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Yaser
215
app/trading/matching/executor.rb
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215
app/trading/matching/executor.rb
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# encoding: UTF-8
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# frozen_string_literal: true
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require_relative 'constants'
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module Matching
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class Executor
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ExecutorError = Class.new(StandardError)
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def initialize(payload)
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@payload = payload
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@trade_payload = payload[:trade].symbolize_keys if payload[:trade]
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end
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def process
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case @payload[:action]
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when 'execute'
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execute
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when 'cancel'
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publish_cancel
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else
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raise ExecutorError.new("Unknown action: #{@payload[:action]}")
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end
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end
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def publish_cancel
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AMQP::Queue.enqueue(:order_processor,
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{ action: 'cancel', order: @payload[:order] },
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{ persistent: false })
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end
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def execute
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execute!
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# TODO: Queue should exist even if none is listening.
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rescue TradeExecutionError => e
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AMQP::Queue.enqueue(:trade_error, e.options)
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[@maker_order, @taker_order].each do |order|
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order.with_lock do
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next unless order.state == Order::WAIT
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AMQP::Queue.enqueue(:matching, action: 'submit', order: order.to_matching_attributes)
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end
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end
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report_exception_to_screen(e)
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false
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end
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def execute!
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# NOTE: Run matching engine for disabled markets.
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@market = Market.find(@trade_payload[:market_id])
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@price = @trade_payload[:strike_price].to_d
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@amount = @trade_payload[:amount].to_d
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@total = @trade_payload[:total].to_d
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create_trade_and_strike_orders
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publish_trade
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@trade
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end
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private
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def validate!
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ask, bid = @maker_order.side == 'sell' ? [@maker_order, @taker_order] : [@taker_order, @maker_order]
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raise_error(3001, 'Ask price exceeds strike price.') if ask.ord_type == 'limit' && ask.price > @price
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raise_error(3002, 'Bid price is less than strike price.') if bid.ord_type == 'limit' && bid.price < @price
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raise_error(3003, "Maker order state isn\'t equal to «wait» (#{@maker_order.state}).") unless @maker_order.state == Order::WAIT
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raise_error(3004, "Taker order state isn\'t equal to «wait» (#{@taker_order.state}).") unless @taker_order.state == Order::WAIT
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unless @total > ZERO && [@maker_order.volume, @taker_order.volume].min >= @amount
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raise_error(3005, 'Not enough funds.')
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end
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end
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def create_trade_and_strike_orders
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ActiveRecord::Base.transaction do
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Order.lock.where(id: [@trade_payload[:maker_order_id], @trade_payload[:taker_order_id]])
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.includes(:ask_currency, :bid_currency)
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.to_a
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.tap do |orders|
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@maker_order = orders.find { |order| order.id == @trade_payload[:maker_order_id] }
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@taker_order = orders.find { |order| order.id == @trade_payload[:taker_order_id] }
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end
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# Check if accounts exists or create them.
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@maker_order.member.get_account(@maker_order.income_currency)
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@taker_order.member.get_account(@taker_order.income_currency)
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validate!
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accounts_table = Account
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.lock
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.select(:id, :member_id, :currency_id, :balance, :locked)
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.where(member_id: [@maker_order.member_id, @taker_order .member_id].uniq, currency_id: [@market.base_unit, @market.quote_unit])
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.each_with_object({}) { |record, memo| memo["#{record.currency_id}:#{record.member_id}"] = record }
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@trade = Trade.new \
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maker_order: @maker_order,
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maker_id: @maker_order.member_id,
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taker_order: @taker_order,
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taker_id: @taker_order.member_id,
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price: @price,
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amount: @amount,
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total: @total,
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market: @market
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strike(@trade, @maker_order, accounts_table["#{@maker_order.outcome_currency.id}:#{@maker_order.member_id}"], accounts_table["#{@maker_order.income_currency.id}:#{@maker_order.member_id}"])
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strike(@trade, @taker_order, accounts_table["#{@taker_order.outcome_currency.id}:#{@taker_order.member_id}"], accounts_table["#{@taker_order.income_currency.id}:#{@taker_order.member_id}"])
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@trade.record_complete_operations!
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([@maker_order, @taker_order] + accounts_table.values).map do |record|
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table = record.class.arel_table
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statement = Arel::UpdateManager.new
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statement.table(table)
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statement.where(table[:id].eq(record.id))
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updates = record.changed_attributes.map do |(attribute, _)|
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if Order === record
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value = record.public_send(attribute)
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[table[attribute], ::Order::STATES.with_indifferent_access.fetch(value, value)]
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else
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[table[attribute], record.public_send(attribute)]
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end
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end
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statement.set updates
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statement.to_sql
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end.join('; ').tap do |sql|
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Rails.logger.debug { sql }
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client = ActiveRecord::Base.connection.raw_connection
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if Rails.configuration.database_adapter.downcase == 'PostgreSQL'.downcase
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client.send_query(sql)
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client.set_single_row_mode
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loop do
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(res = client.get_result) or break
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res.check
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res.each do |_row|
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end
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end
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else
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client.query(sql)
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while client.next_result
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end
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end
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end
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@trade.save(validate: false)
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end
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end
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def publish_trade
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AMQP::Queue.publish :trade, @trade.as_json, {
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headers: {
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type: :local,
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market: @market.id,
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maker_id: @maker_id,
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taker_id: @taker_id
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}
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}
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@trade.trigger_event
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[@maker_order, @taker_order].each do |order|
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event =
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case order.state
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when 'cancel' then 'order_canceled'
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when 'done' then 'order_completed'
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else 'order_updated'
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end
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order.trigger_event
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next unless order.ord_type == 'limit' # Skip market orders.
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EventAPI.notify ['market', order.market_id, event].join('.'), \
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Serializers::EventAPI.const_get(event.camelize).call(order)
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end
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end
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def raise_error(code, message)
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raise TradeExecutionError.new \
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maker_order: @maker_order.attributes,
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taker_order: @taker_order.attributes,
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price: @price,
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amount: @amount,
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total: @total,
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code: code,
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message: message
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end
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def strike(trade, order, outcome_account, income_account)
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#amount is crypto and total is price so total is rls or usdt
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outcome_value, income_value = OrderAsk === order ? [trade.amount, trade.total] : [trade.total, trade.amount]
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fee = income_value * trade.order_fee(order)
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real_income_value = income_value - fee
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outcome_account.assign_attributes outcome_account.attributes_after_unlock_and_sub_funds!(outcome_value)
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income_account.assign_attributes income_account.attributes_after_plus_funds!(real_income_value)
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order.volume -= trade.amount
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order.locked -= outcome_value
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order.funds_received += income_value
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order.trades_count += 1
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order.updated_at = Time.now
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if order.volume.zero?
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order.state = Order::DONE
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# Unlock not used funds.
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unless order.locked.zero?
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outcome_account.assign_attributes outcome_account.attributes_after_unlock_funds!(order.locked)
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end
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elsif order.ord_type == 'market' && order.locked.zero?
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# Partially filled market order has run out it's locked funds.
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order.state = Order::CANCEL
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order.record_cancel_operations!
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end
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end
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end
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end
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