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doc: talk about improvements to matching
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Bruno BELANYI 2022-03-13 18:01:50 +01:00
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@ -87,10 +87,18 @@ displays its output as it comes along), etc...
The logic used when trade matching is enabled is pretty limited: it wasn't clear The logic used when trade matching is enabled is pretty limited: it wasn't clear
to me what to do when either of the orders have left-over quantities to be to me what to do when either of the orders have left-over quantities to be
fulfilled. More explicit instructions on this point would lead to the removal of fulfilled. More explicit instructions on this point would lead to the removal of
the final `FIXME`s in the code. the final `FIXME`s and `assert`s in the code.
I have added explicit test files of those cases in `data/invalid`.
##### Picking prices
Another improvement that is specific to trade matching would be scripting the
behaviour when bid/ask prices are not exactly equal when matching trades: the
current behaviour is to always use the asking price. One could imagine wanting
to use bid price, or crossing order
price, or the average (weighted by quantity?) of both prices, etc...
Related to that point, the matching functionality should be tested further,
rather than just using the two provided examples.
#### Cancelling orders #### Cancelling orders