book changes // Set-up automatic call-back in case top-of-book changes
auto _ = CallbackOnTopOfBookChange(trade_order.symbol, *this); auto _ = CallbackOnTopOfBookChange(trade_order.symbol, *this);
// FIXME: assumes a single trade for the order
// FIXME: assumes no remaining orders on both sides
auto const do_cross = [this, &trade_order](auto const& bid_order,
auto const& ask_order,
Price matching_price) {
auto const matching_quantity
= std::min(bid_order.quantity, ask_order.quantity);
listener_->on_acknowledgement(trade_order.user, trade_order.id);
listener_->on_match(bid_order.user, bid_order.id, ask_order.user,
ask_order.id, matching_price, matching_quantity);
assert(matching_quantity == bid_order.quantity
&& "multiple matches not implemented");
assert(matching_quantity == ask_order.quantity
&& "multiple matches not implemented");
};
// NOTE: some amount of repetition/mirroring // NOTE: some amount of repetition/mirroring
switch (trade_order.side) { switch (trade_order.side) {
case Side::ASK: case Side::ASK:
@ -113,26 +130,11 @@ void Engine::operator()(TradeOrder const& trade_order) {
if (cross_behaviour_ == CrossBehaviour::REJECT) { if (cross_behaviour_ == CrossBehaviour::REJECT) {
listener_->on_rejection(trade_order.user, trade_order.id); listener_->on_rejection(trade_order.user, trade_order.id);
} else { } else {
// FIXME: assumes a single trade for the order
// FIXME: assumes no remaining orders on both sides
auto matching = bid_map.begin(); auto matching = bid_map.begin();
auto const& bid_order = matching->second; auto const& bid_order = matching->second;
auto const matching_quantity
= std::min(bid_order.quantity, trade_order.quantity);
// NOTE: Pick the asking price for matching // NOTE: Pick the asking price for matching
auto const matching_price = trade_order.price; auto const matching_price = trade_order.price;
do_cross(bid_order, trade_order, matching_price);
listener_->on_acknowledgement(trade_order.user,
trade_order.id);
listener_->on_match(bid_order.user, bid_order.id,
trade_order.user, trade_order.id,
matching_price, matching_quantity);
assert(matching_quantity == bid_order.quantity
&& "multiple matches not implemented");
assert(matching_quantity == trade_order.quantity
&& "multiple matches not implemented");
bid_map.erase(matching); bid_map.erase(matching);
} }
return; return;
@ -151,25 +153,10 @@ void Engine::operator()(TradeOrder const& trade_order) {
if (cross_behaviour_ == CrossBehaviour::REJECT) { if (cross_behaviour_ == CrossBehaviour::REJECT) {
listener_->on_rejection(trade_order.user, trade_order.id); listener_->on_rejection(trade_order.user, trade_order.id);
} else { } else {
// FIXME: assumes a single trade for the order
// FIXME: assumes no remaining orders on both sides
auto matching = ask_map.begin(); auto matching = ask_map.begin();
// NOTE: Pick the asking price for matching // NOTE: Pick the asking price for matching
auto const& [matching_price, ask_order] = *matching; auto const& [matching_price, ask_order] = *matching;
do_cross(trade_order, ask_order, matching_price);
auto const matching_quantity
= std::min(ask_order.quantity, trade_order.quantity);
listener_->on_acknowledgement(trade_order.user,
trade_order.id);
listener_->on_match(trade_order.user, trade_order.id,
ask_order.user, ask_order.id,
matching_price, matching_quantity);
assert(matching_quantity == ask_order.quantity
&& "multiple matches not implemented");
assert(matching_quantity == trade_order.quantity
&& "multiple matches not implemented");
ask_map.erase(matching); ask_map.erase(matching);
} }
return; return;