doc: talk about improvements to matching

Those are not supported by my engine, as they have remaining quantities
on a trade match.

README.md

@@ -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
 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
-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
 

data/inputs/matching-asking-price-2.in.csv

@@ -0,0 +1,2 @@
+N,1,IBM,8,100,S,101
+N,2,IBM,10,100,B,102

data/inputs/matching-asking-price.in.csv

@@ -0,0 +1,2 @@
+N,1,IBM,10,100,B,101
+N,2,IBM,8,100,S,102

data/inputs/matching.in.csv

@@ -0,0 +1,2 @@
+N,1,IBM,10,100,B,101
+N,2,IBM,10,100,S,102

data/invalid/matching-remaining-quantity-ask.csv

@@ -0,0 +1,2 @@
+N,1,IBM,8,100,S,101
+N,2,IBM,10,50,B,102

data/invalid/matching-remaining-quantity-bid.csv

@@ -0,0 +1,2 @@
+N,1,IBM,8,50,S,101
+N,2,IBM,10,100,B,102

data/outputs/matching-asking-price-2.out.csv

@@ -0,0 +1,3 @@
+A,1,101
+B,S,8,100
+R,2,102

data/outputs/matching-asking-price-2.trades.out.csv

@@ -0,0 +1,5 @@
+A,1,101
+B,S,8,100
+A,2,102
+T,2,102,1,101,8,100
+B,S,-,-

data/outputs/matching-asking-price.out.csv

@@ -0,0 +1,3 @@
+A,1,101
+B,B,10,100
+R,2,102

data/outputs/matching-asking-price.trades.out.csv

@@ -0,0 +1,5 @@
+A,1,101
+B,B,10,100
+A,2,102
+T,1,101,2,102,8,100
+B,B,-,-

data/outputs/matching.out.csv

@@ -0,0 +1,3 @@
+A,1,101
+B,B,10,100
+R,2,102

data/outputs/matching.trades.out.csv

@@ -0,0 +1,5 @@
+A,1,101
+B,B,10,100
+A,2,102
+T,1,101,2,102,10,100
+B,B,-,-