Initial commit

app/trading/matching/order_book.rb

@@ -0,0 +1,137 @@
+# encoding: UTF-8
+# frozen_string_literal: true
+
+require_relative 'constants'
+
+module Matching
+  class OrderBook
+
+    attr :side
+
+    def initialize(market, side, options={})
+      @market = market
+      @side   = side.to_sym
+      @limit_orders = RBTree.new
+      @market_orders = RBTree.new
+      @on_change = options[:on_change]
+
+      singleton = class<<self;self;end
+      singleton.send :define_method, :limit_top, self.class.instance_method("#{@side}_limit_top")
+    end
+
+    def notify_change(market, side, price, amount=nil)
+      return unless @on_change
+
+      amount ||= yield
+      @on_change.call(market, side, price, amount)
+    rescue StandardError => e
+      report_exception(e)
+    end
+
+    def best_limit_price
+      limit_top.try(:price)
+    end
+
+    def top
+      unless @market_orders.empty?
+        order = @market_orders.first[1]
+        raise MarketOrderbookError.new(order, 'market order in orderbook detected')
+      end
+
+      limit_top
+    end
+
+    def fill_top(trade_price, trade_volume, trade_funds)
+      order = top
+      raise "No top order in empty book." unless order
+
+      order.fill trade_price, trade_volume, trade_funds
+      if order.filled?
+        remove order
+      else
+        notify_change(@market, @side, trade_price) { @limit_orders[trade_price]&.total }
+      end
+    end
+
+    def find(order)
+      case order
+      when LimitOrder
+        @limit_orders[order.price].find(order.id)
+      when MarketOrder
+        @market_orders[order.id]
+      end
+    end
+
+    def add(order)
+      raise OrderError.new(order, 'volume is less than or equal to zero') if order.volume <= ZERO
+
+      case order
+      when LimitOrder
+        @limit_orders[order.price] ||= PriceLevel.new(order.price)
+        @limit_orders[order.price].add order
+        notify_change(@market, @side, order.price) { @limit_orders[order.price]&.total }
+      when MarketOrder
+        raise MarketOrderbookError.new(order, 'market order adding to orderbook detected')
+      else
+        raise ArgumentError, "Unknown order type"
+      end
+    end
+
+    def remove(order)
+      case order
+      when LimitOrder
+        updated_order = remove_limit_order(order)
+        notify_change(@market, @side, order.price) { @limit_orders[order.price]&.total }
+        return updated_order
+      when MarketOrder
+        remove_market_order(order)
+      else
+        raise ArgumentError, "Unknown order type"
+      end
+    end
+
+    def limit_orders
+      orders = {}
+      @limit_orders.keys.each {|k| orders[k] = @limit_orders[k].orders }
+      orders
+    end
+
+    def market_orders
+      @market_orders.values
+    end
+
+    private
+
+    def remove_limit_order(order)
+      price_level = @limit_orders[order.price]
+      return unless price_level
+
+      order = price_level.find order.id # so we can return fresh order
+      return unless order
+
+      price_level.remove order
+      @limit_orders.delete(order.price) if price_level.empty?
+
+      order
+    end
+
+    def remove_market_order(order)
+      if order = @market_orders[order.id]
+        @market_orders.delete order.id
+        order
+      end
+    end
+
+    def ask_limit_top # lowest price wins
+      return if @limit_orders.empty?
+      price, level = @limit_orders.first
+      level.top
+    end
+
+    def bid_limit_top # highest price wins
+      return if @limit_orders.empty?
+      price, level = @limit_orders.last
+      level.top
+    end
+  end
+end