Initial commit
This commit is contained in:
73
docs/zagros/order-trade-steps/matching.md
Normal file
73
docs/zagros/order-trade-steps/matching.md
Normal file
@@ -0,0 +1,73 @@
|
||||
# trading: order matching
|
||||
|
||||
###### Sprint: ?
|
||||
|
||||
|
||||
###DOC
|
||||
* in case of reading first part processor please skip this part.
|
||||
|
||||
for matching and executing orders openware creates a flow that manage by RabbitMQ and its consumers.
|
||||
we have three consumers that works on trades:
|
||||
1. order processor:<br >
|
||||
does preliminary calculations and works on order like locking order<br >
|
||||
2. matching:<br >
|
||||
match orders and pass them to executor
|
||||
3. trade executor:<br >
|
||||
execute trades that matching creates
|
||||
|
||||
|
||||
```mermaid
|
||||
stateDiagram-v2
|
||||
[*] --> API
|
||||
API --> RabbitMQ
|
||||
RabbitMQ --> OrderProcessor
|
||||
OrderProcessor --> RabbitMQ
|
||||
RabbitMQ --> Matching
|
||||
Matching --> RabbitMQ
|
||||
RabbitMQ --> Executor
|
||||
Executor --> Notify
|
||||
Notify --> [*]
|
||||
```
|
||||
|
||||
#### Order matching
|
||||
##### what does order matching do step by step:
|
||||
1. submit order ro engine
|
||||
2. match method
|
||||
1. get orderbooks
|
||||
2. loop
|
||||
1. is order filled?(all amount)
|
||||
2. get top order of opposite order book(top means order with best price)
|
||||
* for better and faster searching they use rbtree. for more information [click here](https://www.geeksforgeeks.org/red-black-tree-set-1-introduction-2/)
|
||||
3. check can they create a trade
|
||||
4. is trade valid?(trade validation):<br >
|
||||
* not zero,calculation problems
|
||||
5. fill both orders:<br >
|
||||
* decrease order volume(if the opposite order is filled, we remove it from orderbook)
|
||||
* filled order means that order completely get its needed volume
|
||||
6. send to trade executor
|
||||
|
||||
```mermaid
|
||||
graph TD
|
||||
A[RabbitMQ] -->|submit payload| B(Matching)
|
||||
B -->|submit engine|C(match method)
|
||||
C --> D(get orderbooks)
|
||||
D --> E(loop)
|
||||
E --> F{order filled?}
|
||||
F --> |yes|X(break)
|
||||
F --> |no|G{opposit orderbook is blanked}
|
||||
G --> |yes|H{is it limit order?}
|
||||
H --> |yes|I(add to orderbook)
|
||||
I --> X
|
||||
H --> |no|J(cancel order)
|
||||
J --> X
|
||||
G --> |no|K(get top of opposit orderbook)
|
||||
K --> L(make trade with top of opposit)
|
||||
L --> |created trade|M{trade.blank?}
|
||||
M --> |yes|H
|
||||
M --> |no|N(validate trade)
|
||||
N --> O(fill order)
|
||||
O --> P(fill opposit order)
|
||||
O --> |publish to executor|A
|
||||
O --> E
|
||||
X --> A
|
||||
```
|
||||
Reference in New Issue
Block a user