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kraken: engine: refactor 'cancel' ordering

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Now that we have a way to reverse-lookup for cancel orders, we are not
linear in the number of active orders.
This commit is contained in:
Bruno BELANYI 2022-03-12 12:07:51 +01:00
parent acbae579b3
commit fae4a9d5c7
2 changed files with 52 additions and 22 deletions
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65
src/engine/engine.cc
View file

@ -139,47 +139,68 @@ void Engine::operator()(TradeOrder const& trade_order) {
break; break;
} }
// Record reverse-lookup info for faster cancelling
cancel_reverse_info_.insert({
{
trade_order.user,
trade_order.id,
},
{
trade_order.side,
trade_order.symbol,
trade_order.price,
},
});
listener_->on_acknowledgement(trade_order.user, trade_order.id); listener_->on_acknowledgement(trade_order.user, trade_order.id);
} }
void Engine::operator()(CancelOrder const& cancel_order) { void Engine::operator()(CancelOrder const& cancel_order) {
// Assume that the input is well-behaved,
// no duplicate (userId, userOrderId) values.
auto const matches_order = [&](auto const& data) { auto const matches_order = [&](auto const& data) {
return data.second.user == cancel_order.user return data.second.user == cancel_order.user
&& data.second.id == cancel_order.id; && data.second.id == cancel_order.id;
}; };
for (auto& [symbol, bid_map] : bids_) { if (auto it = cancel_reverse_info_.find(cancel_order);
auto const it = std::ranges::find_if(bid_map, matches_order); it != cancel_reverse_info_.end()) {
if (it != bid_map.end()) { auto const& [_, info] = *it;
// Set-up automatic call-back in case top-of-book changes
auto _ = CallbackOnTopOfBookChange(symbol, *this);
bid_map.erase(it); // Set-up automatic call-back in case top-of-book changes
listener_->on_acknowledgement(cancel_order.user, cancel_order.id); auto __ = CallbackOnTopOfBookChange(info.symbol, *this);
return;
}
}
for (auto& [symbol, ask_map] : asks_) {
auto const it = std::ranges::find_if(ask_map, matches_order);
if (it != ask_map.end()) {
// Set-up automatic call-back in case top-of-book changes
auto _ = CallbackOnTopOfBookChange(symbol, *this);
switch (info.side) {
case Side::ASK: {
auto& ask_map = asks_[info.symbol];
auto const [begin, end] = ask_map.equal_range(info.price);
auto it = std::find_if(begin, end, matches_order);
if (it == end) {
listener_->on_bad_order(cancel_order.user, cancel_order.id);
return;
}
ask_map.erase(it); ask_map.erase(it);
listener_->on_acknowledgement(cancel_order.user, cancel_order.id); break;
return;
} }
case Side::BID: {
auto& bid_map = bids_[info.symbol];
auto const [begin, end] = bid_map.equal_range(info.price);
auto it = std::find_if(begin, end, matches_order);
if (it == end) {
listener_->on_bad_order(cancel_order.user, cancel_order.id);
return;
}
bid_map.erase(it);
break;
}
}
cancel_reverse_info_.erase(it);
listener_->on_acknowledgement(cancel_order.user, cancel_order.id);
} }
listener_->on_bad_order(cancel_order.user, cancel_order.id);
} }
void Engine::operator()(FlushOrder const&) { void Engine::operator()(FlushOrder const&) {
bids_.clear(); bids_.clear();
asks_.clear(); asks_.clear();
cancel_reverse_info_.clear();
listener_->on_flush(); listener_->on_flush();
} }

9
src/engine/engine.hh
View file

@ -41,6 +41,15 @@ private:
std::map<Symbol, instrument_side_data<std::greater<void>>> bids_; std::map<Symbol, instrument_side_data<std::greater<void>>> bids_;
std::map<Symbol, instrument_side_data<std::less<void>>> asks_; std::map<Symbol, instrument_side_data<std::less<void>>> asks_;
// Map cancel information to allow faster lookups
struct CancelReverseInfo {
Side side;
Symbol symbol;
Price price;
};
std::map<CancelOrder, CancelReverseInfo> cancel_reverse_info_;
}; };
} // namespace kraken::engine } // namespace kraken::engine