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engine.go
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engine.go
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package matchingengine
import (
"errors"
)
type Engine interface {
AddLimitOrder(orderType OrderType, price int, amount int) *Order
CancelOrder(OrderID)
AskOrders() []*Order
BidOrders() []*Order
Order(OrderID) *Order
Bookmark()
Rollback() error
}
type engine struct {
orderbook *orderbook
dataEvents []dataEvent
bookmark int
lastOrderID OrderID
}
func New() Engine {
return &engine{
orderbook: newOrderBook(),
bookmark: -1,
}
}
func (e *engine) AddLimitOrder(orderType OrderType, price int, amount int) *Order {
e.addDataEvent(newAddLimitOrderDataEvent(orderType, price, amount))
order := e.Order(e.lastOrderID - 1)
e.matchBuyOrder(order)
return order
}
func (e *engine) CancelOrder(orderID OrderID) {
order := e.Order(orderID)
if order == nil {
return // ignoring
}
e.addDataEvent(newUpdateOrderDataEvent(orderID, orderUpdates{
OldStatus: order.Status,
NewStatus: OrderStatusCancelled,
}))
e.addDataEvent(newRemoveOrderDataEvent(order))
}
func (e *engine) addDataEvent(event dataEvent) {
event.Execute(e)
e.dataEvents = append(e.dataEvents, event)
}
func (e *engine) Bookmark() {
e.bookmark = len(e.dataEvents)
}
func (e *engine) Rollback() error {
if e.bookmark < 0 {
return errors.New("no bookmark")
}
if e.bookmark >= len(e.dataEvents) {
return nil
}
var event dataEvent
for len(e.dataEvents) > e.bookmark {
event = e.dataEvents[len(e.dataEvents)-1]
e.dataEvents = e.dataEvents[:len(e.dataEvents)-1]
event.Revert(e)
}
return nil
}
func (e *engine) AskOrders() []*Order {
return e.orderbook.AskOrders()
}
func (e *engine) BidOrders() []*Order {
return e.orderbook.BidOrders()
}
func (e *engine) Order(id OrderID) *Order {
return e.orderbook.orders[id]
}
func (e *engine) matchBuyOrder(order *Order) {
processingOrders := e.orderbook.asks
if order.Type == OrderTypeSell {
processingOrders = e.orderbook.bids
}
iter := processingOrders.Iterator()
// We need to close orders after the main loop to not break the iterator
var ordersToClose []struct {
order *Order
amount int
}
mainLoop:
for iter.Next() {
oppositeOrderQueue := iter.Value().([]*Order)
for _, oppositeOrder := range oppositeOrderQueue {
if (order.Type == OrderTypeSell && oppositeOrder.Price < order.Price) ||
(order.Type == OrderTypeBuy && oppositeOrder.Price > order.Price) {
break mainLoop
}
closingAmount := order.RemainingAmount()
if oppositeOrder.RemainingAmount() < order.RemainingAmount() {
closingAmount = oppositeOrder.RemainingAmount()
}
ordersToClose = append(ordersToClose, struct {
order *Order
amount int
}{
order: oppositeOrder,
amount: closingAmount,
})
e.closeAmountInOrder(order, closingAmount)
if closingAmount == 0 {
break mainLoop
}
}
}
for _, orderToClose := range ordersToClose {
e.closeAmountInOrder(orderToClose.order, orderToClose.amount)
}
}
func (e *engine) closeAmountInOrder(order *Order, closingAmount int) {
newStatus := OrderStatusPartiallyCompleted
if closingAmount+order.CompletedAmount == order.Amount {
newStatus = OrderStatusCompleted
}
oppositeOrderUpdates := orderUpdates{
AmountDelta: closingAmount,
OldStatus: order.Status,
NewStatus: newStatus,
}
e.addDataEvent(newUpdateOrderDataEvent(order.ID, oppositeOrderUpdates))
if newStatus == OrderStatusCompleted {
e.addDataEvent(newRemoveOrderDataEvent(order))
}
}