File size: 10,006 Bytes
f86fb3b | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 | #include "../../include/order_book/matching_engine.hpp"
#include <algorithm>
namespace quant::order_book {
MatchingEngine::MatchingEngine(core::Symbol symbol, ExecutionCallback on_exec)
: book_(symbol), on_exec_(std::move(on_exec)) {}
void MatchingEngine::emit_report(
core::ClientId client_id,
core::ClientOrderId client_order_id,
core::OrderId engine_order_id,
core::ExecType exec_type,
core::Price fill_price,
core::Quantity fill_qty,
core::Quantity leaves_qty,
core::RejectReason reason
) noexcept {
if (!on_exec_) return;
protocol::ExecutionReportPayload report;
report.client_id = client_id;
report.client_order_id = client_order_id;
report.engine_order_id = engine_order_id;
report.exec_id = next_exec_id_++;
report.exec_type = static_cast<uint8_t>(exec_type);
report.fill_price_raw = fill_price.raw();
report.fill_qty = fill_qty;
report.leaves_qty = leaves_qty;
report.reject_reason = static_cast<uint8_t>(reason);
on_exec_(report);
}
void MatchingEngine::process_new_order(
core::ClientId client_id,
core::ClientOrderId client_order_id,
core::Side side,
core::OrderType type,
core::Price price,
core::Quantity qty,
core::TimestampNs timestamp_ns
) {
if (qty == 0) {
emit_report(client_id, client_order_id, 0, core::ExecType::REJECTED,
price, 0, 0, core::RejectReason::INVALID_QUANTITY);
return;
}
if (type == core::OrderType::LIMIT && price.raw() <= 0) {
emit_report(client_id, client_order_id, 0, core::ExecType::REJECTED,
price, 0, 0, core::RejectReason::INVALID_PRICE);
return;
}
core::OrderId engine_order_id = next_engine_order_id_++;
core::Quantity remaining_qty = qty;
// Matching logic
if (side == core::Side::BUY) {
// Match against resting ASKS (lowest price first)
while (remaining_qty > 0 && !book_.asks().empty()) {
auto best_ask_it = book_.asks().begin();
core::Price best_ask_price = best_ask_it->first;
if (type == core::OrderType::LIMIT && price < best_ask_price) {
break; // No more matching asks at or below limit buy price
}
Order* resting = best_ask_it->second.head;
if (!resting) {
book_.asks().erase(best_ask_it);
continue;
}
core::Quantity match_qty = std::min(remaining_qty, resting->leaves_qty);
remaining_qty -= match_qty;
resting->leaves_qty -= match_qty;
best_ask_it->second.total_volume -= match_qty;
total_volume_ += match_qty;
++total_trades_;
bool maker_filled = (resting->leaves_qty == 0);
core::Quantity resting_leaves = resting->leaves_qty;
core::OrderId resting_order_id = resting->order_id;
core::ClientId resting_client_id = resting->client_id;
core::ClientOrderId resting_client_order_id = resting->client_order_id;
if (maker_filled) {
book_.remove_order(resting);
book_.free_order(resting);
}
// Emit executions for resting maker
emit_report(
resting_client_id,
resting_client_order_id,
resting_order_id,
maker_filled ? core::ExecType::FILL : core::ExecType::PARTIAL_FILL,
best_ask_price,
match_qty,
resting_leaves,
core::RejectReason::NONE
);
// Emit execution for incoming taker
emit_report(
client_id,
client_order_id,
engine_order_id,
remaining_qty == 0 ? core::ExecType::FILL : core::ExecType::PARTIAL_FILL,
best_ask_price,
match_qty,
remaining_qty,
core::RejectReason::NONE
);
}
// Post-match leaves handling
if (remaining_qty > 0) {
if (type == core::OrderType::LIMIT) {
Order* order = book_.allocate_order();
if (order) {
order->order_id = engine_order_id;
order->client_id = client_id;
order->client_order_id = client_order_id;
order->symbol = book_.symbol();
order->price = price;
order->qty = qty;
order->leaves_qty = remaining_qty;
order->side = side;
order->order_type = type;
order->timestamp_ns = timestamp_ns;
book_.add_resting_order(order);
emit_report(client_id, client_order_id, engine_order_id,
core::ExecType::NEW, price, 0, remaining_qty, core::RejectReason::NONE);
}
} else if (type == core::OrderType::IOC || type == core::OrderType::MARKET) {
emit_report(client_id, client_order_id, engine_order_id,
core::ExecType::CANCELED, price, 0, remaining_qty, core::RejectReason::NONE);
}
}
} else if (side == core::Side::SELL) {
// Match against resting BIDS (highest price first)
while (remaining_qty > 0 && !book_.bids().empty()) {
auto best_bid_it = book_.bids().begin();
core::Price best_bid_price = best_bid_it->first;
if (type == core::OrderType::LIMIT && price > best_bid_price) {
break; // No more matching bids at or above limit sell price
}
Order* resting = best_bid_it->second.head;
if (!resting) {
book_.bids().erase(best_bid_it);
continue;
}
core::Quantity match_qty = std::min(remaining_qty, resting->leaves_qty);
remaining_qty -= match_qty;
resting->leaves_qty -= match_qty;
best_bid_it->second.total_volume -= match_qty;
total_volume_ += match_qty;
++total_trades_;
bool maker_filled = (resting->leaves_qty == 0);
core::Quantity resting_leaves = resting->leaves_qty;
core::OrderId resting_order_id = resting->order_id;
core::ClientId resting_client_id = resting->client_id;
core::ClientOrderId resting_client_order_id = resting->client_order_id;
if (maker_filled) {
book_.remove_order(resting);
book_.free_order(resting);
}
// Emit executions for resting maker
emit_report(
resting_client_id,
resting_client_order_id,
resting_order_id,
maker_filled ? core::ExecType::FILL : core::ExecType::PARTIAL_FILL,
best_bid_price,
match_qty,
resting_leaves,
core::RejectReason::NONE
);
// Emit execution for incoming taker
emit_report(
client_id,
client_order_id,
engine_order_id,
remaining_qty == 0 ? core::ExecType::FILL : core::ExecType::PARTIAL_FILL,
best_bid_price,
match_qty,
remaining_qty,
core::RejectReason::NONE
);
}
// Post-match leaves handling
if (remaining_qty > 0) {
if (type == core::OrderType::LIMIT) {
Order* order = book_.allocate_order();
if (order) {
order->order_id = engine_order_id;
order->client_id = client_id;
order->client_order_id = client_order_id;
order->symbol = book_.symbol();
order->price = price;
order->qty = qty;
order->leaves_qty = remaining_qty;
order->side = side;
order->order_type = type;
order->timestamp_ns = timestamp_ns;
book_.add_resting_order(order);
emit_report(client_id, client_order_id, engine_order_id,
core::ExecType::NEW, price, 0, remaining_qty, core::RejectReason::NONE);
}
} else if (type == core::OrderType::IOC || type == core::OrderType::MARKET) {
emit_report(client_id, client_order_id, engine_order_id,
core::ExecType::CANCELED, price, 0, remaining_qty, core::RejectReason::NONE);
}
}
}
}
bool MatchingEngine::cancel_order(
core::ClientId client_id,
core::ClientOrderId client_order_id,
core::OrderId engine_order_id,
core::TimestampNs timestamp_ns
) {
(void)timestamp_ns;
Order* order = nullptr;
if (engine_order_id != 0) {
order = book_.find_order(engine_order_id);
}
if (!order && client_order_id != 0) {
order = book_.find_order_by_client_id(client_order_id);
}
if (!order) {
emit_report(client_id, client_order_id, engine_order_id,
core::ExecType::REJECTED, core::Price(), 0, 0,
core::RejectReason::ORDER_NOT_FOUND);
return false;
}
core::Quantity leaves = order->leaves_qty;
book_.remove_order(order);
emit_report(client_id, client_order_id, order->order_id,
core::ExecType::CANCELED, order->price, 0, leaves,
core::RejectReason::NONE);
book_.free_order(order);
return true;
}
bool MatchingEngine::check_invariants() const noexcept {
auto bb = book_.best_bid();
auto ba = book_.best_ask();
if (bb && ba) {
return *bb < *ba; // Crossed or locked book invariant check
}
return true;
}
} // namespace quant::order_book
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